De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Methods and resources for climate impacts research: achieving synergy

The prediction of climate variability and change requires the use of a range of simulation models. Multiple climate model simulations are needed to sample the inherent uncertainties in seasonal to centennial prediction. Because climate models are computationally expensive, there is a tradeoff between complexity, spatial resolution, simulation length, and ensemble size. The methods used to assess climate impacts are examined in the context of this trade-off. An emphasis on complexity allows simulation of coupled mechanisms, such as the carbon cycle and feedbacks between agricultural land management and climate. In addition to improving skill, greater spatial resolution increases relevance to regional planning. Greater ensemble size improves the sampling of probabilities. Research from major international projects is used to show the importance of synergistic research efforts. The primary climate impact examined is crop yield, although many of the issues discussed are relevant to hydrology and health modeling. Methods used to bridge the scale gap between climate and crop models are reviewed. Recent advances include large-area crop modeling, quantification of uncertainty in crop yield, and fully integrated crop–climate modeling. The implications of trends in computer power, including supercomputers, are also discussed.

Quantitative and qualitative differences in morphological traits revealed between diploid Fragaria species

Background and Aims: The aims of this investigation were to highlight the qualitative and quantitative diversity apparent between nine diploid Fragaria species and produce interspecific populations segregating for a large number of morphological characters suitable for quantitative trait loci analysis. Methods: A qualitative comparison of eight described diploid Fragaria species was performed and measurements were taken of 23 morphological traits from 19 accessions including eight described species and one previously undescribed species. A principal components analysis was performed on 14 mathematically unrelated traits from these accessions, which partitioned the species accessions into distinct morphological groups. Interspecific crosses were performed with accessions of species that displayed significant quantitative divergence and, from these, populations that should segregate for a range of quantitative traits were raised. Key Results: Significant differences between species were observed for all 23 morphological traits quantified and three distinct groups of species accessions were observed after the principal components analysis. Interspecific crosses were performed between these groups, and F2 and backcross populations were raised that should segregate for a range of morphological characters. In addition, the study highlighted a number of distinctive morphological characters in many of the species studied. Conclusions: Diploid Fragaria species are morphologically diverse, yet remain highly interfertile, making the group an ideal model for the study of the genetic basis of phenotypic differences between species through map-based investigation using quantitative trait loci. The segregating interspecific populations raised will be ideal for such investigations and could also provide insights into the nature and extent of genome evolution within this group.

A mathematical model, implementation and study of a swarm system

The work reported in this paper is motivated towards the development of a mathematical model for swarm systems based on macroscopic primitives. A pattern formation and transformation model is proposed. The pattern transformation model comprises two general methods for pattern transformation, namely a macroscopic transformation method and a mathematical transformation method. The problem of transformation is formally expressed and four special cases of transformation are considered. Simulations to confirm the feasibility of the proposed models and transformation methods are presented. Comparison between the two transformation methods is also reported.

Modeling data with structural and temporal correlation using lower level and higher level multilevel models

Novel imaging techniques are playing an increasingly important role in drug development, providing insight into the mechanism of action of new chemical entities. The data sets obtained by these methods can be large with complex inter-relationships, but the most appropriate statistical analysis for handling this data is often uncertain - precisely because of the exploratory nature of the way the data are collected. We present an example from a clinical trial using magnetic resonance imaging to assess changes in atherosclerotic plaques following treatment with a tool compound with established clinical benefit. We compared two specific approaches to handle the correlations due to physical location and repeated measurements: two-level and four-level multilevel models. The two methods identified similar structural variables, but higher level multilevel models had the advantage of explaining a greater proportion of variation, and the modeling assumptions appeared to be better satisfied.

Modeling ocean primary production: sensitivity to spectral resolution of attenuation and absorption of light

Modeling the vertical penetration of photosynthetically active radiation (PAR) through the ocean, and its utilization by phytoplankton, is fundamental to simulating marine primary production. The variation of attenuation and absorption of light with wavelength suggests that photosynthesis should be modeled at high spectral resolution, but this is computationally expensive. To model primary production in global 3d models, a balance between computer time and accuracy is necessary. We investigate the effects of varying the spectral resolution of the underwater light field and the photosynthetic efficiency of phytoplankton (α∗), on primary production using a 1d coupled ecosystem ocean turbulence model. The model is applied at three sites in the Atlantic Ocean (CIS (∼60°N), PAP (∼50°N) and ESTOC (∼30°N)) to include the effect of different meteorological forcing and parameter sets. We also investigate three different methods for modeling α∗ – as a fixed constant, varying with both wavelength and chlorophyll concentration [Bricaud, A., Morel, A., Babin, M., Allali, K., Claustre, H., 1998. Variations of light absorption by suspended particles with chlorophyll a concentration in oceanic (case 1) waters. Analysis and implications for bio-optical models. J. Geophys. Res. 103, 31033–31044], and using a non-spectral parameterization [Anderson, T.R., 1993. A spectrally averaged model of light penetration and photosynthesis. Limnol. Oceanogr. 38, 1403–1419]. After selecting the appropriate ecosystem parameters for each of the three sites we vary the spectral resolution of light and α∗ from 1 to 61 wavebands and study the results in conjunction with the three different α∗ estimation methods. The results show modeled estimates of ocean primary productivity are highly sensitive to the degree of spectral resolution and α∗. For accurate simulations of primary production and chlorophyll distribution we recommend a spectral resolution of at least six wavebands if α∗ is a function of wavelength and chlorophyll, and three wavebands if α∗ is a fixed value.

Consumers' attitudes, trust and willingness to pay for food information

Market failure can be corrected using different regulatory approaches ranging from high to low intervention. Recently, classic regulations have been criticized as costly and economically irrational and thus policy makers are giving more consideration to soft regulatory techniques such as information remedies. However, despite the plethora of food information conveyed by different media there appears to be a lack of studies exploring how consumers evaluate this information and how trust towards publishers influence their choices for food information. In order to fill such a gap, this study investigates questions related to topics which are more relevant to consumers, who should disseminate trustful food information, and how communication should be conveyed and segmented. Primary data were collected both through qualitative (in depth interviews and focus groups) and quantitative research (web and mail surveys). Attitudes, willingness to pay for food information and trust towards public and private sources conveying information through a new food magazine were assessed using both multivariate statistical methods and econometric analysis. The study shows that consumer attitudes towards food information topics can be summarized along three cognitive-affective dimensions: the agro-food system, enjoyment and wellness. Information related to health risks caused by nutritional disorders and food safety issues caused by bacteria and chemical substances is the most important for about 90% of respondents. Food information related to regulations and traditions is also considered important for more than two thirds of respondents, while information about food production and processing techniques, life style and food fads are considered less important by the majority of respondents. Trust towards food information disseminated by public bodies is higher than that observed for private bodies. This behavior directly affects willingness to pay (WTP) for food information provided by public and private publishers when markets are shocked by a food safety incident. WTP for consumer association (€ 1.80) and the European Food Safety Authority (€ 1.30) are higher than WTP for the independent and food industry publishers which cluster around zero euro. Furthermore, trust towards the type of publisher also plays a key role in food information market segmentation together with socio-demographic and economic variables such as gender, age, presence of children and income. These findings invite policy makers to reflect on the possibility of using information remedies conveyed using trusted sources of information to specific segments of consumers as an interesting soft alternative to the classic way of regulating modern food markets.

Modeling migratory grazing of zooplankton on toxic and non-toxic phytoplankton

Migratory grazing of zooplankton between non-toxic phytoplankton (NTP) and toxic phytoplankton (TPP) is a realistic phenomena unexplored so far. The present article is a first step in this direction. A mathematical model of NTP–TPP-zooplankton with constant and variable zooplankton migration is proposed and analyzed. The asymptotic dynamics of the model system around the biologically feasible equilibria is explored through local stability analysis. The dynamics of the proposed system is explored and displayed for different combination of migratory parameters and toxin inhibition parameters. Our analysis suggests that the migratory grazing of zooplankton has a significant role in determining the dynamic stability and oscillation of phytoplankton zooplankton systems.

Intercomparison of methods of coupling between convection and large-scale circulation: 1. Comparison over uniform surface conditions

As part of an international intercomparison project, a set of single column models (SCMs) and cloud-resolving models (CRMs) are run under the weak temperature gradient (WTG) method and the damped gravity wave (DGW) method. For each model, the implementation of the WTG or DGW method involves a simulated column which is coupled to a reference state defined with profiles obtained from the same model in radiative-convective equilibrium. The simulated column has the same surface conditions as the reference state and is initialized with profiles from the reference state. We performed systematic comparison of the behavior of different models under a consistent implementation of the WTG method and the DGW method and systematic comparison of the WTG and DGW methods in models with different physics and numerics. CRMs and SCMs produce a variety of behaviors under both WTG and DGW methods. Some of the models reproduce the reference state while others sustain a large-scale circulation which results in either substantially lower or higher precipitation compared to the value of the reference state. CRMs show a fairly linear relationship between precipitation and circulation strength. SCMs display a wider range of behaviors than CRMs. Some SCMs under the WTG method produce zero precipitation. Within an individual SCM, a DGW simulation and a corresponding WTG simulation can produce different signed circulation. When initialized with a dry troposphere, DGW simulations always result in a precipitating equilibrium state. The greatest sensitivities to the initial moisture conditions occur for multiple stable equilibria in some WTG simulations, corresponding to either a dry equilibrium state when initialized as dry or a precipitating equilibrium state when initialized as moist. Multiple equilibria are seen in more WTG simulations for higher SST. In some models, the existence of multiple equilibria is sensitive to some parameters in the WTG calculations.

Intercomparison of methods of coupling between convection and large-scale circulation. 2: Comparison over non-uniform surface conditions

As part of an international intercomparison project, the weak temperature gradient (WTG) and damped gravity wave (DGW) methods are used to parameterize large-scale dynamics in a set of cloud-resolving models (CRMs) and single column models (SCMs). The WTG or DGW method is implemented using a configuration that couples a model to a reference state defined with profiles obtained from the same model in radiative-convective equilibrium. We investigated the sensitivity of each model to changes in SST, given a fixed reference state. We performed a systematic comparison of the WTG and DGW methods in different models, and a systematic comparison of the behavior of those models using the WTG method and the DGW method. The sensitivity to the SST depends on both the large-scale parameterization method and the choice of the cloud model. In general, SCMs display a wider range of behaviors than CRMs. All CRMs using either the WTG or DGW method show an increase of precipitation with SST, while SCMs show sensitivities which are not always monotonic. CRMs using either the WTG or DGW method show a similar relationship between mean precipitation rate and column-relative humidity, while SCMs exhibit a much wider range of behaviors. DGW simulations produce large-scale velocity profiles which are smoother and less top-heavy compared to those produced by the WTG simulations. These large-scale parameterization methods provide a useful tool to identify the impact of parameterization differences on model behavior in the presence of two-way feedback between convection and the large-scale circulation.

Review of the literature on credit risk modeling : development of the past 10 years

This paper traces the developments of credit risk modeling in the past 10 years. Our work can be divided into two parts: selecting articles and summarizing results. On the one hand, by constructing an ordered logit model on historical Journal of Economic Literature (JEL) codes of articles about credit risk modeling, we sort out articles which are the most related to our topic. The result indicates that the JEL codes have become the standard to classify researches in credit risk modeling. On the other hand, comparing with the classical review Altman and Saunders(1998), we observe some important changes of research methods of credit risk. The main finding is that current focuses on credit risk modeling have moved from static individual-level models to dynamic portfolio models.

Transfer function-noise modeling and spatial interpolation to evaluate the risk of extreme (shallow) water-table levels in the Brazilian Cerrados

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Purification, characterization, crystallization and theoretical molecular modeling of gyroxin fraction from Crotalus durissus terrificus venom (Laurenti, 1768)

The venom of Crotalus durissus terrificus snakes presents various substances, including a serine protease with thrombin-like activity, called gyroxin, that clots plasmatic fibrinogen and promote the fibrin formation. The aim of this study was to purify and structurally characterize the gyroxin enzyme from Crotalus durissus terrificus venom. For isolation and purification, the following methods were employed: gel filtration on Sephadex G75 column and affinity chromatography on benzamidine Sepharose 6B; 12% SDS-PAGE under reducing conditions; N-terminal sequence analysis; cDNA cloning and expression through RT-PCR and crystallization tests. Theoretical molecular modeling was performed using bioinformatics tools based on comparative analysis of other serine proteases deposited in the NCBI (National Center for Biotechnology Information) database. Protein N-terminal sequencing produced a single chain with a molecular mass of similar to 30 kDa while its full-length cDNA had 714 bp which encoded a mature protein containing 238 amino acids. Crystals were obtained from the solutions 2 and 5 of the Crystal Screen Kit (R), two and one respectively, that reveal the protein constitution of the sample. For multiple sequence alignments of gyroxin-like B2.1 with six other serine proteases obtained from snake venoms (SVSPs), the preservation of cysteine residues and their main structural elements (alpha-helices, beta-barrel and loops) was indicated. The localization of the catalytic triad in His57, Asp102 and Ser198 as well as S1 and S2 specific activity sites in Thr193 and Gli215 amino acids was pointed. The area of recognition and cleavage of fibrinogen in SVSPs for modeling gyroxin B2.1 sequence was located at Arg60, Arg72, Gln75, Arg81, Arg82, Lis85, Glu86 and Lis87 residues. Theoretical modeling of gyroxin fraction generated a classical structure consisting of two alpha-helices, two beta-barrel structures, five disulfide bridges and loops in positions 37, 60, 70, 99, 148, 174 and 218. These results provided information about the functional structure of gyroxin allowing its application in the design of new drugs.