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.

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.

Transport properties across the La2/3Ca1/3MnO3/SrTiO3 heterointerface

The transport properties across La2/3Ca1/3MnO3/SrTiO3 (LCMO/STO) heterostructures with different thicknesses of the STO insulating barrier have been studied by using atomic force microscopy measurements in the current sensing (CS) mode. To avoid intrinsic problems of the CS method we have developed a nanostructured contact geometry of Au dots. The conduction process across the LCMO/STO interface exhibits the typical features of a tunneling process.

Electrical transport quantum effects in the In0.53Ga0.47As/In0.52Al0.48As heterostructure on silicon

Electrical transport in a modulation doped heterostructure of In0.53Ga0.47As/In0.52Al0.48As grown on Si by molecular beam epitaxy has been measured. Quantum Hall effect and Subnikov¿De Haas oscillations were observed indicating the two¿dimensional character of electron transport. A mobility of 20¿000 cm2/V¿s was measured at 6 K for an electron sheet concentration of 1.7×1012 cm¿2. Transmission electron microscopy observations indicated a significant surface roughness and high defect density of the InGaAs/InAlAs layers to be present due to the growth on silicon. In addition, fine¿scale composition modulation present in the In0.53Ga0.47As/In0.52Al0.48As may further limit transport properties.

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.

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.

Transport of a biocontrol Pseudomonas fluorescens through 2.5-m deep outdoor lysimeters and survival in the effluent water

Application of wild-type or genetically-modified bacteria to the soil environment entails the risk of dissemination of these organisms to the groundwater. To measure vertical transport of bacteria under natural climatic conditions, Pseudomonas fluorescens strain CHA0 was released together with bromide as a mobile tracer at the surface of large outdoor lysimeters. Two experiments, one starting in autumn 1993 and the other in spring 1994 were performed. Shortly after a heavy rainfall in late spring 1994, the released bacteria were detected for the first time in effluent water from the 2.5-m-deep lysimeters in both experiments, i.e. 210 d and 21 d, respectively, after inoculation. Only a 10−9 to 10−8 fraction of the inoculum was recovered as culturable cells in the effluent water, but a larger fraction of the CHA0 cells was in a non-culturable state as detected with immunofluorescence microscopy. As much as 50% of the mobile tracer percolated through the lysimeters, indicating that, compared with bromide, bacterial cells were retained in soil. In the second part of this study, persistence of CHA0 in groundwater microcosms consisting of lysimeter effluent water was studied for 380 d. Survival of the inoculant as culturable cells was better under anaerobic than under aerobic conditions. However, a large fraction of the cells became non-culturable in both cases. When the experiment was performed with filter-sterilized effluent water, the total count of introduced bacteria did not decline with time. In conclusion, the biocontrol strain was transported in low numbers to a potential groundwater level under natural climatic conditions, but could persist for an extended period in groundwater microcosms.

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.

Old world arenaviruses enter the host cell via the multivesicular body and depend on the endosomal sorting complex required for transport.

The highly pathogenic Old World arenavirus Lassa virus (LASV) and the prototypic arenavirus lymphocytic choriomeningitis virus (LCMV) use α-dystroglycan as a cellular receptor and enter the host cell by an unusual endocytotic pathway independent of clathrin, caveolin, dynamin, and actin. Upon internalization, the viruses are delivered to acidified endosomes in a Rab5-independent manner bypassing classical routes of incoming vesicular trafficking. Here we sought to identify cellular factors involved in the unusual and largely unknown entry pathway of LASV and LCMV. Cell entry of LASV and LCMV required microtubular transport to late endosomes, consistent with the low fusion pH of the viral envelope glycoproteins. Productive infection with recombinant LCMV expressing LASV envelope glycoprotein (rLCMV-LASVGP) and LCMV depended on phosphatidyl inositol 3-kinase (PI3K) as well as lysobisphosphatidic acid (LBPA), an unusual phospholipid that is involved in the formation of intraluminal vesicles (ILV) of the multivesicular body (MVB) of the late endosome. We provide evidence for a role of the endosomal sorting complex required for transport (ESCRT) in LASV and LCMV cell entry, in particular the ESCRT components Hrs, Tsg101, Vps22, and Vps24, as well as the ESCRT-associated ATPase Vps4 involved in fission of ILV. Productive infection with rLCMV-LASVGP and LCMV also critically depended on the ESCRT-associated protein Alix, which is implicated in membrane dynamics of the MVB/late endosomes. Our study identifies crucial cellular factors implicated in Old World arenavirus cell entry and indicates that LASV and LCMV invade the host cell passing via the MVB/late endosome. Our data further suggest that the virus-receptor complexes undergo sorting into ILV of the MVB mediated by the ESCRT, possibly using a pathway that may be linked to the cellular trafficking and degradation of the cellular receptor.

Measuring conduct and cost parameters in the Spanish air transport market

This paper estimates a model of airline competition for the Spanish air transport market. I test the explanatory power of alternative oligopoly models with capacity constraints. In addition, I analyse the degree of density economies. Results show that Spanish airlines conduct follows a price-leadership scheme so that it is less competitive than the Cournot solution. I also find evidence that thin routes can be considered as natural monopolies

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.

Agricultural phosphorus and water quality : sources, transport and management

Selostus: Maatalous, fosfori ja veden laatu: alkuperä, kulkeutuminen ja vesistökuormituksen hallinta

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