974 resultados para structural models of credit risk


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Structural and thermodynamic properties of spherical particles carrying classical spins are investigated by Monte Carlo simulations. The potential energy is the sum of short range, purely repulsive pair contributions, and spin-spin interactions. These last are of the dipole-dipole form, with however, a crucial change of sign. At low density and high temperature the system is a homogeneous fluid of weakly interacting particles and short range spin correlations. With decreasing temperature particles condense into an equilibrium population of free floating vesicles. The comparison with the electrostatic case, giving rise to predominantly one-dimensional aggregates under similar conditions, is discussed. In both cases condensation is a continuous transformation, provided the isotropic part of the interatomic potential is purely repulsive. At low temperature the model allows us to investigate thermal and mechanical properties of membranes. At intermediate temperatures it provides a simple model to investigate equilibrium polymerization in a system giving rise to predominantly two-dimensional aggregates.

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Here we consider the role of abstract models in advancing our understanding of movement pathology. Models of movement coordination and control provide the frameworks necessary for the design and interpretation of studies of acquired and developmental disorders. These models do not however provide the resolution necessary to reveal the nature of the functional impairments that characterise specific movement pathologies. In addition, they do not provide a mapping between the structural bases of various pathologies and the associated disorders of movement. Current and prospective approaches to the study and treatment of movement disorders are discussed. It is argued that the appreciation of structure-function relationships, to which these approaches give rise, represents a challenge to current models of interlimb coordination, and a stimulus for their continued development. (C) 2002 Elsevier Science B.V. All rights reserved.

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This research studies the structural behaviour of bridge deck slabs under static patch loads in steel–concrete composite bridges and investigates compressive membrane action (CMA) in concrete bridge decks slabs, which governs the structural behaviour. A non-linear 3D finite element analysis models was developed using ABAQUS 6.5 software packages. Experimental data from one-span composite bridge structures are used to validate and calibrate the proposed FEM models. A series of parametric studies is conducted. The analysis results are discussed and conclusions on the behaviour of the bridge decks are presented.

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The role of rhodopsin as a structural prototype for the study of the whole superfamily of G protein-coupled receptors (GPCRs) is reviewed in an historical perspective. Discovered at the end of the nineteenth century, fully sequenced since the early 1980s, and with direct three-dimensional information available since the 1990s, rhodopsin has served as a platform to gather indirect information on the structure of the other superfamily members. Recent breakthroughs have elicited the solution of the structures of additional receptors, namely the beta 1- and beta 2-adrenergic receptors and the A(2A) adenosine receptor, now providing an opportunity to gauge the accuracy of homology modeling and molecular docking techniques and to perfect the computational protocol. Notably, in coordination with the solution of the structure of the A(2A) adenosine receptor, the first "critical assessment of GPCR structural modeling and docking" has been organized, the results of which highlighted that the construction of accurate models, although challenging, is certainly achievable. The docking of the ligands and the scoring of the poses clearly emerged as the most difficult components. A further goal in the field is certainly to derive the structure of receptors in their signaling state, possibly in complex with agonists. These advances, coupled with the introduction of more sophisticated modeling algorithms and the increase in computer power, raise the expectation for a substantial boost of the robustness and accuracy of computer-aided drug discovery techniques in the coming years.

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Computer-assisted topology predictions are widely used to build low-resolution structural models of integral membrane proteins (IMPs). Experimental validation of these models by traditional methods is labor intensive and requires modifications that might alter the IMP native conformation. This work employs oxidative labeling coupled with mass spectrometry (MS) as a validation tool for computer-generated topology models. ·OH exposure introduces oxidative modifications in solvent-accessible regions, whereas buried segments (e.g., transmembrane helices) are non-oxidizable. The Escherichia coli protein WaaL (O-antigen ligase) is predicted to have 12 transmembrane helices and a large extramembrane domain (Pérez et al., Mol. Microbiol. 2008, 70, 1424). Tryptic digestion and LC-MS/MS were used to map the oxidative labeling behavior of WaaL. Met and Cys exhibit high intrinsic reactivities with ·OH, making them sensitive probes for solvent accessibility assays. Overall, the oxidation pattern of these residues is consistent with the originally proposed WaaL topology. One residue (M151), however, undergoes partial oxidation despite being predicted to reside within a transmembrane helix. Using an improved computer algorithm, a slightly modified topology model was generated that places M151 closer to the membrane interface. On the basis of the labeling data, it is concluded that the refined model more accurately reflects the actual topology of WaaL. We propose that the combination of oxidative labeling and MS represents a useful strategy for assessing the accuracy of IMP topology predictions, supplementing data obtained in traditional biochemical assays. In the future, it might be possible to incorporate oxidative labeling data directly as constraints in topology prediction algorithms.

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Homology modeling was used to build 3D models of the N-methyl-D-aspartate (NMDA) receptor glycine binding site on the basis of an X-ray structure of the water-soluble AMPA-sensitive receptor. The docking of agonists and antagonists to these models was used to reveal binding modes of ligands and to explain known structure-activity relationships. Two types of quantitative models, 3D-QSAR/CoMFA and a regression model based on docking energies, were built for antagonists (derivatives of 4-hydroxy-2-quinolone, quinoxaline-2,3-dione, and related compounds). The CoMFA steric and electrostatic maps were superimposed on the homology-based model, and a close correspondence was marked. The derived computational models have permitted the evaluation of the structural features crucial for high glycine binding site affinity and are important for the design of new ligands.

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The area of mortality modelling has received significant attention over the last 20 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, professionals, insurance and actuarial professionals and individuals to be able to fund their old age. In particular, to quantify the costs of increasing longevity we need suitable model of mortality rates that capture the dynamics of the data and forecast them with sufficient accuracy to make them useful. In this paper we test several of those models by considering the fitting quality and in particular, testing the residuals of those models for normality properties. In a wide ranging study considering 30 countries we find that almost exclusively the residuals do not demonstrate normality. Further, in Hurst tests of the residuals we find evidence that structure remains that is not captured by the models.

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Thesis (Ph.D.)--University of Washington, 2015

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The Wechsler Intelligence Scale for Children-fourth edition (i.e. WISC-IV) recognizes a four-factor scoring structure in addition to the Full Scale IQ (FSIQ) score: Verbal Comprehension (VCI), Perceptual Reasoning (PRI), Working Memory (WMI), and Processing Speed (PSI) indices. However, several authors suggested that models based on the Cattell-Horn-Carroll (CHC) theory with 5 or 6 factors provided a better fit to the data than does the current four-factor solution. By comparing the current four-factor structure to CHC-based models, this research aimed to investigate the factorial structure and the constructs underlying the WISC-IV subtest scores with French-speaking Swiss children (N = 249). To deal with this goal, confirmatory factor analyses (CFAs) were conducted. Results showed that a CHC-based model with five factors better fitted the French-Swiss data than did the current WISC-IV scoring structure. All together, these results support the hypothesis of the appropriateness of the CHC model with French-speaking children.

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It is well accepted that structural studies with model membranes are of considerable value in understanding the structure of biological membranes. Many studies with models of pure phospholipids have been done; but the effects of divalent cations and protein on these models would make these studies more applicable to intact membrane. The present study, performed with above view, is a structural analysis of divalent io~cardio1ipin complexes using the technique of x-ray diffraction. Cardiolipin, precipitated from dilute solution by divalent ionscalcium, magnesium and barium, contains little water and the structure formed is similar to the structure of pure cardiolipin with low water content. The calcium-cardiolipin complex forms a pure hexagonal type II phase that exists from 40 to 400 C. The molar ratio of calcium and cardiolipin in the complex is 1 : 1. Cardiolipin, precipitated with magnesium and barium forms two co-existing phases, lamellar and hexagonal, the relative quantity of the two phases being dependent on temperature. The hexagonal phase type II consisting of water filled channels formed by adding calcium to cardiolipin may have a remarkable permeability property in intact membrane. Pure cardiolipin and insulin at pH 3.0 and 4.0 precipitate but form no organised structure. Lecithin/cardiolipin and insulin precipitated at pH 3.0 give a pure lamellar phase. As the lecithin/cardiolipin molar ratio changes from 93/7 to SO/50, (a) the repeat distance of the lamellar changes from 72.8 X to 68.2 A; (b) the amount of protein bound increases in such a way that cardiolipin/insulin molar ratio in the complex reaches a maximum constant value at lecithin/cardiolipin molar ratio 70/30. A structural model based on these data shows that the molecular arrangement of lipid and protein is a lipid bilayer coated with protein molecules. The lipid-protein interaction is chiefly electrostatic and little, if any, hydrophobic bonding occurs in this particular system. So, the proposed model is essentially the same as Davson-Daniellifs model of biological membrane.

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We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

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It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. One possible way out consists here in using a variant of the Anderson-Rubin (1949, Ann. Math. Stat.) procedure. The latter, however, allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, which in general does not allow for individual coefficients. This problem may in principle be overcome by using projection techniques [Dufour (1997, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. AR-types are emphasized because they are robust to both weak instruments and instrument exclusion. However, these techniques can be implemented only by using costly numerical techniques. In this paper, we provide a complete analytic solution to the problem of building projection-based confidence sets from Anderson-Rubin-type confidence sets. The latter involves the geometric properties of “quadrics” and can be viewed as an extension of usual confidence intervals and ellipsoids. Only least squares techniques are required for building the confidence intervals. We also study by simulation how “conservative” projection-based confidence sets are. Finally, we illustrate the methods proposed by applying them to three different examples: the relationship between trade and growth in a cross-section of countries, returns to education, and a study of production functions in the U.S. economy.

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Dans cette thèse, nous étudions quelques problèmes fondamentaux en mathématiques financières et actuarielles, ainsi que leurs applications. Cette thèse est constituée de trois contributions portant principalement sur la théorie de la mesure de risques, le problème de l’allocation du capital et la théorie des fluctuations. Dans le chapitre 2, nous construisons de nouvelles mesures de risque cohérentes et étudions l’allocation de capital dans le cadre de la théorie des risques collectifs. Pour ce faire, nous introduisons la famille des "mesures de risque entropique cumulatifs" (Cumulative Entropic Risk Measures). Le chapitre 3 étudie le problème du portefeuille optimal pour le Entropic Value at Risk dans le cas où les rendements sont modélisés par un processus de diffusion à sauts (Jump-Diffusion). Dans le chapitre 4, nous généralisons la notion de "statistiques naturelles de risque" (natural risk statistics) au cadre multivarié. Cette extension non-triviale produit des mesures de risque multivariées construites à partir des données financiéres et de données d’assurance. Le chapitre 5 introduit les concepts de "drawdown" et de la "vitesse d’épuisement" (speed of depletion) dans la théorie de la ruine. Nous étudions ces concepts pour des modeles de risque décrits par une famille de processus de Lévy spectrallement négatifs.