Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default correlation and non-uniform default probabilities. We obtain the default probability distribution and study the effect of the inhomogeneity on it. The second case corresponds to a portfolio with inhomogeneous default correlation. Assets are categorized in several different sectors and the inter-sector and intra-sector correlations are not the same. We construct the joint default probabilities and obtain the default probability distribution. We show that as the number of assets in each sector decreases, inter-sector correlation becomes more important than intra-sector correlation. We study the maximum values of the inter-sector default correlation. Our generalization method can be applied to any correlated binomial default distribution model which has explicit relations to the conditional default probabilities or conditional default correlations, e.g. Credit Risk${}^{+}$, implied default distributions. We also compare some popular CDO pricing models from the viewpoint of the range of the implied tranche correlation.Comment: 29 pages, 17 figures and 1 tabl

Amniotic fluid volume: Rapid MR-based assessment at 28-32 weeks gestation

Objectives: This work evaluates rapid magnetic resonance projection hydrography (PH) based amniotic fluid volume (AFV) estimates against established routine ultrasound single deepest vertical pocket (SDVP) and amniotic fluid index (AFI) measurements, in utero, at 28-32 weeks gestation. Manual multi-section planimetry (MSP) based measurement of AFV is used as a proxy reference standard. Methods: 35 women with a healthy singleton pregnancy (20-41 years) attending routine antenatal ultrasound were recruited. SDVP and AFI were measured using ultrasound, with same day MRI assessing AFV with PH and MSP. The relationships between the respective techniques were assessed using linear regression analysis and Bland-Altman method comparison statistics. Results: When comparing estimated AFV, a highly significant relationship was observed between PH and the reference standard MSP (R2=0.802, p<0.001). For the US measurements, SDVP measurement related most closely to amniotic fluid volume, (R2=0.470, p<0.001), with AFI demonstrating a weaker relationship (R2=0.208, p=0.007). Conclusion: This study shows that rapid MRI based PH measurement is a better predictor of AFV, relating more closely to our proxy standard than established US techniques. Although larger validation studies across a range of gestational ages are required this approach could form part of MR fetal assessment, particularly where poly or oligohydramnios is suspected.This study was supported by the National Institute of Health Research, Cambridge Biomedical Research Centre. The authors also acknowledge the support of Addenbrooke’s Charitable Trust and thank the participants for their contribution to the study.This is the author accepted manuscript. The final version is available from Springer via http://dx.doi.org/10.1007/s00330-015-4179-

Horizontal DNA transfer mechanisms of bacteria as weapons of intragenomic conflict

Horizontal DNA transfer (HDT) is a pervasive mechanism of diversification in many microbial species, but its primary evolutionary role remains controversial. Much recent research has emphasised the adaptive benefit of acquiring novel DNA, but here we argue instead that intragenomic conflict provides a coherent framework for understanding the evolutionary origins of HDT. To test this hypothesis, we developed a mathematical model of a clonally descended bacterial population undergoing HDT through transmission of mobile genetic elements (MGEs) and genetic transformation. Including the known bias of transformation toward the acquisition of shorter alleles into the model suggested it could be an effective means of counteracting the spread of MGEs. Both constitutive and transient competence for transformation were found to provide an effective defence against parasitic MGEs; transient competence could also be effective at permitting the selective spread of MGEs conferring a benefit on their host bacterium. The coordination of transient competence with cell-cell killing, observed in multiple species, was found to result in synergistic blocking of MGE transmission through releasing genomic DNA for homologous recombination while simultaneously reducing horizontal MGE spread by lowering the local cell density. To evaluate the feasibility of the functions suggested by the modelling analysis, we analysed genomic data from longitudinal sampling of individuals carrying Streptococcus pneumoniae. This revealed the frequent within-host coexistence of clonally descended cells that differed in their MGE infection status, a necessary condition for the proposed mechanism to operate. Additionally, we found multiple examples of MGEs inhibiting transformation through integrative disruption of genes encoding the competence machinery across many species, providing evidence of an ongoing "arms race." Reduced rates of transformation have also been observed in cells infected by MGEs that reduce the concentration of extracellular DNA through secretion of DNases. Simulations predicted that either mechanism of limiting transformation would benefit individual MGEs, but also that this tactic's effectiveness was limited by competition with other MGEs coinfecting the same cell. A further observed behaviour we hypothesised to reduce elimination by transformation was MGE activation when cells become competent. Our model predicted that this response was effective at counteracting transformation independently of competing MGEs. Therefore, this framework is able to explain both common properties of MGEs, and the seemingly paradoxical bacterial behaviours of transformation and cell-cell killing within clonally related populations, as the consequences of intragenomic conflict between self-replicating chromosomes and parasitic MGEs. The antagonistic nature of the different mechanisms of HDT over short timescales means their contribution to bacterial evolution is likely to be substantially greater than previously appreciated

Computer simulation of syringomyelia in dogs

Syringomyelia is a pathological condition in which fluid-filled cavities (syringes) form and expand in the spinal cord. Syringomyelia is often linked with obstruction of the craniocervical junction and a Chiari malformation, which is similar in both humans and animals. Some brachycephalic toy breed dogs such as Cavalier King Charles Spaniels (CKCS) are particularly predisposed. The exact mechanism of the formation of syringomyelia is undetermined and consequently with the lack of clinical explanation, engineers and mathematicians have resorted to computer models to identify possible physical mechanisms that can lead to syringes. We developed a computer model of the spinal cavity of a CKCS suffering from a large syrinx. The model was excited at the cranial end to simulate the movement of the cerebrospinal fluid (CSF) and the spinal cord due to the shift of blood volume in the cranium related to the cardiac cycle. To simulate the normal condition, the movement was prescribed to the CSF. To simulate the pathological condition, the movement of CSF was blocked

A microscopic theory of gauge mediation

We construct models of indirect gauge mediation where the dynamics responsible for breaking supersymmetry simultaneously generates a weakly coupled subsector of messengers. This provides a microscopic realization of messenger gauge mediation where the messenger and hidden sector fields are unified into a single sector. The UV theory is SQCD with massless and massive quarks plus singlets, and at low energies it flows to a weakly coupled quiver gauge theory. One node provides the primary source of supersymmetry breaking, which is then transmitted to the node giving rise to the messenger fields. These models break R-symmetry spontaneously, produce realistic gaugino and sfermion masses, and give a heavy gravitino.Comment: 24 pages, 2 figures, accepted to JHEP for publicatio

Differential genetic interactions of yeast stress response MAPK pathways.

Genetic interaction screens have been applied with great success in several organisms to study gene function and the genetic architecture of the cell. However, most studies have been performed under optimal growth conditions even though many functional interactions are known to occur under specific cellular conditions. In this study, we have performed a large-scale genetic interaction analysis in Saccharomyces cerevisiae involving approximately 49 × 1,200 double mutants in the presence of five different stress conditions, including osmotic, oxidative and cell wall-altering stresses. This resulted in the generation of a differential E-MAP (or dE-MAP) comprising over 250,000 measurements of conditional interactions. We found an extensive number of conditional genetic interactions that recapitulate known stress-specific functional associations. Furthermore, we have also uncovered previously unrecognized roles involving the phosphatase regulator Bud14, the histone methylation complex COMPASS and membrane trafficking complexes in modulating the cell wall integrity pathway. Finally, the osmotic stress differential genetic interactions showed enrichment for genes coding for proteins with conditional changes in phosphorylation but not for genes with conditional changes in gene expression. This suggests that conditional genetic interactions are a powerful tool to dissect the functional importance of the different response mechanisms of the cell

Influence of severe plastic deformation on the precipitation hardening of a FeSiTi steel

The combined strengthening effects of grain refinement and high precipitated volume fraction (~6at.%) on the mechanical properties of FeSiTi alloy subjected to SPD processing prior to aging treatment were investigated by atom probe tomography and scanning transmission electron microscopy. It was shown that the refinement of the microstructure affects the precipitation kinetics and the spatial distribution of the secondary hardening intermetallic phase, which was observed to nucleate heterogeneously on dislocations and sub-grain boundaries. It was revealed that alloys successively subjected to these two strengthening mechanisms exhibit a lower increase in mechanical strength than a simple estimation based on the summation of the two individual strengthening mechanisms