Flexible dependence modeling of operational risk losses and its impact on total capital requirements

Operational risk data, when available, are usually scarce, heavy-tailed and possibly dependent. In this work, we introduce a model that captures such real-world characteristics and explicitly deals with heterogeneous pairwise and tail dependence of losses. By considering flexible families of copulas, we can easily move beyond modeling bivariate dependence among losses and estimate the total risk capital for the seven- and eight-dimensional distributions of event types and business lines. Using real-world data, we then evaluate the impact of realistic dependence modeling on estimating the total regulatory capital, which turns out to be up to 38% smaller than what the standard Basel approach would prescrib

A Cognitive Modeling Approach to Strategy Formation in Dynamic Decision Making

Decision-making is a high-level cognitive process based on cognitive processes like perception, attention, and memory. Real-life situations require series of decisions to be made, with each decision depending on previous feedback from a potentially changing environment. To gain a better understanding of the underlying processes of dynamic decision-making, we applied the method of cognitive modeling on a complex rule-based category learning task. Here, participants first needed to identify the conjunction of two rules that defined a target category and later adapt to a reversal of feedback contingencies. We developed an ACT-R model for the core aspects of this dynamic decision-making task. An important aim of our model was that it provides a general account of how such tasks are solved and, with minor changes, is applicable to other stimulus materials. The model was implemented as a mixture of an exemplar-based and a rule-based approach which incorporates perceptual-motor and metacognitive aspects as well. The model solves the categorization task by first trying out one-feature strategies and then, as a result of repeated negative feedback, switching to two-feature strategies. Overall, this model solves the task in a similar way as participants do, including generally successful initial learning as well as reversal learning after the change of feedback contingencies. Moreover, the fact that not all participants were successful in the two learning phases is also reflected in the modeling data. However, we found a larger variance and a lower overall performance of the modeling data as compared to the human data which may relate to perceptual preferences or additional knowledge and rules applied by the participants. In a next step, these aspects could be implemented in the model for a better overall fit. In view of the large interindividual differences in decision performance between participants, additional information about the underlying cognitive processes from behavioral, psychobiological and neurophysiological data may help to optimize future applications of this model such that it can be transferred to other domains of comparable dynamic decision tasks.DFG, 54371073, SFB/TRR 62: Eine Companion-Technologie für kognitive technische System

Forgetting of Emotional Information Is Hard: An fMRI Study of Directed Forgetting

Strong evidence suggests that memory for emotional information is much better than for neutral one. Thus, one may expect that forgetting of emotional information is difficult and requires considerable effort. The aim of this item-method directed forgetting functional magnetic resonance imaging study was to investigate this hypothesis both at behavioral and neural levels. Directed forgetting effects were observed for both neutral and emotionally negative International Affective Picture System images. Moreover, recognition rate of negative to-be-forgotten images was higher than in case of neutral ones. In the study phase, intention to forget and successful forgetting of emotionally negative images were associated with widespread activations extending from the anterior to posterior regions mainly in the right hemisphere, whereas in the case of neutral images, they were associated with just one cluster of activation in the right lingual gyrus. Therefore, forgetting of emotional information seems to be a demanding process that strongly activates a distributed neural network in the right hemisphere. In the test phase, in turn, successfully forgotten images—either neutral or emotionally negative—were associated with virtually no activation, even at the lowered P value threshold. These results suggest that intentional inhibition during encoding may be an efficient strategy to cope with emotionally negative memorie

A mixed effect model for bivariate meta-analysis of diagnostic test accuracy studies using a copula representation of the random effects distribution

Diagnostic test accuracy studies typically report the number of true positives, false positives, true negatives and false negatives. There usually exists a negative association between the number of true positives and true negatives, because studies that adopt less stringent criterion for declaring a test positive invoke higher sensitivities and lower specificities. A generalized linear mixed model (GLMM) is currently recommended to synthesize diagnostic test accuracy studies. We propose a copula mixed model for bivariate meta-analysis of diagnostic test accuracy studies. Our general model includes the GLMM as a special case and can also operate on the original scale of sensitivity and specificity. Summary receiver operating characteristic curves are deduced for the proposed model through quantile regression techniques and different characterizations of the bivariate random effects distribution. Our general methodology is demonstrated with an extensive simulation study and illustrated by re-analysing the data of two published meta-analyses. Our study suggests that there can be an improvement on GLMM in fit to data and makes the argument for moving to copula random effects models. Our modelling framework is implemented in the package CopulaREMADA within the open source statistical environment R

Mathematical models for T cell activation through kinetic proofreading

An intact antigen discrimination mechanism in T cells is crucial for the body’s immune response. Failure of this mechanism can lead to immune deficiency or autoimmunity. A basic model for antigen discrimination is given by the kinetic proofreading model, which can be represented as a system of ordinary differential equations. This work extends the basic model by incorporating enzyme-substrate reactions which explicitly model the kinase Lck, fundamentally altering its characteristics. Whereas the basic model is known to have a unique steady state, it is shown that including Lck enables the system to support multiple positive steady states, provided it exhibits at least two phosphorylation steps. This capacity to support multiple positive steady states, which can be associated with the digital behavior of T cells, persists when incorporating ZAP-70. Furthermore, conditions are identified under which the minimal kinetic proofreading system with Lck and a single phosphorylation step has a globally asymptotically stable steady state.159, vi Seiten ; Illustrationen, Diagramm

A European perspective on auditory processing disorder-current knowledge and future research focus

Current notions of \u201chearing impairment,\u201d as reflected in clinical audiological practice, do not acknowledge the needs of individuals who have normal hearing pure tone sensitivity but who experience auditory processing difficulties in everyday life that are indexed by reduced performance in other more sophisticated audiometric tests such as speech audiometry in noise or complex non-speech sound perception. This disorder, defined as \u201cAuditory Processing Disorder\u201d (APD) or \u201cCentral Auditory Processing Disorder\u201d is classified in the current tenth version of the International Classification of diseases as H93.25 and in the forthcoming beta eleventh version. APDs may have detrimental effects on the affected individual, with low esteem, anxiety, and depression, and symptoms may remain into adulthood. These disorders may interfere with learning per se and with communication, social, emotional, and academic-work aspects of life. The objective of the present paper is to define a baseline European APD consensus formulated by experienced clinicians and researchers in this specific field of human auditory science. A secondary aim is to identify issues that future research needs to address in order to further clarify the nature of APD and thus assist in optimumdiagnosis and evidence-based management. This European consensus presents the main symptoms, conditions, and specific medical history elements that should lead to auditory processing evaluation. Consensus on definition of the disorder, optimum diagnostic pathway, and appropriate management are highlighted alongside a perspective on future research focus

Heschl's gyrus is more sensitive to tone level than non-primary auditory cortex

Previous neuroimaging studies generally demonstrate a growth in the cortical response with an increase in sound level. However, the details of the shape and topographic location of such growth remain largely unknown. One limiting methodological factor has been the relatively sparse sampling of sound intensities. Additionally, most studies have either analysed the entire auditory cortex without differentiating primary and non-primary regions or have limited their analyses to Heschl's gyrus (HG). Here, we characterise the pattern of responses to a 300-Hz tone presented in 6-dB steps from 42 to 96 dB sound pressure level as a function of its sound level, within three anatomically defined auditory areas; the primary area, on HG, and two non-primary areas, consisting of a small area lateral to the axis of HG (the anterior lateral area, ALA) and the posterior part of auditory cortex (the planum temporale, PT). Extent and magnitude of auditory activation increased non-linearly with sound level. In HG, the extent and magnitude were more sensitive to increasing level than in ALA and PT. Thus, HG appears to have a larger involvement in sound-level processing than does ALA or PT