Confidence sets for asset correlations in portfolio credit risk

Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

The mapping of the local contributions of Fermi and Coulomb correlation into intracule and extracule density distributions

The contributions of the correlated and uncorrelated components of the electron-pair density to atomic and molecular intracule I(r) and extracule E(R) densities and its Laplacian functions ∇2I(r) and ∇2E(R) are analyzed at the Hartree-Fock (HF) and configuration interaction (CI) levels of theory. The topologies of the uncorrelated components of these functions can be rationalized in terms of the corresponding one-electron densities. In contrast, by analyzing the correlated components of I(r) and E(R), namely, IC(r) and EC(R), the effect of electron Fermi and Coulomb correlation can be assessed at the HF and CI levels of theory. Moreover, the contribution of Coulomb correlation can be isolated by means of difference maps between IC(r) and EC(R) distributions calculated at the two levels of theory. As application examples, the He, Ne, and Ar atomic series, the C2-2, N2, O2+2 molecular series, and the C2H4 molecule have been investigated. For these atoms and molecules, it is found that Fermi correlation accounts for the main characteristics of IC(r) and EC(R), with Coulomb correlation increasing slightly the locality of these functions at the CI level of theory. Furthermore, IC(r), EC(R), and the associated Laplacian functions, reveal the short-ranged nature and high isotropy of Fermi and Coulomb correlation in atoms and molecules

The relevance of the Laplacian of intracule and extracule density distributions for analyzing electron-electron interactions in molecules

A topological analysis of intracule and extracule densities and their Laplacians computed within the Hartree-Fock approximation is presented. The analysis of the density distributions reveals that among all possible electron-electron interactions in atoms and between atoms in molecules only very few are located rigorously as local maxima. In contrast, they are clearly identified as local minima in the topology of Laplacian maps. The conceptually different interpretation of intracule and extracule maps is also discussed in detail. An application example to the C2H2, C2H4, and C2H6 series of molecules is presented

Erratum: "The aromatic fluctuation index (FLU): a new aromaticity index based on electron delocalization" [J. Chem Phys. 122, 014109 (2005)]

An erratum to the article "The aromatic fluctuation index (FLU): a new aromaticity index based on electron delocalization", published in The Journal Chemistry of Physics, 2005, v.122, art. no.014109. Values FLU have been corrected in the last column of Table I because they were not correct

The aromatic fluctuation index (FLU): a new aromaticity index based on electron delocalization

In this work, the aromatic fluctuation index (FLU) that describes the fluctuation of electronic charge between adjacent atoms in a given ring is introduced as a new aromaticity measure. This new electronic criterion of aromaticity is based on the fact that aromaticity is related to the cyclic delocalized circulation of π electrons. It is defined not only considering the amount of electron sharing between contiguous atoms, which should be substantial in aromatic molecules, but also taking into account the similarity of electron sharing between adjacent atoms. For a series of rings in 15 planar polycyclic aromatic hydrocarbons, we have found that, in general, FLU is strongly correlated with other widely used indicators of local aromaticity, such as the harmonic-oscillator model of aromaticity, the nucleus independent chemical shift, and the para-delocalization index (PDI). In contrast to PDI, the FLU index can be applied to study the aromaticity of rings with any number of members and it can be used to analyze both the local and global aromatic character of rings and molecules

Electron localization function at the correlated level

The electron localization function (ELF) has been proven so far a valuable tool to determine the location of electron pairs. Because of that, the ELF has been widely used to understand the nature of the chemical bonding and to discuss the mechanism of chemical reactions. Up to now, most applications of the ELF have been performed with monodeterminantal methods and only few attempts to calculate this function for correlated wave functions have been carried out. Here, a formulation of ELF valid for mono- and multiconfigurational wave functions is given and compared with previous recently reported approaches. The method described does not require the use of the homogeneous electron gas to define the ELF, at variance with the ELF definition given by Becke. The effect of the electron correlation in the ELF, introduced by means of configuration interaction with singles and doubles calculations, is discussed in the light of the results derived from a set of atomic and molecular systems

A chemical Hamiltonian approach study of the basis set superposition error changes on electron densities and one- and two-center energy components

A comparision of the local effects of the basis set superposition error (BSSE) on the electron densities and energy components of three representative H-bonded complexes was carried out. The electron densities were obtained with Hartee-Fock and density functional theory versions of the chemical Hamiltonian approach (CHA) methodology. It was shown that the effects of the BSSE were common for all complexes studied. The electron density difference maps and the chemical energy component analysis (CECA) analysis confirmed that the local effects of the BSSE were different when diffuse functions were present in the calculations

Effect of basis set superposition error on the electron density of molecular complexes

The effect of basis set superposition error (BSSE) on molecular complexes is analyzed. The BSSE causes artificial delocalizations which modify the first order electron density. The mechanism of this effect is assessed for the hydrogen fluoride dimer with several basis sets. The BSSE-corrected first-order electron density is obtained using the chemical Hamiltonian approach versions of the Roothaan and Kohn-Sham equations. The corrected densities are compared to uncorrected densities based on the charge density critical points. Contour difference maps between BSSE-corrected and uncorrected densities on the molecular plane are also plotted to gain insight into the effects of BSSE correction on the electron density

A quantum molecular similarity analysis of changes in molecular electron density caused by basis set flotation and electric field application

Quantum molecular similarity (QMS) techniques are used to assess the response of the electron density of various small molecules to application of a static, uniform electric field. Likewise, QMS is used to analyze the changes in electron density generated by the process of floating a basis set. The results obtained show an interrelation between the floating process, the optimum geometry, and the presence of an external field. Cases involving the Le Chatelier principle are discussed, and an insight on the changes of bond critical point properties, self-similarity values and density differences is performed

Basis set and electron correlation effects on initial convergence for vibrational nonlinear optical properties of conjugated organic molecules

The level of ab initio theory which is necessary to compute reliable values for the static and dynamic (hyper)polarizabilities of three medium size π-conjugated organic nonlinear optical (NLO) molecules is investigated. With the employment of field-induced coordinates in combination with a finite field procedure, the calculations were made possible. It is stated that to obtain reasonable values for the various individual contributions to the (hyper)polarizability, it is necessary to include electron correlation. Based on the results, the convergence of the usual perturbation treatment for vibrational anharmonicity was examined

Estimates of electronic coupling for excess electron transfer in DNA

Electronic coupling Vda is one of the key parameters that determine the rate of charge transfer through DNA. While there have been several computational studies of Vda for hole transfer, estimates of electronic couplings for excess electron transfer (ET) in DNA remain unavailable. In the paper, an efficient strategy is established for calculating the ET matrix elements between base pairs in a π stack. Two approaches are considered. First, we employ the diabatic-state (DS) method in which donor and acceptor are represented with radical anions of the canonical base pairs adenine-thymine (AT) and guanine-cytosine (GC). In this approach, similar values of Vda are obtained with the standard 6-31 G* and extended 6-31++ G* basis sets. Second, the electronic couplings are derived from lowest unoccupied molecular orbitals (LUMOs) of neutral systems by using the generalized Mulliken-Hush or fragment charge methods. Because the radical-anion states of AT and GC are well reproduced by LUMOs of the neutral base pairs calculated without diffuse functions, the estimated values of Vda are in good agreement with the couplings obtained for radical-anion states using the DS method. However, when the calculation of a neutral stack is carried out with diffuse functions, LUMOs of the system exhibit the dipole-bound character and cannot be used for estimating electronic couplings. Our calculations suggest that the ET matrix elements Vda for models containing intrastrand thymine and cytosine bases are essentially larger than the couplings in complexes with interstrand pyrimidine bases. The matrix elements for excess electron transfer are found to be considerably smaller than the corresponding values for hole transfer and to be very responsive to structural changes in a DNA stack

Funcions densitat i semblança molecular quàntica: nous desenvolupaments i aplicacions

La present tesi, tot i que emmarcada dins de la teoria de les Mesures Semblança Molecular Quántica (MQSM), es deriva en tres àmbits clarament definits: - La creació de Contorns Moleculars de IsoDensitat Electrònica (MIDCOs, de l'anglès Molecular IsoDensity COntours) a partir de densitats electròniques ajustades. - El desenvolupament d'un mètode de sobreposició molecular, alternatiu a la regla de la màxima semblança. - Relacions Quantitatives Estructura-Activitat (QSAR, de l'anglès Quantitative Structure-Activity Relationships). L'objectiu en el camp dels MIDCOs és l'aplicació de funcions densitat ajustades, ideades inicialment per a abaratir els càlculs de MQSM, per a l'obtenció de MIDCOs. Així, es realitza un estudi gràfic comparatiu entre diferents funcions densitat ajustades a diferents bases amb densitats obtingudes de càlculs duts a terme a nivells ab initio. D'aquesta manera, l'analogia visual entre les funcions ajustades i les ab initio obtinguda en el ventall de representacions de densitat obtingudes, i juntament amb els valors de les mesures de semblança obtinguts prèviament, totalment comparables, fonamenta l'ús d'aquestes funcions ajustades. Més enllà del propòsit inicial, es van realitzar dos estudis complementaris a la simple representació de densitats, i són l'anàlisi de curvatura i l'extensió a macromolècules. La primera observació correspon a comprovar no només la semblança dels MIDCOs, sinó la coherència del seu comportament a nivell de curvatura, podent-se així observar punts d'inflexió en la representació de densitats i veure gràficament aquelles zones on la densitat és còncava o convexa. Aquest primer estudi revela que tant les densitats ajustades com les calculades a nivell ab initio es comporten de manera totalment anàloga. En la segona part d'aquest treball es va poder estendre el mètode a molècules més grans, de fins uns 2500 àtoms. Finalment, s'aplica part de la filosofia del MEDLA. Sabent que la densitat electrònica decau ràpidament al allunyar-se dels nuclis, el càlcul d'aquesta pot ser obviat a distàncies grans d'aquests. D'aquesta manera es va proposar particionar l'espai, i calcular tan sols les funcions ajustades de cada àtom tan sols en una regió petita, envoltant l'àtom en qüestió. Duent a terme aquest procés, es disminueix el temps de càlcul i el procés esdevé lineal amb nombre d'àtoms presents en la molècula tractada. En el tema dedicat a la sobreposició molecular es tracta la creació d'un algorisme, així com la seva implementació en forma de programa, batejat Topo-Geometrical Superposition Algorithm (TGSA), d'un mètode que proporcionés aquells alineaments que coincideixen amb la intuïció química. El resultat és un programa informàtic, codificat en Fortran 90, el qual alinea les molècules per parelles considerant tan sols nombres i distàncies atòmiques. La total absència de paràmetres teòrics permet desenvolupar un mètode de sobreposició molecular general, que proporcioni una sobreposició intuïtiva, i també de forma rellevant, de manera ràpida i amb poca intervenció de l'usuari. L'ús màxim del TGSA s'ha dedicat a calcular semblances per al seu ús posterior en QSAR, les quals majoritàriament no corresponen al valor que s'obtindria d'emprar la regla de la màxima semblança, sobretot si hi ha àtoms pesats en joc. Finalment, en l'últim tema, dedicat a la Semblança Quàntica en el marc del QSAR, es tracten tres aspectes diferents: - Ús de matrius de semblança. Aquí intervé l'anomenada matriu de semblança, calculada a partir de les semblances per parelles d'entre un conjunt de molècules. Aquesta matriu és emprada posteriorment, degudament tractada, com a font de descriptors moleculars per a estudis QSAR. Dins d'aquest àmbit s'han fet diversos estudis de correlació d'interès farmacològic, toxicològic, així com de diverses propietats físiques. - Aplicació de l'energia d'interacció electró-electró, assimilat com a una forma d'autosemblança. Aquesta modesta contribució consisteix breument en prendre el valor d'aquesta magnitud, i per analogia amb la notació de l'autosemblança molecular quàntica, assimilar-la com a cas particular de d'aquesta mesura. Aquesta energia d'interacció s'obté fàcilment a partir de programari mecanoquàntic, i esdevé ideal per a fer un primer estudi preliminar de correlació, on s'utilitza aquesta magnitud com a únic descriptor. - Càlcul d'autosemblances, on la densitat ha estat modificada per a augmentar el paper d'un substituent. Treballs previs amb densitats de fragments, tot i donar molt bons resultats, manquen de cert rigor conceptual en aïllar un fragment, suposadament responsable de l'activitat molecular, de la totalitat de l'estructura molecular, tot i que les densitats associades a aquest fragment ja difereixen degut a pertànyer a esquelets amb diferents substitucions. Un procediment per a omplir aquest buit que deixa la simple separació del fragment, considerant així la totalitat de la molècula (calcular-ne l'autosemblança), però evitant al mateix temps valors d'autosemblança no desitjats provocats per àtoms pesats, és l'ús de densitats de Forats de fermi, els quals es troben definits al voltant del fragment d'interès. Aquest procediment modifica la densitat de manera que es troba majoritàriament concentrada a la regió d'interès, però alhora permet obtenir una funció densitat, la qual es comporta matemàticament igual que la densitat electrònica regular, podent-se així incorporar dins del marc de la semblança molecular. Les autosemblances calculades amb aquesta metodologia han portat a bones correlacions amb àcids aromàtics substituïts, podent així donar una explicació al seu comportament. Des d'un altre punt de vista, també s'han fet contribucions conceptuals. S'ha implementat una nova mesura de semblança, la d'energia cinètica, la qual consisteix en prendre la recentment desenvolupada funció densitat d'energia cinètica, la qual al comportar-se matemàticament igual a les densitats electròniques regulars, s'ha incorporat en el marc de la semblança. A partir d'aquesta mesura s'han obtingut models QSAR satisfactoris per diferents conjunts moleculars. Dins de l'aspecte del tractament de les matrius de semblança s'ha implementat l'anomenada transformació estocàstica com a alternativa a l'ús de l'índex Carbó. Aquesta transformació de la matriu de semblança permet obtenir una nova matriu no simètrica, la qual pot ser posteriorment tractada per a construir models QSAR.

Significance of cross correlations in the stress relaxation of polymer melts

According to linear response theory, all relaxation functions in the linear regime can be obtained using time correlation functions calculated under equilibrium. In this paper, we demonstrate that the cross correlations make a significant contribution to the partial stress relaxation functions in polymer melts. We present two illustrations in the context of polymer rheology using (1) Brownian dynamics simulations of a single chain model for entangled polymers, the slip-spring model, and (2) molecular dynamics simulations of a multichain model. Using the single chain model, we analyze the contribution of the confining potential to the stress relaxation and the plateau modulus. Although the idea is illustrated with a particular model, it applies to any single chain model that uses a potential to confine the motion of the chains. This leads us to question some of the assumptions behind the tube theory, especially the meaning of the entanglement molecular weight obtained from the plateau modulus. To shed some light on this issue, we study the contribution of the nonbonded excluded-volume interactions to the stress relaxation using the multichain model. The proportionality of the bonded/nonbonded contributions to the total stress relaxation (after a density dependent "colloidal" relaxation time) provides some insight into the success of the tube theory in spite of using questionable assumptions. The proportionality indicates that the shape of the relaxation spectrum can indeed be reproduced using the tube theory and the problem is reduced to that of finding the correct prefactor. (c) 2007 American Institute of Physics