Patients with panic disorders show a deficit of GABAA receptors in the hippocampus, parahippocampus and orbitofrontal cortex. Synaptic clustering of GABAA receptors in mice heterozygous for the gamma2 subunit was reduced, mainly in hippocampus and cerebral cortex. The gamma2 +/- mice showed enhanced behavioral inhibition toward natural aversive stimuli and heightened responsiveness in trace fear conditioning and ambiguous cue discrimination learning. Implicit and spatial memory as well as long-term potentiation in hippocampus were unchanged. Thus gamma2 +/- mice represent a model of anxiety characterized by harm avoidance behavior and an explicit memory bias for threat cues, resulting in heightened sensitivity to negative associations. This model implicates GABAA-receptor dysfunction in patients as a causal predisposition to anxiety disorders.

Ž. The aim of this paper is to analyze the sensitivity of Value at Risk VaR with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR. An empirical illustration of such an analysis is given for a portfolio of French stocks. q

We consider the mean-variance hedging problem when the risky assets price process is a continuous semimartingale. The usual approach deals with self-financed portfolios with respect to the primitive assets family. By adding a numéraire as an asset to trade in, we show how self-financed portfolios may be expressed with respect to this extended assets family, without changing the set of attainable contingent claims.We introduce the hedging numéraire and relate it to the variance-optimal martingale measure. Using this numéraire both as a deflator and to extend the primitive assets family, we are able to transform the original mean-variance hedging problem into an equivalent and simpler one; this transformed quadratic optimization problem is solved by the Galtchouk-Kunita-Watanabe projection theorem under a martingale measure for the hedging numéraire extended assets family. This gives in turn an explicit description of the optimal hedging strategy for the original mean-variance hedging problem.We thank the co-editor Freddy Delbaen, an associate editor, and both referees for their careful reading of the manuscript and for many valuable comments that led to an improvement of an earlier version of this paper. Helpful comments from Martin Schweizer are gratefully acknowledged. We also thank Peter Bossaerts for his remarks.

Protease nexin-1 (PN-1), a member of the serpin superfamily, controls the activity of extracellular serine proteases and is expressed in the brain. Mutant mice overexpressing PN-1 in brain under the control of the Thy-1 promoter (Thy 1/PN-1) or lacking PN-1 (PN-1Ϫ/Ϫ) were found to develop epileptic activity in vivo and in vitro. Theta burst-induced long-term potentiation (LTP) and NMDA receptor-mediated synaptic transmission in the CA1 field of hippocampal slices were augmented in Thy 1/PN-1 mice and reduced in PN-1Ϫ/Ϫ mice. Compensatory changes in GABA-mediated inhibition in Thy 1/PN-1 mice suggest that altered brain PN-1 levels lead to an imbalance between excitatory and inhibitory synaptic transmission.

No abstract

We consider a factor approach to the pricing of basket credit derivatives and synthetic CDO tranches. Our purpose is to deal in a convenient way with dependent defaults for a large number of names. We provide semi-explicit expressions of the stochastic intensities of default times and pricing formulae for basket default swaps and CDO tranches. Two cases are studied in detail: mean-variance mixture models and frailty models. We also compare prices under Gaussian and Clayton copulas. The …rst version circulated as in internal BNP Paribas working paper in may 2001; a second version has been disclosed on the web in october 2002. The authors thank D. Du¢e, C. Gouriéroux, M. Musiela, members of the credit derivative research team at BNP Paribas and participants at the Quantitative Finance RISK conference, the Credit Derivatives RISK seminar, the Bachelier seminar on default risk held at University of Evry, the French Finance Association and Quant'03 conferences. We also thank X. Burtschell for computational assistance. The usual disclaimer applies.1 See Junker and Ellis [1998] for some characterizations of one factor models and Gouriéroux and [2002] for some application to credit risk. Monfort SURVIVAL FUNCTIONS AND STOCHASTIC INTENSITIESP Ni] (L(t)). Equity and senior tranches are treated similarly. We can notice that M (t) is a pure jump process derived from L(t). We will thereafter denote M (t) = !(L(t)) where ! is non decreasing function.The holder of a synthetic CDO tranche receives at time T a unique principal payment of M (1)¡M (T ), where M (1) denotes the initial nominal of the tranche and M (1) ¡ M(t) will thereafter denote the outstanding 22 Or on plain Credit Default Swaps. 23 In order to simplify notations, we use a unique terminology M (t) to denote the cumulative losses on the three tranches.

No abstract

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of efficient portfolios. We show some robustness of optimal portfolios with respect to the choice of risk measure. Unsurprisingly, risk measures that emphasize large losses lead to slightly more diversified portfolios. However, risk measures that account primarily for worst case scenarios overweight funds with smaller tails which mitigates the relevance of diversification.JEL Classification: C61 ; D81 ; D84 ; G11