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This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of individual ABS tranches can directly be compared to those of corporate bonds, within and across rating classes. By applying Monte Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making. On an economic level, our analysis suggests a new explanation for the observed rating inflation in structured finance markets during the pre-crisis period 2004-2007. On a policy level, our findings call for a termination of the 'one-size-fits-all' approach to the rating methodology for fixed income instruments, requiring an own rating methodology for structured finance instruments. JEL Classification: G21, G28
Induced charge computation
(2009)
One of the main aspects of statistical mechanics is that the properties of a thermodynamics state point do not depend on the choice of the statistical ensemble. It breaks down for small systems e.g. single molecules. Hence, the choice of the statistical ensemble is crucial for the interpretation of single molecule experiments, where the outcome of measurements depends on which variables or control parameters, are held fixed and which ones are allowed to fluctuate. Following this principle, this thesis investigates the thermodynamics of a single polymer pulling experiments within two different statistical ensembles. The scaling of the conjugate chain ensembles, the fixed end-to-end vector (Helmholtz) and the fixed applied force (Gibbs), are studied in depth. This thesis further investigates the ensemble equivalence for different force regimes and polymer-chain contour lengths. Using coarse-grained molecular dynamic simulations, i.e. Langevin dynamics, the simulations were found to complement the theoretical predictions for the scaling of ensemble difference of Gaussian chains in different force-regimes, giving special attention to the zero force regime. After constructing Helmholtz and Gibbs conjugate ensembles for a Gaussian chain, two different data sets of thermodynamic states on the force-extension plane, i.e. force-extension curves, were generated. The ensemble difference is computed for different polymer-chain lengths by using force-extension curves. The scaling of the ensemble difference versus relative polymer-chain length under different force regimes has been derived from the simulation data and compared to theoretical predictions. The results demonstrate that the Gaussian chain in the zero force limit generates nonequivalent ensembles, regardless of its equilibrium bond length and polymer-chain contour length. Moreover, if polymers are charged in confinement, coarse-graining is problematic, owing to dielectric interfaces. Hence, the effect of dielectric interfaces must be taken into account when describing physical systems such as ionic channels or biopolymers inside nanopores. It is shown that the effect of dielectrics is crucial for the dynamics of a biopolymer or an ion inside a nanopore. In the simulations, the feasibility of an efficient and accurate computation of electrostatic interactions in the presence of an arbitrarily shaped dielectric domain is challenging. Several solutions for this problem have been previously proposed in the literature such as a density functional approach, or transforming problem at hand into an algebraic problem ( Induced Charge Computation (ICC) ) and boundary element methods. Even though the essential concept is the same, which is to replace the dielectric interface with a polarization charge density, these approaches have been analyzed and the ICC algorithm has been implemented. A new superior boundary element method has been devised utilizing the force computation via the Particle-Particle Particle-Mesh (P3M) method for periodic geometries (ICCP3M). This method has been compared to the ICC algorithm, the algebraic solutions, and to density functional approaches. Extensive numerical tests against analytically tractable geometries have confirmed the correctness and applicability of developed and implemented algorithms, demonstrating that the ICCP3M is the fastest and the most versatile algorithm. Further optimization issues are also discussed in obtaining accurate induced charge densities. The potential of mean force (PMF) of DNA modelled on a coarsed-grain level inside a nanopore is investigated with and without the inclusion of dielectric effects. Despite the simplicity of the model, the dramatic effect of dielectric inclusions is clearly seen in the observed force profile.
Introduction Complex psychopathological and behavioral symptoms, such as delusions and aggression against care providers, are often the primary cause of acute hospital admissions of elderly patients to emergency units and psychiatric departments. This issue resembles an interdisciplinary clinically highly relevant diagnostic and therapeutic challenge across many medical subjects and general practice. At least 50% of the dramatically growing number of patients with dementia exerts aggressive and agitated symptoms during the course of clinical progression, particularly at moderate clinical severity. Methods Commonly used rating scales for agitation and aggression are reviewed and discussed. Furthermore, we focus in this article on benefits and limitations of all available data of anticonvulsants published in this specific indication, such as valproate, carbamazepine, oxcarbazepine, lamotrigine, gabapentin and topiramate. Results To date, most positive and robust data are available for carbamazepine, however, pharmacokinetic interactions with secondary enzyme induction limit its use. Controlled data of valproate do not seem to support the use in this population. For oxcarbazepine only one controlled but negative trial is available. Positive small series and case reports have been reported for lamotrigine, gabapentin and topiramate. Conclusions So far, data of anticonvulsants in demented patients with behavioral disturbances are not convincing. Controlled clinical trials using specific, valid and psychometrically sound instruments of newer anticonvulsants with a better tolerability profile are mandatory to verify whether they can contribute as treatment option in this indication.
Algorithmic trading engines versus human traders – do they behave different in securities markets?
(2009)
After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines enable order submissions without human intervention based on quantitative models applying historical and real-time market data. Although there is a widespread discussion on the pros and cons of Algorithmic Trading and on its impact on market volatility and market quality, little is known on how algorithms actually place their orders in the market and whether and in which respect this differs form other order submissions. Based on a dataset that – for the first time – includes a specific flag to enable the identification of orders submitted by Algorithmic Trading engines, the paper investigates the extent of Algorithmic Trading activity and specifically their order placement strategies in comparison to human traders in the Xetra trading system. It is shown that Algorithmic Trading has become a relevant part of overall market activity and that Algorithmic Trading engines fundamentally differ from human traders in their order submission, modification and deletion behavior as they exploit real-time market data and latest market movements.
Background, aim, and scope Food consumption is an important route of human exposure to endocrine-disrupting chemicals. So far, this has been demonstrated by exposure modeling or analytical identification of single substances in foodstuff (e.g., phthalates) and human body fluids (e.g., urine and blood). Since the research in this field is focused on few chemicals (and thus missing mixture effects), the overall contamination of edibles with xenohormones is largely unknown. The aim of this study was to assess the integrated estrogenic burden of bottled mineral water as model foodstuff and to characterize the potential sources of the estrogenic contamination. Materials, methods, and results In the present study, we analyzed commercially available mineral water in an in vitro system with the human estrogen receptor alpha and detected estrogenic contamination in 60% of all samples with a maximum activity equivalent to 75.2 ng/l of the natural sex hormone 17beta-estradiol. Furthermore, breeding of the molluskan model Potamopyrgus antipodarum in water bottles made of glass and plastic [polyethylene terephthalate (PET)] resulted in an increased reproductive output of snails cultured in PET bottles. This provides first evidence that substances leaching from plastic food packaging materials act as functional estrogens in vivo. Discussion and conclusions Our results demonstrate a widespread contamination of mineral water with xenoestrogens that partly originates from compounds leaching from the plastic packaging material. These substances possess potent estrogenic activity in vivo in a molluskan sentinel. Overall, the results indicate that a broader range of foodstuff may be contaminated with endocrine disruptors when packed in plastics. Keywords Endocrine disrupting chemicals - Estradiol equivalents - Human exposure - In vitro effects - In vivo effects - Mineral water - Plastic bottles - Plastic packaging - Polyethylene terephthalate - Potamopyrgus antipodarum - Yeast estrogen screen - Xenoestrogens
The role of microglial cells in the pathogenesis of Alzheimer’s disease (AD) neurodegeneration is unknown. Although several works suggest that chronic neuroinflammation caused by activated microglia contributes to neurofibrillary degeneration, anti-inflammatory drugs do not prevent or reverse neuronal tau pathology. This raises the question if indeed microglial activation occurs in the human brain at sites of neurofibrillary degeneration. In view of the recent work demonstrating presence of dystrophic (senescent) microglia in aged human brain, the purpose of this study was to investigate microglial cells in situ and at high resolution in the immediate vicinity of tau-positive structures in order to determine conclusively whether degenerating neuronal structures are associated with activated or with dystrophic microglia. We used a newly optimized immunohistochemical method for visualizing microglial cells in human archival brain together with Braak staging of neurofibrillary pathology to ascertain the morphology of microglia in the vicinity of tau-positive structures. We now report histopathological findings from 19 humans covering the spectrum from none to severe AD pathology, including patients with Down’s syndrome, showing that degenerating neuronal structures positive for tau (neuropil threads, neurofibrillary tangles, neuritic plaques) are invariably colocalized with severely dystrophic (fragmented) rather than with activated microglial cells. Using Braak staging of Alzheimer neuropathology we demonstrate that microglial dystrophy precedes the spread of tau pathology. Deposits of amyloid-beta protein (A beta) devoid of tau-positive structures were found to be colocalized with non-activated, ramified microglia, suggesting that A beta does not trigger microglial activation. Our findings also indicate that when microglial activation does occur in the absence of an identifiable acute central nervous system insult, it is likely to be the result of systemic infectious disease. The findings reported here strongly argue against the hypothesis that neuroinflammatory changes contribute to AD dementia. Instead, they offer an alternative hypothesis of AD pathogenesis that takes into consideration: (1) the notion that microglia are neuron-supporting cells and neuroprotective; (2) the fact that development of non-familial, sporadic AD is inextricably linked to aging. They support the idea that progressive, aging-related microglial degeneration and loss of microglial neuroprotection rather than induction of microglial activation contributes to the onset of sporadic Alzheimer’s disease. The results have far-reaching implications in terms of reevaluating current treatment approaches towards AD.
Background The role of the Fcgamma receptor IIa (FcgammaRIIa), a receptor for C-reactive protein (CRP), the classical acute phase protein, in atherosclerosis is not yet clear. We sought to investigate the association of FcgammaRIIa genotype with risk of coronary heart disease (CHD) in two large population-based samples. Methods FcgammaRIIa-R/H131 polymorphisms were determined in a population of 527 patients with a history of myocardial infarction and 527 age and gender matched controls drawn from a population-based MONICA- Augsburg survey. In the LURIC population, 2227 patients with angiographically proven CHD, defined as having at least one stenosis [greater than or equal to]50%, were compared with 1032 individuals with stenosis <50%. Results In both populations genotype frequencies of the FcgammaRIIa gene did not show a significant departure from the Hardy-Weinberg equilibrium. FcgammaRIIa R(-131)->H genotype was not independently associated with lower risk of CHD after multivariable adjustments, neither in the MONICA population (odds ratio (OR) 1.08; 95% confidence interval (CI) 0.81 to 1.44), nor in LURIC (OR 0.96; 95% CI 0.81 to 1.14). Conclusion Our results do not confirm an independent relationship between FcgammaRIIa genotypes and risk of CHD in these populations.
Background Treatment options for metastatic renal cell carcinoma (RCC) are limited due to resistance to chemo- and radiotherapy. The development of small-molecule multikinase inhibitors have now opened novel treatment options. The influence of the receptor tyrosine kinase inhibitor AEE788, applied alone or combined with the mammalian target of rapamycin (mTOR) inhibitor RAD001, on RCC cell adhesion and proliferation in vitro has been evaluated. Methods RCC cell lines Caki-1, KTC-26 or A498 were treated with various concentrations of RAD001 or AEE788 and tumor cell proliferation, tumor cell adhesion to vascular endothelial cells or to immobilized extracellular matrix proteins (laminin, collagen, fibronectin) evaluated. The anti-tumoral potential of RAD001 combined with AEE788 was also investigated. Both, asynchronous and synchronized cell cultures were used to subsequently analyze drug induced cell cycle manipulation. Analysis of cell cycle regulating proteins was done by western blotting. Results RAD001 or AEE788 reduced adhesion of RCC cell lines to vascular endothelium and diminished RCC cell binding to immobilized laminin or collagen. Both drugs blocked RCC cell growth, impaired cell cycle progression and altered the expression level of the cell cycle regulating proteins cdk2, cdk4, cyclin D1, cyclin E and p27. The combination of AEE788 and RAD001 resulted in more pronounced RCC growth inhibition, greater rates of G0/G1 cells and lower rates of S-phase cells than either agent alone. Cell cycle proteins were much more strongly altered when both drugs were used in combination than with single drug application. The synergistic effects were observed in an asynchronous cell culture model, but were more pronounced in synchronous RCC cell cultures. Conclusions Potent anti-tumoral activitites of the multikinase inhibitors AEE788 or RAD001 have been demonstrated. Most importantly, the simultaneous use of both AEE788 and RAD001 offered a distinct combinatorial benefit and thus may provide a therapeutic advantage over either agent employed as a monotherapy for RCC treatment.