Monetary policy, default risk and the exchange rate

In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of changes in interest rates on the exchange rate in Brazil using data from the dates surrounding the monetary policy committee meetings and the methodology of identification through heteroskedasticity. Indeed, we find that unexpected increases in interest rates tend to lead the Brazilian currency to depreciate. It follows that granting more independence to a central bank that focus solely on inflation is not always a free-lunch.

Legal enforcement, collateral and heterogeneity of project financing contracts

This paper employs mechanism design to study the effects of imperfect legal enforcement on optimal scale of projects, borrowing interest rates and the probability of default. The analysis departs from an environment that combines asymmetric information about cash flows and limited commitment by borrowers. Incentive for repayment comes from the possibility of liquidation of projects by a court, but courts are costly and may fail to liquidate. The value of liquidated assets can be used as collateral: it is transferred to the lender when courts liquidate. Examples reveal that costly use of courts may be optimal, which contrasts with results from most limited commitment models, where punishments are just threats, never applied in optimal arrangements. I show that when voluntary liquidation is allowed, both asymmetric information and uncertainty about courts are necessary conditions for legal punishments ever to be applied. Numerical solutions for several parametric specifications are presented, allowing for heterogeneity on initial wealth and variability of project returns. In all such solutions, wealthier individuals borrow with lower interest rates and run higher scale enterprises, which is consistent with stylized facts. The reliability of courts has a consistently positive effect on the scale of projects. However its effect on interest rates is subtler and depends essentially on the degree of curvature of the production function. Numerical results also show that the possibility of collateral seizing allows comovements of the interest rates and the probability of repayment.

Prediction and probability of neonatal outcome in isolated congenital diaphragmatic hernia using multiple ultrasound parameters

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Theoretical estimates of consumable food and probability of acquiring food in larvae of Chrysomya putoria (Diptera: Calliphoridae)

An indirect estimate of consumable food and probability of acquiring food in a blowfly species, Chrysomya putoria, is presented. This alternative procedure combines three distinct models to estimate consumable food in the context of the exploitative competition experienced by immature individuals in blowfly populations. The relevant parameters are derived from data for pupal weight and survival and estimates of density-independent larval mortality in twenty different larval densities. As part of this procedure, the probability of acquiring food per unit of time and the time taken to exhaust the food supply are also calculated. The procedure employed here may be valuable for estimations in insects whose immature stages develop inside the food substrate, where it is difficult to partial out confounding effects such as separation of faeces. This procedure also has the advantage of taking into account the population dynamics of immatures living under crowded conditions, which are particularly characteristic of blowflies and other insects as well.

Survival probability of large rapidity gaps in a QCD model with a dynamical infrared mass scale

We compute the survival probability {vertical bar S vertical bar(2)} of large rapidity gaps (LRG) in a QCD based eikonal model with a dynamical gluon mass, where this dynamical infrared mass scale represents the onset of nonperturbative contributions to the diffractive hadron-hadron scattering. Since rapidity gaps can occur in the case of Higgs boson production via fusion of electroweak bosons, we focus on WW -> H fusion processes and show that the resulting {vertical bar S vertical bar(2)} decreases with the increase of the energy of the incoming hadrons; in line with the available experimental data for LRG. We obtain {vertical bar S vertical bar(2)} = 27.6 +/- 7.8% (18.2 +/- 17.0%) at Tevatron (CERN-LHC) energy for a dynamical gluon mass m(g) = 400 MeV. (c) 2006 Elsevier B.V. All rights reserved.

Genetic evaluation of the probability of pregnancy at 14 months for Nellore heifers

To estimate the heritability for the probability that yearling heifers would become pregnant, we analyzed the records of 11,487 Nellore animals that participated in breeding seasons at three farms in the Brazilian states of São Paulo and Mato Grosso do Sul. All heifers were exposed to a bull at the age of about 14 mo. The probability of pregnancy was analyzed as a categorical trait, with a value of 1 (success) assigned to heifers that were diagnosed pregnant by rectal palpation about 60 d after the end of the breeding season of 90 d and a value of 0 (failure) assigned to those that were not pregnant at that time. The estimate of heritability, obtained by Method 9, was 0.57 with standard error of 0.01. The EPD was predicted using a maximum a posteriori threshold method and was expressed as deviations from 50% probability. The range in EPD was -24.50 to 24.55%, with a mean of 0.78% and a SD of 7.46%. We conclude that EPD for probability of pregnancy can be used to select heifers with a higher probability of being fertile. However, it is mainly recommended for the selection of bulls for the production of precocious daughters because the accuracy of prediction is higher for bulls, depending on their number of daughters.

Probability of remission of juvenile idiopathic arthritis following treatment with steroid joint injection

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Low mass enhanced probability of pion in hadronic matter due to its Landau cut contributions

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Use of the probability of stone formation (PSF) score to assess stone forming risk and treatment response in a cohort of Brazilian stone formers

Introduction: The aim was to confirm that PSF (probability of stone formation) changed appropriately following medical therapy on recurrent stone formers.Materials and Methods: Data were collected on 26 Brazilian stone-formers. A baseline 24-hour urine collection was performed prior to treatment. Details of the medical treatment initiated for stone-disease were recorded. A PSF calculation was performed on the 24 hour urine sample using the 7 urinary parameters required: voided volume, oxalate, calcium, urate, pH, citrate and magnesium. A repeat 24-hour urine sample was performed for PSF calculation after treatment. Comparison was made between the PSF scores before and during treatment.Results: At baseline, 20 of the 26 patients (77%) had a high PSF score (> 0.5). Of the 26 patients, 17 (65%) showed an overall reduction in their PSF profiles with a medical treatment regimen. Eleven patients (42%) changed from a high risk (PSF > 0.5) to a low risk (PSF < 0.5) and 6 patients reduced their risk score but did not change risk category. Six (23%) patients remained in a high risk category (> 0.5) during both assessments.Conclusions: The PSF score reduced following medical treatment in the majority of patients in this cohort.

Prediction and probability of neonatal outcome in isolated congenital diaphragmatic hernia using multiple ultrasound parameters

Objectives To evaluate the accuracy and probabilities of different fetal ultrasound parameters to predict neonatal outcome in isolated congenital diaphragmatic hernia (CDH). Methods Between January 2004 and December 2010, we evaluated prospectively 108 fetuses with isolated CDH (82 left-sided and 26 right-sided). The following parameters were evaluated: gestational age at diagnosis, side of the diaphragmatic defect, presence of polyhydramnios, presence of liver herniated into the fetal thorax (liver-up), lung-to-head ratio (LHR) and observed/expected LHR (o/e-LHR), observed/expected contralateral and total fetal lung volume (o/e-ContFLV and o/e-TotFLV) ratios, ultrasonographic fetal lung volume/fetal weight ratio (US-FLW), observed/expected contralateral and main pulmonary artery diameter (o/e-ContPA and o/eMPA) ratios and the contralateral vascularization index (Cont-VI). The outcomes were neonatal death and severe postnatal pulmonary arterial hypertension (PAH). Results Neonatal mortality was 64.8% (70/108). Severe PAH was diagnosed in 68 (63.0%) cases, of which 63 died neonatally (92.6%) (P < 0.001). Gestational age at diagnosis, side of the defect and polyhydramnios were not associated with poor outcome (P > 0.05). LHR, o/eLHR, liver-up, o/e-ContFLV, o/e-TotFLV, US-FLW, o/eContPA, o/e-MPA and Cont-VI were associated with both neonatal death and severe postnatal PAH (P < 0.001). Receiver-operating characteristics curves indicated that measuring total lung volumes (o/e-TotFLV and US-FLW) was more accurate than was considering only the contralateral lung sizes (LHR, o/e-LHR and o/e-ContFLV; P < 0.05), and Cont-VI was the most accurate ultrasound parameter to predict neonatal death and severe PAH (P < 0.001). Conclusions Evaluating total lung volumes is more accurate than is measuring only the contralateral lung size. Evaluating pulmonary vascularization (Cont-VI) is the most accurate predictor of neonatal outcome. Estimating the probability of survival and severe PAH allows classification of cases according to prognosis. Copyright (C) 2011 ISUOG. Published by John Wiley & Sons, Ltd.

Frequency of human platelet antigens in oncohematological patients with thrombocytopenia and the probability of incompatibility to platelet transfusions

OBJECTIVE: The objective of this study was to evaluate the frequencies of human platelet antigens in oncohematological patients with thrombocytopenia and to analyze the probability of their incompatibility with platelet transfusions. METHODS: Platelet antigen genotyping was performed by sequence-specific primer polymerase chain reaction (SSP-PCR) for the HPA-1a, HPA-1b, HPA-2a, HPA-2b, HPA-3a, HPA-3b, HPA-4a, HPA-4b, HPA-5a, HPA-5b; HPA-15a, HPA-15b alleles in 150 patients of the Hematology Service of the Hospital das Clínicas (FMUSP). RESULTS: The allele frequencies found were: HPA-1a: 0.837; HPA-1b: 0.163; HPA-2a: 0.830; HPA-2b: 0.170; HPA-3a: 0.700; HPA-3b: 0.300; HPA-4a: 1; HPA-4b: 0; HPA-5a: 0.887; HPA-5b: 0.113; HPA-15a: 0.457 and HPA-15b: 0.543. CONCLUSIONS: Data from the present study showed that the A allele is more common in the population than the B allele, except for HPA-15. This suggests that patients homozygous for the B allele are more predisposed to present alloimmunization and refractoriness to platelet transfusions by immune causes. Platelet genotyping could be of great value in the diagnosis of alloimmune thrombocytopenia and to provide compatible platelet concentrates for these patients.

On The Timing of Default Losses: When and Why?

At the light of what happened in 2010 and 2011, a lot of European countries founded themselves in a difficult position where all the credit rating agencies were downgrading debt states. Problem of solvency and guarantees on the states' bond were perceived as too risky for a Monetary Union as Europe is. Fear of a contagion from Greece as well was threatening the other countries as Italy, Spain, Portugal and Ireland; while Germany and France asked for a division between risky and riskless bond in order to feel more safe. Our paper gets inspiration by Roch and Uhlig (2011), it refers to the Argentinian case examined by Arellano (2008) and examine possible interventions as monetization or bailout as proposed by Cole and Kehoe (2000). We propose a model in which a state defaults and cannot repay a fraction of the old bond; but contrary to Roch and Uhlig that where considering a one-time cost of default we consider default as an accumulation of losses, perceived as unpaid fractions of the old debts. Our contributions to literature is that default immediately imply that economy faces a bad period and, accumulating losses, government will be worse-off. We studied a function for this accumulation of debt period by period, in order to get an idea of the magnitude of this waste of resources that economy will face when experiences a default. Our thesis is that bailouts just postpone the day of reckoning (Roch, Uhlig); so it's better to default before accumulate a lot of debts. What Europe need now is the introduction of new reforms in a controlled default where the Eurozone will be saved in its whole integrity and a state could fail with the future promise of a resurrection. As experience show us, governments are not interested into reducing debts since there are ECB interventions. That clearly create a distortion between countries in the same monetary union, giving to the states just an illusion about their future debtor position.

Econometrics of default risk

This thesis is the result of a project aimed at the study of a crucial topic in finance: default risk, whose measurement and modelling have achieved increasing relevance in recent years. We investigate the main issues related to the default phenomenon, under both a methodological and empirical perspective. The topics of default predictability and correlation are treated with a constant attention to the modelling solutions and reviewing critically the literature. From the methodological point of view, our analysis results in the proposal of a new class of models, called Poisson Autoregression with Exogenous Covariates (PARX). The PARX models, including both autoregressive end exogenous components, are able to capture the dynamics of default count time series, characterized by persistence of shocks and slowly decaying autocorrelation. Application of different PARX models to the monthly default counts of US industrial firms in the period 1982-2011 allows an empirical insight of the defaults dynamics and supports the identification of the main default predictors at an aggregate level.

A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.