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.

Observationes ad cognitionem mei et aliorum: Januar - Juli 1735

Handschrift

Die Juden im Königreich Sizilien unter Normannen und Staufern

von R. Straus

Characterization of the cholesterol 7$\alpha$-hydroxylase promoter in hypercholesterolemia -resistant rabbits

Our laboratory has developed and partially characterized a strain of New Zealand white rabbits that are resistant to the hypercholesterolemia which typically occurs in normal rabbits when fed a cholesterol-enriched diet. This phenotype is most likely attributed to an increase in bile acid excretion by hypercholesterolemia-resistant (CRT) rabbits as a result of elevated enzyme activity of cholesterol 7$\alpha$-hydroxylase (C7$\alpha$H), the rate-limiting enzyme in bile acid synthesis. Northern analysis revealed that CRT rabbits, in comparison to normal rabbits, have a 7-fold greater steady-state C7$\alpha$H mRNA levels irrespective of dietary regimen. The C7$\alpha$H gene in both phenotypes was determined to be a single copy gene. The hypothesis was that the elevated C7$\alpha$H mRNA levels in CRT rabbits, in comparison to normal animals, was due to an increase in the transcription rate of the C7$\alpha$H gene as a result of a mutation in a cis-acting element and/or a trans-acting factor within the hepatocyte. To isolate the C7$\alpha$H gene from both normal and CRT rabbits, genomic libraries were prepared from both phenotypes into $\lambda$GEM12 vectors using conventional techniques. Three CRT and one normal phage clones that contained the C7$\alpha$H gene were identified by screening the library with a series of probes located within different exons of the C7$\alpha$H cDNA. Sequencing analysis confirmed that approximately 1100 bp of the C7$\alpha$H 5'-flanking region from both normal and CRT phenotypes was identical. The increase in C7$\alpha$H mRNA levels was not attributed to a cis-acting mutation within this region. Liver nuclear extracts were prepared from normal and CRT rabbits maintained either on a basal or 0.25% cholesterol-enriched diet and incubated with several radiolabeled DNA fragments from the C7$\alpha$H gene. A 37 basepair region, located between nucleotides $-$452 to $-$416 was identified that had altered binding patterns between normal and CRT rabbits as a function of diet. Two additional regions, $-$747 to $-$575 and $-$580 to $-$442, produced banding patterns which were identical, irrespective of phenotype or diet. In conclusion, these studies suggested that the increase in C7$\alpha$H mRNA in CRT rabbits was due to differences in binding of a cholesterol-responsive transcription factor to the C7$\alpha$H promoter. ^

Effects of Seed Treatments and a Soil-applied Nematicide on Corn Yields and Nematode Population Densities

Plant-parasitic nematodes are microscopic worms that feed on plants. Almost every nematode that feeds on corn is capable of feeding on many other plants. These nematode parasites are thought to be native to most Iowa soils and to have fed upon native plants before corn was grown as a cultivated crop. Population densities (numbers) of most species of plant-parasitic nematodes that feed on corn have to increase to damaging levels (called damage thresholds) before yield loss occurs.

(Table 2) B/Ca, d11B, Mg/Ca and d18O record for ODP Hole 130-806B samples

We present the first continuous records from 0 to 5 Ma (in 0.333 m.y. integrated time steps) of paired boron/calcium (B/Ca) ratios and boron isotopes (d11B) in the planktonic foraminifera Globogerinoides sacculifer (without sacc) from a site in the western equatorial Pacific Ocean (Ocean Drilling Program Site 806). These measurements, the first made in conjunction with calcification temperature (magnesium/calcium ratios) and average shell mass measurements, indicate that pH is not the sole environmental variable controlling B in planktonic foraminiferal calcite. Our data are consistent with calcification temperature exerting a primary control on B concentration and isotopic composition in planktonic foraminifera. If so, calcification temperature must be taken into account if pH for past oceans and atmospheric pCO2 are to be estimated from B isotope measurements in foraminiferal calcite. Doing so will substantially increase the uncertainty of pH estimates. Although this work was designed as a temporal study, its results define new aspects of calibrating the d11B paleo-pH tracer.

(Table 1) Remanence properties of samples from ODP Core 126-792A-7H

A combination of high sedimentation rates and high concentrations of magnetic grains in cores from Ocean Drilling Program Leg 126 resulted in the recovery of detailed direction and intensity records of the Brunhes/Matuyama geomagnetic polarity reversal. Virtual geomagnetic poles (VGPs) computed from azimuthally oriented samples taken from the cores of Hole 792A in the western Izu-Bonin forearc basin reveal that the geomagnetic pole persisted at moderate to high southern latitudes for several thousand years before a rapid migration to northern latitudes. Alternating-field demagnetization behavior, as well as NRM, NRM/ARM, and NRM/IRM intensities for samples from this same interval, and the NRM/IRM intensities derived from unoriented core samples from Holes 790C and 791B, drilled in the ~100-km distant Sumisu Rift, all suggest that the dipole field oscillated widely in intensity before the reversal. The fast polarity change occurred at the low point of an ~1100-yr field intensity cycle. This "reversal cycle" immediately followed earlier intensity cycles whose peaks rivaled or surpassed the normalized intensities of discrete samples from well above and below the reversal interval; furthermore, the troughs indicate a much diminished dipole field at their nadir.

Sediment and pore water geochemistry of sediment cores, Potter Cove, King George Island

Redox-sensitive trace metals (Mn, Fe, U, Mo, Re), nutrients and terminal metabolic products (NO3-, NH4+, PO43-, total alkalinity) were for the first time investigated in pore waters of Antarctic coastal sediments. The results of this study reveal a high spatial variability in redox conditions in surface sediments from Potter Cove, King George Island, western Antarctic Peninsula. Particularly in the shallower areas of the bay the significant correlation between sulphate depletion and total alkalinity, the inorganic product of terminal metabolism, indicates sulphate reduction to be the major pathway of organic matter mineralisation. In contrast, dissimilatory metal oxide reduction seems to be prevailing in the newly ice-free areas and the deeper troughs, where concentrations of dissolved iron of up to 700 µM were found. We suggest that the increased accumulation of fine-grained material with high amounts of reducible metal oxides in combination with the reduced availability of metabolisable organic matter and enhanced physical and biological disturbance by bottom water currents, ice scouring and burrowing organisms favours metal oxide reduction over sulphate reduction in these areas. Based on modelled iron fluxes we calculate the contribution of the Antarctic shelf to the pool of potentially bioavailable iron (Feb) to be 6.9x10**3 to 790x10**3 t/yr. Consequently, these shelf sediments would provide an Feb flux of 0.35-39.5/mg/m**2/yr (median: 3.8 mg/m**2/yr) to the Southern Ocean. This contribution is in the same order of magnitude as the flux provided by icebergs and significantly higher than the input by aeolian dust. For this reason suboxic shelf sediments form a key source of iron for the high nutrient-low chlorophyll (HNLC) areas of the Southern Ocean. This source may become even more important in the future due to rising temperatures at the WAP accompanied by enhanced glacier retreat and the accumulation of melt water derived iron-rich material on the shelf.

Breve curriculum vitae de Juan Adolfo Vázquez

Fil: Schobinger, Juan. Universidad Nacional de Cuyo