Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Correlation study between motion analysis of laparoscopic instruments and a suturing checklist

Purpose: To compare assessment capabilities of a motion analysis tool against a validated checklist during laparoscopic training.

Functional-structural plant modelling using a combination of architectural analysis, L-systems and a canonical model of function

This paper presents a new method for producing a functional-structural plant model that simulates response to different growth conditions, yet does not require detailed knowledge of underlying physiology. The example used to present this method is the modelling of the mountain birch tree. This new functional-structural modelling approach is based on linking an L-system representation of the dynamic structure of the plant with a canonical mathematical model of plant function. Growth indicated by the canonical model is allocated to the structural model according to probabilistic growth rules, such as rules for the placement and length of new shoots, which were derived from an analysis of architectural data. The main advantage of the approach is that it is relatively simple compared to the prevalent process-based functional-structural plant models and does not require a detailed understanding of underlying physiological processes, yet it is able to capture important aspects of plant function and adaptability, unlike simple empirical models. This approach, combining canonical modelling, architectural analysis and L-systems, thus fills the important role of providing an intermediate level of abstraction between the two extremes of deeply mechanistic process-based modelling and purely empirical modelling. We also investigated the relative importance of various aspects of this integrated modelling approach by analysing the sensitivity of the standard birch model to a number of variations in its parameters, functions and algorithms. The results show that using light as the sole factor determining the structural location of new growth gives satisfactory results. Including the influence of additional regulating factors made little difference to global characteristics of the emergent architecture. Changing the form of the probability functions and using alternative methods for choosing the sites of new growth also had little effect. (c) 2004 Elsevier B.V. All rights reserved.

Drying process of microcrystalline cellulose studied by attenuated total reflection IR spectroscopy with two-dimensional correlation spectroscopy and principal component analysis

Molecular interactions between microcrystalline cellulose (MCC) and water were investigated by attenuated total reflection infrared (ATR/IR) spectroscopy. Moisture-content-dependent IR spectra during a drying process of wet MCC were measured. In order to distinguish overlapping O–H stretching bands arising from both cellulose and water, principal component analysis (PCA) and, generalized two-dimensional correlation spectroscopy (2DCOS) and second derivative analysis were applied to the obtained spectra. Four typical drying stages were clearly separated by PCA, and spectral variations in each stage were analyzed by 2DCOS. In the drying time range of 0–41 min, a decrease in the broad band around 3390 cm−1 was observed, indicating that bulk water was evaporated. In the drying time range of 49–195 min, decreases in the bands at 3412, 3344 and 3286 cm−1 assigned to the O6H6cdots, three dots, centeredO3′ interchain hydrogen bonds (H-bonds), the O3H3cdots, three dots, centeredO5 intrachain H-bonds and the H-bonds in Iβ phase in MCC, respectively, were observed. The result of the second derivative analysis suggests that water molecules mainly interact with the O6H6cdots, three dots, centeredO3′ interchain H-bonds. Thus, the H-bonding network in MCC is stabilized by H-bonds between OH groups constructing O6H6cdots, three dots, centeredO3′ interchain H-bonds and water, and the removal of the water molecules induces changes in the H-bonding network in MCC.

Data analysis methods in optometry. Part 5: correlation

1. Pearson's correlation coefficient only tests whether the data fit a linear model. With large numbers of observations, quite small values of r become significant and the X variable may only account for a minute proportion of the variance in Y. Hence, the value of r squared should always be calculated and included in a discussion of the significance of r. 2. The use of r assumes that a bivariate normal distribution is present and this assumption should be examined prior to the study. If Pearson's r is not appropriate, then a non-parametric correlation coefficient such as Spearman's rs may be used. 3. A significant correlation should not be interpreted as indicating causation especially in observational studies in which there is a high probability that the two variables are correlated because of their mutual correlations with other variables. 4. In studies of measurement error, there are problems in using r as a test of reliability and the ‘intra-class correlation coefficient’ should be used as an alternative. A correlation test provides only limited information as to the relationship between two variables. Fitting a regression line to the data using the method known as ‘least square’ provides much more information and the methods of regression and their application in optometry will be discussed in the next article.

A preliminary analysis of the correlation of food-web characteristics with hydrology and nutrient gradients in the southern Everglades

We estimated trophic position and carbon source for three consumers (Florida gar, Lepisosteus platyrhincus; eastern mosquitofish, Gambusia holbrooki; and riverine grass shrimp, Palaemonetes paludosus) from 20 sites representing gradients of productivity and hydrological disturbance in the southern Florida Everglades, U.S.A. We characterized gross primary productivity at each site using light/dark bottle incubation and stem density of emergent vascular plants. We also documented nutrient availability as total phosphorus (TP) in floc and periphyton, and the density of small fishes. Hydrological disturbance was characterized as the time since a site was last dried and the average number of days per year the sites were inundated for the previous 10 years. Food-web attributes were estimated in both the wet and dry seasons by analysis of δ15N (trophic position) and δ13C (food-web carbon source) from 702 samples of aquatic consumers. An index of carbon source was derived from a two-member mixing model with Seminole ramshorn snails (Planorbella duryi) as a basal grazing consumer and scuds (amphipods Hyallela azteca) as a basal detritivore. Snails yielded carbon isotopic values similar to green algae and diatoms, while carbon values of scuds were similar to bulk periphyton and floc; carbon isotopic values of cyanobacteria were enriched in C13compared to all consumers examined. A carbon source similar to scuds dominated at all but one study site, and though the relative contribution of scud-like and snail-like carbon sources was variable, there was no evidence that these contributions were a function of abiotic factors or season. Gar consistently displayed the highest estimated trophic position of the consumers studied, with mosquitofish feeding at a slightly lower level, and grass shrimp feeding at the lowest level. Trophic position was not correlated with any nutrient or productivity parameter, but did increase for grass shrimp and mosquitofish as the time following droughts increased. Trophic position of Florida gar was positively correlated with emergent plant stem density.

Analysis of fractured terrain using remote sensing and geographic information systems : establishing a correlation between fracture network properties and vegetation

This research analyzed the spatial relationship between a mega-scale fracture network and the occurrence of vegetation in an arid region. High-resolution aerial photographs of Arches National Park, Utah were used for digital image processing. Four sets of large-scale joints were digitized from the rectified color photograph in order to characterize the geospatial properties of the fracture network with the aid of a Geographic Information System. An unsupervised landcover classification was carried out to identify the spatial distribution of vegetation on the fractured outcrop. Results of this study confirm that the WNW-ESE alignment of vegetation is dominantly controlled by the spatial distribution of the systematic joint set, which in turn parallels the regional fold axis. This research provides insight into the spatial heterogeneity inherent to fracture networks, as well as the effects of jointing on the distribution of surface vegetation in desert environments.

TEST-ANALYSIS MODEL CORRELATION AND CALIBRATION OF A MULTI-COMPONENT PLASTIC PART

The goal of this project is to learn the necessary steps to create a finite element model, which can accurately predict the dynamic response of a Kohler Engines Heavy Duty Air Cleaner (HDAC). This air cleaner is composed of three glass reinforced plastic components and two air filters. Several uncertainties arose in the finite element (FE) model due to the HDAC’s component material properties and assembly conditions. To help understand and mitigate these uncertainties, analytical and experimental modal models were created concurrently to perform a model correlation and calibration. Over the course of the project simple and practical methods were found for future FE model creation. Similarly, an experimental method for the optimal acquisition of experimental modal data was arrived upon. After the model correlation and calibration was performed a validation experiment was used to confirm the FE models predictive capabilities.

The correlation of pore morphology, interconnectivity and physical properties of 3D ceramic scaffolds with bone ingrowth

In the design of tissue engineering scaffolds, design parameters including pore size, shape and interconnectivity, mechanical properties and transport properties should be optimized to maximize successful inducement of bone ingrowth. In this paper we describe a 3D micro-CT and pore partitioning study to derive pore scale parameters including pore radius distribution, accessible radius, throat radius, and connectivity over the pore space of the tissue engineered constructs. These pore scale descriptors are correlated to bone ingrowth into the scaffolds. Quantitative and visual comparisons show a strong correlation between the local accessible pore radius and bone ingrowth; for well connected samples a cutoff accessible pore radius of approximately 100 microM is observed for ingrowth. The elastic properties of different types of scaffolds are simulated and can be described by standard cellular solids theory: (E/E(0))=(rho/rho(s))(n). Hydraulic conductance and diffusive properties are calculated; results are consistent with the concept of a threshold conductance for bone ingrowth. Simple simulations of local flow velocity and local shear stress show no correlation to in vivo bone ingrowth patterns. These results demonstrate a potential for 3D imaging and analysis to define relevant pore scale morphological and physical properties within scaffolds and to provide evidence for correlations between pore scale descriptors, physical properties and bone ingrowth.

Characterising anomalous events using change point correlation on unsolicited network traffic

Monitoring unused or dark IP addresses offers opportunities to extract useful information about both on-going and new attack patterns. In recent years, different techniques have been used to analyze such traffic including sequential analysis where a change in traffic behavior, for example change in mean, is used as an indication of malicious activity. Change points themselves say little about detected change; further data processing is necessary for the extraction of useful information and to identify the exact cause of the detected change which is limited due to the size and nature of observed traffic. In this paper, we address the problem of analyzing a large volume of such traffic by correlating change points identified in different traffic parameters. The significance of the proposed technique is two-fold. Firstly, automatic extraction of information related to change points by correlating change points detected across multiple traffic parameters. Secondly, validation of the detected change point by the simultaneous presence of another change point in a different parameter. Using a real network trace collected from unused IP addresses, we demonstrate that the proposed technique enables us to not only validate the change point but also extract useful information about the causes of change points.

Multidisciplinary students on Property core units : comparative analysis of introductory and advanced units

The composition of many professional services firms in the Urban Development area has moved away from a discipline specific ‘silo’ structure to a more multidisciplinary environment. The benefits of multidisciplinarity have been seen in industry by providing synergies across many of the related disciplines. Similarly, the Queensland University of Technology, Bachelor of Urban Development degree has sought to broaden the knowledge base of students and achieve a greater level of synergy between related urban development disciplines through the introduction of generic and multidisciplinary units. This study aims to evaluate the effectiveness of delivering core property units in a multidisciplinary context. A comparative analysis has been undertaken between core property units and more generic units offered in a multidisciplinary context from introductory, intermediate and advanced years within the property program. This analysis was based on data collected from course performance surveys, student performance results, a student focus group and was informed by a reflective process from the student perspective and lecturer/ tutor feedback. The study showed that there are many benefits associated with multidisciplinary unit offerings across the QUT Urban Development program particularly in the more generic units. However, these units require a greater degree of management. It is more difficult to organise, teach and coordinate multidisciplinary student cohorts due to a difference in prior knowledge and experience between each of the discipline groups. In addition, the interaction between lecturers/ tutors and the students frequently becomes more limited. A perception exists within the student body that this more limited face to face contact with academic staff is not valuable which may be exacerbated by the quality of complimentary online teaching materials. For many academics, non-attendance at lectures was coupled with an increase in email communication. From the limited data collected during the study there appears to be no clear correlation between large multidisciplinary student classes and student academic performance or satisfaction.

Phylogenetic analysis of polyomaviruses based on their complete genomes

Perez-Losada et al. [1] analyzed 72 complete genomes corresponding to nine mammalian (67 strains) and 2 avian (5 strains) polyomavirus species using maximum likelihood and Bayesian methods of phylogenetic inference. Because some data of 2 genomes in their work are now not available in GenBank, in this work, we analyze the phylogenetic relationship of the remaining 70 complete genomes corresponding to nine mammalian (65 strains) and two avian (5 strains) polyomavirus species using a dynamical language model approach developed by our group (Yu et al., [26]). This distance method does not require sequence alignment for deriving species phylogeny based on overall similarities of the complete genomes. Our best tree separates the bird polyomaviruses (avian polyomaviruses and goose hemorrhagic polymaviruses) from the mammalian polyomaviruses, which supports the idea of splitting the genus into two subgenera. Such a split is consistent with the different viral life strategies of each group. In the mammalian polyomavirus subgenera, mouse polyomaviruses (MPV), simian viruses 40 (SV40), BK viruses (BKV) and JC viruses (JCV) are grouped as different branches as expected. The topology of our best tree is quite similar to that of the tree constructed by Perez-Losada et al.

Polybrominated diphenyl ether (PBDE) concentrations decrease with age : analysis of pooled human blood serum in the Australian population

Introduction Polybrominated diphenyl ethers (PBDEs) are considered to be a cost effective and efficient way to reduce the possibility of product ignition and inhibit the spread of fire, thereby limiting harm caused by fires. PBDEs are incorporated into a wide variety of manufactured products and are now considered an ubiquitous contaminant found worldwide in biological and environmental samples . In comparison to “traditional” persistent organic pollutants (POPs), the exposure modes of PBDEs in humans are less well defined, although dietary sources, inhalation (air/particulate matter) and dust ingestion have been reported 2-4. Limited investigations of population specific factors such as age or gender and PBDE concentrations report: no conclusive correlation by age in adults ; higher concentrations in children ; similar concentrations in maternal and cord blood ; and no gender differences . After preliminary findings of higher PBDE concentrations in children than in adults in Australia11 we sought to investigate at what age the PBDE concentrations peaked in an effort to focus exposure studies. This investigation involved the collection of blood samples from young age groups and the development of a simple model to predict PBDE concentrations by age in Australia.

Addressing issues in sparseness, ecological bias and formulation of the adjacency matrix in Bayesian spatio-temporal analysis of disease counts

The main objective of this PhD was to further develop Bayesian spatio-temporal models (specifically the Conditional Autoregressive (CAR) class of models), for the analysis of sparse disease outcomes such as birth defects. The motivation for the thesis arose from problems encountered when analyzing a large birth defect registry in New South Wales. The specific components and related research objectives of the thesis were developed from gaps in the literature on current formulations of the CAR model, and health service planning requirements. Data from a large probabilistically-linked database from 1990 to 2004, consisting of fields from two separate registries: the Birth Defect Registry (BDR) and Midwives Data Collection (MDC) were used in the analyses in this thesis. The main objective was split into smaller goals. The first goal was to determine how the specification of the neighbourhood weight matrix will affect the smoothing properties of the CAR model, and this is the focus of chapter 6. Secondly, I hoped to evaluate the usefulness of incorporating a zero-inflated Poisson (ZIP) component as well as a shared-component model in terms of modeling a sparse outcome, and this is carried out in chapter 7. The third goal was to identify optimal sampling and sample size schemes designed to select individual level data for a hybrid ecological spatial model, and this is done in chapter 8. Finally, I wanted to put together the earlier improvements to the CAR model, and along with demographic projections, provide forecasts for birth defects at the SLA level. Chapter 9 describes how this is done. For the first objective, I examined a series of neighbourhood weight matrices, and showed how smoothing the relative risk estimates according to similarity by an important covariate (i.e. maternal age) helped improve the model’s ability to recover the underlying risk, as compared to the traditional adjacency (specifically the Queen) method of applying weights. Next, to address the sparseness and excess zeros commonly encountered in the analysis of rare outcomes such as birth defects, I compared a few models, including an extension of the usual Poisson model to encompass excess zeros in the data. This was achieved via a mixture model, which also encompassed the shared component model to improve on the estimation of sparse counts through borrowing strength across a shared component (e.g. latent risk factor/s) with the referent outcome (caesarean section was used in this example). Using the Deviance Information Criteria (DIC), I showed how the proposed model performed better than the usual models, but only when both outcomes shared a strong spatial correlation. The next objective involved identifying the optimal sampling and sample size strategy for incorporating individual-level data with areal covariates in a hybrid study design. I performed extensive simulation studies, evaluating thirteen different sampling schemes along with variations in sample size. This was done in the context of an ecological regression model that incorporated spatial correlation in the outcomes, as well as accommodating both individual and areal measures of covariates. Using the Average Mean Squared Error (AMSE), I showed how a simple random sample of 20% of the SLAs, followed by selecting all cases in the SLAs chosen, along with an equal number of controls, provided the lowest AMSE. The final objective involved combining the improved spatio-temporal CAR model with population (i.e. women) forecasts, to provide 30-year annual estimates of birth defects at the Statistical Local Area (SLA) level in New South Wales, Australia. The projections were illustrated using sixteen different SLAs, representing the various areal measures of socio-economic status and remoteness. A sensitivity analysis of the assumptions used in the projection was also undertaken. By the end of the thesis, I will show how challenges in the spatial analysis of rare diseases such as birth defects can be addressed, by specifically formulating the neighbourhood weight matrix to smooth according to a key covariate (i.e. maternal age), incorporating a ZIP component to model excess zeros in outcomes and borrowing strength from a referent outcome (i.e. caesarean counts). An efficient strategy to sample individual-level data and sample size considerations for rare disease will also be presented. Finally, projections in birth defect categories at the SLA level will be made.

Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. Applying the model to the stock and bond futures data, we discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also applied to a selection of world stock indices, and we find evidence for an increasing degree of integration in the capital markets.