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.

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.

c-Jun N-terminal kinase binding domain-dependent phosphorylation of mitogen-activated protein kinase kinase 4 and mitogen-activated protein kinase kinase 7 and balancing cross-talk between c-Jun N-terminal kinase and extracellular signal-regulated kinase pathways in cortical neurons

The c-Jun N-terminal kinase (JNK) is a mitogen-activated protein kinase (MAPK) activated by stress-signals and involved in many different diseases. Previous results proved the powerful effect of the cell permeable peptide inhibitor d-JNKI1 (d-retro-inverso form of c-Jun N-terminal kinase-inhibitor) against neuronal death in CNS diseases, but the precise features of this neuroprotection remain unclear. We here performed cell-free and in vitro experiments for a deeper characterization of d-JNKI1 features in physiological conditions. This peptide works by preventing JNK interaction with its c-Jun N-terminal kinase-binding domain (JBD) dependent targets. We here focused on the two JNK upstream MAPKKs, mitogen-activated protein kinase kinase 4 (MKK4) and mitogen-activated protein kinase kinase 7 (MKK7), because they contain a JBD homology domain. We proved that d-JNKI1 prevents MKK4 and MKK7 activity in cell-free and in vitro experiments: these MAPKK could be considered not only activators but also substrates of JNK. This means that d-JNKI1 can interrupt downstream but also upstream events along the JNK cascade, highlighting a new remarkable feature of this peptide. We also showed the lack of any direct effect of the peptide on p38, MEK1, and extracellular signal-regulated kinase (ERK) in cell free, while in rat primary cortical neurons JNK inhibition activates the MEK1-ERK-Ets1/c-Fos cascade. JNK inhibition induces a compensatory effect and leads to ERK activation via MEK1, resulting in an activation of the survival pathway-(MEK1/ERK) as a consequence of the death pathway-(JNK) inhibition. This study should hold as an important step to clarify the strong neuroprotective effect of d-JNKI1.

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

Modeling water movement in horizontal columns using fractal theory

Fractal mathematics has been used to characterize water and solute transport in porous media and also to characterize and simulate porous media properties. The objective of this study was to evaluate the correlation between the soil infiltration parameters sorptivity (S) and time exponent (n) and the parameters dimension (D) and the Hurst exponent (H). For this purpose, ten horizontal columns with pure (either clay or loam) and heterogeneous porous media (clay and loam distributed in layers in the column) were simulated following the distribution of a deterministic Cantor Bar with fractal dimension H" 0.63. Horizontal water infiltration experiments were then simulated using Hydrus 2D software. The sorptivity (S) and time exponent (n) parameters of the Philip equation were estimated for each simulation, using the nonlinear regression procedure of the statistical software package SAS®. Sorptivity increased in the columns with the loam content, which was attributed to the relation of S with the capillary radius. The time exponent estimated by nonlinear regression was found to be less than the traditional value of 0.5. The fractal dimension estimated from the Hurst exponent was 17.5 % lower than the fractal dimension of the Cantor Bar used to generate the columns.

The caveolin-binding motif of the pathogen-related yeast protein Pry1, a member of the CAP protein superfamily, is required for in vivo export of cholesteryl acetate.

Proteins belonging to the CAP superfamily are present in all kingdoms of life and have been implicated in different physiological processes. Their molecular mode of action, however, is poorly understood. Saccharomyces cerevisiae expresses three members of this superfamily, pathogen-related yeast (Pry)1, -2, and -3. We have recently shown that Pry function is required for the secretion of cholesteryl acetate and that Pry proteins bind cholesterol and cholesteryl acetate, suggesting that CAP superfamily members may generally act to bind sterols or related small hydrophobic compounds. Here, we analyzed the mode of sterol binding by Pry1. Computational modeling indicates that ligand binding could occur through displacement of a relatively poorly conserved flexible loop, which in some CAP family members displays homology to the caveolin-binding motif. Point mutations within this motif abrogated export of cholesteryl acetate but did not affect binding of cholesterol. Mutations of residues located outside the caveolin-binding motif, or mutations in highly conserved putative catalytic residues had no effect on export of cholesteryl acetate or on lipid binding. These results indicate that the caveolin-binding motif of Pry1, and possibly of other CAP family members, is crucial for selective lipid binding and that lipid binding may occur through displacement of the loop containing this motif.

Vertically coupled quantum dots in the local spin-density functional theory

We have investigated the structure of double quantum dots vertically coupled at zero magnetic field within local-spin-density functional theory. The dots are identical and have a finite width, and the whole system is axially symmetric. We first discuss the effect of thickness on the addition spectrum of one single dot. Next we describe the structure of coupled dots as a function of the interdot distance for different electron numbers. Addition spectra, Hund's rule, and molecular-type configurations are discussed. It is shown that self-interaction corrections to the density-functional results do not play a very important role in the calculated addition spectra

Freezing of 4He and its liquid-solid interface from density functional theory

We show that, at high densities, fully variational solutions of solidlike types can be obtained from a density functional formalism originally designed for liquid 4He . Motivated by this finding, we propose an extension of the method that accurately describes the solid phase and the freezing transition of liquid 4He at zero temperature. The density profile of the interface between liquid and the (0001) surface of the 4He crystal is also investigated, and its surface energy evaluated. The interfacial tension is found to be in semiquantitative agreement with experiments and with other microscopic calculations. This opens the possibility to use unbiased density functional (DF) methods to study highly nonhomogeneous systems, like 4He interacting with strongly attractive impurities and/or substrates, or the nucleation of the solid phase in the metastable liquid.

Flow cytofluorometric analysis of the binding of Vicia villosa lectin to T lymphoblasts: lack of correlation with cytolytic function.

The relationship between the binding of Vicia villosa (VV) lectin and the expression of cytolytic function in T lymphoblasts has been investigated using flow cytofluorometric techniques. Spleen cells activated in vitro in 5-day mixed leukocyte cultures (MLC) were incubated sequentially with VV, rabbit anti-V antiserum, and fluoresceinated sheep anti-rabbit IgG. When these stained MLC cells were passed on a flow cytometer gated to exclude nonviable cells and small lymphocytes, a single heterogeneous peak of fluorescence was seen, as compared to control MLC cells that had not been incubated with VV. Fluorescence of lymphoblasts was dependent upon lectin dose and was eliminated when staining was performed in the presence of N-acetyl-D-galactosamine, the appropriate competitive sugar for VV. T cell blast populations activated against H-2, Mls, or parasite antigens all had comparable levels of fluorescence after staining with VV, although the cytolytic activity of these cells varied widely. Furthermore, when MLC lymphoblasts binding large or small amounts of VV were sorted on the basis of their relative fluorescence intensity and tested for cytolytic function, no appreciable difference in activity between the 2 populations was observed. These results are inconsistent with the hypothesis that VV binds selectively to cytolytic T lymphocytes.

Nuclear sizes and the isotope shift

Darwin-Foldy nuclear-size corrections in electronic atoms and nuclear radii are discussed from the nuclear-physics perspective. The interpretation of precise isotope-shift measurements is formalism dependent, and care must be exercised in interpreting these results and those obtained from relativistic electron scattering from nuclei. We strongly advocate that the entire nuclear-charge operator be used in calculating nuclear-size corrections in atoms rather than relegating portions of it to the nonradiative recoil corrections. A preliminary examination of the intrinsic deuteron radius obtained from isotope-shift measurements suggests the presence of small meson-exchange currents (exotic binding contributions of relativistic order) in the nuclear charge operator, which contribute approximately 1/2%.

Optical response of two-dimensional few-electron concentric double quantum rings: A local-spin-density-functional theory study

We have investigated the dipole charge- and spin-density response of few-electron two-dimensional concentric nanorings as a function of the intensity of a erpendicularly applied magnetic field. We show that the dipole response displays signatures associated with the localization of electron states in the inner and outer ring favored by the perpendicularly applied magnetic field. Electron localization produces a more fragmented spectrum due to the appearance of additional edge excitations in the inner and outer ring.

Helium in polygonal nanopores at zero temperature: Density functional theory calculations

We investigate adsorption of helium in nanoscopic polygonal pores at zero temperature using a finite-range density functional theory. The adsorption potential is computed by means of a technique denoted as the elementary source method. We analyze a rhombic pore with Cs walls, where we show the existence of multiple interfacial configurations at some linear densities, which correspond to metastable states. Shape transitions and hysterectic loops appear in patterns which are richer and more complex than in a cylindrical tube with the same transverse area.