Credit and liquidity risk of banks in stress conditions : analyses from a macro perspective

This thesis brings together research on credit and liquidity risks of banks in stress conditions. It investigates banks’ reactions to those risks, presents macro stress-testing models and analyses policy measures to contain the risks during the 2007-2009 financial crisis. First we analyse how Dutch banks adjusted their credit and liquidity risk management during the crisis by empirical indicators and time series models. The results provide evidence on the time and cross-sectional dimensions of bank behaviour and on banks’ responses to funding liquidity shocks. Second, we model the impact on banks of tail events that involve credit and liquidity risk and banks’ reactions to those risks in a stress-testing framework. The framework is operationalised by a suite of models, such as reduced form satellite models, vector autoregressive (VAR) models and calibrated simulation tools. We show that shocks to the liquidity position of banks entail systemic risk through behavioural responses and that tail risks of stress scenarios are substantially lower if banks would adjust to Basel III. Third we analyse the policy responses to the credit and liquidity risks of banks in the crisis, by assessing the short-term crisis measures taken by central banks and governments in 2007-2009 and the macroeconomic effects of Basel III. Simulation outcomes of reduced form satellite models and a structural macroeconomic model indicate that the negative impact of Basel III on real GDP will be limited and be outweighed by the benefits in the new steady state.

Own-race and own-age biases facilitate visual awareness of faces under interocular suppression

The detection of a face in a visual scene is the first stage in the face processing hierarchy. Although all subsequent, more elaborate face processing depends on the initial detection of a face, surprisingly little is known about the perceptual mechanisms underlying face detection. Recent evidence suggests that relatively hard-wired face detection mechanisms are broadly tuned to all face-like visual patterns as long as they respect the typical spatial configuration of the eyes above the mouth. Here, we qualify this notion by showing that face detection mechanisms are also sensitive to face shape and facial surface reflectance properties. We used continuous flash suppression (CFS) to render faces invisible at the beginning of a trial and measured the time upright and inverted faces needed to break into awareness. Young Caucasian adult observers were presented with faces from their own race or from another race (race experiment) and with faces from their own age group or from another age group (age experiment). Faces matching the observers’ own race and age group were detected more quickly. Moreover, the advantage of upright over inverted faces in overcoming CFS, i.e., the face inversion effect (FIE), was larger for own-race and own-age faces. These results demonstrate that differences in face shape and surface reflectance influence access to awareness and configural face processing at the initial detection stage. Although we did not collect data from observers of another race or age group, these findings are a first indication that face detection mechanisms are shaped by visual experience with faces from one’s own social group. Such experience-based fine-tuning of face detection mechanisms may equip in-group faces with a competitive advantage for access to conscious awareness

Layered direct policy search for learning hierarchical skills

Solutions to real world robotic tasks often require complex behaviors in high dimensional continuous state and action spaces. Reinforcement Learning (RL) is aimed at learning such behaviors but often fails for lack of scalability. To address this issue, Hierarchical RL (HRL) algorithms leverage hierarchical policies to exploit the structure of a task. However, many HRL algorithms rely on task specific knowledge such as a set of predefined sub-policies or sub-goals. In this paper we propose a new HRL algorithm based on information theoretic principles to autonomously uncover a diverse set of sub-policies and their activation policies. Moreover, the learning process mirrors the policys structure and is thus also hierarchical, consisting of a set of independent optimization problems. The hierarchical structure of the learning process allows us to control the learning rate of the sub-policies and the gating individually and add specific information theoretic constraints to each layer to ensure the diversification of the subpolicies. We evaluate our algorithm on two high dimensional continuous tasks and experimentally demonstrate its ability to autonomously discover a rich set of sub-policies

Backward Evolving Quantum States

The basic concept of the two-state vector formalism, which is the time symmetric approach to quantum mechanics, is the backward evolving quantum state. However, due to the time asymmetry of the memory's arrow of time, the possible ways to manipulate a backward evolving quantum state differ from those for a standard, forward evolving quantum state. The similarities and the differences between forward and backward evolving quantum states regarding the no-cloning theorem, nonlocal measurements, and teleportation are discussed. The results are relevant not only in the framework of the two-state vector formalism, but also in the framework of retrodictive quantum theory.Comment: Contribution to the J.Phys. A special issue in honor of GianCarlo Ghirard

Environmental Flow Regimes for Dysidea avara Sponges

The aim of our research is to design tank systems to culture Dysidea avara for the production of avarol. Flow information was needed to design culture tanks suitable for effective production. Water flow regimes were characterized over a 1-year period for a shallow rocky sublittoral environment in the Northwestern Mediterranean where D. avara sponges are particularly abundant. Three-dimensional Doppler current velocities at 8¿10-m depths ranged from 5 to 15 cm/s over most seasons, occasionally spiking to 30¿66 cm/s. A thermistor flow sensor was used to map flow fields in close proximity (¿2 cm) to individual sponges at 4.5-, 8.8-, and 14.3-m depths. These ¿proximal flows¿ averaged 1.6 cm/s in calm seas and 5.9 cm/s during a storm, when the highest proximal flow (32.9 cm/s) was recorded next to a sponge at the shallowest station. Proximal flows diminished exponentially with depth, averaging 2.6 cm/s¿±¿0.15 SE over the entire study. Flow visualization studies showed that oscillatory flow (0.20¿0.33 Hz) was the most common regime around individual sponges. Sponges at the 4.5-m site maintained a compact morphology with large oscula year-around despite only seasonally high flows. Sponges at 8.8 m were more erect with large oscula on tall protuberances. At the lowest-flow 14.3-m site, sponges were more branched and heavily conulated, with small oscula. The relationship between sponge morphology and ambient flow regime is discussed

Proceedings of the International workshop on cocoa breeding for improved production systems, 19th-21th October 2003, Accra, Ghana

This is the fourth International Workshop to be organised by INGENIC, the International Group for the Genetic Improvement of Cocoa. The theme of the current workshop is of great importance, because average productivity of cocoa is still very low and progress in improving efficiency of production is more limited than in other tree crops, such as apples and pears. Low yielding varieties may be so because of low yield efficiency or because of poor adaptation to the environment. Low yields are sometimes obtained even under highly favourable growing conditions, which is an apparent paradox. Cocoa breeding to date might have overemphasised vegetative growth, which is important for rapid establishment of young trees, but which may be a disadvantage for adult plantations due to strong interplant competition and difficult management of the crop. Yield decline with age of the plantation is a common phenomenon. The continuous spread of devastating pathogens and pests also implies the need for lower cocoa canopies, which can be more easily managed. These important challenges need to be faced by breeders and agronomists in order to assist cocoa farmers. These issues were translated into the following questions that were dealt with in the workshop sessions: - How to select superior mother trees in heterogeneous progenies for more productive clone or hybrid varieties? - What are the factors affecting yield x vigour relationships in cocoa? - What are the needs and possibilities of developing more compact cocoa varieties? - What do we know about genotype by environment interactions in cocoa, including the effect of high density olantina on lona-term cocoa yield? (Résumé d'auteur

Fundamental uncertainty and unconventional monetary policy: an info-gap approach. Bruegel Working Paper Issue 1 / 2017

This paper applies the info-gap approach to the unconventional monetary policy of the Eurosystem and so takes into account the fundamental uncertainty on inflation shocks and the transmission mechanism. The outcomes show that a more demanding monetary strategy, in terms of lower tolerance for output and inflation gaps, entails less robustness against uncertainty, particularly if financial variables are taken into account. Augmenting the Taylor rule with a financial variable leads to a smaller loss of robustness than taking into account the effect of financial imbalances on the economy. However, in some situations, the augmented model is more robust than the baseline model. A conclusion from our framework is that including financial imbalances in the monetary policy objective does not necessarily increase policy robustness, and may even decrease it

Wfs1 Is Expressed In Dopaminoceptive Regions Of The Amniote Brain And Modulates Levels Of D1-Like Receptors

During amniote evolution, the construction of the forebrain has diverged across different lineages, and accompanying the structural changes, functional diversification of the homologous brain regions has occurred. This can be assessed by studying the expression patterns of marker genes that are relevant in particular functional circuits. In all vertebrates, the dopaminergic system is responsible for the behavioral responses to environmental stimuli. Here we show that the brain regions that receive dopaminergic input through dopamine receptor D1 are relatively conserved, but with some important variations between three evolutionarily distant vertebrate lines–house mouse (Mus musculus), domestic chick (Gallus gallus domesticus) / common quail (Coturnix coturnix) and red-eared slider turtle (Trachemys scripta). Moreover, we find that in almost all instances, those brain regions expressing D1-like dopamine receptor genes also express Wfs1. Wfs1 has been studied primarily in the pancreas, where it regulates the endoplasmic reticulum (ER) stress response, cellular Ca2+ homeostasis, and insulin production and secretion. Using radioligand binding assays in wild type and Wfs1-/- mouse brains, we show that the number of binding sites of D1-like dopamine receptors is increased in the hippocampus of the mutant mice. We propose that the functional link between Wfs1 and D1-like dopamine receptors is evolutionarily conserved and plays an important role in adjusting behavioral reactions to environmental stimuli

Technical guidelines for the safe movement of cacao germplasm. Revised from the FAO/IPGRI Technical Guidelines No. 20 (Third Update, October 2017)

These guidelines describe technical procedures that minimize the risk of pest introductions with movement of cacao germplasm for research, crop improvement, plant breeding, exploration or conservation. The recommendations made in these guidelines are intended for small, specialized consignments used in research programmes, e.g. for collection, conservation and utilization for breeding of plant genetic resources. These guidelines are not meant for trade and commercial consignments concerning export and import of germplasm or cocoa beans. The conservation and utilization of plant genetic resources and their global distribution are essential components of research activities underpinning improvement programmes. Inevitably, the movement of germplasm involves a risk of accidentally introducing pests along with the host plant. To minimize such risks, preventive measures and effective testing procedures are required to ensure that distributed material is free of pests of potential phytosanitary importance. The international, and inter-regional, movement of germplasm for research, conservation and breeding requires complete and up to date information concerning the phytosanitary status of the plant germplasm. Relevant and current national regulatory information governing the export and importation of plant germplasm in countries is essential. This revision has been produced by the Safe Movement Working Group of CacaoNet. These reflect the consensus and knowledge of the specialists who have contributed to this revision but the information provided needs to be regularly updated. These CacaoNet Guidelines were first published on-line in 2012 but have been revised in 2014 and in 2017 to take account of new information received