Simulation of default events in a CDX and estimation of the spread

The portfolio generating the iTraxx EUR index is modeled by coupled Markov chains. Each of the industries of the portfolio evolves according to its own Markov transition matrix. Using a variant of the method of moments, the model parameters are estimated from a data set of Standard and Poor's. Swap spreads are evaluated by Monte-Carlo simulations. Along with an actuarially fair spread, at least squares spread is considered.

Fractional dynamics and MDS visualization of earthquake phenomena

This paper analyses earthquake data in the perspective of dynamical systems and fractional calculus (FC). This new standpoint uses Multidimensional Scaling (MDS) as a powerful clustering and visualization tool. FC extends the concepts of integrals and derivatives to non-integer and complex orders. MDS is a technique that produces spatial or geometric representations of complex objects, such that those objects that are perceived to be similar in some sense are placed on the MDS maps forming clusters. In this study, over three million seismic occurrences, covering the period from January 1, 1904 up to March 14, 2012 are analysed. The events are characterized by their magnitude and spatiotemporal distributions and are divided into fifty groups, according to the Flinn–Engdahl (F–E) seismic regions of Earth. Several correlation indices are proposed to quantify the similarities among regions. MDS maps are proven as an intuitive and useful visual representation of the complex relationships that are present among seismic events, which may not be perceived on traditional geographic maps. Therefore, MDS constitutes a valid alternative to classic visualization tools for understanding the global behaviour of earthquakes.

Multidimensional scaling visualization of earthquake phenomena

Earthquakes are associated with negative events, such as large number of casualties, destruction of buildings and infrastructures, or emergence of tsunamis. In this paper, we apply the Multidimensional Scaling (MDS) analysis to earthquake data. MDS is a set of techniques that produce spatial or geometric representations of complex objects, such that, objects perceived to be similar/distinct in some sense are placed nearby/distant on the MDS maps. The interpretation of the charts is based on the resulting clusters since MDS produces a different locus for each similarity measure. In this study, over three million seismic occurrences, covering the period from January 1, 1904 up to March 14, 2012 are analyzed. The events, characterized by their magnitude and spatiotemporal distributions, are divided into groups, either according to the Flinn–Engdahl seismic regions of Earth or using a rectangular grid based in latitude and longitude coordinates. Space-time and Space-frequency correlation indices are proposed to quantify the similarities among events. MDS has the advantage of avoiding sensitivity to the non-uniform spatial distribution of seismic data, resulting from poorly instrumented areas, and is well suited for accessing dynamics of complex systems. MDS maps are proven as an intuitive and useful visual representation of the complex relationships that are present among seismic events, which may not be perceived on traditional geographic maps. Therefore, MDS constitutes a valid alternative to classic visualization tools, for understanding the global behavior of earthquakes.

Administração ativa de portfólio de crédito: uma revisão dos principais conceitos para uma implementação efetiva em bancos comerciais

Trata dos principais aspectos da administração ativa de portfólio de crédito a pessoa jurídica por bancos comerciais, que vem tomando o lugar do modo tradicional de administrar crédito. Inicialmente, apresenta a definição de administração ativa de portfólio de crédito, compara com a abordagem tradicional e aponta as motivações para o surgimento desta nova abordagem. Segue demonstrando as adaptações dos conceitos da Teoria Moderna de Portfólios aos portfólios de crédito e apresenta alguns modelos para a determinação de variáveis importantes para a mensuração do risco de crédito, tais como probabilidades de inadimplência, correlações entre ativos de crédito e risco de crédito de portfólio. Apresenta, ainda, o conceito de capital econômico e o Risk-Adjusted Return on Capital (RAROC) relativamente ao risco de crédito. Discute as responsabilidades e funções a serem desempenhadas pela administração ativa de portfólio de crédito e, como contribuição, apresenta, à luz das considerações deste trabalho, uma estrutura hipotética de um banco comercial que adota a administração ativa de portfólio de crédito.

Credit assignment: The memory representation of dynamic task events

The experiment examined the influence of memory for prior instances on aircraft conflict detection. Participants saw pairs of similar aircraft repeatedly conflict with each other. Performance improvements suggest that participants credited the conflict status of familiar aircraft pairs to repeated static features such as speed, and dynamic features such as aircraft relative position. Participants missed conflicts when a conflict pair resembled a pair that had repeatedly passed safely. Participants either did not attend to, or interpret, the bearing of aircraft correctly as a result of false memory-based expectations. Implications for instance models and situational awareness in dynamic systems are discussed.

Measurement of Spin Correlation in Top-Antitop Quark Events and Search for Top Squark Pair Production in pp Collisions at s√=8 TeV Using the ATLAS Detector

A measurement of spin correlation in tt¯ production is presented using data collected with the ATLAS detector at the Large Hadron Collider in proton-proton collisions at a center-of-mass energy of 8 TeV, corresponding to an integrated luminosity of 20.3 fb−1. The correlation between the top and antitop quark spins is extracted from dilepton tt¯ events by using the difference in azimuthal angle between the two charged leptons in the laboratory frame. In the helicity basis the measured degree of correlation corresponds to Ahelicity=0.38±0.04, in agreement with the Standard Model prediction. A search is performed for pair production of top squarks with masses close to the top quark mass decaying to predominantly right-handed top quarks and a light neutralino, the lightest supersymmetric particle. Top squarks with masses between the top quark mass and 191 GeV are excluded at the 95% confidence level.

Empirical study of correlated survival times for recurrent events with proportional hazards margins and the effect of correlation and censoring.

Background: In longitudinal studies where subjects experience recurrent incidents over a period of time, such as respiratory infections, fever or diarrhea, statistical methods are required to take into account the within-subject correlation. Methods: For repeated events data with censored failure, the independent increment (AG), marginal (WLW) and conditional (PWP) models are three multiple failure models that generalize Cox"s proportional hazard model. In this paper, we revise the efficiency, accuracy and robustness of all three models under simulated scenarios with varying degrees of within-subject correlation, censoring levels, maximum number of possible recurrences and sample size. We also study the methods performance on a real dataset from a cohort study with bronchial obstruction. Results: We find substantial differences between methods and there is not an optimal method. AG and PWP seem to be preferable to WLW for low correlation levels but the situation reverts for high correlations. Conclusions: All methods are stable in front of censoring, worsen with increasing recurrence levels and share a bias problem which, among other consequences, makes asymptotic normal confidence intervals not fully reliable, although they are well developed theoretically.

Empirical study of correlated survival times for recurrent events with proportional hazards margins and the effect of correlation and censoring.

Background: In longitudinal studies where subjects experience recurrent incidents over a period of time, such as respiratory infections, fever or diarrhea, statistical methods are required to take into account the within-subject correlation. Methods: For repeated events data with censored failure, the independent increment (AG), marginal (WLW) and conditional (PWP) models are three multiple failure models that generalize Cox"s proportional hazard model. In this paper, we revise the efficiency, accuracy and robustness of all three models under simulated scenarios with varying degrees of within-subject correlation, censoring levels, maximum number of possible recurrences and sample size. We also study the methods performance on a real dataset from a cohort study with bronchial obstruction. Results: We find substantial differences between methods and there is not an optimal method. AG and PWP seem to be preferable to WLW for low correlation levels but the situation reverts for high correlations. Conclusions: All methods are stable in front of censoring, worsen with increasing recurrence levels and share a bias problem which, among other consequences, makes asymptotic normal confidence intervals not fully reliable, although they are well developed theoretically.

Correlation of magnetic field intensities and solar wind speeds of events observed by ACE

The relationship between the magnetic field intensity and speed of solar wind events is examined using ∼3 years of data from the ACE spacecraft. No preselection of coronal mass ejections (CMEs) or magnetic clouds is carried out. The correlation between the field intensity and maximum speed is shown to increase significantly when |B| > 18 nT for 3 hours or more. Of the 24 events satisfying this criterion, 50% are magnetic clouds, the remaining half having no ordered field structure. A weaker correlation also exists between southward magnetic field and speed. Sixteen of the events are associated with halo CMEs leaving the Sun 2 to 4 days prior to the leading edge of the events arriving at ACE. Events selected by speed thresholds show no significant correlation, suggesting different relations between field intensity and speed for fast solar wind streams and ICMEs.

Measurements of spin correlation in top-antitop quark events from proton-proton collisions at √s=7 TeV using the ATLAS detector

Measurements of spin correlation in top quark pair production are presented using data collected with the ATLAS detector at the LHC with proton-proton collisions at a center-of-mass energy of 7 TeV, corresponding to an integrated luminosity of 4.6  fb −1 . Events are selected in final states with two charged leptons and at least two jets and in final states with one charged lepton and at least four jets. Four different observables sensitive to different properties of the top quark pair production mechanism are used to extract the correlation between the top and antitop quark spins. Some of these observables are measured for the first time. The measurements are in good agreement with the Standard Model prediction at next-to-leading-order accuracy.

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Two-dimensional IR correlation spectroscopy: Sequential events in the unfolding process of the λ Cro-V55C repressor protein

A question often posed in protein folding/unfolding studies is whether the process is fully cooperative or whether it contains sequential elements. To address this question, one needs tools capable of resolving different events. It seems that, at least in certain cases, two-dimensional (2D) IR correlation spectroscopy can provide answers to this question. To illustrate this point, we have turned to the Cro-V55C dimer of the λ Cro repressor, a protein known to undergo thermal unfolding in two discrete steps through a stable equilibrium intermediate. The secondary structure of this intermediate is compatible with that of a partially unfolded protein and involves a reorganization of the N terminus, whereas the antiparallel β-ribbon formed by the C-terminal part of each subunit remains largely intact. To establish whether the unfolding process involves sequential events, we have performed a 2D correlation analysis of IR spectra recorded over the temperature range of 20–95°C. The 2D IR correlation analysis indeed provides evidence for a sequential formation of the stable intermediate, which is created in three (closely related) steps. A first step entails the unfolding of the short N-terminal β-strand, followed by the unfolding of the α-helices in a second step, and the third step comprises the reorganization of the remaining β-sheet and of some unordered segments in the protein. The complete unfolding of the stable intermediate at higher temperatures also undergoes sequential events that ultimately end with the breaking of the H bonds between the two β-strands at the dimer interface.

Topology Studies of Hydrodynamics Using Two-Particle Correlation Analysis

The effects of fluctuating initial conditions are studied in the context of relativistic heavy ion collisions where a rapidly evolving system is formed. Two-particle correlation analysis is applied to events generated with the NEXSPHERIO hydrodynamic code, starting with fluctuating nonsmooth initial conditions (IC). The results show that the nonsmoothness in the IC survives the hydroevolution and can be seen as topological features of the angular correlation function of the particles emerging from the evolving system. A long range correlation is observed in the longitudinal direction and in the azimuthal direction a double peak structure is observed in the opposite direction to the trigger particle. This analysis provides clear evidence that these are signatures of the combined effect of tubular structures present in the IC and the proceeding collective dynamics of the hot and dense medium.

No correlation and low agreement of imaging and inflammatory atherosclerosis` markers in familial hypercholesterolemia

Our purpose was to study the determinants of coronary and carotid subclinical atherosclerosis, aortic stiffness and their relation with inflammatory biomarkers in familial hypercholesterolemia (FH) subjects. Furthermore, we evaluated the agreement degree of imaging and inflammatory markers` severity used for coronary heart disease (CHD) prediction. Coronary calcium scores (CCS), carotid intima media thickness (IMT), carotid-femoral pulse wave velocity (PWV), C reactive protein (CRP) and white blood cells count (WBC) were determined in 89 FH patients (39 +/- 14 years, mean LDL-C=279 mg/dl) and in 31 normal subjects (NL). The following values were considered as imaging and biomarkers` severity: CCS > 75th% for age and sex, IMT > 900 mu m, PWV > 12 m/s, and CRP > 3 mg/l. Coronary artery calcification (CAC) prevalence and severity, IMT, PWV and WBC values were higher in FH than in NL (all parameters, p < 0.05). After multivariate analysis, the following variables were considered independent determinants of (1) IMT: systolic blood pressure, 10-year CHD risk by Framingham risk scores (FRS) and apolipoprotein B (r(2)=0.33); (2) PWV: age (r(2)=0.35); (3) CAC as a continuous variable: male gender and LDL-cholesterol year score (LYS) (r(2)=0.32); (4) presence of CAC as dichotomous variable: FRS (p=0.0027) and LYS (p=0.0228). With the exception of a moderate agreement degree between IMT and PWV severity (kappa=0.5) all other markers had only a slight agreement level (kappa < 0.1). In conclusion, clinical parameters poorly explained IMT, CAC and PWV variability in FH subjects. Furthermore, imaging markers and inflammatory biomarkers presented a poor agreement degree of their severity for CHD prediction. (C) 2007 Elsevier Ireland Ltd. All rights reserved.