Determinants of credit default swap spread: evidence from european credit derivatives market

Tämän tutkielman tavoitteena on selvittää, mitkä tekijät vaikuttavat yrityksen ja valtion velkakirjojen väliseen tuottoeroon. Strukturaalisten luottoriskin hinnoittelumallien mukaan luottoriskiin vaikuttavia tekijöitä ovat yrityksen velkaantumisaste, volatiliteetti ja riskitön korkokanta. Tavoitteena on erityisesti tutkia, kuinka hyvin nämä teoreettiset tekijät selittävät tuottoeroja ja onko olemassa muita tärkeitä selittäviä tekijöitä. Luottoriskinvaihtosopimusten noteerauksia käytetään tuottoerojen määrittämiseen. Selittävät tekijät koostuvat sekä yrityskohtaisista että markkinalaajuisista muuttujista. Luottoriskinvaihtosopimusten ja yrityskohtaisten muuttujien data on kerätty yhteensä 50 yritykselle Euroalueen maista. Aineisto koostuu kuukausittaisista havainnoista aikaväliltä 01.01.2003-31.12.2006. Empiiriset tulokset osoittavat, että strukturaalisten mallien mukaiset tekijät selittävät vain pienen osan tuottoeron muutoksista yli ajan. Toisaalta nämä teoreettiset tekijät selittävät huomattavasti paremmin tuottoeron vaihtelua yli poikkileikkauksen. Muut kuin teoreettiset tekijät pystyvät selittämään suuren osan tuottoeron vaihtelusta. Erityisen tärkeäksi tuottoeron selittäväksi tekijäksi osoittautui yleinen riskipreemio velkakirjamarkkinoilla. Tulokset osoittavat, että luottoriskin hinnoittelumalleja on kehitettävä edelleenniin, että ne ottaisivat huomioon yrityskohtaisten tekijöiden lisäksi myös markkinalaajuisia tekijöitä.

Capsid modified replicating adenovirus to selectively target colon cancer

Résumé: Pratiquement tous les cancers du colon contiennent des mutations dans la voie de signalisation de Wnt qui active constitutivement cette voie. Cette activation mène à la stabilisation de la β-catenine. La β-catenin est transportée dans le noyau ou elle active des gènes cible en interagissant avec le facteur de transcription de TCF/LEF. Des adénovirus qui peuvent sélectivement se répliquer dans les cellules tumorales sont les agents qui peuvent permettre la déstruction de la tumeur mais pas le tissu normal. In vitro, les adénovirus avec des sites d'attachement du facteur de transcription TCF dans les promoteurs de l'adénovirus montrent une sélectivité et une activité dans une large sélection de lignées cellulaires de cancer du colon. Au contraire, in vivo, quand les adénovirus modifiés sont injectés dans la circulation, ils sont moins efficaces à cause de leur fixation par le foie et à cause de l'absence d'expression du récepteur du Coxsackie-Adénovirus (CAR). Le but de ma thèse était de modifier la protéine principale de capside de l'adénovirus, fibre, pour augmenter l'infection des tumeurs du cancer du colon. La fibre de l'adénovirus est responsable de l'attachement aux cellules et de l'entrée virale. J'ai inséré un peptide RGD dans la boucle HI de la fibre qui dirige sélectivement le virus aux récepteurs des integrines. Les integrines sont surexprimées par les cellules du cancer du colon et l'endothélium des vesseaux de la tumeur. Le virus re-ciblé, vKH6, a montré une activité accrue dans toutes les lignées cellulaires de cancer du colon, tandis que la sélectivité était maintenue. In vivo, vKH6 était supérieur au virus avec une capside de type sauvage en retardant la croissance de la tumeur. Le virus s'est répliqué plus vite et dispersé graduellement dans la tumeur. Cet effet a été montré par hybridation in situ et par PCR quantitative. Cependant, la monothérapie avec le virus n'a pu retarder la croissance des cellules tumorales SW620 greffées que de 2 semaines, mais à cause des régions non infectées la tumeur n'a pas pu être éliminée. Bien que la combinaison avec les chimiothérapies conventionnelles soit d'intérêt potentiel, presque toutes interfèrent avec la réplication virale. Les drogues antiangiogéniques sont des agents anti-tumoraux efficaces et prometteurs. Ces drogues n'interfèrent pas avec le cycle de vie de l'adénovirus. RAD001 est un dérivé de la rapamycine et il inhibe mTOR, une protéine kinase de la voie de PI3K. RAD001 empêche la croissance des cellules et il a aussi des effets anti-angiogénique et immunosuppressifs. RAD001 in vitro n'affecte pas l'expression des gènes viraux et la production virale. La combinaison de VKH6 et RAD001 in vivo a un effet additif en retardant la croissance de la tumeur. Des nouveaux peptides plus efficaces dans le ciblage de l'adénovirus sont nécessaires pour augmenter l'infection des tumeurs. J'ai créé un système de recombinaison qui permettra la sélection de nouveaux peptides dans le contexte du génome de l'adénovirus. Summary Virtually all colon cancers have mutations in the Wnt signalling pathway which result in the constitutive activation of the pathway. This activation leads to stabilization of β-catenin. β-catenin enters the nucleus and activates its target genes through interaction with the TCF transcription factor. Selectively replicating adenoviruses are promising novel agents that can destroy the tumour but not the surrounding normal tissue. In vitro, adenoviruses with TCF binding sites in the early viral promoters show selectivity and activity in a broad panel of viruses but in vivo they are less effective due to the lack of expression of the Coxsackie-Adenovirus receptor (CAR). The aim of my thesis was to modify the major capsid protein of the adenovirus, fibre, to increase the infection of colon tumours. Fibre of adenovirus is responsible for the binding to cells and for the viral uptake. I inserted an RGD binding peptide into the HI loop of fibre that selectively targets the virus to integrins that are overexpressed on tumour cells and on tumour endothelium. The retargeted virus, vKH6, showed increased activity in all colon cancer cell lines while selectivity was maintained. In vivo, vKH6 is superior to a matched virus with a wild type capsid in delaying tumour growth. vKH6 replicates and gradually spreads within the tumour as shown by in situ hybridization and Q-PCR. The virus alone can delay the growth of SW620 xenografts by 2 weeks but due to uninfected tumour regions the tumour cannot be cured. Although combination with conventional chemotherapeutics is of potential interest, almost all of them interfere with the viral replication. Growing evidence supports that anti-angiogenic drugs are effective and promising anti-tumour agents. These drugs interfere less with the viral life cycle. RAD001 is a rapamycin derivative and it blocks mTOR, a protein kinase in the PI3K pathway. RAD001 inhibits cell growth and has strong anti-angiogenic and immunosuppressive effects. RAD001 in vitro does not affect viral gene expression and viral burst size. In vivo vKH6 and RAD001 have an additive effect in delaying tumour growth, but tumour growth is still not completely inhibited. To further increase tumour infection new tumour specific targeting peptides are needed. I created an adenovirus display library that will allow the selection of targeting peptides. This system may also facilitate the production of fibre modified viruses.

Medical physicists' implication in radiological diagnostic procedures: results after 1 y of experience.

Since January 2008-de facto 2012-medical physics experts (MPEs) are, by law, to be involved in the optimisation process of radiological diagnostic procedures in Switzerland. Computed tomography, fluoroscopy and nuclear medicine imaging units have been assessed for patient exposure and image quality. Large spreads in clinical practice have been observed. For example, the number of scans per abdominal CT examination went from 1 to 9. Fluoroscopy units showed, for the same device settings, dose rate variations up to a factor of 3 to 7. Quantitative image quality for positron emission tomography (PET)/CT examinations varied significantly depending on the local image reconstruction algorithms. Future work will be focused on promoting team cooperation between MPEs, radiologists and radiographers and on implementing task-oriented objective image quality indicators.

EMU sovereign debt market crisis: Fundamentals-based or pure contagion?

We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Grangercausality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis.

EMU sovereign debt market crisis: Fundamentals-based or pure contagion?

We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Grangercausality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis.

Kaasuturbiinin polttoainesuuttimien virtausmittaus

Tässä diplomityössä suunniteltiin ja rakennettiin kaasuturbiinin kaasusuuttimien virtausmittauslaitteisto. Suuttimien epätasainen toiminta kasvattaa kaasuturbiinin poistolämpötilahajontaa. Virtausmittauksien perusteella voidaan määrittää suuttimien efektiivinen virtauspoikkipinta-ala. Suuttimien asennusjärjestys opti-moidaan suuttimien välisten pinta-alaerojen mukaisesti, jolloin polttoainevirtaus polttokammioihin on mahdollisimman tasainen ja poistolämpötilahajonta pienenee. Kaasuturbiinin MS6001 esittelyssä keskityttiin tärkeimpiin komponentteihin sekä polttoainesuuttimien testauksen kannalta oleellisiin osiin ja niiden toimintaan. Teoriaosuudessa tarkasteltiin tilavuusvirran sekä suutinvirtauksen laskennassa käytettäviä yhtälöitä. Mittalaitteiston suunnittelu ja toteutus olivat tämän työn laajin osa-alue. Laitteiston keskeiset osat ovat kuristuselin ja suutintestausosa. Kuristuselintyypiksi valittiin rengaskammiollinen kuristuslaippa, joka suun-niteltiin standardin SFS-EN ISO 5167:2003 mukaisesti. Standardissa annettujen yhtälöiden antamia tuloksia verrattiin numeerisella virtauslaskentamallilla lasket-tuihin tuloksiin. Suutinrunkojen ja -kärkien mittauksien suunnittelussa sovellettiin samaa standardia sekä numeerista virtauslaskentaa optimaalisen sijainnin löytämiseksi paineyhteelle. Mittauksissa syntyvien epävarmuuksien arviointiin kiinnitettiin erityistä huomiota. Kokeellisessa osuudessa mitattiin yhden kunnostetun suuttimen, käytetyn suut-timen ja suutinrungon virtausta. Tuloksien perusteella laskettiin efektiiviset pinta-alat, joita verrattiin turbiinivalmistajan ilmoittamiin pinta-aloihin. Lopuksi arvioitiin mittaustulosten perusteella laitteiston toimivuutta. Virhe-arvioinnin ja mittaustulosten perusteella laadittiin teknisiä parannusehdotuksia suutintestauslaitteiston luotettavan toiminnan varmistamiseksi.

Language extinction and linguistic fronts

Language diversity has become greatly endangered in the past centuries owing to processes of language shift from indigenous languages to other languages that are seen as socially and economically more advantageous, resulting in the death or doom of minority languages. In this paper, we define a new language competition model that can describe the historical decline of minority languages in competition with more advantageous languages. We then implement this non-spatial model as an interaction term in a reactiondiffusion system to model the evolution of the two competing languages. We use the results to estimate the speed at which the more advantageous language spreads geographically, resulting in the shrinkage of the area of dominance of the minority language. We compare the results from our model with the observed retreat in the area of influence of the Welsh language in the UK, obtaining a good agreement between the model and the observed data

Waddlia chondrophila induces systemic infection, organ pathology, and elicits Th1-associated humoral immunity in a murine model of genital infection.

Waddlia chondrophila is a known bovine abortigenic Chlamydia-related bacterium that has been associated with adverse pregnancy outcomes in human. However, there is a lack of knowledge regarding how W. chondrophila infection spreads, its ability to elicit an immune response and induce pathology. A murine model of genital infection was developed to investigate the pathogenicity and immune response associated with a W. chondrophila infection. Genital inoculation of the bacterial agent resulted in a dose-dependent infection that spread to lumbar lymph nodes and successively to spleen and liver. Bacterial-induced pathology peaked on day 14, characterized by leukocyte infiltration (uterine horn, liver, and spleen), necrosis (liver) and extramedullary hematopoiesis (spleen). Immunohistochemistry demonstrated the presence of a large number of W. chondrophila in the spleen on day 14. Robust IgG titers were detected by day 14 and remained high until day 52. IgG isotypes consisted of high IgG2a, moderate IgG3 and no detectable IgG1, indicating a Th1-associated immune response. This study provides the first evidence that W. chondrophila genital infection is capable of inducing a systemic infection that spreads to major organs, induces uterus, spleen, and liver pathology and elicits a Th1-skewed humoral response. This new animal model will help our understanding of the mechanisms related to intracellular bacteria-induced miscarriages, the most frequent complication of pregnancy that affects one in four women.

The role of advanced nursing in lung cancer: A framework based development.

PURPOSE: Advanced Practice Lung Cancer Nurses (APLCN) are well-established in several countries but their role has yet to be established in Switzerland. Developing an innovative nursing role requires a structured approach to guide successful implementation and to meet the overarching goal of improved nursing sensitive patient outcomes. The "Participatory, Evidence-based, Patient-focused process, for guiding the development, implementation, and evaluation of advanced practice nursing" (PEPPA framework) is one approach that was developed in the context of the Canadian health system. The purpose of this article is to describe the development of an APLCN model at a Swiss Academic Medical Center as part of a specialized Thoracic Cancer Center and to evaluate the applicability of PEPPA framework in this process. METHOD: In order to develop and implement the APLCN role, we applied the first seven phases of the PEPPA framework. RESULTS: This article spreads the applicability of the PEPPA framework for an APLCN development. This framework allowed us to i) identify key components of an APLCN model responsive to lung cancer patients' health needs, ii) identify role facilitators and barriers, iii) implement the APLCN role and iv) design a feasibility study of this new role. CONCLUSIONS: The PEPPA framework provides a structured process for implementing novel Advanced Practice Nursing roles in a local context, particularly where such roles are in their infancy. Two key points in the process include assessing patients' health needs and involving key stakeholders.

Sovereigns and banks in the euro area : a tale of two crises

This study attempts to identify and trace inter-linkages between sovereign and banking risk in the euro area. To this end, we use an indicator of banking risk in each country based on the Contingent Claim Analysis literature, and 10-year government yield spreads over Germany as a measure of sovereign risk. We apply a dynamic approach to testing for Granger causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary considerably in both directions over time and within the different EMU countries. Significantly, we find that causal linkages tend to strengthen particularly at the time of major financial crises. The empirical evidence suggests the presence of contagion, mainly from banks to sovereigns.

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries.

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis

We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries.

On performance persistence in emerging markets: Empirical evidence from Asia-Pacific

The purpose of this study is to investigate the performance persistence of international mutual funds, employing a data sample which includes 2,168 European mutual funds investing in Asia-Pacific region; Japan excluded. Also, a number of performance measures is tested and compared, and especially, this study tries to find out whether iterative Bayesian procedure can be used to provide more accurate predictions on future performance. Finally, this study examines whether the cross-section of mutual fund returns can be explained with simple accounting variables and market risk. To exclude the effect of the Asian currency crisis in 1997, the studied time period includes years from 1999 to 2007. The overall results showed significant performance persistence for repeating winners when performance was tested with contingency tables. Also the annualized alpha spreads between the top and bottom portfolios were more than ten percent at their highest. Nevertheless, the results do not confirm the improved prediction accuracy of the Bayesian alphas.

Organizaciones saludables en tiempo de crisis

Peer-reviewed

EU-15 sovereign governments’ cost of borrowing after seven years of monetary union

Yield spreads over 10-year German government securities of the EU-15 countries converged dramatically in the seven years after the beginning of Monetary Integration. In this paper, we investigate the relative influence of systemic and idiosyncratic risk factors on their behaviour. Our conclusions suggest that in EMU-countries the relative importance of domestic risk factors (both credit and liquidity risk factors) is higher than that of international factors, which appear to play a secondary but significant role in non-EMU countries.