bluuebunny/crossref_metadata_2025_split huggingface dataset:
Analytical and Empirical Features of Internal Ratings: An Empirical Consistency Test based on Statistical Models
Authors: Resti Andrea , Omacini Cristina 
Published: December 2003

Internal ratings represent an important input to the new generation of ‘credit portfolio models’ and to the new capital requirements proposed by the Basel Committee on Banking Supervision; however, their reliability must be validated. In this paper, we first recall the main theoretical and practical aspects explaining the relevance gained by internal ratings in the banks’ operating practices and in the current reform proposals on bank capital regulation. We then show how some statistical models can be used to evaluate a rating system when no great amount on past data is available. To this goal, we first set up a binomial model to capture the main drivers of a borrower’s default; then, we build a separate multinomial model to ‘clone’ the judgements issued by human experts. Finally, we compare the two models: the degree of consistency between them looks reasonable, but is far from being perfect. The main causes of these disagreements are analysed, and some improvements of the current rating process are proposed.(J.E.L. G290, C250)
The Organizational Structure of Banking Supervision
Authors: Goodhart Charles A. E. 
Published: December 2003

Does it matter whether banking supervision is undertaken in‐house in the Central Bank or in a separate specialised supervisory institution? After all, bank supervisors and the Central Bank must continue to work closely together wherever the supervisors are located.Nevertheless there has been a recent trend towards hiving off bank supervision to a separate agency, as in the UK. The main driving forces are the rise of the universal bank, increased conglomeration, and concerns with conflicts of interest.Such separation, however, raises questions whether systemic stability might suffer. The ethos and culture of the separate supervisor might come to focus more on conduct of business, consumer protection, issues. Potentially systemic financial crises would have to be handled by a committee.These are qualitative issues, and developed countries, with differing historical, legal and institutional backgrounds, will come to differing conclusions. But in less developed countries, more weight needs to be placed on ensuring the quality of the supervisory staff, i.e. their professional skills, independence from external pressures, and adequate funding. This tells strongly towards retaining banking supervision under the wing of the Central Bank in such emerging countries.(J.E.L.: E5, F3, G2).
Optimization of Monte Carlo Procedures for Value at Risk Estimates
Authors: Antonelli Sabrina , Iovino Maria Gabriella 
Published: December 2003

This paper proposes a methodology which improves the computational efficiency of the Monte Carlo simulation approach of value at risk (VaR) estimates. Principal components analysis is used to reduce the number of relevant sources of risk driving the portfolio dynamics. Moreover, large deviations techniques are used to provide an estimate of the minimum number of price scenarios to be simulated to attain a given accuracy. Numerical examples are provided and show the good performance of the methodolgy proposed.(J.E.L.: C15, G1).
Economic Significance of the Predictable Movements in Futures Returns
Authors: Miffre Joelle 
Published: December 2003

This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak‐form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once one allows for time‐varying risk and time‐varying risk premia, the investment strategy can be used consistently to generate abnormal returns in seven out of 26 markets. With relatively few exceptions therefore, the predictable movements in futures returns reflect weak‐form market efficiency. The paper also shows that wrongly assuming constant expected returns may lead to incorrect inferences regarding market efficiency.(J.E.L.: G14, G12).
Bank and Business Performance Measurement
Authors: Turnbull Stuart M. 
Published: December 2003

Given the objective of maximizing the wealth of existing shareholders, this paper discusses some of the issues that arise in attempting to measure the performance of individual businesses within a bank. The paper describes two return measures – return on assets within a business and the return on the ‘equity’ of an individual business – and discusses the appropriate bench–marks. The paper ends with a discussion of the cost of unused allocated capital and the appropriate performance metric.(J.E.L.: G30, G31).
Basic Insights in Pricing Basket Credit Derivatives
Authors: Esposito Marcello 
Published: December 2003

Basket credit derivatives are those financial contracts whose pay–out depends on the credit events (‘failure to pay’, ‘default’, etc.) characterizing a portfolio of bonds or loans over a determined time horizon.We have two main categories of basket credit derivatives. The first is characterized by a pay–out depending on the temporal ranking of the credit events: first–to–default, second–to–default, etc. The second is characterized by a pay–out depending on the percentiles of the portfolio's loss distribution induced by the credit events. The latter is often embedded in securitizations of portfolios of bonds or loans, i.e. CDO.This paper proposes some basic insights in the pricing of these particularly complex credit derivatives. Whenever possible, we will try to find an analytical approximation to the exact pricing formula, if a closed form solution is not available.(J.E.L.: G13).
Stochastic Models of Implied Volatility Surfaces
Authors: Cont Rama , Fonseca Jose da , Durrleman Valdo 
Published: December 2003

We propose a market–based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility surface by representing it as a randomly fluctuating surface driven by a finite number of orthogonal random factors. Our approach is based on a Karhunen–Loeve decomposition of the daily variations of implied volatilities obtained from market data on SP500 and DAX options.We illustrate how this approach extends and improves the accuracy of the well–known ‘sticky moneyness’ rule used by option traders for updating implied volatilities. Our approach gives a justification for the use of ‘Vegas’ for measuring volatility risk and provides a decomposition of volatility risk as a sum of independent contributions from empirically identifiable factors.(J.E.L.: G130, C14, C31).
Expected Shortfall: A Natural Coherent Alternative to Value at Risk
Authors: Acerbi Carlo , Tasche Dirk 
Published: December 2003

We discuss the coherence properties of expected shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the ‘average of the 100% worst losses’ in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes(J.E.L.: G20, C13, C14).
The Stability of the Relation Between the Stock Market and Macroeconomic Forces
Authors: Panetta Fabio 
Published: December 2003

This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. The relation between stock returns and the macroeconomic factors is found to be unstable: not only are the factor loadings of individual securities virtually uncorrelated over time, but a high percentage of the shares experience a reversal of the sign of the estimated loadings. This result is not confined to single periods or to a small group of shares, but holds in different sub–periods and for securities in all risk classes. These findings suggest that research should carefully investigate the specification of the return generating process and the stability of the risk measures.(J.E.L.: G12, E44).
Pricing and Hedging Credit Derivatives with Copulas
Authors: Cherubini Umberto , Luciano Elisa 
Published: December 2003

In this paper, we apply a copula function pricing technique to the evaluation of credit derivatives, namely a vulnerable default put option and a credit switch. Also in this case, copulas enable one to separate the specification of marginal default probabilities from their dependence structure. Their use is based here on no–arbitrage arguments, which provide pricing bounds and easy–to–implement super–replication strategies.At a second stage, we specify the copula function to be a mixture one. In this case, we obtain closed form prices and hedges, which we calibrate on real market data. For the sake of comparison, we add a Clayton calibration.(J.E.L: G11, G12).
The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials
Authors: Tillmann Peter 
Published: December 2003

Abstract
With persistence in macroeconomic variables two aspects of exchange rate credibility emerge whose relative importance varies over time. Both aspects have opposite implications for the relation between fundamentals and credibility. Hence, the effect of policy measures on interest rate differentials becomes ambiguous. In this paper a Markov-switching VAR that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent determination of credibility for major EMS currencies. Regime-dependent impulse response functions reveal substantial differences in the response of spreads to macroeconomic shocks across regimes.
The Biological Standard of Living in the Two Germanies
Authors: Komlos John , Kriwy Peter 
Published: December 2003

AbstractPhysical stature is used as a proxy for the biological standard of living in the two Germanies before and after unification in an analysis of a cross-sectional sample (1998) of adult heights, as well as among military recruits of the 1990s. West Germans tended to be taller than East Germans throughout the period under consideration. Contrary to official proclamations of a classless society, there were substantial social differences in physical stature in East Germany. Social differences in height were greater in the East among females, and less among males than in the West. The difficulties experienced by the East German population after 1961 is evident in the increase in social inequality of physical stature thereafter, as well as in the considerable gap relative to the height of the West German population. After unification, however, there is a tendency for East German males, but not of females, to catch up with their West German counterparts.
Alterations of Cell Wall Structure and MetabolismAccompany Reduced Susceptibility to Vancomycin in an IsogenicSeries of Clinical Isolates of
Staphylococcusaureus
Authors: Sieradzki K. , Tomasz A. 
Published: December 2003

ABSTRACT

A
series of isogenic methicillin-resistant
Staphylococcus aureus
isolates recovered from a bacteremic patient were shown to acquire
gradually increasing levels of resistance to vancomycin during
chemotherapy with the drug (K. Sieradzki, T. Leski, L. Borio, J. Dick,
and A. Tomasz, J. Clin. Microbiol. 41:1687-1693,
2003). We compared properties of the earliest (parental)
vancomycin-susceptible isolate, JH1 (MIC, 1 μg/ml), to two late
(progeny) isolates, JH9 and JH14 (vancomycin MIC, 8 μg/ml). The
resistant isolates produced abnormally thick cell walls and poorly
separated cells when grown in antibiotic-free medium. Chemical analysis
of the resistant isolates showed decreased cross-linkage of the
peptidoglycan and drastically reduced levels of PBP4 as determined by
the fluorographic assay. Resistant isolates showed reduced rates of
cell wall turnover and autolysis. In vitro hydrolysis of resistant cell
walls by autolytic extracts prepared from either susceptible or
resistant strains was also slow, and this abnormality could be traced
to a quantitative (or qualitative) change in the wall teichoic acid
component of resistant isolates. Some change in the structure and/or
metabolism of teichoic acids appears to be an important component of
the mechanism of decreased susceptibility to vancomycin in
S.
aureus
.
Interaction between the H
2
Sensor HupUV and the Histidine Kinase HupT Controls HupSL HydrogenaseSynthesis in
Rhodobactercapsulatus
Authors: Elsen Sylvie , Duché Ophélie , Colbeau Annette 
Published: December 2003

ABSTRACT

The
photosynthetic bacterium
Rhodobacter capsulatus
contains two
[NiFe]hydrogenases: an energy-generating hydrogenase, HupSL,
and a regulatory hydrogenase, HupUV. The synthesis of HupSL is
specifically activated by H
2
through a signal transduction
cascade comprising three proteins: the H
2
-sensing HupUV
protein, the histidine kinase HupT, and the transcriptional regulator
HupR. Whereas a phosphotransfer between HupT and HupR was previously
demonstrated, interaction between HupUV and HupT was only hypothesized
based on in vivo analyses of mutant phenotypes. To visualize the in
vitro interaction between HupUV and HupT proteins, a six-His
(His
6
)-HupU fusion protein and the HupV protein were
coproduced by using a homologous expression system. The two proteins
copurified as a His
6
-HupUHupV complex present in dimeric and
tetrameric forms, both of which had H
2
uptake activity. We
demonstrated that HupT and HupUV interact and form stable complexes
that could be separated on a native gel. Interaction was also monitored
with surface plasmon resonance technology and was shown to be
insensitive to salt concentration and pH changes, suggesting that the
interactions involve hydrophobic residues. As expected, H
2
affects the interaction between HupUV and HupT, leading to a weakening
of the interaction, which is independent of the phosphate status of
HupT. Several forms of HupT were tested for their ability to interact
with HupUV and to complement
hupT
mutants. Strong interaction
with HupUV was obtained with the isolated PAS domain of HupT and with
inactive HupT mutated in the phosphorylable histidine residue, but only
the wild-type HupT protein was able to restore normal H
2
regulation.
PropaneMonooxygenase and NAD
+
-Dependent Secondary AlcoholDehydrogenase in Propane Metabolism by
Gordonia
sp.StrainTY-5
Authors: Kotani Tetsuya , Yamamoto Tazuko , Yurimoto Hiroya , Sakai Yasuyoshi , Kato Nobuo 
Published: December 2003

ABSTRACT

A
new isolate,
Gordonia
sp. strain TY-5, is capable of growth on
propane and
n
-alkanes with C
13
to C
22
carbon chains as the sole source of carbon. In whole-cell reactions,
significant propane oxidation to 2-propanol was detected. A gene
cluster designated
prmABCD
, which encodes the components of a
putative dinuclear-iron-containing multicomponent monooxygenase,
including the large and small subunits of the hydroxylase, an
NADH-dependent acceptor oxidoreductase, and a coupling protein, was
cloned and sequenced. A mutant with
prmB
disrupted
(
prmB
::Kan
r
) lost the ability
to grow on propane, and Northern blot analysis revealed that
polycistronic transcription of the
prm
genes was induced
during its growth on propane. These results indicate that the
prmABCD
gene products play an essential role in propane
oxidation by the bacterium. Downstream of the
prm
genes, an
open reading frame (
adh1
) encoding an
NAD
+
-dependent secondary alcohol dehydrogenase was
identified, and the protein was purified and characterized. The
Northern blot analysis results and growth properties of a disrupted
mutant (
adh1
::Kan
r
) indicate
that Adh1 plays a major role in propane metabolism. Two additional
NAD
+
-dependent secondary alcohol dehydrogenases
(Adh2 and Adh3) were also found to be involved in 2-propanol oxidation.
On the basis of these results, we conclude that
Gordonia
sp.
strain TY-5 oxidizes propane by monooxygenase-mediated subterminal
oxidation via
2-propanol.
FunctionalDomains of the RhlR Transcriptional Regulator of
Pseudomonas
aeruginosa
Authors: Lamb Janet R. , Patel Hetal , Montminy Timothy , Wagner Victoria E. , Iglewski Barbara H. 
Published: December 2003

ABSTRACT

The
RhlR transcriptional regulator of
Pseudomonas
aeruginosa
, along with its cognate autoinducer,
N
-butyryl homoserine lactone (C
4
-HSL), regulates
gene expression in response to cell density. With an
Escherichia coli
LexA-based protein interaction
system, we demonstrated that RhlR multimerized and that the degree of
multimerization was dependent on the C
4
-HSL concentration.
Studies with an
E. coli
lasB
::
lacZ
lysogen demonstrated
that RhlR multimerization was necessary for it to function as a
transcriptional activator. Deletion analysis of RhlR indicated that the
N-terminal domain of the protein is necessary for C
4
-HSL
binding. Single amino acid substitutions in the C-terminal domain of
RhlR generated mutant RhlR proteins that had the ability to bind
C
4
-HSL and multimerize but were unable to activate
lasB
expression, demonstrating that the C-terminal domain is
important for target gene activation. Single amino acid substitutions
in both the N-terminal and C-terminal domains of RhlR demonstrated that
both domains possess residues involved in multimerization. RhlR with a
C-terminal deletion and an RhlR site-specific mutant form that
possessed multimerization but not transcriptional activation
capabilities were able to inhibit the ability of wild-type RhlR to
activate
rhlA
expression in
P. aeruginosa
.
We conclude that C
4
-HSL binding is necessary for RhlR
multimerization and that RhlR functions as a multimer in
P
.
aeruginosa
.
Transcriptional Regulation and PosttranslationalActivity of the Betaine Transporter BetL in
Listeriamonocytogenes
Are Controlled by EnvironmentalSalinity
Authors: Sleator Roy D. , Wood Janet M. , Hill Colin 
Published: December 2003

ABSTRACT

While
the genetic elements contributing to the salinity tolerance of
Listeria monocytogenes
have been well characterized, the
regulatory signals and responses (genetic and/or biochemical) that
govern these mechanisms have yet to be elucidated. Encoded by
betL
, the first genetic element to be linked to listerial
osmotolerance, the secondary betaine uptake system BetL is a member of
the betaine-carnitine-choline transporter family. Preceded by consensusσ
A
- and σ
B
-dependent promoter
sites,
betL
is constitutively expressed and transcriptionally
up-regulated in response to salt stress. The nisin-controlled
expression system was used to achieve salinity-independent, controlled
betL
expression in
Listeria
. In the absence of
NaCl-activated transcriptional control, BetL activity was found to be a
function of environmental salinity, showing optimal activity in buffer
supplemented with 1 to 2% NaCl (osmolality, 417 to 719
mosmol/kg). In addition, BetL was activated rapidly (half-life, 2 min)
in response to an osmotic upshift imposed by adding 2% NaCl to
50 mM potassium phosphate
buffer.
The CroRS Two-Component Regulatory System Is Requiredfor Intrinsic β-Lactam Resistance in
Enterococcusfaecalis
Authors: Comenge Yannick , Quintiliani Richard , Li Ling , Dubost Lionnel , Brouard Jean-Paul , Hugonnet Jean-Emmanuel , Arthur Michel 
Published: December 2003

ABSTRACT

Enterococcus
faecalis
produces a specific penicillin-binding protein (PBP5)
that mediates high-level resistance to the cephalosporin class ofβ
-lactam antibiotics. Deletion of a locus encoding a previously
uncharacterized two-component regulatory system of
E. faecalis
(
croRS
) led to a 4,000-fold reduction in the MIC of the
expanded-spectrum cephalosporin ceftriaxone. The cytoplasmic domain of
the sensor kinase (CroS) was purified and shown to catalyze
ATP-dependent autophosphorylation followed by transfer of the phosphate
to the mated response regulator (CroR). The
croR
and
croS
genes were cotranscribed from a promoter (
croRp
)
located in the
rrnC-croR
intergenic region. A putative
seryl-tRNA synthetase gene (
serS
) located immediately
downstream from
croS
did not appear to be a target of CroRS
regulation or to play a role in ceftriaxone resistance. A plasmid-borne
croRp-lacZ
fusion was
trans
-activated by the CroRS
system in response to the presence of ceftriaxone in the culture
medium. The fusion was also induced by representatives of other classes
of β-lactam antibiotics and by inhibitors of early and late
steps of peptidoglycan synthesis. The
croRS
null mutant
produced PBP5, and expression of an additional copy of
pbp5
under the control of a heterologous promoter did not restore
ceftriaxone resistance. Deletion of
croRS
was not associated
with any defect in the synthesis of the nucleotide precursor
UDP-MurNAc-pentapeptide or of the
d
-Ala
4
→
l
-Ala-
l
-Ala-Lys
3
peptidoglycan cross-bridge. Thus, the
croRS
mutant was
susceptible to ceftriaxone despite the production of PBP5 and the
synthesis of wild-type peptidoglycan precursors. These observations
constitute the first description of regulatory genes essential for
PBP5-mediated β-lactam resistance in
enterococci.
The
Klebsiella pneumoniae wabG
Gene: Role inBiosynthesis of the Core Lipopolysaccharide andVirulence
Authors: Izquierdo Luis , Coderch Núria , Piqué Nuria , Bedini Emiliano , Corsaro Maria Michela , Merino Susana , Fresno Sandra , Tomás Juan M. , Regué Miguel 
Published: December 2003

ABSTRACT

To
determine the function of the
wabG
gene in the biosynthesis of
the core lipopolysaccharide (LPS) of
Klebsiella pneumoniae
, we
constructed
wabG
nonpolar mutants. Data obtained from the
comparative chemical and structural analysis of LPS samples obtained
from the wild type, the mutant strain, and the complemented mutant
demonstrated that the
wabG
gene is involved in attachment toα
-
l
-glycero-
d
-manno-heptopyranose II
(
l
,
d
-Hep
p
II) at the O-3 position of anα
-
d
-galactopyranosyluronic acid
(α-
d
-GalA
p
) residue.
K. pneumoniae
nonpolar
wabG
mutants were devoid of the cell-attached
capsular polysaccharide but were still able to produce capsular
polysaccharide. Similar results were obtained with
K.
pneumoniae
nonpolar
waaC
and
waaF
mutants, which
produce shorter LPS core molecules than do
wabG
mutants. Other
outer core
K. pneumoniae
nonpolar mutants in the
waa
gene cluster were encapsulated.
K. pneumoniae waaC
,
waaF
, and
wabG
mutants were avirulent when tested in
different animal models. Furthermore, these mutants were more sensitive
to some hydrophobic compounds than the wild-type strains. All these
characteristics were rescued by reintroduction of the
waaC
,
waaF
, and
wabG
genes from
K.
pneumoniae
.