An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system.

Numerical convergence of the Block-Maxima approach to the generalized extreme value distribution

In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems. In this setting, recent works have shown how to get a statistics of extremes in agreement with the classical Extreme Value Theory. We pursue these investigations by giving analytical expressions of Extreme Value distribution parameters for maps that have an absolutely continuous invariant measure. We compare these analytical results with numerical experiments in which we study the convergence to limiting distributions using the so called block-maxima approach, pointing out in which cases we obtain robust estimation of parameters. In regular maps for which mixing properties do not hold, we show that the fitting procedure to the classical Extreme Value Distribution fails, as expected. However, we obtain an empirical distribution that can be explained starting from a different observable function for which Nicolis et al. (Phys. Rev. Lett. 97(21): 210602, 2006) have found analytical results.

Extreme value distribution for singular measures

In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems that have a singular measure. Using the block maxima approach described in Faranda et al. [2011] we show that, numerically, the Extreme Value distribution for these maps can be associated to the Generalised Extreme Value family where the parameters scale with the information dimension. The numerical analysis are performed on a few low dimensional maps. For the middle third Cantor set and the Sierpinskij triangle obtained using Iterated Function Systems, experimental parameters show a very good agreement with the theoretical values. For strange attractors like Lozi and H\`enon maps a slower convergence to the Generalised Extreme Value distribution is observed. Even in presence of large statistics the observed convergence is slower if compared with the maps which have an absolute continuous invariant measure. Nevertheless and within the uncertainty computed range, the results are in good agreement with the theoretical estimates.

Boundary value problems for the elliptic sine-Gordon equation in a semi-strip

We study boundary value problems posed in a semistrip for the elliptic sine-Gordon equation, which is the paradigm of an elliptic integrable PDE in two variables. We use the method introduced by one of the authors, which provides a substantial generalization of the inverse scattering transform and can be used for the analysis of boundary as opposed to initial-value problems. We first express the solution in terms of a 2 by 2 matrix Riemann-Hilbert problem whose \jump matrix" depends on both the Dirichlet and the Neumann boundary values. For a well posed problem one of these boundary values is an unknown function. This unknown function is characterised in terms of the so-called global relation, but in general this characterisation is nonlinear. We then concentrate on the case that the prescribed boundary conditions are zero along the unbounded sides of a semistrip and constant along the bounded side. This corresponds to a case of the so-called linearisable boundary conditions, however a major difficulty for this problem is the existence of non-integrable singularities of the function q_y at the two corners of the semistrip; these singularities are generated by the discontinuities of the boundary condition at these corners. Motivated by the recent solution of the analogous problem for the modified Helmholtz equation, we introduce an appropriate regularisation which overcomes this difficulty. Furthermore, by mapping the basic Riemann-Hilbert problem to an equivalent modified Riemann-Hilbert problem, we show that the solution can be expressed in terms of a 2 by 2 matrix Riemann-Hilbert problem whose jump matrix depends explicitly on the width of the semistrip L, on the constant value d of the solution along the bounded side, and on the residues at the given poles of a certain spectral function denoted by h. The determination of the function h remains open.

The integration of proteomics and systems approaches to map regulatory mechanisms underpinning platelet function.

Platelets in the circulation are triggered by vascular damage to activate, aggregate and form a thrombus that prevents excessive blood loss. Platelet activation is stringently regulated by intracellular signalling cascades, which when activated inappropriately lead to myocardial infarction and stroke. Strategies to address platelet dysfunction have included proteomics approaches which have lead to the discovery of a number of novel regulatory proteins of potential therapeutic value. Global analysis of platelet proteomes may enhance the outcome of these studies by arranging this information in a contextual manner that recapitulates established signalling complexes and predicts novel regulatory processes. Platelet signalling networks have already begun to be exploited with interrogation of protein datasets using in silico methodologies that locate functionally feasible protein clusters for subsequent biochemical validation. Characterization of these biological systems through analysis of spatial and temporal organization of component proteins is developing alongside advances in the proteomics field. This focused review highlights advances in platelet proteomics data mining approaches that complement the emerging systems biology field. We have also highlighted nucleated cell types as key examples that can inform platelet research. Therapeutic translation of these modern approaches to understanding platelet regulatory mechanisms will enable the development of novel anti-thrombotic strategies.

Densities and Viscosities of vegetable oils of nutritional value

Densities and viscosities of five vegetable oils (Babassu oil, Buriti oil, Brazil nut oil, macadamia oil, and grape seed oil) and of three blends of Buriti oil and soybean oil were measured as a function of temperature and correlated by empirical equations. The estimation capability of two types of predictive methodologies was tested using the measured data. The first group of methods was based on the fatty acid composition of the oils, while the other was based on their triacylglycerol composition, as a multicomponent system. In general, the six models tested presented a good representation of the physical properties considered in this work. A simple method of calculation is also proposed to predict the dynamic viscosity of methyl and ethyl ester biodiesels, based on the fatty acid composition of the original oil. Data presented in this work and the developed model can be valuable for designing processes and equipment for the edible oil industry and for biodiesel production.

Percolation in a network with long-range connections: Implications for cytoskeletal structure and function

Cell shape, signaling, and integrity depend on cytoskeletal organization. In this study we describe the cytoskeleton as a simple network of filamentary proteins (links) anchored by complex protein structures (nodes). The structure of this network is regulated by a distance-dependent probability of link formation as P = p/d(s), where p regulates the network density and s controls how fast the probability for link formation decays with node distance (d). It was previously shown that the regulation of the link lengths is crucial for the mechanical behavior of the cells. Here we examined the ability of the two-dimensional network to percolate (i.e. to have end-to-end connectivity), and found that the percolation threshold depends strongly on s. The system undergoes a transition around s = 2. The percolation threshold of networks with s < 2 decreases with increasing system size L, while the percolation threshold for networks with s > 2 converges to a finite value. We speculate that s < 2 may represent a condition in which cells can accommodate deformation while still preserving their mechanical integrity. Additionally, we measured the length distribution of F-actin filaments from publicly available images of a variety of cell types. In agreement with model predictions, cells originating from more deformable tissues show longer F-actin cytoskeletal filaments. (C) 2008 Elsevier B.V. All rights reserved.

Structure-function relationship of new crotamine isoform from the Crotalus durissus cascavella

In this work we isolated a novel crotamine like protein from the Crotalus durissus cascavella venom by combination of molecular exclusion and analytical reverse phase HPLC. Its primary structure was:YKRCHKKGGHCFPKEKICLPPSSDLGKMDCRWKRK-CCKKGS GK. This protein showed a molecular mass of 4892.89 da that was determined by Matrix Assisted Laser Desorption Ionization Time-of-flight (MALDI-TOF) mass spectrometry. The approximately pI value of this protein was determined in 9.9 by two-dimensional electrophoresis. This crotamine-like protein isolated here and that named as Cro 2 produced skeletal muscle spasm and spastic paralysis in mice similarly to other crotamines like proteins. Cro 2 did not modify the insulin secretion at low glucose concentration (2.8 and 5.6 mM), but at high glucose concentration (16.7 mM) we observed an insulin secretion increasing of 2.7-3.0-fold than to control. The Na+ channel antagonist tetrodoxin (6 mM) decreased glucose and Cro 2-induced insulin secretion. These results suggested that Na+ channel are involved in the insulin secretion. In this article, we also purified some peptide fragment from the treatment of reduced and carboxymethylated Cro 2 (RC-Cro 2) with cyanogen bromide and protease V8 from Staphylococcus aureus. The isolated pancreatic beta-cells were then treated with peptides only at high glucose concentration (16.7 mM), in this condition only two peptides induced insulin secretion. The amino acid sequence homology analysis of the whole crotamine as well as the biologically-active peptide allowed determining the consensus region of the biologically-active crotamine responsible for insulin secretion was KGGHCFPKE and DCRWKWKCCKKGSG.

Breeding value accuracy estimates for growth traits using random regression and multi-trait models in Nelore cattle

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

Postoperative renal function evaluation, through RIFLE criteria, of elderly patients who underwent femur fracture surgery under spinal anesthesia

Introduction. The postoperative acute renal failure (ARF) incidence in different kinds of surgery has rarely been studied. Age, cardiac dysfunction, previous renal dysfunction, intraoperative hypoperfusion, and use of nephrotoxic medications are mentioned as risk factors for ARF at the postoperative period. The postoperative ARF definition was based on the creatinine increase by the RIFLE classification (R = risk, I = injury, F = failure, L = loss, E = end stage), which corresponds to a 1.5 creatinine increase, two to three times, respectively, above the basal value. This study aimed to evaluate the postoperative ARF incidence in elderly patients who underwent femur fracture surgery under subarachnoid anesthesia and stratify it by the RIFLE criteria. Methods. Ninety patients older than 65 years under spinal anesthesia with fixed dosage of 15 mg of 0.5% isobaric bupivacaine associated with morphine 50 g were studied. Immediate postoperative creatinine was considered basal and compared with maximal creatinine evaluated at 24, 48, and 72 postoperative hours. Results. The mean age of the patients was 80.27 years. ARF incidence was 24.44% and stratified this way: R = 21.11% and I = 3.33%. Conclusions. In conclusion, the postoperative ARF incidence after femur fracture surgery in patients over 65 years was 24.44%. By analyzing the stratification based on the RIFLE classification, the incidence was categorized as Risk (R) = 21.11% and Injury (I) = 3.33%.

Effects of protein-calorie restriction on mechanical function of hypertrophied cardiac muscle

OBJECTIVE: To assess the effect of food restriction (FR) on hypertrophied cardiac muscle in spontaneously hypertensive rats (SHR). METHODS: Isolated papillary muscle preparations of the left ventricle (LV) of 60-day-old SHR and of normotensive Wistar-Kyoto (WKY) rats were studied. The rats were fed either an unrestricted diet or FR diet (50% of the intake of the control diet) for 30 days. The mechanical function of the muscles was evaluated through monitoring isometric and isotonic contractions. RESULTS: FR caused: 1) reduction in the body weight and LV weight of SHR and WKY rats; 2) increase in the time to peak shortening and the time to peak developed tension (DT) in the hypertrophied myocardium of the SHR; 3) diverging changes in the mechanical function of the normal cardiac muscles of WKY rats with reduction in maximum velocity of isotonic shortening and of the time for DT to decrease 50% of its maximum value, and increase of the resting tension and of the rate of tension decline. CONCLUSION: Short-term FR causes prolongation of the contraction time of hypertrophied muscles and paradoxal changes in mechanical performance of normal cardiac fibers, with worsening of the shortening indices and of the resting tension, and improvement of the isometric relaxation.

Chicken meat quality as a function of fasting period and water spray

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

Correlation between morphology and function of the upper lip: a longitudinal evaluation

In order to evaluate the relationship between the morphology of the upper lip and muscle activity in a sample of 38 subjects (17 males and 21 females) with Angle Class II division 1 malocclusions, cephalometric and electromyographic analyses were conducted. The sample was subdivided into either predominantly nose or mouth breathers. The individuals were evaluated at two different periods, with a 2 year interval. At the first observation, the subjects were 11 years to 14 years 11 months of age and at the second observation, 13 years 4 months to 16 years 6 months of age. Height and thickness of the upper lip were measured on lateral cephalograms with the aid of a digital pachymeter. For each individual, electromyographic records were obtained of the orbicularis oris superior muscle at rest and in a series of 12 movements. The electromyographic data were normalized as a function of amplitude, for achievement of the percentage value of each movement. Pearson and Spearman correlation tests were applied.The results showed some correlation between morphology and muscle function (at a confidence level of 95 per cent). However, as the values of the correlation coefficient (r) were too low to establish associations between variables, it was concluded that the dimensions of the upper lip are not correlated with muscle activity.

Tunneling time through a barrier using the local value of a time operator

A time for a quantum particle to traverse a barrier is obtained for stationary states by setting the local value of a time operator equal to a constant. This time operator, called the tempus operator because it is distinct from the time of evolution, is defined as the operator canonically conjugate to the energy operator. The local value of the tempus operator gives a complex time for a particle to traverse a barrier. The method is applied to a particle with a semiclassical wave function, which gives, in the classical limit, the correct classical traversal time. It is also applied to a quantum particle tunneling through a rectangular barrier. The resulting complex tunneling time is compared with complex tunneling times from other methods.

Vacuum energy as a c-function for theories with dynamically generated masses

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)