Measuring bank contagion in Europe using binary spatial regression models

The recent European sovereign debt crisis clearly illustrates the importance of measuring the contagion effects of bank failures. Indeed, to better understand and monitor contagion risk, the European Central Bank has assumed the supervision of the largest banks in each of the member states. We propose a measure of contagion risk based on the spatial autocorrelation parameter of a binary spatial autoregressive model. Using different specifications of the interbank connectivity matrix, we estimate the contagion parameter for banks within the Eurozone, between 1996 and 2012. We provide evidence of high levels of systemic risk due to contagion during the European sovereign debt crisis.     

The Problem of Generalized D-Stability in Unbounded LMI Regions and Its Computational Aspects

Journal of Dynamics and Differential Equations - We generalize the concepts of D-stability and additive D-stability of matrices. For this, we consider a family of unbounded regions defined in terms...     

Comparing the catalytic efficiency of ring substituted 1-hydroxybenzotriazoles as laccase mediators

A series of ring substituted 1-hydroxybenzotriazoles (6-X-HBTs) have been tested as mediators in the laccase-promoted oxidation of 4-methoxybenzyl alcohol, 3,4-dimethoxybenzyl alcohol, and the dimeric lignin model 1-(3,4-dimethoxyphenyl)-2-phenoxyethanol. The effect of the aryl substituents on the yields of oxidation products is remarkable. The catalytic mediation efficiency increases as the electron releasing (ER) properties of the substituent increases up to a maximum value for 6-CH₃-HBT, which resulted a very efficient mediator. Both the oxidation of the 6-X-HBTs to the N-oxyl radicals (6-X-BTNO) by laccase and the hydrogen atom transfer (HAT) process from the benzylic C–H to the 6-X-BTNO contribute to the overall reactivity. The former process is favored by ER substituents that lower the mediator redox potentials. On the other hand, ER substituents decrease the 6-X-BTNO reactivity in the HAT process due to a decrease in the NO–H BDE value, as assessed in this study through a radical equilibration technique.     

Sterol oxidation in meat- and fish-based homogenized baby foods containing vegetable oils

Sterol oxidation was evaluated in commercial meat- and fish-based homogenized baby foods containing vegetable oil. Gas chromatography coupled with mass spectrometry (GC/MS) was used for the analytical determination of 7-ketocholesterol and 7-ketositosterol, which were chosen as markers of sterol oxidation in lipids of animal origin and vegetable origin, respectively. Cholestanetriol was also quantified, because its negative effects on atherogenesis and other biological processes are well known. In meat-based samples, the levels of 7-ketocholesterol and 7-ketositosterol were 22-89 and 11-40 microg/serving, respectively, whereas the cholestanetriol levels were 7-38 microg/serving. The 7-ketocholesterol/cholesterol percent ratio was characteristic of each kind of meat and related to the levels of unsaturated fatty acids of animal lipids. In fish-based samples, the cholestanetriol and 7-ketocholesterol levels per serving were significantly lower than in meat samples, but in fish fillets they were about 20-25%, instead of 40%, of the ingredients. The values of the 7-ketocholesterol/cholesterol percent ratio in fish-based products were close to the values computed for chicken or turkey-based products. The detected values of cholestanetriol showed that the addition of vegetable oil enhances the development of the indirect bimolecular pathway of cholesterol oxidation, which was even more favorable in fish-based products.     

One- and two-photon absorption and emission properties of a Zn(II) chemosensor

This paper presents the synthesis and two photon-induced absorption (TPA) properties of a functionalized distyrylbenzene (DSB) 1 containing a tetra-azacyclododecane (cyclen) receptor for Zn(II). The influence of Zn(II) on one- and two-photon absorption characteristics of 1 has been investigated in dimethyl sulfoxide. The experiments show that the TPA action spectrum of uncomplexed 1, at 750 nm employing nanosecond-long excitation pulses, is 5 times more intense than that of the complexed form. This moderate contrast between the bound and unbound species confirms, however, the potential of this design scheme for the development of molecular structures with enhanced sensitivity and contrast to be used as Zn(II) sensors through TPA-induced fluorescence microscopy.     

Sequential unsymmetrical aryl coupling of o-substituted aryl iodides with o-bromophenols and reaction with olefins: palladium-catalyzed synthesis of 6H-dibenzopyran derivatives

Dibenzopyran derivatives are prepared by palladium- and norbornene-catalyzed reaction of aryl iodides, o-substituted with electron-releasing substituents, o-bromophenols, and activated alkenes.     

Surface behavior and molecular recognition in DNA microarrays from N,N-dimethylacrylamide terpolymers with activated esters as linking groups

A series of terpolymers made of DMA, NAS and MAPS were synthesized by free radical copolymerization and used as functional coatings for the fabrication of glass slide DNA microarrays. The surface properties of coated glass slides were investigated through contact angle measurements, ellipsometry and atomic force microscopy. The terpolymer molecular weight showed a moderate effect on surface tension (gamma(s) = 56-62 mN x m(-1)), but no clear effect on polymeric layer thickness (5-8 nm) and roughness. Hybridization experiments with amine-functionalized oligonucleotides gave the best fluorescence intensity results for microarrays coated with intermediate-molecular-weight terpolymers. Finally, an accelerated ageing test of the microarray in a humidity chamber showed a nice relationship between decay curves of contact angle against water and fluorescence intensity.     

Robust portfolio asset allocation and risk measures

Many financial optimization problems involve future values of security prices, interest rates and exchange rates which are not known in advance, but can only be forecast or estimated. Several methodologies have therefore, been proposed to handle the uncertainty in financial optimization problems. One such methodology is Robust Statistics, which addresses the problem of making estimates of the uncertain parameters that are insensitive to small variations. A different way to achieve robustness is provided by Robust Optimization which, given optimization problems with uncertain parameters, looks for solutions that will achieve good objective function values for the realization of these parameters in given uncertainty sets. Robust Optimization thus offers a vehicle to incorporate an estimation of uncertain parameters into the decision making process. This is true, for example, in portfolio asset allocation. Starting with the robust counterparts of the classical mean-variance and minimum-variance portfolio optimization problems, in this paper we review several mathematical models, and related algorithmic approaches, that have recently been proposed to address uncertainty in portfolio asset allocation, focusing on Robust Optimization methodology. We also give an overview of some of the computational results that have been obtained with the described approaches. In addition we analyse the relationship between the concepts of robustness and convex risk measures.