Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Total Factor Productivity and Monetary Policy: Evidence from Conditional Volatility

This paper empirically assesses whether monetary policy affects real economic activity through its affect on the aggregate supply side of the macroeconomy. Analysts typically argue that monetary policy either does not affect the real economy, the classical dichotomy, or only affects the real economy in the short run through aggregate demand new Keynesian or new classical theories. Real business cycle theorists try to explain the business cycle with supply-side productivity shocks. We provide some preliminary evidence about how monetary policy affects the aggregate supply side of the macroeconomy through its affect on total factor productivity, an important measure of supply-side performance. The results show that monetary policy exerts a positive and statistically significant effect on the supply-side of the macroeconomy. Moreover, the findings buttress the importance of countercyclical monetary policy as well as support the adoption of an optimal money supply rule. Our results also prove consistent with the effective role of monetary policy in the Great Moderation as well as the more recent rise in productivity growth.

Analyzing the function of myogenin in adult satellite cells through the construction of a myogenin conditional allele

Although mechanisms regulating the formation of embryonic skeletal muscle are well characterized, less is known about muscle formation in postnatal life. This disparity is unfortunate because the largest increases in skeletal muscle mass occur after birth. Adult muscle stem cells (satellite cells) appear to recapitulate the events that occur in embryonic myoblasts. In particular, the myogenic basic helix-loop-helix factors, which have crucial functions in embryonic muscle development, are assumed to have similar roles in postnatal muscle formation. Here, I test this assumption by determining the role of the myogenic regulator myogenin in postnatal life. Myogenin-null mice die at birth, necessitating the generation of floxed alleles of myogenin and the use of cre-recombinase lines to delete myogenin. Removing myogenin before embryonic muscle development resulted in myofiber deficiencies identical to those observed in myogenin-null mice. However, mice in which myogenin was deleted following embryonic muscle development had normal skeletal muscle, except for modest alterations in MRF4 and MyoD expression. Notably, myogenin-deleted mice were 30% smaller than controls, suggesting that myogenin's absence disrupted general body growth. These results suggest that skeletal muscle growth in postnatal life is controlled by mechanisms distinct from those occurring in embryonic muscle development. ^

A conditional Mdm2 allele shows the importance of Mdm2 in heart development

Over 50% of sporadic tumors in humans have a p53 mutation highlighting its importance as a tumor suppressor. Considering additional mutations in other genes involved in p53 pathways, every tumor probably has mutant p53 or impaired p53-mediated functions. In response to a variety of cellular and genotoxic stresses, p53, mainly through its transcriptional activity, induces pathways involved in apoptosis and growth arrest. In these circumstances and under normal situations, p53 must be tightly regulated. Mdm2 is an important regulator of p53. Mdm2 inhibits p53 function by binding and blocking its transactivation domain. In addition, Mdm2 helps target p53 for degradation through its E3 ligase activity. Mdm2 null mice are embryonic lethal due to apoptosis in the blastocysts. However, a p53 null background rescues this lethality demonstrating the importance of the p53-Mdm2 interaction, particularly during development. The lethality of the Mdm2 null mouse prior to implantation limits the ability to investigate the role of Mdm2 in regulating p53 in a temporal and tissue specific manner. Does p53 need to be regulated in all tissues throughout the life of a mouse? Does Mdm2 always have to regulate it? To address these questions, we created a conditional Mdm2 allele. The conditional allele, Mdm2FM, in the presence of Cre recombinase results in the deletion of exons 5 and 6 of Mdm2 (most of the p53 binding domain) and represents a null allele. ^ The Mdm2FM allele was crossed with a heart muscle specific Cre expressing mouse (α-myosin heavy chain promoter driven Cre) to ask whether Mdm2 acts as a negative regulator of p53 in the heart. The heart is the most prominent organ early in embryogenesis and is shaped by cell death and proliferation. p53 does not appear to be active in the heart in response to some types of stress, so it remained to be determined if it has to be regulated in normal heart development. Loss of Mdm2 in the heart results in heart defects as early as E9.5. Loss of Mdm2 results in stabilized p53 and apoptosis. This apoptosis leads to a thinning of the myocardial wall particularly in the ventricles and abnormal ventricular structure. Eventually the abnormal heart fails resulting in lethality by E13.5. The embryonic lethality is rescued in a p53 null background. Thus, Mdm2 is important in regulating p53 in the development of the heart. ^

Bcr: A conditional inhibitor of Bcr -Abl oncoprotein

Chronic myelogenous leukemia (CML) is characterized cytogenetically by the presence of the Philadelphia chromosome and clinically by the clonal expansion of the hematopoietic stem cells and the accumulation of large numbers of myeloid cells. Philadelphia chromosome results from the reciprocal translocation between chromosomes 9 and 22 [t(9;22)(324;q11)], which fuses parts of the ABL proto-oncogene to 5′ portions of the BCR gene. The product of the fused gene is Bcr-Abl oncoprotein. Bcr-Abl oncoprotein has elevated protein tyrosine kinase activity, and is the cause of Philadelphia chromosome associated leukemias. The Bcr sequence in the fusion protein is crucial for the activation of Abl kinase activity and transforming phenotype of Bcr-Abl oncoprotein. Although the Bcr-Abl oncoprotein has been studied extensively, its normal counterpart, the Bcr protein, has been less studied and its function is not well understood. At this point, Bcr is known to encode a novel serine/threonine protein kinase. In Bcr-Abl positive leukemia cells, we found that the serine kinase activity of Bcr is impaired by tyrosine phosphorylation. Both the Bcr protein sequences within Bcr-Abl and the normal cellular Bcr protein lack serine/threonine kinase activity when they become phosphorylated on tyrosine residues by Bcr-Abl. Therefore, the goal of this study was to investigate the role of Bcr in Bcr-Abl positive leukemia cells. We found that overexpression of Bcr can inhibit Bcr-Abl tyrosine kinase activity, and the inhibition is dependent on its intact serine/threonine kinase function. Using the tet repressible promoter system, we demonstrated that Bcr when induced in Bcr-Abl positive leukemia cells inhibited the Bcr-Abl oncoprotein tyrosine kinase. Furthermore, induction of Bcr also increased the number of cells undergoing apoptosis and inhibited the transforming ability of Bcr-Abl. In contrast to the wild-type Bcr, the kinase-inactive mutant of Bcr (Y328F/Y360F) had no effects on Bcr-Abl tyrosine kinase in cells. Results from other experiments indicated that phosphoserine-containing Bcr sequences within the first exon, which are known to bind to the Abl SH2 domain, are responsible for observed inhibition of the Bcr-Abl tyrosine kinase. Several lines of evidence suggest that the phosphoserine form of Bcr, which binds to the Abl SH2 domain, strongly inhibits the Abl tyrosine kinase domain of Bcr-Abl Previously published findings from our laboratory have also shown that Bcr is phosphorylated on tyrosine residue 177 in Bcr-Abl positive cells and that this form of Bcr recruits the Grb2 adaptor protein, which is known to activate the Ras pathway. These findings implicate Bcr as an effector of Bcr-Abl's oncogenic activity. Therefore based on the findings presented above, we propose a model for dual Function of Bcr in Bcr-Abl positive leukemia cells. Bcr, when active as a serine/threonine kinase and thus autophosphorylating its own serine residues, inhibits Bcr-Abl's oncogenic functions. However, when Ber is tyrosine phosphorylated, its Bcr-Abl inhibitory function is neutralized thus allowing Bcr-Abl to exert its full oncogenic potential. Moreover, tyrosine phosphorylated Bcr would compliment Bcr-Abl's neoplastic effects by the activation of the Ras signaling pathway. ^

Conditional parallelization of nonStrict independence. Procedures and assessmen

This paper presents a conditional parallelization process for and-parallelism based on the notion of non-strict independence, a more relaxed notion than the traditional of strict independence. By using this notion, a parallelism annotator can extract more parallelism from programs. On the other hand, the intrinsic complexity of non-strict independence poses new challenges to this task. We report here on the implementation we have accomplished of an annotator for non-strict independence, capable of producing both static and dynamic execution graphs. This implementation, along with the also implemented independence checker and their integration in our system, have resulted what is, to the best of our knowledge, the first parallelizing compiler based on nonstrict independence which produces dynamic execution graphs. The paper also presents a preliminary assessment of the implemented tools, comparing them with the existing ones for strict independence, which shows encouraging results.

The TRANSPLANTA collection of Arabidopsis lines: a resource for functional analysis of transcription factors based on their conditional overexpression.

Los factores de transcripción (FTs) son reguladores clave de la expresión génica en todos los organismos. En eucariotas los FTs con frecuencia están representados por miembros funcionalmente redundantes de familias génicas de gran tamaño. La sobreexpresión de FTs puede representar una herramienta para revelar las funciones biológicas de FTs redundantes en plantas; sin embargo, la sobreexpresión constitutiva de FTs con frecuencia conlleva diversos defectos en el desarrollo, impidiendo su caracterización funcional. Sin embargo, aproximaciones de sobreexpresión condicional podrían ayudar a solventar este problema. En el consorcio TRANSPLANTA, en el que participan varios laboratorios del CBGP, hemos generado una colección de líneas transgénicas de Arabidopsis, cada una de las cuales expresa un FT bajo el control de un promotor inducible por ?estradiol. Hasta el momento se han generado 1636 líneas homocigotas independientes que corresponden a 634 FTs diferentes, lo que representa una media de 2,6 líneas por cada FT. Como confirmación de la utilidad de esta herramienta, el tratamiento con ?estradiol de líneas que expresaban condicionalmente FTs provoca alteraciones fenotípicas tales como proliferación de pelos radiculares, senescencia inducida por oscuridad, acumulación de antocianinas y enanismo, y que corroboran fenotipos previamente descritos debidos a la sobreexpresión de dichos FTs. Rastreos realizados posteriormente con otras líneas TRANSPLANTA han permitido la identificación de FTs implicados en diferentes procesos biológicos de plantas, confirmando que la colección es una herramienta valiosa para la caracterización funcional de FTs. Las semillas de las líneas TRANSPLANTA han sido depositadas en el Nottingham Arabidopsis Stock Centre para su distribución posterior.

Conditional density approximations with mixtures of polynomials

Mixtures of polynomials (MoPs) are a non-parametric density estimation technique especially designed for hybrid Bayesian networks with continuous and discrete variables. Algorithms to learn one- and multi-dimensional (marginal) MoPs from data have recently been proposed. In this paper we introduce two methods for learning MoP approximations of conditional densities from data. Both approaches are based on learning MoP approximations of the joint density and the marginal density of the conditioning variables, but they differ as to how the MoP approximation of the quotient of the two densities is found. We illustrate and study the methods using data sampled from known parametric distributions, and we demonstrate their applicability by learning models based on real neuroscience data. Finally, we compare the performance of the proposed methods with an approach for learning mixtures of truncated basis functions (MoTBFs). The empirical results show that the proposed methods generally yield models that are comparable to or significantly better than those found using the MoTBF-based method.

The TRANSPLANTA collection of Arabidopsis lines: a resource for functional analysis of transcription factors based on their conditional over-expression

Transcription factors (TFs) are key regulators of gene expression in all organisms. In eukaryotes, TFs are often represented by functionally redundant members of large gene families. Overexpression might prove a means to unveil the biological functions of redundant TFs; however, constitutive overexpression of TFs frequently causes severe developmental defects, preventing their functional characterization. Conditional overexpression strategies help to overcome this problem. Here, we report on the TRANSPLANTA collection of Arabidopsis lines, each expressing one of 949 TFs under the control of a β–estradiol-inducible promoter. Thus far, 1636 independent homozygous lines, representing an average of 2.6 lines for every TF, have been produced for the inducible expression of 634 TFs. Along with a GUS-GFP reporter, randomly selected TRANSPLANTA lines were tested and confirmed for conditional transgene expression upon β–estradiol treatment. As a proof of concept for the exploitation of this resource, β–estradiol-induced proliferation of root hairs, dark-induced senescence, anthocyanin accumulation and dwarfism were observed in lines conditionally expressing full-length cDNAs encoding RHD6, WRKY22, MYB123/TT2 and MYB26, respectively, in agreement with previously reported phenotypes conferred by these TFs. Further screening performed with other TRANSPLANTA lines allowed the identification of TFs involved in different plant biological processes, illustrating that the collection is a powerful resource for the functional characterization of TFs. For instance, ANAC058 and a TINY/AP2 TF were identified as modulators of ABA-mediated germination potential, and RAP2.10/DEAR4 was identified as a regulator of cell death in the hypocotyl–root transition zone. Seeds of TRANSPLANTA lines have been deposited at the Nottingham Arabidopsis Stock Centre for further distribution.

Class-Conditional Probabilistic Principal Component Analysis: application to gender recognition

Este trabajo presenta una solución al problema del reconocimiento del género de un rostro humano a partir de una imagen. Adoptamos una aproximación que utiliza la cara completa a través de la textura de la cara normalizada y redimensionada como entrada a un clasificador Näive Bayes. Presentamos la técnica de Análisis de Componentes Principales Probabilístico Condicionado-a-la-Clase (CC-PPCA) para reducir la dimensionalidad de los vectores de características para la clasificación y asegurar la asunción de independencia para el clasificador. Esta nueva aproximación tiene la deseable propiedad de presentar un modelo paramétrico sencillo para las marginales. Además, este modelo puede estimarse con muy pocos datos. En los experimentos que hemos desarrollados mostramos que CC-PPCA obtiene un 90% de acierto en la clasificación, resultado muy similar al mejor presentado en la literatura---ABSTRACT---This paper presents a solution to the problem of recognizing the gender of a human face from an image. We adopt a holistic approach by using the cropped and normalized texture of the face as input to a Naïve Bayes classifier. First it is introduced the Class-Conditional Probabilistic Principal Component Analysis (CC-PPCA) technique to reduce the dimensionality of the classification attribute vector and enforce the independence assumption of the classifier. This new approach has the desirable property of a simple parametric model for the marginals. Moreover this model can be estimated with very few data. In the experiments conducted we show that using CCPPCA we get 90% classification accuracy, which is similar result to the best in the literature. The proposed method is very simple to train and implement.

Conditional switching of vascular endothelial growth factor (VEGF) expression in tumors: Induction of endothelial cell shedding and regression of hemangioblastoma-like vessels by VEGF withdrawal

We have recently shown that VEGF functions as a survival factor for newly formed vessels during developmental neovascularization, but is not required for maintenance of mature vessels. Reasoning that expanding tumors contain a significant fraction of newly formed and remodeling vessels, we examined whether abrupt withdrawal of VEGF will result in regression of preformed tumor vessels. Using a tetracycline-regulated VEGF expression system in xenografted C6 glioma cells, we showed that shutting off VEGF production leads to detachment of endothelial cells from the walls of preformed vessels and their subsequent death by apoptosis. Vascular collapse then leads to hemorrhages and extensive tumor necrosis. These results suggest that enforced withdrawal of vascular survival factors can be applied to target preformed tumor vasculature in established tumors. The system was also used to examine phenotypes resulting from over-expression of VEGF. When expression of the transfected VEGF cDNA was continuously “on,” tumors became hyper-vascularized with abnormally large vessels, presumably arising from excessive fusions. Tumors were significantly less necrotic, suggesting that necrosis in these tumors is the result of insufficient angiogenesis.

An efficient system for conditional gene expression in embryonic stem cells and in their in vitro and in vivo differentiated derivatives

We have developed a universally applicable system for conditional gene expression in embryonic stem (ES) cells that relies on tamoxifen-dependent Cre recombinase-loxP site-mediated recombination and bicistronic gene-trap expression vectors that allow transgene expression from endogenous cellular promoters. Two vectors were introduced into the genome of recipient ES cells, successively: (i) a bicistronic gene-trap vector encoding the β-galactosidase/neoR fusion protein and the Cre-ERT2 (Cre recombinase fused to a mutated ligand-binding domain of the human estrogen receptor) and (ii) a bicistronic gene-trap vector encoding the hygroR protein and the human alkaline phosphatase (hAP), the expression of which is prevented by tandemly repeated stop-of-transcription sequences flanked by loxP sites. In selected clones, hAP expression was shown to be regulated accurately by 4′hydroxy-tamoxifen. Strict hormone-dependent expression of hAP was achieved (i) in vitro in undifferentiated ES cells and embryoid bodies, (ii) in vivo in virtually all the tissues of the 10-day-old chimeric fetus (after injection of 4′hydroxy-tamoxifen to foster mothers), and (iii) ex vivo in primary embryonic fibroblasts isolated from chimeric fetuses. Therefore, this approach can be applied to drive conditional expression of virtually any transgene in a large variety of cell types, both in vitro and in vivo.

A method for the generation of conditional gene repair mutations in mice

Conditional gene repair mutations in the mouse can assist in cell lineage analyses and provide a valuable complement to conditional gene inactivation strategies. We present a method for the generation of conditional gene repair mutations that employs a loxP-flanked (floxed) selectable marker and transcriptional/translational stop cassette (neostop) located within the first intron of a target gene. In the absence of Cre recombinase, expression of the targeted allele is suppressed generating a null allele, while in the presence of Cre, excision of neostop restores expression to wild-type levels. To test this strategy, we have generated a conditional gene repair allele of the mouse Huntington’s disease gene homolog (Hdh). Insertion of neostop within the Hdh intron 1 generated a null allele and mice homozygous for this allele resembled nullizygous Hdh mutants and died after embryonic day 8.5. In the presence of a cre transgene expressed ubiquitously early in development, excision of neostop restored Hdh expression and rescued the early embryonic lethality. A simple modification of this strategy that permits the generation of conventional gene knockout, conditional gene knockout and conditional gene repair alleles using one targeting construct is discussed.

A conditional probability analysis of cystic fibrosis transmembrane conductance regulator gating indicates that ATP has multiple effects during the gating cycle

ATP-binding cassette (ABC) transporters bind and hydrolyze ATP. In the cystic fibrosis transmembrane conductance regulator Cl− channel, this interaction with ATP generates a gating cycle between a closed (C) and two open (O1 and O2) conformations. To understand better how ATP controls channel activity, we examined gating transitions from the C to the O1 and O2 states and from these open states to the C conformation. We made three main observations. First, we found that the channel can open into either the O1 or O2 state, that the frequency of transitions to both states was increased by ATP concentration, and that ATP increased the relative proportion of openings into O1 vs. O2. These results indicate that ATP can interact with the closed state to open the channel in at least two ways, which may involve binding to nucleotide-binding domains (NBDs) NBD1 and NBD2. Second, ATP prolonged the burst duration and altered the way in which the channel closed. These data suggest that ATP also interacts with the open channel. Third, the channel showed runs of specific types of open–closed transitions. This finding suggests a mechanism with more than one cycle of gating transitions. These data suggest models to explain how ATP influences conformational transitions in cystic fibrosis transmembrane conductance regulator and perhaps other ABC transporters.