VictorJuiz/thesis huggingface dataset:
Impact of wrong-way risk on margin valuation adjustment

Valuation adjustments (XVA) have grown in popularity and importance since the Financial Crisis. In the post-Crisis environment, the value of a derivative can no longer be calculated simply as the risk-free price from by Black-Scholes theory, but other aspect, such as credit risk need to be accounted for as well. New regulations following the Crisis impose collateral requirements on over-the-counter derivatives, where initial and variation margin must be exchanged between trading counterparties. This introduces valuation adjustments that reflect the cost of funding for the derivative position. In particular, the Margin Valuation Adjustment (MVA) quantifies the cost of posting initial margin over the life of a trade.
Over the years, an XVA framework was established as market standard which neglects the correlation structure between the probability of default of the counterparty on the one hand, and the exposure or collateral measure on the other hand. Wrong-way risk, i.e., the situation in which exposure is adversely correlated with the counterparty's default probability has increasingly become a concern for regulators, which started to give recommendations to financial institutions to identify and observe the wrong-way risk present in their portfolios.
This work combines the timely subjects of MVA and wrong-way risk by including wrong-way risk effects in MVA calculations. A model-independent approach is followed that has recently been applied to the calculation of regulatory and accounting Credit Valuation Adjustment and Funding Valuation Adjustment.Sample calculations are performed for plain-vanilla interest-rate swaps, cross-currency swaps, and European swaptions.

Keywords: wrong-way risk
margin valuation adjustment
Advisor: Wang, N
From resurrection to rehabilitation: Laurence Sterne and his readers in Soviet Russia (1919-1941)

This thesis examines the 1920s and 1930s as the critical juncture in the rich history of the Russian reception of writings and personality of Laurence Sterne. This study introduces a range of previously unpublished archival materials, including hitherto unknown Russian translations of Tristram Shandy and A Sentimental Journey, essays, illustrations, and private letters. Through a close examination of archival history, it reveals how the eccentric eighteenth-century Yorkshire clergyman was read, translated, and gained admirers within an increasingly totalitarian society. The Soviet state had no political interest in Sterne. What drove this writer’s intensified popularity were individuals who appreciated Sterne’s works and were willing to share their admiration with others.
The thesis seeks to overturn the commonly held assumption that the interest in Sterne did not extend beyond the Formalist circles of Viktor Shklovskii who praised the eighteenth-century writer as an ‘utmost revolutionary of form’. It explores the reception of Sterne in its sheer complexity of overlapping threads and examines other influential, at times paradoxical, forces in play. In particular, it shows that, counterintuitively, the most compelling ideas about Sterne’s work and personality and the best Russian translations of Sterne emerged in Stalin’s era that condemned any formal experiments. This period has previously gone unnoticed in the existing research on Sterne in Russia.
At its core, this thesis is a study of how people suffering from state oppression found forms of escape in Sterne's whimsical fiction that transcends any external ideology. By studying individual encounters with Sterne in the context of wider biographical, cultural, and social narratives, it examines the microhistory of Sterne’s reception as a reflection of the larger history of intellectual autonomy in Soviet Russia.

Keywords: translation
book history
Laurence Sterne
Soviet culture
reception
Soviet Russia
Advisor: Zorin, A
Target search mode of a disordered transcription factor

Protein disorder is prevalent in proteins which are involved in DNA binding, such as transcription factors. Transcription factors commonly contain disorder within protein-protein interaction interfaces, however a small number of families contain disorder in their DNA binding domain such as the basic leucine zipper proteins (bZIP). bZIP proteins like cAMP response element binding protein (CREB) have a wide range of roles in human health, however the role of disorder in how bZIP proteins find their cognate DNA site within the nucleus is still unknown. In addition, significant controversy exists about whether bZIP proteins search for the target as a preformed dimer or by sequential association of monomers. Using a range of biophysical techniques including stopped flow kinetics and nuclear magnetic resonance spectroscopy with constructs to mimic the monomer or dimer species, this question has been examined. The CREB homodimer affinity was found to be high, at the upper limit of what had been previously seen for bZIPs. CREB is able to recognise the cognate DNA CRE motif specifically as a preformed dimer and undergoes coupled folding upon binding. In the search mode, however, the basic region remains dynamic with more disordered character. Compared to the dimeric construct, a monomeric CREB model exhibited a lack of specificity for the cognate site and several orders of magnitude reduction in affinity. The affinity for DNA by the monomer appears to be dependent on the propagation of helical content into the DNA-binding basic region, which directly contacts the DNA, from the leucine zipper in the dimer. CREB bZIP also searches for its target DNA using a combination of intersegmental transfer and sliding, with the residual helical content in the basic region controlling these rates. CREB therefore appears to perform effective target search preferentially through the pre-formed dimer pathway, independent of the presence of excess competitor DNA which is consistent with the homodimer stability, but can also proceed through the monomer pathway albeit with a reduced affinity for the target. This work therefore extends our understanding towards describing the target search mode and mechanism by a disordered transcription factor.

Keywords: CREB
protein disorder
transcription
cAMP response element binding protein
nuclear magnetic resonance
bZIP
transcription factors
basic leucine zipper
Advisor: Redfield, C
Bowen, AM
Gomersall, SL
Multi-agent, non-equilibrium, and network models of labour economics and financial contagion

The financial crisis of 2009 showed that the economy is not in equilibrium. That is, the economy is in a state where agents have incentives to modify their chosen actions. The recent COVID-19 pandemic has shown that the economy changes rapidly and that reaching an equilibrium can take years, if one is reached at all. However, assuming equilibrium has long formed the basis of many economic models. Although a non-equilibrium approach may seem better suited for answering economic policy questions during times of rapid change, previously, the lack of data and computing power made it difficult to build these type of models. Today, these factors are less constraining.
This thesis contributes to the development of non-equilibrium economic models that can provide accurate answers to policy-relevant questions efficiently. The models we develop have the potential to enable fast economic analysis and can be run in near real-time.
In the first part of this thesis, we focus on the labour market. We develop a model to analyse how workers move through an empirically derived occupational mobility network in response to labour demand shocks. We show that we can approximate the behaviour of the agent-based model with a discrete dynamical system. At the macro level, our model reproduces the Beveridge curve's dynamics, i.e. the negative relationship between vacancy and unemployment rate. At the occupation level, we study the potential impact of automation and the COVID-19 pandemic on employment. We find that the network structure plays an important role in determining unemployment levels, with occupations in particular areas of the network having few job transition opportunities.
In the second part, we use multiplex networks to study global financial contagion. This work focuses on identifying systemically important countries, i.e. countries whose financial distress can propagate to other countries. We build a global financial multiplex network and develop a multiplex threshold model of financial contagion. We find that the number of systemically important countries can be twice as large when we consider a multiplex network structure compared to a monoplex structure.
These two models have the potential to be used for policy design. Arguably, support and skill development programs should be directed towards workers who are likely to face longer periods of unemployment. Our model can help policymakers identify who these workers are. Our multiplex model of financial contagion represents a first step towards developing multiplex network models which policy institutions could use to prevent the spread of financial contagion.

Keywords: COVID-19
financial contagion
networks
agent-based model
automation
labour market
unemployment
multilayer networks
Advisor: Farmer, J
lafond, f
Beguerisse Diaz, M
The archaeology of middle Byzantie Aphrodisias

Aphrodisias is an ancient settlement in the valley of the Morsynos, a tributary of the Maeander in southwest Asia Minor. Excavation at the site has been ongoing since 1961, but to date most research has examined its ancient and late antique remains. The following thesis represents the first detailed study of the site during the seventh through thirteenth centuries, over which period a small Middle Byzantine town adopted and transformed the ancient topography. The thesis integrates material already published with several major new corpora of archaeological evidence, drawing upon archival records, museum depots and targeted fieldwork. These allow for a reconstruction of the fabric of the settlement and the exploration of the relationships that structured the community. The thesis is an exercise in settlement archaeology as social history, and a contribution to the study of the Middle Byzantine Maeander.
The first chapter presents a brief introduction to the study of Middle Byzantine urbanism, and situates the early excavations at Aphrodisias in their twentieth-century intellectual context. The second chapter takes the form of a topographic gazetteer of archaeological evidence for medieval activity and occupation, concluding with a discussion of the shape and extent of the town. The following three chapters then present detailed studies of different categories of evidence, making reference to four descriptive catalogues appended to the thesis. Chapter three addresses the monetary economy of the Morsynos Valley on the basis of 712 coins recorded both at the archaeological site and in the collection of the local museum. The fourth chapter analyses the corpus of marble liturgical sculpture, reconstructing the barriers and canopies that articulated the Middle Byzantine interiors of the town's churches. The fifth and final chapter discusses the three major cemeteries, closing with a short essay on the social context of death and burial. A brief conclusion interrogates the results of the thesis.

Keywords: classical archaeology
Byzantine Asia Minor
Byzantine archaeology
Byzantine coins
funerary archaeology
Days of revolution: Three essays on the effects of civil war dynamics in Latin America

This doctoral dissertation studies the political effects of civil war dynamics at distinct conflict stages, with an empirical focus in Latin America. Concretely, it aims to address some of the following questions: How do distinct civil war dynamics affect subsequent institutional arrangements? Does exposure to violence from different actors affect civilian preferences towards peace? How do states distribute state power in the aftermath of conflict? Most of these questions have seldomly been treated in the literature of civil war studies. This dissertation aims to expand the debate on the variety of effects of civil war providing four core contributions:promoting the development of an analytical approach that conceptualizes conflict as processes with distinct phases; pushing towards an integrated agenda on political violence; advocating the necessity of engaging in actor dissagregation; and bringing the state back in into the analysis of internal armed conflicts.
In order to do this, this dissertation includes three articles. First, I provide across-national analysis focusing on the inter-relation between insurgent strength, intra-elite competition and coups d’etat, using a novel dataset of insurgencies operating in the region. Second, an article co-authored with Juan Masullo (Leiden University) studying the impact of violence against civilians on preferences towards the implementation of the Peace Agreement between the FARC-EP and the Government in the 2016 Colombian Referendum. And finally, a subnational analysis on the Sendero Luminoso rebellion in Peru (1980-1992), which traces the impact of the spatial distribution of wartime territorial control in the allocation of state capacity measures in the aftermath of conflict. The combination of these projects aim to provide new and important insights to the burgeoning research on civil war, but also to inform policymakers and international organizations about conflict processes and their capacity for intervention or resolution at different stages.

Keywords: Latin America
Civil War
Advisor: Kalyvas, S
The origins of tolerant and repressive secularism: an analysis of the United States and France in comparative perspectives

In the field of political science, the term “secularism” is commonly understood as a statecraft doctrine that guarantees the separation between religion and state. A careful examination of history discloses that the United States and France are the two founding nations of this principle. Notwithstanding their common foundation of secularism, these two countries exhibit substantive variation in the implementation of this constitutional tenet — notably, in the extent to which they tolerate religious freedom and its expression. My thesis investigates the causal factors as to why the United States practices a tolerant form of secularism, which guarantees freedom of religion; while France exercises a repressive type of secularism, which is concerned with freedom from religion. For this purpose, my research project relies upon a qualitative analysis using comparative–historical methods and within-case process tracing. In essence, I argue that the outcome of the political conflict that occurred between liberal and conservative elites during the periods of secular state-building explains the type of secularism adopted by the country and its persistence in the mid-long run. After providing in-depth and theory-guided narratives of the American and French cases, I explore the external validity of my argument on two shadow cases, namely Senegal and pre-AKP Turkey. These brief studies echo the findings from my main cases by showing that the adaptation and persistence of tolerant secularism in Senegal is the result of a political comprise reached between liberals and conservatives during the country’s process of secular state-building similar to the United States; whereas liberals’ political victory over conservatives in Turkey during a comparable episode resulted in the imposition and persistence of repressive secularism like in France, until the AKP leadership managed to halt it.

Keywords: Turkey
path dependence
types of secularism
state–religion relations
political compromise
secularism
France
political victory
critical junctures
political conflict
periods of secular state-building
Senegal
the United States
Advisor: Dilling, M
Novel machine learning methods for cancer sequencing analysis

Heterogeneity is arguably one of the most important hallmarks of cancer which contributes to its drug resistance property. Cancer heterogeneity is the consequence of an evolutionary process during its development. Understanding cancer evolution will thus benefit the drug development field as well as clinical treatment of cancer.
In this thesis, I developed three novel approaches based on machine learning for the analysis of \correction{cancer evolution} using genomics data.
In the work related to mutation signature, I developed a novel approach using convolution filtering to detect new signatures. I showed that this new approach works better than existing method under certain condition and could be applied to longer nucleotide sequences.
In the work for copy number evolution, I developed a reinforcement learning approach to uncover the evolution history. I showed that this approach could recover the history more accurately than existing methods. It is also the first reinforcement learning approach developed in the field for cancer evolution.
In the work for high dimensional genomic data analysis, I developed an approach which jointly carries out dimension reduction and clustering. I showed that this method could recover the underlying latent structure of genomic sequencing data more accurately than existing methods and this method could be used for scRNA-seq data analysis as well as many other fields.
These novel methods developed could be used for more cancer genomic data to gain better understanding of the cancer evolution process in the future.

Keywords: mutation signature
cancer
whole genome sequencing
genomics
machine learning
copy number alteration
cancer evolution
single cell RNAseq
Advisor: Yau, C
Church, D
Tomlinson, I
Holmes, C
Investigating the regulation of ZUP1, a novel deubiquitinating enzyme involved in DNA repair, by coupled monoubiquitination

Ubiquitination, a major post-translational modification, is reversed through the action of a large family of specialised proteases termed deubiquitinating enzymes (DUBs). Due to their involvement in key cellular pathways, such as inflammation, the cell cycle and DNA repair, as well as their potential as targets for therapeutic intervention, DUBs are critical to investigate. ZUP1 is a recently discovered DUB with cleavage specificity for lysine-63 conjugated polyubiquitin chains and has been proposed to have a role in DNA repair and genome stability maintenance via deubiquitination of the Replication Protein A complex. The regulation of DUBs is not well understood, but it has been suggested that ZUP1 undergoes a modification termed coupled monoubiquitination. Coupled monoubiquitination is a process whereby ubiquitin-binding proteins are monoubiquitinated themselves, which effectively abolishes their ubiquitin binding in trans, providing an inhibitory control mechanism. Here, by mutating two of the ubiquitin-binding domains of ZUP1, I show that ZUP1 monoubiquitination is dependent on the integrity of its ubiquitin binding domains, indicating that ZUP1 undergoes coupled monoubiquitination. Moreover, loss of monoubiquitination leads to a reduction in binding to another deubiquitinating enzyme involved in DNA repair, USP11 and its binding partner TCEAL1, an as of yet uncharacterised DNA repair protein. Together, I provide evidence that ZUP1 is regulated by coupled monoubiquitination which sets the foundation to further dissect the functional importance of this regulation in cells and to its enzymatic activity.

Keywords: coupled monoubiquitination
ubiquitin binding domain
Lys63 chains
DNA repair
deubiquitinating enzyme
DUB
Advisor: Gibbs-Seymour, I
Domingos Jansen, L
Poetry and provisionality in Republic X

This thesis investigates the attitude Socrates has towards his banishment of imitative poetry in Republic X. The standard view is that Socrates is entirely confident in this banishment in the sense that he considers it to be well-justified. Stephen Halliwell (2011) has argued that Socrates thinks that his banishment is not well-justified and that a convincing rebuttal to it is a live possibility, such that he is anxious about his banishment. This thesis develops and defends the view that Socrates oscillates between being confident in and anxious about his banishment of imitative poetry in Republic X. It argues that the standard view rightly detects confidence, but wrongly maintains that Socrates is entirely confident in his banishment. Likewise, it argues that Halliwell rightly detects anxiety, but wrongly maintains that Socrates is never confident in his banishment.

Keywords: Republic
Socrates
Plato
Advisor: Scott, D
The poetics of subversion and conservatism: popular satire, c.1640 - c.1649

The thesis deals with the satire produced by the popular print culture in London during the Civil War, examining the satirical texts in the wider context of Renaissance literature as well as in their immediate political and religious setting. The thesis applies the work of historians of popular culture to literary forms of popular expression in order to assess the rôle of the satirical pamphlet in Civil War society and politics. The social function of satire in effecting change in the perception of reality and in public opinion accounts for the deliberate "popular" manner of satirical texts in the 1640s; the satires printed as single-sheet quarto pamphlets exploit the book market and provide a rhetorical vehicle for Parliamentary and Royalist writers. Part I introduces the principal themes examined in the thesis, and provides a methodological framework for the analysis of 1640s popular literature. Furthermore, Part I discusses John Milton's notions of satirical propriety and suggests that Milton's polemical prose has a place among the satires of the 1640s. Part II argues that the ancient understanding of satire as curse provides in the 1640s the basis for the use of anagrams and typographical characters in satirical, formal malediction; the verse satire of John Cleveland (1613-1658) receives particular attention. Part III sets the notion of particular satire in the context of "libel" and the iconological controversy of the seventeenth century: lampoons and "pasquils" are consciously iconoclastic, marring the image of the person attacked. No more clearly is this seen than in the pamphlets responding to Eikon Basilike (1649) which use satire to break the image of the king. Part IV demonstrates the influence of the Greek satirist, Lucian, upon the satire of the 1640s in which heaven and hell feature prominently; Lucian is a particularly interesting example of erudite allusion in popular texts. Part V suggests that the preoccupation with order and disorder is central to the seventeenth century; a study of the function of representations of order, the Ptolemaic model of the cosmos in particular, in satirical and non-satirical texts leads to an examination of the rôle of parody in subverting order. The Appendix consists of a short analysis of A Satyr Against Hypocrites (1655) by Milton's nephew, John Phillips (1631-1706), demonstrating the influence of Milton on popular forms of satirical expression; aspects of satire treated in the thesis coalesce in the examination of Phillips's A Satyr Against Hypocrites.

Keywords: satire
Milton, John
Cleveland, John
popular culture
Eikon Basilike
Phillips, John
English Civil Wars
Advisor: Smith, N