Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Volatility Smile Dynamics in Scenario Analysis

The objective of this paper is to suggest a method that accounts for the impact of the volatility smile dynamics when performing scenario analysis for a portfolio consisting of vanilla options. As the volatility smile is documented to change at least with the level of implied at-the-money volatility, a suitable model is here included in the calculation process of the simulated market scenarios. By constructing simple portfolios of index options and comparing the ex ante risk exposure measured using different pricing methods to realized market values, ex post, the improvements of the incorporation of the model are monitored. The analyzed examples in the study generate results that statistically support that the most accurate scenarios are those calculated using the model accounting for the dynamics of the smile. Thus, we show that the differences emanating from the volatility smile are apparent and should be accounted for and that the methodology presented herein is one suitable alternative for doing so.

Roles of forced nicotine exposure and Comt gene disruption in the development of addiction-related behavioural and neurochemical changes in mice

Activation of midbrain dopamine systems is thought to be critically involved in the addictive properties of abused substances. Drugs of abuse increase dopamine release in the nucleus accumbens and dorsal striatum, which are the target areas of mesolimbic and nigrostriatal dopamine pathways, respectively. Dopamine release in the nucleus accumbens is thought to mediate the attribution of incentive salience to rewards, and dorsal striatal dopamine release is involved in habit formation. In addition, changes in the function of prefrontal cortex (PFC), the target area of mesocortical dopamine pathway, may skew information processing and memory formation such that the addict pays an abnormal amount of attention to drug-related cues. In this study, we wanted to explore how long-term forced oral nicotine exposure or the lack of catechol-O-methyltransferase (COMT), one of the dopamine metabolizing enzymes, would affect the functioning of these pathways. We also wanted to find out how the forced nicotine exposure or the lack of COMT would affect the consumption of nicotine, alcohol, or cocaine. First, we studied the effect of forced chronic nicotine exposure on the sensitivity of dopamine D2-like autoreceptors in microdialysis and locomotor activity experiments. We found that the sensitivity of these receptors was unchanged after forced oral nicotine exposure, although an increase in the sensitivity was observed in mice treated with intermittent nicotine injections twice daily for 10 days. Thus, the effect of nicotine treatment on dopamine autoreceptor sensitivity depends on the route, frequency, and time course of drug administration. Second, we investigated whether the forced oral nicotine exposure would affect the reinforcing properties of nicotine injections. The chronic nicotine exposure did not significantly affect the development of conditioned place preference to nicotine. In the intravenous self-administration paradigm, however, the nicotine-exposed animals self-administered nicotine at a lower unit dose than the control animals, indicating that their sensitivity to the reinforcing effects of nicotine was enhanced. Next, we wanted to study whether the Comt gene knock-out animals would be a suitable model to study alcohol and cocaine consumption or addiction. Although previous work had shown male Comt knock-out mice to be less sensitive to the locomotor-activating effects of cocaine, the present study found that the lack of COMT did not affect the consumption of cocaine solutions or the development of cocaine-induced place preference. However, the present work did find that male Comt knock-out mice, but not female knock-out mice, consumed ethanol more avidly than their wild-type littermates. This finding suggests that COMT may be one of the factors, albeit not a primary one, contributing to the risk of alcoholism. Last, we explored the effect of COMT deficiency on dorsal striatal, accumbal, and prefrontal cortical dopamine metabolism under no-net-flux conditions and under levodopa load in freely-moving mice. The lack of COMT did not affect the extracellular dopamine concentrations under baseline conditions in any of the brain areas studied. In the prefrontal cortex, the dopamine levels remained high for a prolonged time after levodopa treatment in male, but not female, Comt knock-out mice. COMT deficiency induced accumulation of 3,4-dihydroxyphenylacetic acid, which increased further under levodopa load. Homovanillic acid was not detectable in Comt knock-out animals either under baseline conditions or after levodopa treatment. Taken together, the present results show that although forced chronic oral nicotine exposure affects the reinforcing properties of self-administered nicotine, it is not an addiction model itself. COMT seems to play a minor role in dopamine metabolism and in the development of addiction under baseline conditions, indicating that dopamine function in the brain is well-protected from perturbation. However, the role of COMT becomes more important when the dopaminergic system is challenged, such as by pharmacological manipulation.

Posttraumatic stress symptoms among school personnel after the Jokela school shooting : A longitudial study of exposure, interventions, and symptom changes

Objectives. School personnel who are exposed to school violence are at risk in developing post traumatic stress disorder (PTSD). In Finland there have been two such events in recent years, Jokela school shooting on 7.11.2007 and Kauhajoki school shooting about a year later. The aim of the present study was to examine the presence and change in PTSD symptoms during the first year after the Jokela school shooting. A second aim was to study how the initial exposure and treatment affects the symptom levels of PTSD. There were four hypotheses: 1) The PTSD symptoms are higher for the people who were exposed to the school shooting than for the people who did not face the stressor. 2) The PTSD symptoms increase in the follow up for the people at the school which was not attacked because of the second incident brought up the memories from the Jokela school shooting. 3) Those who have greater exposure to the shooting will have higher level of PTSD symptoms at both 4 and 11 months after the shooting than those who were not directly exposed to the shooting. 4) The PTSD symptoms are reduced more in the group that starts treatment right after the traumatic event than in other groups. Methods. A sample of 24 members of Jokela school personnel were examined four months after the incident and 16 were reassessed 11 month after the incident. To study the change and level of symptoms in other schools during the same period, a group with no exposure to the shooting was used as a control group (n=22). The assessment included Post Traumatic Stress Disorder Checklist Specific (PCL-S) and a social and professional support questionnaire. In addition questions about timing of support and experiences of psychological debriefing were asked. Results and conclusions. Most participants in the study group experienced some symptoms of PTSD at both 4 and 11 months. In both measures three participants from the study group fulfilled the diagnostic criteria for PTSD. The study group and control group differed significantly in overall symptom levels. The study group had more PTSD symptoms in the first measure but in the follow-up the study group’s PTSD symptoms decreased and the control group’s increased. There was a significant change in the study groups PTSD symptom level for those who started treatment right after the traumatic event. The results from this study showed that an exposure to school shooting has long-term effects on school personnel. The findings suggest that it is crucial to plan a comprehensive and long-term treatment for school personnel in the aftermath of school shooting.

Impact of Tobacco Control Policy on Smoking and Exposure to Environmental Tobacco Smoke

The aim of the study was to evaluate the impact of the Finnish tobacco control measures for reduction of smoking. First, the trends and patterns in ever smoking among adult Finns in 1978 2001 as well as the associations of trends with the Tobacco Control Act in 1976 were examined. Secondly, the impact of the 1976 TCA on the proportion of ever daily smokers in different socioeconomic groups was studied. Thirdly, the impact of the 1995 TCAA on recent trends in the prevalence of daily smoking was evaluated by gender and employment status. Fourthly, the trends of exposure to environmental tobacco smoke (ETS) at workplaces and homes were investigated. The study is based on data of the Health Behaviour among the Finnish Adult Population surveys. Among Finnish men smoking initiation declined from earlier to later cohorts, whereas among women it increased in successive birth cohorts born before 1956. The lasting differences between birth cohorts as regards ever daily smoking reflected well the impact of measures to reduce smoking in Finland in 1976. Smoking initiation in the birth cohorts (born in 1961 or later) which were in critical age as regards the risk of smoking initiation when the TCA came into force was less common than could be expected according to the trends seen in the earlier birth cohorts. Marked socioeconomic differences were found in smoking in the different birth cohorts. Smoking was more prevalent in the lower socioeconomic groups than in the higher ones, and the differences were larger in the later birth cohorts compared to the earlier ones. The differences between the birth cohorts in ever daily smoking were compatible with the hypothetical impact of the TCA in almost all socioeconomic groups, except farmers. Among men the 1976 TCA appears to have had the greatest impact on white-collar employees. Among women the effect of the act was highly significant in all socioeconomic groups. However, female smoking prevalence continues to show wide socioeconomic disparities. Daily smoking decreased among employees after the 1995 TCAA, supporting the hypothesis of the lowering impact of the amendment on daily smoking due to increased smoking cessation. No parallel change in daily smoking was found in the population without direct expose to ETS legislation (farmers, students, housewives, pensioners or unemployed). Exposure to ETS decreased markedly among non-smokers at work after the 1995 TCAA. The 1976 TCA and the 1995 TCAA were useful in controlling smoking initiation and cessation, but their impact was not equal across the population groups. The results of this study strongly suggested that tobacco control policies markedly contribute to the decrease in smoking and in exposure to environmental tobacco smoke.

Exposure-related human cancer: Molecular changes in sinonasal cancer and lung cancer, with focus on TP53 mutations

Cancer is a leading cause of death worldwide and the total number of cancer cases continues to increase. Many cancers, for example sinonasal cancer and lung cancer, have clear external risk factors and so are potentially preventable. The occurrence of sinonasal cancer is strongly associated with wood dust exposure and the main risk factor for lung cancer is tobacco smoking. Although the molecular mechanisms involved in lung carcinogenesis have been widely studied, very little is known about the molecular changes leading to sinonasal cancer. In this work, mutations in the tumour suppressor TP53 gene in cases of sinonasal cancer and lung cancer and the associations of these mutations with exposure factors were studied. In addition, another important mechanism in many cancers, inflammation, was explored by analyzing the expression of the inflammation related enzyme, COX-2, in sinonasal cancer. The results demonstrate that TP53 mutations are frequent in sinonasal cancer and lung cancer and in both cancers they are associated with exposure. In sinonasal cancer, the occurrence of TP53 mutation significantly increased in relation to long duration and high level of exposure to wood dust. Smoking was not associated with the overall occurrence of the TP53 mutation in sinonasal cancer, but was associated with multiple TP53 mutations. Furthermore, inflammation appears to play a part in sinonasal carcinogenesis as indicated by our results showing that the expression of COX-2 was associated with adenocarcinoma type of tumours, wood dust exposure and non-smoking. In lung cancer, we detected statistically significant associations between TP53 mutations and duration of smoking, gender and histology. We also found that patients with a tumour carrying a G to T transversion, a mutation commonly found in association with tobacco smoking, had a high level of smoking-related bulky DNA adducts in their non-tumorous lung tissue. Altogether, the information on molecular changes in exposure induced cancers adds to the observations from epidemiological studies and helps to understand the role and impact of different etiological factors, which in turn can be beneficial for risk assessment and prevention.

The Risk of Cancer Associated with Immunosuppressive Therapy for Skin Diseases

The possible carcinogenic risk of immunosuppressive therapies is an important issue in everyday clinical practise. Carcinogenesis is a slow multi step procedure, thus a long latency period is needed before cancer develops. PUVA therapy is used for many skin diseases including psoriasis, early stage cutaneous T cell lymphoma, atopic dermatitis, palmoplantar pustulosis and chronic eczema. There has been concern about the increased melanoma risk associated to PUVA therapy, which has previously been associated with an increased risk on non-melanoma skin cancer, especially squamous cell carcinoma. The increased risk of basal cell carcinoma (BCC) is also documented but it is modest compared to squamous cell carcinoma (SCC). This thesis evaluated melanoma and noncutaneous cancer risk associated to PUVA, and the persistence of nonmelanoma cancer risk after the cessation of PUVA treatment. Also, the influence of photochemotherapy to the development of secondary cancers in cutaneous T cell lymphoma and the role of short term cyclosporine in later cancer development in inflammatory skin diseases were evaluated. The first three studies were performed on psoriasis patients. The risk of melanoma started to increase 15 years after the first treatment with PUVA. The risk was highest among persons who had received over 250 treatments compared to those under 250 treatments. In noncutaneous cancer, the overall risk was not increased (RR=1.08,95% CI=0.93-1.24), but significant increases in risk were found in thyroid cancer, breast cancer and in central nervous system neoplasms. These cancers were not associated to PUVA. The increased risk of SCC was associated to high cumulative UVA exposure in the PUVA regimen. The patients with high risk had no substantial exposure to other carcinogens. In BCC there was a similar but more modest tendency. In the two other studies, the risk of all secondary cancers (SIR) in CTCL patients was 1.4 (95% CI=1.0-1.9). In separate sites, the risk of lung cancer, Hodgkin and non-Hodgkin lymphomas were increased. PUVA seemed not to contribute to any extent to the appearance of these cancers. The carcinogenity of short-term cyclosporine was evaluated in inflammatory skin diseases. No increased risk for any type of cancer including the skin cancers was detected. To conclude, our studies confirm the increased skin cancer risk related to PUVA treatment in psoriasis patients. In clinical practice, this has led to a close and permanent follow-up of patients treated with PUVA. In CTCL patients, PUVA treatment did not contribute to the development of secondary cancers. We could not detect any increase in the risk of cancer in patients treated with short term cyclosporine, unlike in organ transplant patients under such long-term therapy.

Childhood otitis media - risk factors and surgical management

Background: Otitis media (OM) is one of the most common childhood diseases. Approximately every third child suffers from recurrent acute otitis media (RAOM), and 5% of all children have persistent middle ear effusion for months during their childhood. Despite numerous studies on the prevention and treatment of OM during the past decades, its management remains challenging and controversial. In this study, the effect of adenoidectomy on the risk for OM, the potential risk factors influencing the development of OM and the frequency of asthma among otitis-prone children were investigated. Subjects and methods: One prospective randomized trial and two retrospective studies were conducted. In the prospective trial, 217 children with RAOM or chronic otitis media with effusion (COME) were randomized to have tympanostomy with or without adenoidectomy. The age of the children at recruitment was between 1 and 4 years. RAOM was defined as having at least 3 episodes of AOM during the last 6 months or at least 5 episodes of AOM during the last 12 months. COME was defined as having persistent middle ear effusion for 2-3 months. The children were followed up for one year. In the first retrospective study, the frequency of childhood infections and allergy was evaluated by a questionnaire among 819 individuals. In the second retrospective study, data of asthma diagnosis were analysed from hospital discharge records of 1616 children who underwent adenoidectomy or had probing of the nasolacrimal duct. Results: In the prospective randomized study, adenoidectomy had no beneficial effect on the prevention of subsequent episodes of AOM. Parental smoking was found to be a significant risk factor for OM even after the insertion of tympanostomy tubes. The frequencies of exposure to tobacco smoke and day-care attendance at the time of randomization were similar among children with RAOM and COME. However, the frequencies of allergy to animal dust and pollen and parental asthma were lower among children with COME than those with RAOM. The questionnaire survey and the hospital discharge data revealed that children who had frequent episodes of OM had an increased risk for asthma. Conclusions: The first surgical intervention to treat an otitis-prone child younger than 4 years should not include adenoidectomy. Interventions to stop parental smoking could significantly reduce the risk for childhood RAOM. Whether an otitis-prone child develops COME or RAOM, seems to be influenced by genetic predisposition more strongly than by environmental risk factors. Children who suffer from repeated upper respiratory tract infections, like OM, may be at increased risk for developing asthma.

A Nationwide Study on Breast Cancer Risk in Postmenopausal Women Using Hormone Therapy in Finland

Since national differences exist in genes, environment, diet and life habits and also in the use of postmenopausal hormone therapy (HT), the associations between different hormone therapies and the risk for breast cancer were studied among Finnish postmenopausal women. All Finnish women over 50 years of age who used HT were identified from the national medical reimbursement register, established in 1994, and followed up for breast cancer incidence (n= 8,382 cases) until 2005 with the aid of the Finnish Cancer Registry. The risk for breast cancer in HT users was compared to that in the general female population of the same age. Among women using oral or transdermal estradiol alone (ET) (n = 110,984) during the study period 1994-2002 the standardized incidence ratio (SIR) for breast cancer in users for < 5 years was 0.93 (95% confidence interval (CI) 0.80–1.04), and in users for ≥ 5 years 1.44 (1.29–1.59). This therapy was associated with similar rises in ductal and lobular types of breast cancer. Both localized stage (1.45; 1.26–1.66) and cancers spread to regional nodes (1.35; 1.09–1.65) were associated with the use of systemic ET. Oral estriol or vaginal estrogens were not accompanied with a risk for breast cancer. The use of estrogen-progestagen therapy (EPT) in the study period 1994-2005 (n= 221,551) was accompanied with an increased incidence of breast cancer (1.31;1.20-1.42) among women using oral or transdermal EPT for 3-5 years, and the incidence increased along with the increasing duration of exposure (≥10 years, 2.07;1.84-2.30). Continuous EPT entailed a significantly higher (2.44; 2.17-2.72) breast cancer incidence compared to sequential EPT (1.78; 1.64-1.90) after 5 years of use. The use of norethisterone acetate (NETA) as a supplement to estradiol was accompanied with a higher incidence of breast cancer after 5 years of use (2.03; 1.88-2.18) than that of medroxyprogesterone acetate (MPA) (1.64; 1.49-1.79). The SIR for the lobular type of breast cancer was increased within 3 years of EPT exposure (1.35; 1.18-1.53), and the incidence of the lobular type of breast cancer (2.93; 2.33-3.64) was significantly higher than that of the ductal type (1.92; 1.67-2.18) after 10 years of exposure. To control for some confounding factors, two case control studies were performed. All Finnish women between the ages of 50-62 in 1995-2007 and diagnosed with a first invasive breast cancer (n= 9,956) were identified from the Finnish Cancer Registry, and 3 controls of similar age (n=29,868) without breast cancer were retrieved from the Finnish national population registry. Subjects were linked to the medical reimbursement register for defining the HT use. The use of ET was not associated with an increased risk for breast cancer (1.00; 0.92-1.08). Neither was progestagen-only therapy used less than 3 years. However, the use of tibolone was associated with an elevated risk for breast cancer (1.39; 1.07-1.81). The case-control study confirmed the results of EPT regarding sequential vs. continuous use of progestagen, including progestagen released continuously by an intrauterine device; the increased risk was seen already within 3 years of use (1.65;1.32-2.07). The dose of NETA was not a determinant as regards the breast cancer risk. Both systemic ET, and EPT are associated with an elevation in the risk for breast cancer. These risks resemble to a large extent those seen in several other countries. The use of an intrauterine system alone or as a complement to systemic estradiol is also associated with a breast cancer risk. These data emphasize the need for detailed information to women who are considering starting the use of HT.