Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Mercados laborales en entornos de conflictos armados: un análisis empírico para Colombia

Históricamente se ha reconocido que los conflictos internos afectan de manera directa variables a nivel individual como la salud de las personas, los niveles de escolaridad y el desplazamiento forzoso de los afectados. Sin embargo, solo hasta la última década las investigaciones académicas se han inclinado en documentar y cuantificar rigurosamente los efectos colaterales de la violencia sobre las condiciones de vida de los individuos. La presente investigación estudia cómo la exposición al conflicto en Colombia ha afectado las decisiones en términos de mercado laboral de las personas. La estrategia de identificación internaliza los reconocidos problemas de endogeneidad del conflicto con variables de actividad y desarrollo económico y presenta resultados robustos a fenómenos de migración interna y desplazamiento. En términos de participación laboral y desempleo, se encuentran efectos heterogéneos a nivel de género como respuestas a la violencia experimentada. En particular, la probabilidad de participación laboral de las mujeres se incremente como consecuencia de la exposición al conflicto, mientras que la de desempleo disminuye. Para los hombres, los resultados muestran una menor probabilidad de participación, efecto contrario al de las mujeres, y un efecto análogo en términos de desempleo. La investigación no encuentra efectos diferenciales en términos de informalidad laboral.

Optimal management of natural resources. Accounting for heterogeneity

Dynamic optimization methods have become increasingly important over the last years in economics. Within the dynamic optimization techniques employed, optimal control has emerged as the most powerful tool for the theoretical economic analysis. However, there is the need to advance further and take account that many dynamic economic processes are, in addition, dependent on some other parameter different than time. One can think of relaxing the assumption of a representative (homogeneous) agent in macro- and micro-economic applications allowing for heterogeneity among the agents. For instance, the optimal adaptation and diffusion of a new technology over time, may depend on the age of the person that adopted the new technology. Therefore, the economic models must take account of heterogeneity conditions within the dynamic framework. This thesis intends to accomplish two goals. The first goal is to analyze and revise existing environmental policies that focus on defining the optimal management of natural resources over time, by taking account of the heterogeneity of environmental conditions. Thus, the thesis makes a policy orientated contribution in the field of environmental policy by defining the necessary changes to transform an environmental policy based on the assumption of homogeneity into an environmental policy which takes account of heterogeneity. As a result the newly defined environmental policy will be more efficient and likely also politically more acceptable since it is tailored more specifically to the heterogeneous environmental conditions. Additionally to its policy orientated contribution, this thesis aims making a methodological contribution by applying a new optimization technique for solving problems where the control variables depend on two or more arguments --- the so-called two-stage solution approach ---, and by applying a numerical method --- the Escalator Boxcar Train Method --- for solving distributed optimal control problems, i.e., problems where the state variables, in addition to the control variables, depend on two or more arguments. Chapter 2 presents a theoretical framework to determine optimal resource allocation over time for the production of a good by heterogeneous producers, who generate a stock externalit and derives government policies to modify the behavior of competitive producers in order to achieve optimality. Chapter 3 illustrates the method in a more specific context, and integrates the aspects of quality and time, presenting a theoretical model that allows to determine the socially optimal outcome over time and space for the problem of waterlogging in irrigated agricultural production. Chapter 4 of this thesis concentrates on forestry resources and analyses the optimal selective-logging regime of a size-distributed forest.

Evaluating the Small Population Paradigm for Rare Large-Bodied Woodpeckers, with Implications for the Ivory-billed Woodpecker

Six large-bodied, ≥ 120 g, woodpecker species are listed as near-threatened to critically endangered by the International Union for Conservation of Nature (IUCN). The small population paradigm assumes that these populations are likely to become extinct without an increase in numbers, but the combined influences of initial population size and demographic rates, i.e., annual adult survival and fecundity, may drive population persistence for these species. We applied a stochastic, stage-based single-population model to available demographic rates for Dryocopus and Campephilus woodpeckers. In particular, we determined the change in predicted extinction rate, i.e., proportion of simulated populations that went extinct within 100 yr, to concomitant changes in six input parameters. To our knowledge, this is the first study to evaluate the combined importance of initial population size and demographic rates for the persistence of large-bodied woodpeckers. Under a worse-case scenario, the median time to extinction was 7 yr (range: 1–32). Across the combinations of other input values, increasing initial population size by one female induced, on average, 0.4%–3.2% (range: 0%–28%) reduction in extinction rate. Increasing initial population size from 5–30 resulted in extinction rates < 0.05 under limited conditions: (1) all input values were intermediate, or (2) Allee effect present and annual adult survival ≥ 0.8. Based on our model, these species can persist as rare, as few as five females, and thus difficult-to-detect, populations provided they maintain ≥ 1.1 recruited females annually per adult female and an annual adult survival rate ≥ 0.8. Athough a demographic-based population viability analysis (PVA) is useful to predict how extinction rate changes across scenarios for life-history attributes, the next step for modeling these populations should incorporate more easily acquired data on changes in patch occupancy to make predictions about patch colonization and extinction rates.

Filter for Car Tracking Based on Acceleration and Steering Angle

The motion of a car is described using a stochastic model in which the driving processes are the steering angle and the tangential acceleration. The model incorporates exactly the kinematic constraint that the wheels do not slip sideways. Two filters based on this model have been implemented, namely the standard EKF, and a new filter (the CUF) in which the expectation and the covariance of the system state are propagated accurately. Experiments show that i) the CUF is better than the EKF at predicting future positions of the car; and ii) the filter outputs can be used to control the measurement process, leading to improved ability to recover from errors in predictive tracking.

Modelling the hydraulics of the Carlisle 2005 flood event

The performance of a 2D numerical model of flood hydraulics is tested for a major event in Carlisle, UK, in 2005. This event is associated with a unique data set, with GPS surveyed wrack lines and flood extent surveyed 3 weeks after the flood. The Simple Finite Volume (SFV) model is used to solve the 2D Saint-Venant equations over an unstructured mesh of 30000 elements representing channel and floodplain, and allowing detailed hydraulics of flow around bridge piers and other influential features to be represented. The SFV model is also used to corroborate flows recorded for the event at two gauging stations. Calibration of Manning's n is performed with a two stage strategy, with channel values determined by calibration of the gauging station models, and floodplain values determined by optimising the fit between model results and observed water levels and flood extent for the 2005 event. RMS error for the calibrated model compared with surveyed water levels is ~±0.4m, the same order of magnitude as the estimated error in the survey data. The study demonstrates the ability of unstructured mesh hydraulic models to represent important hydraulic processes across a range of scales, with potential applications to flood risk management.

Flux comparison of Eulerian and Lagrangian estimates of Agulhas leakage: A case study using a numerical model

Estimating the magnitude of Agulhas leakage, the volume flux of water from the Indian to the Atlantic Ocean, is difficult because of the presence of other circulation systems in the Agulhas region. Indian Ocean water in the Atlantic Ocean is vigorously mixed and diluted in the Cape Basin. Eulerian integration methods, where the velocity field perpendicular to a section is integrated to yield a flux, have to be calibrated so that only the flux by Agulhas leakage is sampled. Two Eulerian methods for estimating the magnitude of Agulhas leakage are tested within a high-resolution two-way nested model with the goal to devise a mooring-based measurement strategy. At the GoodHope line, a section halfway through the Cape Basin, the integrated velocity perpendicular to that line is compared to the magnitude of Agulhas leakage as determined from the transport carried by numerical Lagrangian floats. In the first method, integration is limited to the flux of water warmer and more saline than specific threshold values. These threshold values are determined by maximizing the correlation with the float-determined time series. By using the threshold values, approximately half of the leakage can directly be measured. The total amount of Agulhas leakage can be estimated using a linear regression, within a 90% confidence band of 12 Sv. In the second method, a subregion of the GoodHope line is sought so that integration over that subregion yields an Eulerian flux as close to the float-determined leakage as possible. It appears that when integration is limited within the model to the upper 300 m of the water column within 900 km of the African coast the time series have the smallest root-mean-square difference. This method yields a root-mean-square error of only 5.2 Sv but the 90% confidence band of the estimate is 20 Sv. It is concluded that the optimum thermohaline threshold method leads to more accurate estimates even though the directly measured transport is a factor of two lower than the actual magnitude of Agulhas leakage in this model.

Probing protein−tannin interactions by isothermal titration microcalorimetry

Isothermal titration microcalorimetry (ITC) has been applied to investigate protein−tannin interactions. Two hydrolyzable tannins were studied, namely myrabolan and tara tannins, for their interaction with bovine serum albumin (BSA), a model globular protein, and gelatin, a model proline-rich random coil protein. Calorimetry data indicate that protein−tannin interaction mechanisms are dependent upon the nature of the protein involved. Tannins apparently interact nonspecifically with the globular BSA, leading to binding saturation at estimated tannin/BSA molar ratios of 48:1 for tara- and 178:1 for myrabolan tannins. Tannins bind to the random coil protein gelatin by a two-stage mechanism. The energetics of the first stage show evidence for cooperative binding of tannins to the protein, while the second stage indicates gradual saturation of binding sites as observed for interaction with BSA. The structure and flexibility of the tannins themselves alters the stoichiometry of the interaction, but does not appear to have any significant affect on the overall binding mechanism observed. This study demonstrates the potential of ITC for providing an insight into the nature of protein−tannin interactions.

Technical note: A proposed method to determine the extent of degradation of a feed in the rumen from the degradation profile obtained with the in vitro gas production technique using feces as the inoculum

A method is proposed to determine the extent of degradation in the rumen involving a two-stage mathematical modeling process. In the first stage, a statistical model shifts (or maps) the gas accumulation profile obtained using a fecal inoculum to a ruminal gas profile. Then, a kinetic model determines the extent of degradation in the rumen from the shifted profile. The kinetic model is presented as a generalized mathematical function, allowing any one of a number of alternative equation forms to be selected. This method might allow the gas production technique to become an approach for determining extent of degradation in the rumen, decreasing the need for surgically modified animals while still maintaining the link with the animal. Further research is needed before the proposed methodology can be used as a standard method across a range of feeds.

Probing protein-tannin interactions by isothermal titration microcalorimetry

Isothermal titration microcalorimetry (ITC) has been applied to investigate protein-tannin interactions. Two hydrolyzable tannins were studied, namely myrabolan and tara tannins, for their interaction with bovine serum albumin (BSA), a model globular protein, and gelatin, a model proline-rich random coil protein. Calorimetry data indicate that protein-tannin interaction mechanisms are dependent upon the nature of the protein involved. Tannins apparently interact nonspecifically with the globular BSA, leading to binding saturation at estimated tannin/BSA molar ratios of 48:1 for tara- and 178:1 for myrabolan tannins. Tannins bind to the random coil protein gelatin by a two-stage mechanism. The energetics of the first stage show evidence for cooperative binding of tannins to the protein, while the second stage indicates gradual saturation of binding sites as observed for interaction with BSA. The structure and flexibility of the tannins themselves alters the stoichiometry of the interaction, but does not appear to have any significant affect on the overall binding mechanism observed. This study demonstrates the potential of ITC for providing an insight into the nature of protein-tannin interactions.

Linkage disequilibrium assessment via log-linear modeling of SNP haplotype frequencies

Analyses of high-density single-nucleotide polymorphism (SNP) data, such as genetic mapping and linkage disequilibrium (LD) studies, require phase-known haplotypes to allow for the correlation between tightly linked loci. However, current SNP genotyping technology cannot determine phase, which must be inferred statistically. In this paper, we present a new Bayesian Markov chain Monte Carlo (MCMC) algorithm for population haplotype frequency estimation, particulary in the context of LD assessment. The novel feature of the method is the incorporation of a log-linear prior model for population haplotype frequencies. We present simulations to suggest that 1) the log-linear prior model is more appropriate than the standard coalescent process in the presence of recombination (>0.02cM between adjacent loci), and 2) there is substantial inflation in measures of LD obtained by a "two-stage" approach to the analysis by treating the "best" haplotype configuration as correct, without regard to uncertainty in the recombination process. Genet Epidemiol 25:106-114, 2003. (C) 2003 Wiley-Liss, Inc.

In vitro three-stage continuous fermentation of gluco-oligosaccharides produced by Gluconobacter oxydans NCIMB 4943 by the human colonic microflora

Gluco-oligosaccharides produced by Gluconobacter oxydans NCIMB 4943 from maltodextrin as the source, were evaluated for their fermentability by the human colonic microflora. The selectivity of growth of desirable bacteria in the human colon was studied in a three-stage continuous model of the human large intestine. Populations of bacteria, and their fluctuations as a response to the fermentation, were enumerated using fluorescent in situ hybridization (FISH). The gluco-oligosaccharides resulted in increases in numbers of bifidobacteria and the Lactobacillus/Enterococcus group in all 3 vessels of the system, representing the proximal, transverse and distal colonic areas. The prebiotic indices of the glucooligosaccharides were 2.29, 4.23 and 2.74 in V1, V2 and V3 respectively.

An engineering model of the human colon

The development and performance of a three-stage tubular model of the large human intestine is outlined. Each stage comprises a membrane fermenter where flow of an aqueous polyethylene glycol solution on the outside of the tubular membrane is used to control the removal of water and metabolites (principally short chain fatty acids) from, and thus the pH of, the flowing contents on the fermenter side. The three stage system gave a fair representation of conditions in the human gut. Numbers of the main bacterial groups were consistently higher than in an existing three-chemostat gut model system, suggesting the advantages of the new design in providing an environment for bacterial growth to represent the actual colonic microflora. Concentrations of short chain fatty acids and Ph levels throughout the system were similar to those associated with corresponding sections of the human colon. The model was able to achieve considerable water transfer across the membrane, although the values were not as high as those in the colon. The model thus goes some way towards a realistic simulation of the colon, although it makes no pretence to simulate the pulsating nature of the real flow. The flow conditions in each section are characterized by low Reynolds numbers: mixing due to Taylor dispersion is significant, and the implications of Taylor mixing and biofilm development for the stability, that is the ability to operate without washout, of the system are briefly analysed and discussed. It is concluded that both phenomena are important for stabilizing the model and the human colon.

Probing protein-tannin interactions by isothermal titration microcalorimetry

Isothermal titration microcalorimetry (ITC) has been applied to investigate protein-tannin interactions. Two hydrolyzable tannins were studied, namely myrabolan and tara tannins, for their interaction with bovine serum albumin (BSA), a model globular protein, and gelatin, a model proline-rich random coil protein. Calorimetry data indicate that protein-tannin interaction mechanisms are dependent upon the nature of the protein involved. Tannins apparently interact nonspecifically with the globular BSA, leading to binding saturation at estimated tannin/BSA molar ratios of 48:1 for tara- and 178:1 for myrabolan tannins. Tannins bind to the random coil protein gelatin by a two-stage mechanism. The energetics of the first stage show evidence for cooperative binding of tannins to the protein, while the second stage indicates gradual saturation of binding sites as observed for interaction with BSA. The structure and flexibility of the tannins themselves alters the stoichiometry of the interaction, but does not appear to have any significant affect on the overall binding mechanism observed. This study demonstrates the potential of ITC for providing an insight into the nature of protein-tannin interactions.

State estimation using model order reduction for unstable systems

The problem of state estimation occurs in many applications of fluid flow. For example, to produce a reliable weather forecast it is essential to find the best possible estimate of the true state of the atmosphere. To find this best estimate a nonlinear least squares problem has to be solved subject to dynamical system constraints. Usually this is solved iteratively by an approximate Gauss–Newton method where the underlying discrete linear system is in general unstable. In this paper we propose a new method for deriving low order approximations to the problem based on a recently developed model reduction method for unstable systems. To illustrate the theoretical results, numerical experiments are performed using a two-dimensional Eady model – a simple model of baroclinic instability, which is the dominant mechanism for the growth of storms at mid-latitudes. It is a suitable test model to show the benefit that may be obtained by using model reduction techniques to approximate unstable systems within the state estimation problem.