Unfunded pension liabilities and sponsoring firm credit risk: an international analysis of corporate bond spreads

This paper tests empirically whether pension information derived by corporate pension accounting disclosures is priced in corporate bond spreads. The model represents a hybrid of more traditional accounting ratio-based models of credit risk and structural models of bond spreads initiated by Merton (1974). The model is fitted to 5 years of data from 2002 to 2006 featuring companies from the US and Europe. The paper finds that while unfunded pension liabilities are priced in the overall sample, they are not priced as aggressively as traditional leverage. Furthermore, an extended model shows that the pension–credit risk relation is most evident in the US and Germany, where unfunded pension liabilities are priced more aggressively than traditional forms of leverage. No pension–credit risk relation is found in the other countries sampled, notably the UK, Netherlands and France.

Inflammation markers are associated with Cardiovascular diseases risk in adolescents The Young Hearts Project 2000

Purose: The traditional approach for identifying subjects at risk from cardiovascular diseases (CVD) is to determine the extent of clustering of biological risk factors adjusted for lifestyle. Recently, markers of endothelial dysfunction and low grade inflammation, including high sensitivity C-reactive protein (hsCRP), soluble intercellular adhesion molecules (sICAM), and soluble vascular adhesion molecules (sVCAM), have been included in the detection for high risk individuals. However, the relationship of these novel biomarkers with CVD risk in adolescents remains unclear. The purpose of this study, therefore, was to establish the association of hsCRP, sICAM, and sVCAM with CVD risk in an adolescent population.
Methods: Data from the Young Hearts 2000 cross-sectional cohort study, carried out in 1999-2001, were used. From a total of 2,017 male and female participants, 95 obese subjects were identified and matched according to age, sex, and cigarette smoking, with 95 overweight and 95 normal-weight adolescents. Clustered CVD risk was computed using a sum of Z-scores of biological risk factors. The relationship was described using multiple linear regression analyses.
Results: hsCRP, sICAM, and sVCAM showed significant associations with CVD risk. hsCRP and sICAM had a positive relation with CVD risk, whereas sVCAM showed an inverse relationship. In this study, lifestyle factors showed no relation with CVD risk.
Conclusion: The results fit the hypothesized role of low grade inflammation and endothelial dysfunction in CVD risk in asymptomatic adolescents. The inverse relationship of VCAM, however, is hard to explain and indicates the complex mechanisms underlying CVD. Further research is needed to draw firm conclusions on the biomarkers used.

The Valuation Implications of Enterprise Risk Management Maturity

Enterprise Risk Management (ERM) is the discipline by which enterprises monitor, analyze, and control risks from across the enterprise, with the goal of identifying underlying correlations and thus optimizing the risk-taking behavior in a portfolio context. This study analyzes the valuation implications of ERM Maturity. We use data from the industry leading Risk and Insurance Management Society Risk Maturity Model over the period from 2006 to 2011, which scores firms on a five-point maturity scale. Our results suggest that firms that have reached mature levels of ERM are exhibiting a higher firm value, as measured by Tobin's Q. We find a statistically significant positive relation to the magnitude of 25 percent. Upon decomposition of the maturity score, we find that the most important aspects of ERM from a valuation perspective relate to the level of top–down executive engagement and the resultant cascade of ERM culture throughout the firm. Firms that have successfully integrated the ERM process into both their strategic activities and everyday practices display superior ability in uncovering risk dependencies and correlations across the entire enterprise and as a consequence enhanced value when undertaking the ERM maturity journey ceteris paribus.