Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

3D-2D image registration by nonlinear regression

We propose a 3D-2D image registration method that relates image features of 2D projection images to the transformation parameters of the 3D image by nonlinear regression. The method is compared with a conventional registration method based on iterative optimization. For evaluation, simulated X-ray images (DRRs) were generated from coronary artery tree models derived from 3D CTA scans. Registration of nine vessel trees was performed, and the alignment quality was measured by the mean target registration error (mTRE). The regression approach was shown to be slightly less accurate, but much more robust than the method based on an iterative optimization approach.

Registration-by-regression of coronary CTA and X-ray angiography

We evaluate the integration of 3D preoperative computed tomography angiography of the coronary arteries with intraoperative 2D X-ray angiographies by a recently proposed novel registration-by-regression method. The method relates image features of 2D projection images to the transformation parameters of the 3D image. We compared different sets of features and studied the influence of preprocessing the training set. For the registration evaluation, a gold standard was developed from eight X-ray angiography sequences from six different patients. The alignment quality was measured using the 3D mean target registration error (mTRE). The registration-by-regression method achieved moderate accuracy (median mTRE of 15 mm) on real images. It does therefore not provide yet a complete solution to the 3D–2D registration problem but it could be used as an initialisation method to eliminate the need for manual initialisation.