Three essays in risk management in financial institutions

The choice to adopt risk-sensitive measurement approaches for operational risks: the case of Advanced Measurement Approach under Basel II New Capital Accord This paper investigates the choice of the operational risk approach under Basel II requirements and whether the adoption of advanced risk measurement approaches allows banks to save capital. Among the three possible approaches for operational risk measurement, the Advanced Measurement Approach (AMA) is the most sophisticated and requires the use of historical loss data, the application of statistical tools, and the engagement of a highly qualified staff. Our results provide evidence that the adoption of AMA is contingent on the availability of bank resources and prior experience in risk-sensitive operational risk measurement practices. Moreover, banks that choose AMA exhibit low requirements for capital and, as a result might gain a competitive advantage compared to banks that opt for less sophisticated approaches. - Internal Risk Controls and their Impact on Bank Solvency Recent cases in financial sector showed the importance of risk management controls on risk taking and firm performance. Despite advances in the design and implementation of risk management mechanisms, there is little research on their impact on behavior and performance of firms. Based on data from a sample of 88 banks covering the period between 2004 and 2010, we provide evidence that internal risk controls impact the solvency of banks. In addition, our results show that the level of internal risk controls leads to a higher degree of solvency in banks with a major shareholder in contrast to widely-held banks. However, the relationship between internal risk controls and bank solvency is negatively affected by BHC growth strategies and external restrictions on bank activities, while the higher regulatory requirements for bank capital moderates positively this relationship. - The Impact of the Sophistication of Risk Measurement Approaches under Basel II on Bank Holding Companies Value Previous research showed the importance of external regulation on banks' behavior. Some inefficient standards may accentuate risk-taking in banks and provoke a financial crisis. Despite the growing literature on the potential effects of Basel II rules, there is little empirical research on the efficiency of risk-sensitive capital measurement approaches and their impact on bank profitability and market valuation. Based on data from a sample of 66 banks covering the period between 2008 and 2010, we provide evidence that prudential ratios computed under Basel II standards predict the value of banks. However, this relation is contingent on the degree of sophistication of risk measurement approaches that banks apply. Capital ratios are effective in predicting bank market valuation when banks adopt the advanced approaches to compute the value of their risk-weighted assets.

Measurement Errors Should Always Be Incorporated in Phylogenetic Comparative Analysis

The evolution of continuous traits is the central component of comparative analyses in phylogenetics, and the comparison of alternative models of trait evolution has greatly improved our understanding of the mechanisms driving phenotypic differentiation. Several factors influence the comparison of models, and we explore the effects of random errors in trait measurement on the accuracy of model selection. We simulate trait data under a Brownian motion model (BM) and introduce different magnitudes of random measurement error. We then evaluate the resulting statistical support for this model against two alternative models: Ornstein-Uhlenbeck (OU) and accelerating/decelerating rates (ACDC). Our analyses show that even small measurement errors (10%) consistently bias model selection towards erroneous rejection of BM in favour of more parameter-rich models (most frequently the OU model). Fortunately, methods that explicitly incorporate measurement errors in phylogenetic analyses considerably improve the accuracy of model selection. Our results call for caution in interpreting the results of model selection in comparative analyses, especially when complex models garner only modest additional support. Importantly, as measurement errors occur in most trait data sets, we suggest that estimation of measurement errors should always be performed during comparative analysis to reduce chances of misidentification of evolutionary processes.

Putting Public Service Motivation into Context. A Balance Between Universalism and Particularism

Research on Public Service Motivation (PSM) has increased enormously in the last 20 years. Besides the analysis of the antecedents of PSM and its impact on organizations and individuals, many open questions about the nature of PSM itself still remain. This article argues that the theoretical construct of PSM should be contextualized by integrating the political and administrative contexts of public servants when investigating their specific attitudes towards working in a public environment. It also challenges the efficacy of the classic four-dimensional structure of PSM when it is applied to a specific context. The findings of a confirmatory factor analysis from a dataset of 3754 employees of 279 Swiss municipalities support the appropriateness of contextualizing parts of the PSM construct. They also support the addition of an extra dimension called, according to previous research, Swiss democratic governance. With regard to our results, there is a need for further PSM research to set a definite measure of PSM, particularly in regard to the international diffusion of empirical research on PSM.Points for practitionersThis study shows that public service motivation is a relevant construct for practitioners and may be used to better assess whether public agents are motivated by values or not. Nevertheless, it stresses also that the measurement of PSM must be adapted to the institutional context as well. Public managers interested in understanding better the degree to which their employees are motivated by public values must be aware that the measurement of this PSM construct has to be contextualized. In other words, PSM is also a function of the institutional environment in which organizations operate.

Influence of operator experience on performance of ultrasound-guided percutaneous liver biopsy.

The purpose was to evaluate the influence of radiologist's experience on the diagnostic yield and complications of a percutaneous liver biopsy (PLB) method. Six hundred patients underwent an ultrasound-guided PLB by an inexperienced operator in 25.2% of cases (experience of less than 15 percutaneous liver biopsies performed alone--group I) or by an experienced operator (experience of more than 150 percutaneous liver biopsies--group II). The two groups were well-matched with respect to sex, age, percentage with viral hepatitis without histological cirrhosis, number of needle passes, history of liver biopsy and pain before the biopsy. A histological diagnosis was available in 97.3% of cases without any significant difference between the two groups ( P=0.25). However, group II samples were significantly longer and contained more portal tracts ( P=0.01). Pain was mild immediately and 6 h after the biopsy, without significant difference between both groups. Eight vasovagal reactions (five in group II) and one arteriobiliary fistula (in group II) occurred. With the method of PLB used for this study, operator's experience did not influence either the final histological diagnosis or the degree of pain suffered.

Measurement of biologically available naphthalene in gas and aqueous phases by use of a Pseudomonas putida biosensor.

Genetically constructed microbial biosensors for measuring organic pollutants are mostly applied in aqueous samples. Unfortunately, the detection limit of most biosensors is insufficient to detect pollutants at low but environmentally relevant concentrations. However, organic pollutants with low levels of water solubility often have significant gas-water partitioning coefficients, which in principle makes it possible to measure such compounds in the gas rather than the aqueous phase. Here we describe the first use of a microbial biosensor for measuring organic pollutants directly in the gas phase. For this purpose, we reconstructed a bioluminescent Pseudomonas putida naphthalene biosensor strain to carry the NAH7 plasmid and a chromosomally inserted gene fusion between the sal promoter and the luxAB genes. Specific calibration studies were performed with suspended and filter-immobilized biosensor cells, in aqueous solution and in the gas phase. Gas phase measurements with filter-immobilized biosensor cells in closed flasks, with a naphthalene-contaminated aqueous phase, showed that the biosensor cells can measure naphthalene effectively. The biosensor cells on the filter responded with increasing light output proportional to the naphthalene concentration added to the water phase, even though only a small proportion of the naphthalene was present in the gas phase. In fact, the biosensor cells could concentrate a larger proportion of naphthalene through the gas phase than in the aqueous suspension, probably due to faster transport of naphthalene to the cells in the gas phase. This led to a 10-fold lower detectable aqueous naphthalene concentration (50 nM instead of 0.5 micro M). Thus, the use of bacterial biosensors for measuring organic pollutants in the gas phase is a valid method for increasing the sensitivity of these valuable biological devices.

Measurement of immunoreactive angiotensin-(1-7) heptapeptide in human blood.

BACKGROUND: The renal enzyme renin cleaves from the hepatic alpha(2)-globulin angiotensinogen angiotensin-(1-10) decapeptide [Ang-(1-10)], which is further metabolized to smaller peptides that help maintain cardiovascular homeostasis. The Ang-(1-7) heptapeptide has been reported to have several physiological effects, including natriuresis, diuresis, vasodilation, and release of vasopressin and prostaglandins. METHODS: To investigate Ang-(1-7) in clinical settings, we developed a method to measure immunoreactive (ir-) Ang-(1-7) in 2 mL of human blood and to estimate plasma concentrations by correcting for the hematocrit. A sensitive and specific antiserum against Ang-(1-7) was raised in a rabbit. Human blood was collected in the presence of an inhibitor mixture including a renin inhibitor to prevent peptide generation in vitro. Ang-(1-7) was extracted into ethanol and purified on phenylsilylsilica. The peptide was quantified by radioimmunoassay. Increasing doses of Ang-(1-7) were infused into volunteers, and plasma concentrations of the peptide were measured. RESULTS: The detection limit for plasma ir-Ang-(1-7) was 1 pmol/L. CVs for high and low blood concentrations were 4% and 20%, respectively, and between-assay CVs were 8% and 13%, respectively. Reference values for human plasma concentrations of ir-Ang-(1-7) were 1.0-9.5 pmol/L (median, 4.7 pmol/L) and increased linearly during infusion of increasing doses of Ang-(1-7). CONCLUSIONS: Reliable measurement of plasma ir-Ang-(1-7) is achieved with efficient inhibition of enzymes that generate or metabolize Ang-(1-7) after blood sampling, extraction in ethanol, and purification on phenylsilylsilica, and by use of a specific antiserum.

Pseudo-pacemaker syndrome in a young woman with first-degree atrio-ventricular block.

First-degree atrio-ventricular (AV) block is defined as a PR interval longer than 200 ms. If too long, it can become clinically relevant and may mimic a pacemaker syndrome. We report the case of a young woman with a long PR interval, probably congenital, with episodes of syncope and dizziness since childhood. Pseudo-pacemaker syndrome is rare and is a Class IIa recommendation for a pacemaker implantation. A dual-chamber pacemaker was implanted and short AV delay was programmed, with rapid clinical improvement.

Single-step extraction of fluconazole from plasma by ultra-filtration for the measurement of its free concentration by high performance liquid chromatography.

High performance liquid chromatography (HPLC) is the reference method for measuring concentrations of antimicrobials in blood. This technique requires careful sample preparation. Protocols using organic solvents and/or solid extraction phases are time consuming and entail several manipulations, which can lead to partial loss of the determined compound and increased analytical variability. Moreover, to obtain sufficient material for analysis, at least 1 ml of plasma is required. This constraint makes it difficult to determine drug levels when blood sample volumes are limited. However, drugs with low plasma-protein binding can be reliably extracted from plasma by ultra-filtration with a minimal loss due to the protein-bound fraction. This study validated a single-step ultra-filtration method for extracting fluconazole (FLC), a first-line antifungal agent with a weak plasma-protein binding, from plasma to determine its concentration by HPLC. Spiked FLC standards and unknowns were prepared in human and rat plasma. Samples (240 microl) were transferred into disposable microtube filtration units containing cellulose or polysulfone filters with a 5 kDa cut-off. After centrifugation for 60 min at 15000g, FLC concentrations were measured by direct injection of the filtrate into the HPLC. Using cellulose filters, low molecular weight proteins were eluted early in the chromatogram and well separated from FLC that eluted at 8.40 min as a sharp single peak. In contrast, with polysulfone filters several additional peaks interfering with the FLC peak were observed. Moreover, the FLC recovery using cellulose filters compared to polysulfone filters was higher and had a better reproducibility. Cellulose filters were therefore used for the subsequent validation procedure. The quantification limit was 0.195 mgl(-1). Standard curves with a quadratic regression coefficient > or = 0.9999 were obtained in the concentration range of 0.195-100 mgl(-1). The inter and intra-run accuracies and precisions over the clinically relevant concentration range, 1.875-60 mgl(-1), fell well within the +/-15% variation recommended by the current guidelines for the validation of analytical methods. Furthermore, no analytical interference was observed with commonly used antibiotics, antifungals, antivirals and immunosuppressive agents. Ultra-filtration of plasma with cellulose filters permits the extraction of FLC from small volumes (240 microl). The determination of FLC concentrations by HPLC after this single-step procedure is selective, precise and accurate.

Positional therapy for obstructive sleep apnea: an objective measurement of patients' usage and efficacy at home.

BACKGROUND: Positional therapy that prevents patients from sleeping supine has been used for many years to manage positional obstructive sleep apnea (OSA). However, patients' usage at home and the long term efficacy of this therapy have never been objectively assessed. METHODS: Sixteen patients with positional OSA who refused or could not tolerate continuous positive airway pressure (CPAP) were enrolled after a test night study (T0) to test the efficacy of the positional therapy device. The patients who had a successful test night were instructed to use the device every night for three months. Nightly usage was monitored by an actigraphic recorder placed inside the positional device. A follow-up night study (T3) was performed after three months of positional therapy. RESULTS: Patients used the device on average 73.7 ± 29.3% (mean ± SD) of the nights for 8.0 ± 2.0 h/night. 10/16 patients used the device more than 80% of the nights. Compared to the baseline (diagnostic) night, mean apnea-hypopnea index (AHI) decreased from 26.7 ± 17.5 to 6.0 ± 3.4 with the positional device (p<0.0001) during T0 night. Oxygen desaturation (3%) index also fell from 18.4 ± 11.1 to 7.1 ± 5.7 (p = 0.001). Time spent supine fell from 42.8 ± 26.2% to 5.8 ± 7.2% (p < 0.0001). At three months (T3), the benefits persisted with no difference in AHI (p = 0.58) or in time spent supine (p = 0.98) compared to T0 night. The Epworth sleepiness scale showed a significant decrease from 9.4 ± 4.5 to 6.6 ± 4.7 (p = 0.02) after three months. CONCLUSIONS: Selected patients with positional OSA can be effectively treated by a positional therapy with an objective compliance of 73.7% of the nights and a persistent efficacy after three months.

Endocan measurement for the postmortem diagnosis of sepsis

The vascular endothelium has been shown to play a pivotal role in the pathophysiology of sepsis through the expression of surface proteins and secretion of soluble mediators. Endocan (endothelial cell-specific molecule-1), a 50-kDa dermatan sulfate proteoglycan, is expressed by endothelial cells in lung and kidney and can be detected at low levels in the serum of healthy subjects. Increased concentrations were described in patients with sepsis, severe sepsis and septic shock compared to healthy individuals, with serum concentrations related to the severity of illness. In the present study, we investigated endocan, procalcitonin and C-reactive protein in postmortem serum from femoral blood in a series of sepsis-related fatalities and control individuals who underwent medicolegal investigations. Endocan was also measured in pericardial fluid. Two study groups were prospectively formed, a sepsis-related fatalities group and a control group. The sepsis-related fatalities group consisted of sixteen forensic autopsy cases with documented clinical diagnosis of sepsis in vivo. The control group consisted of sixteen forensic autopsy cases with various noninfectious causes of death. Postmortem serum endocan concentrations were significantly higher in the sepsis group, with values ranging from 0.519ng/ml to 6.756ng/ml. In the control group, endocan levels were undetectable in eleven out of sixteen cases. The results of the data analysis revealed similar endocan concentrations in the pericardial fluid of both studied groups. Endocan can be considered a suitable biological parameter for the detection of sepsis-related deaths in forensic pathology routine.

Measurement of multi-segment foot joint angles during gait using a wearable system.

Usually the measurement of multi-segment foot and ankle complex kinematics is done with stationary motion capture devices which are limited to use in a gait laboratory. This study aimed to propose and validate a wearable system to measure the foot and ankle complex joint angles during gait in daily conditions, and then to investigate its suitability for clinical evaluations. The foot and ankle complex consisted of four segments (shank, hindfoot, forefoot, and toes), with an inertial measurement unit (3D gyroscopes and 3D accelerometers) attached to each segment. The angles between the four segments were calculated in the sagittal, coronal, and transverse planes using a new algorithm combining strap-down integration and detection of low-acceleration instants. To validate the joint angles measured by the wearable system, three subjects walked on a treadmill for five minutes at three different speeds. A camera-based stationary system that used a cluster of markers on each segment was used as a reference. To test the suitability of the system for clinical evaluation, the joint angle ranges were compared between a group of 10 healthy subjects and a group of 12 patients with ankle osteoarthritis, during two 50-m walking trials where the wearable system was attached to each subject. On average, over all joints and walking speeds, the RMS differences and correlation coefficients between the angular curves obtained using the wearable system and the stationary system were 1 deg and 0.93, respectively. Moreover, this system was able to detect significant alteration of foot and ankle function between the group of patients with ankle osteoarthritis and the group of healthy subjects. In conclusion, this wearable system was accurate and suitable for clinical evaluation when used to measure the multi-segment foot and ankle complex kinematics during long-distance walks in daily life conditions.