The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies.

US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk

This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is then used to provide implicit prices. The model prices are then compared with observed market prices of credit default swaps to determine if swap rates adequately reflect market risks. The findings of the analysis illustrate the importance of liquidity in the valuation process. Moreover, market liquidity, a measure of investors. willingness to commit resources in the credit default swap (CDS) market, was also found to improve the valuation of investors. autonomous credit risk. Thus a failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined as the fractional credit risk which does not vary with changes in market risk and liquidity conditions.

Technology Creation, Diffusion, and Growth Cycles

Standard macroeconomic models that assume an exogenous stochastic process for multifactor productivity offer the interpretation that recessions are the result of ''bad news'' (technological regress) and expansions are the result of ''good news'' (technological advancement). The view taken here is that both expansions and recessions are the result of ''good news'' in the sense that in both cases, aggregate production possibilities have increased. Recessions can be thought of as the transition from one technological frontier to the next.

A Simple Model of Credit Rationing with Information Externalities

Credit-rationing model similar to Stiglitz and Weiss [1981] is combined with the information externality model of Lang and Nakamura [1993] to examine the properties of mortgage markets characterized by both adverse selection and information externalities. In a credit-rationing model, additional information increases lenders ability to distinguish risks, which leads to increased supply of credit. According to Lang and Nakamura, larger supply of credit leads to additional market activities and therefore, greater information. The combination of these two propositions leads to a general equilibrium model. This paper describes properties of this general equilibrium model. The paper provides another sufficient condition in which credit rationing falls with information. In that, external information improves the accuracy of equity-risk assessments of properties, which reduces credit rationing. Contrary to intuition, this increased accuracy raises the mortgage interest rate. This allows clarifying the trade offs associated with reduced credit rationing and the quality of applicant pool.

Endogenous Growth in the Presence of Informal Credit Markets: A Comparative Analysis Between Credit Rationing and Self-Revelation Regimes

This paper examines whether the presence of informal credit markets reduces the cost of credit rationing in terms of growth. In a dynamic general equilibrium framework, we assume that firms are heterogenous with different degrees of risk and households invest in human capital development. With the help of Indian household level data we show that the informal market reduces the cost of rationing by increasing the growth rate by 0.7 percent. This higher growth rate, in the presence of an informal sector, is due to the ability of the informal market to separate the high risk from the low risk firms thanks to better information. But even after such improvement we do not get the optimum outcome. The findings, based on our second question, suggest that the revelation of firms' type, based on incentive compatible pricing, can lead to almost 2 percent higher growth rate as compared to the credit rationing regime with informal sector.

Change in permeation rates of acids and bases through limited use protective fabrics after repeated wash cycles

The primary objective of this study was to determine if there is a change in permeation rates when limited use protective fabrics undergo repeated exposure and wash cycles. The null hypothesis of this study was that no substantial change in permeation takes place after the test material is subjected to repeated contact with a strong acid or base and has undergone repeated wash cycles. ^ The materials tested were DuPont Tychem® CPF 3 and CPF 4 fabrics. The challenge chemicals in this study were ninety-eight percent sulfuric acid and fifty percent sodium hydroxide. Permeation testing was conducted utilizing ASTM designation F739-99a Standard Test Method for Resistance of Protective Clothing Materials to Permeation by Liquids or Gases Under Conditions of Continuous Contact. ^ In this study, no change in permeation rates of either challenge chemical was detected for CPF 3 or CPF 4 limited use protective fabrics after repeated exposure and wash cycles. Certain unexposed areas of the fabric suffered structural degradation unrelated to exposure and which may be due to multiple washings.^

The Role of K63-linked Ubiquitination Cycles in Akt Kinase Activation

Akt (also known as protein kinase B) serves a central regulator in PI3K/Akt signaling pathways to regulate numerous physiological functions including cell proliferation, survival and metabolism. Akt activation requires the binding of Akt to phospholipid PIP3 on the plasma membrane and subsequent phosphorylation of Akt by its kinases. Growth factor-mediated membrane recruitment of Akt is a crucial step for Akt activation. However, the mechanism of Akt membrane translocation is unclear. Protein ubiquitination is a significant posttranslational modification that controls many biological functions such as protein trafficking and signaling activation. Therefore, we hypothesize that ubiquitination may be involved in Akt signaling activation. We have demonstrated that Akt could be conjugated with non-proteolytic K63-linked ubiquitination by TRAF6 ubiquitin E3 ligase. This modification on Akt was required for membrane recruitment, phosphorylation and activation of Akt in response to growth factor stimulation. The human cancer-associated Akt E17K mutant exhibited an increase in K63-linked ubiquitination, which contributes to the enrichment of membrane recruitment and phosphorylation of Akt. Thus, we conclude that K63-linked ubiquitination is a critical step for oncogenic Akt activation and also involved in human cancer development. Notably, the process of protein ubiquitination can be reversed by deubiquitinating enzymes (DUBs), which play a critical role to terminate signaling activation induced by ubiquitination. To further investigate how ubiquitination cycles regulate Akt activation, we have identified that CYLD as a DUB for Akt, and CYLD inhibited growth factor-induced ubiquitination and activation of Akt. Under serum-depletion condition, CYLD interacts with Akt and keep Akt under inactive state by directly removing K63-linked ubiquitination of Akt. CYLD disassociates with Akt upon growth factor stimulation, thereby allowing E3 ligases to induce ubiquitination and activation of Akt. We also demonstrated that CYLD deficiency promoted cancer cell proliferation, survival, glucose metabolism and human prostate cancer development. Therefore, we conclude that CYLD plays a critical role for negatively regulating Akt signaling activation through deubiquitination of Akt. In summary, this study delineated the important mechanism of cycles of ubiquitination and deubiquitination of Akt in regulating membrane translocation and activation of Akt, and TRAF6 and CYLD as central switches for these processes.

Seasonal cycles of monthly means of ground truth wind speed of METAR station GVAC and of area-averaged TMI wind speed at 37 GHz for the Cape Verde Island Sal

In the present paper ground truth and remotely sensed datasets were used for the investigation and quantification of the impact of Saharan dust on microwave propagation, the verification of theoretical results, and the validation of wind speeds determined by satellite microwave sensors. The influence of atmospheric dust was verified in two different study areas by investigations of single dust storms, wind statistics, wind speed scatter plots divided by the strength of Saharan dust storms, and wind speed differences in dependence of microwave frequencies and dust component of aerosol optical depth. An increase of the deviations of satellite wind speeds to ground truth wind speeds with higher microwave frequencies, with stronger dust storms, and with higher amount of coarse dust aerosols in coastal regions was obtained. Strong Saharan dust storms in coastal areas caused mean relative errors in the determination of wind speed by satellite microwave sensors of 16.3% at 10.7 GHz and of 20.3% at 37 GHz. The mean relative errors were smaller in the open sea area with 3.7% at 10.7 GHz and with 11.9% at 37 GHz.

Ocean temperature response to idealized Gleissberg and de Vries solar cycles in a comprehensive climate model

The ~90-year Gleissberg and ~200-year de Vries cycles have been identified as two distinctive quasi-periodic components of Holocene solar activity. Evidence exists for the impact of such multi-decadal to centennial-scale variability in total solar irradiance (TSI) on climate, but concerning the ocean, this evidence is mainly restricted to the surface response. Here we use a comprehensive global climate model to study the impact of idealized solar forcing, representing the Gleissberg and de Vries cycles, on global ocean potential temperature at different depth levels, after a recent proxy record indicates a signal of TSI anomalies in the northeastern Atlantic at mid-depth. Potential impacts of TSI anomalies on deeper oceanic levels are climatically relevant due to their possible effect on ocean circulation by altering water mass characteristics. Simulated solar anomalies are shown to penetrate the ocean down to at least deep-water levels. Despite the fact that the two forcing periods differ only by a factor of ~2, the spatial pattern of response is significantly distinctive between the experiments, suggesting different mechanisms for solar signal propagation. These are related to advection by North Atlantic Deep Water flow (200-year forcing), and barotropic adjustment in the South Atlantic in response to a latitudinal shift of the westerly wind belt (90-year forcing).

(Table 2) Stratigraphic position of midpoints of reddish and beige layers of lithologic cycles in the Loulja-A Section and their astronomical ages after tuning to the ETP and Summer Insolation Curves of the La2004 solution

An integrated high-resolution stratigraphy and orbital tuning is presented for the Loulja sections located in the Bou Regreg area on the Atlantic side of Morocco. The sections constitute the upward continuation of the upper Messinian Ain el Beida section and contain a well-exposed, continuous record of the interval straddling the Miocene-Pliocene (M-P) boundary. The older Loulja-A section, which covers the interval from ~5.59 to 5.12 Ma, reveals a dominantly precession-controlled color cyclicity that allows for a straightforward orbital tuning of the boundary interval and for detailed cyclostratigraphic correlations to the Mediterranean; the high-resolution and high-quality benthic isotope record allows us to trace the dominantly obliquity-controlled glacial history. Our results reveal that the M-P boundary coincides with a minor, partly precession-related shift to lighter "interglacial" values in d18O. This shift and hence the M-P boundary may not correlate with isotope stage TG5, as previously thought, but with an extra (weak) obliquity-controlled cycle between TG7 and TG5. Consequently, the M-P boundary and basal Pliocene flooding of the Mediterranean following the Messinian salinity crisis are not associated with a major deglaciation and glacio-eustatic sea level rise, indicating that other factors, such as tectonics, must have played a fundamental role. On the other hand, the onset of the Upper Evaporites in the Mediterranean marked by hyposaline conditions coincides with the major deglaciation step between marine isotope stage TG12 and TG11, suggesting that the associated sea level rise is at least partly responsible for the apparent onset of intermittently restricted marine conditions following the main desiccation phase. Finally, the Loulja-A section would represent an excellent auxiliary boundary stratotype for the M-P boundary as formally defined at the base of the Trubi marls in the Eraclea Minoa section on Sicily.