Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Enhancing dominant modes in nonstationary time series by means of the symbolic resonance analysis

We present the symbolic resonance analysis (SRA) as a viable method for addressing the problem of enhancing a weakly dominant mode in a mixture of impulse responses obtained from a nonlinear dynamical system. We demonstrate this using results from a numerical simulation with Duffing oscillators in different domains of their parameter space, and by analyzing event-related brain potentials (ERPs) from a language processing experiment in German as a representative application. In this paradigm, the averaged ERPs exhibit an N400 followed by a sentence final negativity. Contemporary sentence processing models predict a late positivity (P600) as well. We show that the SRA is able to unveil the P600 evoked by the critical stimuli as a weakly dominant mode from the covering sentence final negativity. (c) 2007 American Institute of Physics. (c) 2007 American Institute of Physics.

Extensive and intensive globalizations: explicating the low connectivity puzzle of U.S. cities using a city-dyad analysis

This article reports an experiment in world city network analysis focusing on city-dyads. Results are derived from an unusual principal components analysis of 27,966 city-dyads across 5 advanced producer service sectors. A 2-component solution is found that identifies different forms of globalization: extensive and intensive. The latter is characterized by very high component scores and describes the more important city-dyads focused upon London-New York (NYLON). The extensive globalization component heavily features London and New York but with each linked to less important cities. U.S. cities score relatively high on the intensive globalization component and we use this finding to explain the low connectivities of U.S. cities in previous studies of the world city network. The two components are tentatively interpreted in world-systems terms: intensive globalization is the process of core-making through city-dyads; extensive globalization is the process of linking core with non-core through city-dyads.

Multicenter Analysis of Glucocerebrosidase Mutations in Parkinson`s Disease

Background Recent studies indicate an increased frequency of mutations in the gene encoding glucocerebrosidase (GBA), a deficiency of which causes Gaucher`s disease, among patients with Parkinson`s disease. We aimed to ascertain the frequency of GBA mutations in an ethnically diverse group of patients with Parkinson`s disease. Methods Sixteen centers participated in our international, collaborative study: five from the Americas, six from Europe, two from Israel, and three from Asia. Each center genotyped a standard DNA panel to permit comparison of the genotyping results across centers. Genotypes and phenotypic data from a total of 5691 patients with Parkinson`s disease (780 Ashkenazi Jews) and 4898 controls (387 Ashkenazi Jews) were analyzed, with multivariate logistic-regression models and the Mantel-Haenszel procedure used to estimate odds ratios across centers. Results All 16 centers could detect two GBA mutations, L444P and N370S. Among Ashkenazi Jewish subjects, either mutation was found in 15% of patients and 3% of controls, and among non-Ashkenazi Jewish subjects, either mutation was found in 3% of patients and less than 1% of controls. GBA was fully sequenced for 1883 non-Ashkenazi Jewish patients, and mutations were identified in 7%, showing that limited mutation screening can miss half the mutant alleles. The odds ratio for any GBA mutation in patients versus controls was 5.43 across centers. As compared with patients who did not carry a GBA mutation, those with a GBA mutation presented earlier with the disease, were more likely to have affected relatives, and were more likely to have atypical clinical manifestations. Conclusions Data collected from 16 centers demonstrate that there is a strong association between GBA mutations and Parkinson`s disease.

Analysis of peptides in prohormone convertase 1/3 null mouse brain using quantitative peptidomics

P>Neuropeptides are produced from larger precursors by limited proteolysis, first by endopeptidases and then by carboxypeptidases. Major endopeptidases required for these cleavages include prohormone convertase (PC) 1/3 and PC2. In this study, quantitative peptidomics analysis was used to characterize the specific role PC1/3 plays in this process. Peptides isolated from hypothalamus, amygdala, and striatum of PC1/3 null mice were compared with those from heterozygous and wild-type mice. Extracts were labeled with stable isotopic tags and fractionated by HPLC, after which relative peptide levels were determined using tandem mass spectrometry. In total, 92 peptides were found, of which 35 were known neuropeptides or related peptides derived from 15 distinct secretory pathway proteins: 7B2, chromogranin A and B, cocaine- and amphetamine-regulated transcript, procholecystokinin, proenkephalin, promelanin concentrating hormone, proneurotensin, propituitary adenylate cyclase-activating peptide, proSAAS, prosomatosatin, provasoactive intestinal peptide, provasopressin, secretogranin III, and VGF. Among the peptides derived from these proteins, similar to 1/3 were decreased in the PC1/3 null mice relative to wild-type mice, similar to 1/3 showed no change, and similar to 1/3 increased in PC1/3 null. Cleavage sites were analyzed in peptides that showed no change or that decreased in PC1/3 mice, and these results were compared with peptides that showed no change or decreased in previous peptidomic studies with PC2 null mice. Analysis of these sites showed that while PC1/3 and PC2 have overlapping substrate preferences, there are particular cleavage site residues that distinguish peptides preferred by each PC.

Population genetic analysis of large sequence polymorphisms in Plasmodium falciparum blood-stage antigens

Plasmodium falciparum, the causative agent of human malaria, invades host erythrocytes using several proteins on the surface of the invasive merozoite, which have been proposed as potential vaccine candidates. Members of the multi-gene PfRh family are surface antigens that have been shown to play a central role in directing merozoites to alternative erythrocyte receptors for invasion. Recently, we identified a large structural polymorphism, a 0.58 Kb deletion, in the C-terminal region of the PfRh2b gene, present at a high frequency in parasite populations from Senegal. We hypothesize that this region is a target of humoral immunity. Here, by analyzing 371 P. falciparum isolates we show that this major allele is present at varying frequencies in different populations within Senegal, Africa, and throughout the world. For allelic dimorphisms in the asexual stage antigens, Msp-2 and EBA-175, we find minimal geographic differentiation among parasite populations from Senegal and other African localities, suggesting extensive gene flow among these populations and/or immune-mediated frequency-dependent balancing selection. In contrast, we observe a higher level of inter-population divergence (as measured by F(st)) for the PfRh2b deletion, similar to that observed for SNPs from the sexual stage Pfs45/48 loci, which is postulated to be under directional selection. We confirm that the region containing the PfRh2b polymorphism is a target of humoral immune responses by demonstrating antibody reactivity of endemic sera. Our analysis of inter-population divergence suggests that in contrast to the large allelic dimorphisms in EBA-175 and Msp-2, the presence or absence of the large PfRh2b deletion may not elicit frequency-dependent immune selection, but may be under positive immune selection, having important implications for the development of these proteins as vaccine candidates. (C) 2009 Elsevier B.V. All rights reserved.

Statistical coupling analysis of aspartic proteinases based on crystal structures of the Trichoderma reesei enzyme and its complex with pepstatin A

The crystal structures of an aspartic proteinase from Trichoderma reesei (TrAsP) and of its complex with a competitive inhibitor, pepstatin A, were solved and refined to crystallographic R-factors of 17.9% (R(free)=21.2%) at 1.70 angstrom resolution and 15.81% (R(free) = 19.2%) at 1.85 angstrom resolution, respectively. The three-dimensional structure of TrAsP is similar to structures of other members of the pepsin-like family of aspartic proteinases. Each molecule is folded in a predominantly beta-sheet bilobal structure with the N-terminal and C-terminal domains of about the same size. Structural comparison of the native structure and the TrAsP-pepstatin complex reveals that the enzyme undergoes an induced-fit, rigid-body movement upon inhibitor binding, with the N-terminal and C-terminal lobes tightly enclosing the inhibitor. Upon recognition and binding of pepstatin A, amino acid residues of the enzyme active site form a number of short hydrogen bonds to the inhibitor that may play an important role in the mechanism of catalysis and inhibition. The structures of TrAsP were used as a template for performing statistical coupling analysis of the aspartic protease family. This approach permitted, for the first time, the identification of a network of structurally linked residues putatively mediating conformational changes relevant to the function of this family of enzymes. Statistical coupling analysis reveals coevolved continuous clusters of amino acid residues that extend from the active site into the hydrophobic cores of each of the two domains and include amino acid residues from the flap regions, highlighting the importance of these parts of the protein for its enzymatic activity. (C) 2008 Elsevier Ltd. All rights reserved.

O contrato de gestão em busca de um modelo para empresas de obras especiais - EMPROE-U.E.E

The present dissertation target, is to analyze the application viability of the administration contract at the Public Administration in a general and concomitantly order, to simulate a contract of Administration for a Special-Works Enterprise - Economical State Unity - EMPROE - U.E.E , pointed out the importance of this, for the immediate Political-Social and economical situation that Angola hindes on the domain of Public-Works and Urbanism taking account the theoretical developed on the following chapters. At the first chapter, seeked to supply brief datas about what have been done at several sectors ofthe angolan economy. At the second chapter, particularizedly describes the historical evolution of the Manageral ambience from Angola. At the third chapter we did mention to the concepts and thecnical aspects of the Strategical Administration and the concepts, origins, and the Administration characteristics by Objectives. The fourth chapter handles about the origin of the Administration Contracts, according of his historic/concept at the evolution agreement procedures. At the fifth chapter doing some considerations about the Brazilian Experience of Administraion contracts, particularizing cases from C.V.R.D. , from Petrobrás and the implantation skill of the Administration contracts for the State Govemments of São Paulo. At the sixth chapter allude to the American Experince in Administration contracts had the flexibility and the Institute of "W AIVER" as reference. At the seventh chapter dials of the Angolan Experience at the Administration contracts, just as reference to the Beers Nacional Enterprises - CERV AL. The eighth presents a contract simulation of Administration between the EMPROE-U.E.E and the MINOPU, focalizing the Strategical function, mission and the luridical instruments, according to a specific model. The ninth and the last one chapter do some inherences to the analysis of the contracts viability of Administration and some suggestions for the Enterprise as a conclusion.

A simple analysis of the U.S. emission permits auctions

We examine a stylized version of EPA auctions when agents know the list of values of sellers and buyers. Sellers and buyers behave strategically. We show that there are two types of equilibria: inefficient equilibria where no goods are traded and efficient equilibria where alI exchange occurs at a uniform price. We also provide examples of the EPA auction game under incomplete information when the uniform price equilibrium holds and when it does not hold. When the uniform price equilibrium holds, sellers shade their bids up and buyers shade their bids down. In the example where the uniform price equilibrium does not hold, both buyers and sellers shade their bids down in an equilibrium.

Determination of the numerical parameters of a continuous damage model for the structural analysis of clay brick masonry

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Framework for analysis and representation of external systems for online reactive-optimisation studies

The paper proposes a framework for the analysis and representation of external systems for online optimisation studies. The basis for this framework is the equivalent OPF (EOPF), an optimisation model obtained by partitioning of the OPF model. The EOPF is mathematically redefined in the paper to accommodate the concept of a buffer zone. The resulting model is more useful for online optimisation, since external information obtained through intercontrol-centre exchange contracts can be used to improve internal control calculation. Numerical results obtained with original studies involving the boundary-matching procedure have provided a conceptual basis for the definition of a buffer zone for optimisation studies with the EOPF. In the proposed framework, the accuracy of the external representation in optimisation studies is evaluated by comparing the controls obtained by an EOPF procedure with those obtained by the reference-optimisation procedure defined in this paper. The framework is then used to evaluate the accuracy of equivalent optimisation studies involving the IEEE 118-bus test system and the Brazilian South Southeast 810-bus system. The results show that the incorporation of a buffer zone improves the external system representation for all optimisation studies performed.

Numerical and experimental analysis of natural convection in a cavity heated from below

In this work, an analysis of the natural convection flow caused by heat sources dissipating energy at a constant rate simulating electronic components mounted at the bottom surface of a cavity symmetrically cooled from the sides and insulated at the top is performed. This problem was studied numerically and experimentally for several aspect ratios (height/width), for different levels of dissipation in the sources, and for different side wall temperatures. Temperature and velocity fields were determined as well as the temperature variation along the surface where the sources are mounted and the average Nusselt number in the source surfaces. Numerical and experimental results were found to agree.

Three-dimensional finite element analysis of MHD duct flow by the penalty function formulation

A numerical scheme based on the Finite Element Method (FEM) is presented to calculate the full solution of a three-dimensional steady magnetohydrodynamic (MHD) flow with moderately high Hartmann numbers and interaction parameters. An incompressible, viscous and electrically conducting liquid-metal is considered. Assuming a low magnetic Reynolds number, the solution method solves the coupled Navier-Stokes and Maxwell's equations through the use of a penalty function method. Results are presented for Hartmann numbers in the range 10(2)-10(3).

Integration Methods Used in Numerical Simulations of Electromagnetic Transients

This paper made an analysis of some numerical integration methods that can be used in electromagnetic transient simulations. Among the existing methods, we analyzed the trapezoidal integration method (or Heun formula), Simpson's Rule and Runge-Kutta. These methods were used in simulations of electromagnetic transients in power systems, resulting from switching operations and maneuvers that occur in transmission lines. Analyzed the characteristics such as accuracy, computation time and robustness of the methods of integration.

Numerical and experimental analysis of natural convection in a cavity with flush mounted heat sources on a side wall

This work considers a problem of interest in several technological applications such as the thermal control of electronic equipment. It is also important to study the heat transfer performance of these components under off-normal conditions, such as during failure of cooling fans. The effect of natural convection on the flow and heat transfer in a cavity with two flush mounted heat sources on the left vertical wall, simulating electronic components, is studied numerically and experimentally. The influence of the power distribution, spacing between the heat sources and cavity aspect ratio have been investigated. An analysis of the average Nusselt number of the two heat sources was performed to investigate the behavior of the heat transfer coefficients. The results obtained numerically and experimentally, after an error analysis, showed a good agreement.