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Specific features of crack propagation in human cortical bone depend on many factors; bone micro-morphology is one of the main features. A bone compact-tension simulation model with zero-thickness cohesive element is employed in this study to investigate the effect of micro-morphology of cortical bone on fracture toughness and crack propagation. Various groups of bone sample – from young, senior, diseased and treated patients – were studied. It was found that the young group has the best performance in terms of fracture resistance, with the initiation fracture toughness (K0) and slope of 1.45 MPa(m)1/2 and 1.16 MPa(m)1/2/mm, respectively. The cracks in this group propagate mostly along the cement line to protect osteons from crack penetration.

Notch signaling is a key pathway controlling various cell fate decisions during embryogenesis and adult life. It is activated by binding of specific ligands to four different Notch receptors that are subsequently cleaved by presenilins to release an intracellular domain that enters the nucleus and activates specific transcription factors. While the skeletal analysis of various mouse models with activated or inactivated Notch signaling has demonstrated a general impact of this pathway on bone remodeling, the more recent identification of NOTCH2 mutations in individuals with Hajdu-Cheney syndrome (HCS) has highlighted its human relevance. Since HCS is primarily characterized by skeletal defects, these latter findings led us to analyze the specific role of Notch2 in skeletal remodeling. After observing Notch2 expression in osteoblasts and osteoclasts, we utilized Runx2-Cre and Lyz2-Cre mice to inactivate Notch2 in cells of the osteoblast or osteoclast lineage, respectively. Whereas Notch2(fl/fl)/Lyz2-Cre mice did not display significant alterations of skeletal growth, bone mass or remodeling, Notch2(fl/fl)/Runx2-Cre mice progressively developed skeletal abnormalities in long bones. More specifically, these mice displayed a striking increase of trabecular bone mass in the proximal femur and the distal tibia at 6 and 12months of age. Whereas undecalcified sectioning of the respective regions did not reveal impaired osteocyte differentiation as a potential trigger for the observed phenotype, ex vivo experiments with bone marrow cells identified an increased osteogenic capacity of Notch2(fl/fl)/Runx2-Cre cultures. Collectively, our findings demonstrate that Notch2 physiologically regulates bone remodeling by inhibiting trabecular bone formation in the appendicular skeleton. Understanding the underlying mechanisms may help to improve diagnosis and therapy of HCS.

In the spirit of Merton (1973) , we assert that temporary aggregate market illiquidity is compensated for in the form of higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions of the Amihud illiquidity measure and a measure based on exchange traded fund prices. Our investigation is based on vector autoregressive models for the German stock market between July 2006 and June 2010. The fund-based illiquidity proxy dominates in capturing consistent results for the determination of time-varying market returns. Temporary illiquidity is indeed compensated for by higher market returns. We confirm a bidirectional relation between illiquidity and market returns, i.e. current returns depend on lagged illiquidity and current illiquidity can be determined by a combination of past returns as well as past illiquidity. The relation shows that illiquidity is persistent and driven by market declines.

We study the magnitude of tail risk – particularly lower tail downside risk – that is present in intraday versus overnight market returns and thereby examine the nature of the respective market risk borne by market participants. Using the Generalized Pareto Distribution for the return innovations, we use a GARCH model for the conditional market return components of major stock markets covering the U.S., France, Germany and Japan. Testing for fat-tails and tail index equality, we find that overnight return innovations exhibit significant tail risk, while intraday innovations do not. We illustrate this volatility versus tail risk trade-off based on conditional Value-at-Risk calculations. Our results show that overnight downside market risk is composed of a moderate volatility risk component and a significant tail risk component. We conclude that market participants face different intraday versus overnight risk profiles and that a risk assessment based on volatility only will severely underestimate overnight downside risk.

We study the magnitude of tail risk --- particularly lower tail downside risk --- that is present in intraday versus overnight market returns and thereby examine the nature of the respective market risk borne by market participants. Using the Generalized Pareto Distribution for the return innovations, we use a GARCH model for the conditional market return components of major stock markets covering the U.S., France, Germany and Japan. Testing for fat-tails and tail index equality, we find that overnight return innovations exhibit significant tail risk, while intraday innovations do not. We illustrate this volatility versus tail risk trade-off based on conditional Value-at-Risk calculations. Our results show that overnight downside market risk is composed of a moderate volatility risk component and a significant tail risk component. We conclude that market participants face different intraday versus overnight risk profiles and that a risk assessment based on volatility only will severely underestimate overnight downside risk.

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are motivated in the tradition of structural credit risk models and include changes in asset prices, interest rates, implied market volatility, gold price changes and foreign exchange rates. We examine daily frequency variations of U.S. dollar denominated Eurobond credit spreads of four major Latin American sovereign bond issuers (Brazil, Colombia, Mexico and Venezuela) with liquid bond markets during March 2000 to June 2011. We find that spread determinants are statistically significant and consistent with theory, while their magnitude remarkably varies with the state of the credit cycle. Crisis states are characterized by high spread change uncertainty and high sensitivities with respect to the spread change determinants. We further document that not only changes of local currencies, but also changes of the Euro with respect to the U.S. dollar are significant spread drivers and argue that this is consistent with the sovereigns' ability to pay.