Towards a theory of the credit-risk balance sheet (II). The evolution of its structure

This article has an immediate predecessor, upon which it is based and with which readers must necessarily be familiar: Towards a Theory of the Credit-Risk Balance Sheet (Vallverdú, Somoza and Moya, 2006). The Balance Sheet is conceptualised on the basis of the duality of a credit-based transaction; it deals with its theoretical foundations, providing evidence of a causal credit-risk duality, that is, a true causal relationship; its characteristics, properties and its static and dynamic characteristics are analyzed. This article, which provides a logical continuation to the previous one, studies the evolution of the structure of the Credit-Risk Balance Sheet as a consequence of a business¿s dynamics in the credit area. Given the Credit-Risk Balance Sheet of a company at any given time, it attempts to estimate, by means of sequential analysis, its structural evolution, showing its usefulness in the management and control of credit and risk. To do this, it bases itself, with the necessary adaptations, on the by-now classic works of Palomba and Cutolo. The establishment of the corresponding transformation matrices allows one to move from an initial balance sheet structure to a final, future one, to understand its credit-risk situation trends, as well as to make possible its monitoring and control, basic elements in providing support for risk management.

Applicability of a distributed watershed pollution model in a data-poor environment in Santa Catarina State, Brazil

Intensification of agricultural production without a sound management and regulations can lead to severe environmental problems, as in Western Santa Catarina State, Brazil, where intensive swine production has caused large accumulations of manure and consequently water pollution. Natural resource scientists are asked by decision-makers for advice on management and regulatory decisions. Distributed environmental models are useful tools, since they can be used to explore consequences of various management practices. However, in many areas of the world, quantitative data for model calibration and validation are lacking. The data-intensive distributed environmental model AgNPS was applied in a data-poor environment, the upper catchment (2,520 ha) of the Ariranhazinho River, near the city of Seara, in Santa Catarina State. Steps included data preparation, cell size selection, sensitivity analysis, model calibration and application to different management scenarios. The model was calibrated based on a best guess for model parameters and on a pragmatic sensitivity analysis. The parameters were adjusted to match model outputs (runoff volume, peak runoff rate and sediment concentration) closely with the sparse observed data. A modelling grid cell resolution of 150 m adduced appropriate and computer-fit results. The rainfall runoff response of the AgNPS model was calibrated using three separate rainfall ranges (< 25, 25-60, > 60 mm). Predicted sediment concentrations were consistently six to ten times higher than observed, probably due to sediment trapping along vegetated channel banks. Predicted N and P concentrations in stream water ranged from just below to well above regulatory norms. Expert knowledge of the area, in addition to experience reported in the literature, was able to compensate in part for limited calibration data. Several scenarios (actual, recommended and excessive manure applications, and point source pollution from swine operations) could be compared by the model, using a relative ranking rather than quantitative predictions.

Cognition and brain function in schizotypy : a selective review

Schizotypy refers to a set of personality traits thought to reflect the subclinical expression of the signs and symptoms of schizophrenia. Here, we review the cognitive and brain functional profile associated with high questionnaire scores in schizotypy. We discuss empirical evidence from the domains of perception, attention, memory, imagery and representation, language, and motor control. Perceptual deficits occur early and across various modalities. Whilst the neural mechanisms underlying visual impairments may be linked to magnocellular dysfunction, further effects may be seen downstream in higher cognitive functions. Cognitive deficits are observed in inhibitory control, selective and sustained attention, incidental learning and memory. In concordance with the cognitive nature of many of the aberrations of schizotypy, higher levels of schizotypy are associated with enhanced vividness and better performance on tasks of mental rotation. Language deficits seem most pronounced in higher-level processes. Finally, higher levels of schizotypy are associated with reduced performance on oculomotor tasks, resembling the impairments seen in schizophrenia. Some of these deficits are accompanied by reduced brain activation, akin to the pattern of hypoactivations in schizophrenia spectrum individuals. We conclude that schizotypy is a construct with apparent phenomenological overlap with schizophrenia and stable inter-individual differences that covary with performance on a wide range of perceptual, cognitive and motor tasks known to be impaired in schizophrenia. The importance of these findings lies not only in providing a fine-grained neurocognitive characterisation of a personality constellation known to be associated with real-life impairments, but also in generating hypotheses concerning the aetiology of schizophrenia.

Startegy selection during exploratory behavior: sex differences, uncertainty and risk managment

This study deals with the psychological processes underlying the selection of appropriate strategy during exploratory behavior. A new device was used to assess sexual dimorphisms in spatial abilities that do not depend on spatial rotation, map reading or directional vector extraction capacities. Moreover, it makes it possible to investigate exploratory behavior as a specific response to novelty that trades off risk and reward. Risk management under uncertainty was assessed through both spontaneous searching strategies and signal detection capacities. The results of exploratory behavior, detection capacities, and decision-making strategies seem to indicate that women's exploratory behavior is based on risk-reducing behavior while men behavior does not appear to be influenced by this variable. This difference was interpreted as a difference in information processing modifying beliefs concerning the likelihood of uncertain events, and therefore influencing risk evaluation.

On the efficiency of recursive evaluations with applications to risk theory

On the efficiency of recursive evaluations with applications to risk theoryCette thèse est composée de trois essais qui portent sur l'efficacité des évaluations récursives de la distribution du montant total des sinistres d'un portefeuille de polices d'assurance au cours d'un période donnée. Le calcul de sa fonction de probabilité ou de quantités liées à cette distribution apparaît fréquemment dans la plupart des domaines de la pratique actuarielle.C'est le cas notamment pour le calcul du capital de solvabilité en Suisse ou pour modéliser la perte d'une assurance vie au cours d'une année. Le principal problème des évaluations récursives est que la propagation des erreurs provenant de la représentation des nombres réels par l'ordinateur peut être désastreuse. Mais, le gain de temps qu'elles procurent en réduisant le nombre d'opérations arithmétiques est substantiel par rapport à d'autres méthodes.Dans le premier essai, nous utilisons certaines propriétés d'un outil informatique performant afin d'optimiser le temps de calcul tout en garantissant une certaine qualité dans les résultats par rapport à la propagation de ces erreurs au cours de l'évaluation.Dans le second essai, nous dérivons des expressions exactes et des bornes pour les erreurs qui se produisent dans les fonctions de distribution cumulatives d'un ordre donné lorsque celles-ci sont évaluées récursivement à partir d'une approximation de la transformée de De Pril associée. Ces fonctions cumulatives permettent de calculer directement certaines quantités essentielles comme les primes stop-loss.Finalement, dans le troisième essai, nous étudions la stabilité des évaluations récursives de ces fonctions cumulatives par rapport à la propagation des erreurs citées ci-dessus et déterminons la précision nécessaire dans la représentation des nombres réels afin de garantir des résultats satisfaisants. Cette précision dépend en grande partie de la transformée de De Pril associée.

Quality coding by neural populations in the early olfactory pathway: analysis using information theory

In this article, we analyze the ability of the early olfactory system to detect and discriminate different odors by means of information theory measurements applied to olfactory bulb activity images. We have studied the role that the diversity and number of receptor neuron types play in encoding chemical information. Our results show that the olfactory receptors of the biological system are low correlated and present good coverage of the input space. The coding capacity of ensembles of olfactory receptors with the same receptive range is maximized when the receptors cover half of the odor input space - a configuration that corresponds to receptors that are not particularly selective. However, the ensemble's performance slightly increases when mixing uncorrelated receptors of different receptive ranges. Our results confirm that the low correlation between sensors could be more significant than the sensor selectivity for general purpose chemo-sensory systems, whether these are biological or biomimetic.

Cognition, mood and fatigue in patients in the early stage of multiple sclerosis.

QUESTION UNDER STUDY: Cognitive impairment occurs during multiple sclerosis (MS) and contributes to the burden of the disease, but its effect in the initial phase of MS still needs to be better understood. METHODS: We prospectively studied 127 early MS patients presenting with a clinically isolated syndrome (CIS) or definite MS, a mean disease duration of 2.6 years, and with minor disability (mean Expanded Disability Status Scale score 1.8). Patients were tested for long-term memory, executive functions, attention, fatigue, mood disorders, functional handicap and quality of life (QoL). Twenty-one CIS patients were excluded from study as the diagnosis of MS could not be confirmed. RESULTS: Over the 106 MS patients analysed, 31 (29.3%) were cognitively impaired (23.6% for memory, 10.4% for attention and 5.7% for executive functions). Cognitive deficits were already present in CIS patients in whom the diagnosis was not yet confirmed (20%). Impaired cognition was associated with anxiety (p = 0.05), depression(p = 0.004), fatigue (p = 0.03), handicap (p <0.001) and a lower QoL (p <0.001). After adjustment for QoL, handicap, depression, anxiety and fatigue were no longer associated with the presence of cognitive deficits. CONCLUSIONS: In this well-defined early MS group one third of the patients already exhibited cognitive deficits, which were usually apparent in an effortful learning situation and were generally mild. Mood disorders, fatigue, handicap and decreased QoL were all associated with the occurrence of cognitive deficits. QoL itself appeared to take all the other factors into account. Our results confirm the existence of an interplay between cognitive, affective and functional changes and fatigue in early MS.

BPSK to ASK signal conversion using injection-locked oscillators-Part I: theory

This paper presents a new method and circuit for the conversion of binary phase-shift keying (BPSK) signals into amplitude shift keying signals. The basic principles of the conversion method are the superharmonic injection and locking of oscillator circuits, and interference phenomena. The first one is used to synchronize the oscillators, while the second is used to generate an amplitude interference pattern that reproduces the original phase modulation. When combined with an envelope detector, the proposed converter circuit allows the coherent demodulation of BPSK signals without need of any explicit carrier recovery system. The time response of the converter circuit to phase changes of the input signal, as well as the conversion limits, are discussed in detail.

Semiclassical theory of shot noise in ballistic n+in+ semiconductor structures: relevance of Pauli and long range Coulomb interactions

We work out a semiclassical theory of shot noise in ballistic n+-i-n+ semiconductor structures aiming at studying two fundamental physical correlations coming from Pauli exclusion principle and long-range Coulomb interaction. The theory provides a unifying scheme which, in addition to the current-voltage characteristics, describes the suppression of shot noise due to Pauli and Coulomb correlations in the whole range of system parameters and applied bias. The whole scenario is summarized by a phase diagram in the plane of two dimensionless variables related to the sample length and contact chemical potential. Here different regions of physical interest can be identified where only Coulomb or only Pauli correlations are active, or where both are present with different relevance. The predictions of the theory are proven to be fully corroborated by Monte Carlo simulations.

Towards a theory of the credit-risk balance sheet

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a company¿s commercial credit, whose amount can represent a significant proportion of both its current and total assets.To construct it, we start from the duality observed in any credit transaction of this nature, whose basic identity can be summed up as Credit = Risk. ¿Credit¿ is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system) and ¿risk¿ can either be assumed (interiorised) by the company itself or transferred to third parties (exteriorised).What provides the approach that leads to us being able to talk with confidence of a real Credit-Risk Balance Sheet with its methodological robustness is that the dual vision of the credit transaction is not, as we demonstrate, merely a classificatory duality (a double risk-credit classification of reality) but rather a true causal relationship, that is, a risk-credit causal duality.Once said Credit-Risk Balance Sheet (which bears a certain structural similarity with the classic net asset balance sheet) has been built, and its methodological coherence demonstrated, its properties ¿static and dynamic¿ are studied.Analysis of the temporal evolution of the Credit-Risk Balance Sheet and of its applications will be the object of subsequent works.

Towards a theory of the credit-risk balance sheet (II). The evolution of its structure

This article has an immediate predecessor, upon which it is based and with which readers must necessarily be familiar: Towards a Theory of the Credit-Risk Balance Sheet (Vallverdú, Somoza and Moya, 2006). The Balance Sheet is conceptualised on the basis of the duality of a credit-based transaction; it deals with its theoretical foundations, providing evidence of a causal credit-risk duality, that is, a true causal relationship; its characteristics, properties and its static and dynamic characteristics are analyzed. This article, which provides a logical continuation to the previous one, studies the evolution of the structure of the Credit-Risk Balance Sheet as a consequence of a business¿s dynamics in the credit area. Given the Credit-Risk Balance Sheet of a company at any given time, it attempts to estimate, by means of sequential analysis, its structural evolution, showing its usefulness in the management and control of credit and risk. To do this, it bases itself, with the necessary adaptations, on the by-now classic works of Palomba and Cutolo. The establishment of the corresponding transformation matrices allows one to move from an initial balance sheet structure to a final, future one, to understand its credit-risk situation trends, as well as to make possible its monitoring and control, basic elements in providing support for risk management.

Regional reproducibility of calibrated BOLD functional MRI: implications for the study of cognition and plasticity.

Calibrated BOLD fMRI is a promising alternative to the classic BOLD contrast due to its reduced venous sensitivity and greater physiological specificity. The delayed adoption of this technique for cognitive studies may stem partly from a lack of information on the reproducibility of these measures in the context of cognitive tasks. In this study we have explored the applicability and reproducibility of a state-of-the-art calibrated BOLD technique using a complex functional task at 7 tesla. Reproducibility measures of BOLD, CBF, CMRO2 flow-metabolism coupling n and the calibration parameter M were compared and interpreted for three ROIs. We found an averaged intra-subject variation of CMRO2 of 8% across runs and 33% across days. BOLD (46% across runs, 36% across days), CBF (33% across runs, 46% across days) and M (41% across days) showed significantly higher intra-subject variability. Inter-subject variability was found to be high for all quantities, though CMRO2 was the most consistent across brain regions. The results of this study provide evidence that calibrated BOLD may be a viable alternative for longitudinal and cognitive MRI studies.

Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Auction theory, sequential local service privatization, and the effects of geographical scale economies on effective competition

A sequential weakly efficient two-auction game with entry costs, interdependence between objects, two potential bidders and IPV assumption is presented here in order to give some theoretical predictions on the effects of geographical scale economies on local service privatization performance. It is shown that the first object seller takes profit of this interdependence. The interdependence externality rises effective competition for the first object, expressed as the probability of having more than one final bidder. Besides, if there is more than one final bidder in the first auction, seller extracts the entire bidder¿s expected future surplus differential between having won the first auction and having lost. Consequences for second object seller are less clear, reflecting the contradictory nature of the two main effects of object interdependence. On the one hand, first auction winner becomes ¿stronger¿, so that expected payments rise in a competitive environment. On the other hand, first auction loser becomes relatively ¿weaker¿, hence (probably) reducing effective competition for the second object. Additionally, some contributions to static auction theory with entry cost and asymmetric bidders are presented in the appendix

Phylogeographic patterning of mtDNA in the widely distributed harvest mouse (Micromys minutus) suggests dramatic cycles of range contraction and expansion during the mid- to late Pleistocene

We examined sequence variation in the mitochondrial cytochrome b gene (1140 bp, n = 73) and control region (842-851 bp, n = 74) in the Eurasian harvest mouse (Micromys minutus (Pallas, 1771)), with samples drawn from across its range, from Western Europe to Japan. Phylogeographic analyses revealed region-specific haplotype groupings combined with overall low levels of inter-regional genetic divergence. Despite the enormous intervening distance, European and East Asian samples showed a net nucleotide divergence of only 0.36%. Based on an evolutionary rate for the cytochrome b gene of 2.4%(.)(site(.)lineage(.)million years)(-1), the initial divergence time of these populations is estimated at around 80 000 years before present. Our findings are consistent with available fossil evidence that has recorded repeated cycles of extinction and recolonization of Europe by M. minutus through the Quaternary. The molecular data further suggest that recolonization occurred from refugia in the Central to East Asian region. Japanese haplotypes of M. minutus, with the exception of those from Tsushima Is., show limited nucleotide diversity (0.15%) compared with those found on the adjacent Korean Peninsula. This finding suggests recent colonization of the Japanese Archipelago, probably around the last glacial period, followed by rapid population growth.