Machine learning analysis and modeling of interest rate curves

The present research deals with the review of the analysis and modeling of Swiss franc interest rate curves (IRC) by using unsupervised (SOM, Gaussian Mixtures) and supervised machine (MLP) learning algorithms. IRC are considered as objects embedded into different feature spaces: maturities; maturity-date, parameters of Nelson-Siegel model (NSM). Analysis of NSM parameters and their temporal and clustering structures helps to understand the relevance of model and its potential use for the forecasting. Mapping of IRC in a maturity-date feature space is presented and analyzed for the visualization and forecasting purposes.

Interest rates mapping

The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Exploratory data analysis includes a variety of tools widely used in econophysics and geostatistics. Geostatistical models and machine learning algorithms (multilayer perceptron and Support Vector Machines) were applied to produce interest rate maps. IR maps can be used for the visualisation and pattern perception purposes, to develop and to explore economical hypotheses, to produce dynamic asset-liability simulations and for financial risk assessments. The feasibility of an application of interest rates mapping approach for the IRC forecasting is considered as well. (C) 2008 Elsevier B.V. All rights reserved.

Le prêt à intérêt dans l'Antiquité préchrétienne : Jérusalem, Athènes, Rome : étude juridique, philosophique et historiographique

Le prêt à intérêt était pratiqué par tous les peuples de l'Antiquité préchrétienne, à l'exception du peuple d'Israël. L'auteur examine d'abord l'interdiction du prêt à intérêt dans l'Ancien Testament. Il expose ensuite la pratique du prêt à intérêt en Grèce, avant de détailler les critiques d'Aristote. Enfin, l'auteur retrace l'évolution du prêt (mutuum) et de la réglementation de l'intérêt à Rome, des origines à Constantin. Il met l'accent sur trois grandes controverses parmi les romanistes modernes (XVIe - XXIe s.) : sur le nexum, sur la centesima et, surtout, sur le mystérieux fenus unciarium, le taux d'intérêt fixé par les Douze Tables, pour lequel l'éventail des interprétations va de 1 à 100 % par an ! L'auteur recense les opinions de plus de 400 juristes et historiens, discute les plus importantes et propose sa conclusion. The loan at interest was used by all the peoples of pre-Christian Antiquity, excepting the people of Israel. The author first focuses on the prohibition of lending at interest in the Old Testament. He then explores the use of loans at interest in Greece before examining Aristotle's criticism. Eventually, the author follows the evolution of loan (mutuum) and interest regulation in Rome, from the origins to Constantine. Three great controversies among modern Roman law scholars (16th - 21th) are considered: nexum, centesima and above all, the mysterious fenus unciarium, the interest rate defined by the Twelve Tables, for which the range of interpretations varies between 1 and 100% per year! The author gives an inventory of more than 400 opinions expressed by jurists and historians, discusses the most important ones and suggests a solution.

Capital Controls with International Reserve Accumulation: Can this Be Optimal ?

Motivated by the Chinese experience, we analyze a semi-open economy where the central bank has access to international capital markets, but the private sector has not. This enables the central bank to choose an interest rate different from the international rate. We examine the optimal policy of the central bank by modelling it as a Ramsey planner who can choose the level of domestic public debt and of international reserves. The central bank can improve savings opportunities of credit-constrained consumers modelled as in Woodford (1990). We find that in a steady state it is optimal for the central bank to replicate the open economy, i.e., to issue debt financed by the accumulation of reserves so that the domestic interest rate equals the foreign rate. When the economy is in transition, however, a rapidly growing economy has a higher welfare without capital mobility and the optimal interest rate differs from the international rate. We argue that the domestic interest rate should be temporarily above the international rate. We also find that capital controls can still help reach the first best when the planner has more fiscal instruments.

Safety Traps

Fear of risk provides a rationale for protracted economic downturns. We develop a real business cycle model where investors with decreasing relative risk aversion choose between a risky and a safe technology that exhibit decreasing returns. Because of a feedback effect from the interest rate to risk aversion, two equilibria can emerge: a standard equilibrium and a "safe" one in which investors invest in safer assets. We refer to the dynamics of this second equilibrium as a safety trap because it is self-reinforcing as investors accumulate more wealth and show it to be consistent with Japan's lost decade.

What Transaction Costs are Acceptable in Life Insurance Products from the Policyholders' Viewpoint?

Purpose - The purpose of this paper is to analyze what transaction costs are acceptable for customers in different investments. In this study, two life insurance contracts, a mutual fund and a risk-free investment, as alternative investment forms are considered. The first two products under scrutiny are a life insurance investment with a point-to-point capital guarantee and a participating contract with an annual interest rate guarantee and participation in the insurer's surplus. The policyholder assesses the various investment opportunities using different utility measures. For selected types of risk profiles, the utility position and the investor's preference for the various investments are assessed. Based on this analysis, the authors study which cost levels can make all of the products equally rewarding for the investor. Design/methodology/approach - The paper notes the risk-neutral valuation calibration using empirical data utility and performance measurement dynamics underlying: geometric Brownian motion numerical examples via Monte Carlo simulation. Findings - In the first step, the financial performance of the various saving opportunities under different assumptions of the investor's utility measurement is studied. In the second step, the authors calculate the level of transaction costs that are allowed in the various products to make all of the investment opportunities equally rewarding from the investor's point of view. A comparison of these results with transaction costs that are common in the market shows that insurance companies must be careful with respect to the level of transaction costs that they pass on to their customers to provide attractive payoff distributions. Originality/value - To the best of the authors' knowledge, their research question - i.e. which transaction costs for life insurance products would be acceptable from the customer's point of view - has not been studied in the above described context so far.

Exposure models in Switzerland: an overview of the present situation

A survey was undertaken among Swiss occupational health and safety specialists in 2004 to identify uses, difficulties, and possible developments of exposure models. Occupational hygienists (121), occupational physicians (169), and safety specialists (95) were surveyed with an in depth questionnaire. Results obtained indicate that models are not used very much in practice in Switzerland and are reserved to research groups focusing on specific topics. However, various determinants of exposure are often considered important by professionals (emission rate, work activity), and in some cases recorded and used (room parameters, operator activity). These parameters cannot be directly included in present models. Nevertheless, more than half of the occupational hygienists think that it is important to develop quantitative exposure models. Looking at research institutions, there is, however, a big interest in the use of models to solve problems which are difficult to address with direct measurements; i. e. retrospective exposure assessment for specific clinical cases and prospective evaluation for new situations or estimation of the effect of selected parameters. In a recent study about cases of acutepulmonary toxicity following water proofing spray exposure, exposure models have been used to reconstruct exposure of a group of patients. Finally, in the context of exposure prediction, it is also important to report about a measurement database existing in Switzerland since 1991. [Authors]

Total exposure and exposure rate effects for alcohol and smoking and risk of head and neck cancer: a pooled analysis of case-control studies.

Although cigarette smoking and alcohol consumption increase risk for head and neck cancers, there have been few attempts to model risks quantitatively and to formally evaluate cancer site-specific risks. The authors pooled data from 15 case-control studies and modeled the excess odds ratio (EOR) to assess risk by total exposure (pack-years and drink-years) and its modification by exposure rate (cigarettes/day and drinks/day). The smoking analysis included 1,761 laryngeal, 2,453 pharyngeal, and 1,990 oral cavity cancers, and the alcohol analysis included 2,551 laryngeal, 3,693 pharyngeal, and 3,116 oval cavity cancers, with over 8,000 controls. Above 15 cigarettes/day, the EOR/pack-year decreased with increasing cigarettes/day, suggesting that greater cigarettes/day for a shorter duration was less deleterious than fewer cigarettes/day for a longer duration. Estimates of EOR/pack-year were homogeneous across sites, while the effects of cigarettes/day varied, indicating that the greater laryngeal cancer risk derived from differential cigarettes/day effects and not pack-years. EOR/drink-year estimates increased through 10 drinks/day, suggesting that greater drinks/day for a shorter duration was more deleterious than fewer drinks/day for a longer duration. Above 10 drinks/day, data were limited. EOR/drink-year estimates varied by site, while drinks/day effects were homogeneous, indicating that the greater pharyngeal/oral cavity cancer risk with alcohol consumption derived from the differential effects of drink-years and not drinks/day.

Association of urethral toxicity with dose exposure in combined high-dose-rate brachytherapy and intensity-modulated radiation therapy in intermediate- and high-risk prostate cancer.

INTRODUCTION: To report acute and late toxicities in patients with intermediate- and high-risk prostate cancer treated with combined high-dose-rate brachytherapy (HDR-B) and intensity-modulated radiation therapy (IMRT). MATERIALS AND METHODS: From March 2003 to September 2005, 64 men were treated with a single implant HDR-B with 21 Gy given in three fractions, followed by 50 Gy IMRT along with organ tracking. Median age was 66.1 years, and risk of recurrence was intermediate in 47% of the patients or high in 53% of the patients. Androgen deprivation therapy was received by 69% of the patients. Toxicity was scored according to the CTCAE version 3.0. Median follow-up was 3.1 years. RESULTS: Acute grade 3 genitourinary (GU) toxicity was observed in 7.8% of the patients, and late grades 3 and 4 GU toxicity was observed in 10.9% and 1.6% of the patients. Acute grade 3 gastrointestinal (GI) toxicity was experienced by 1.6% of the patients, and late grade 3 GI toxicity was absent. The urethral V(120) (urethral volume receiving > or =120% of the prescribed HDR-B dose) was associated with acute (P=.047) and late > or = grade 2 GU toxicities (P=.049). CONCLUSIONS: Late grades 3 and 4GU toxicity occurred in 10.9% and 1.6% of the patients after HDR-B followed by IMRT in association with the irradiated urethral volume. The impact of V(120) on GU toxicity should be validated in further studies.

Associations of baroreflex sensitivity, heart rate variability, and initial orthostatic hypotension with prenatal and recent postnatal methylmercury exposure in the Seychelles Child Development Study at age 19 years.

BACKGROUND: A few studies have suggested an association between prenatal exposure to methylmercury and decreased heart rate variability (HRV) related to autonomic heart function, but no study has examined this association using baroreflex sensitivity (BRS). In this study we assessed the distribution of BRS and immediate orthostatic hypotension (IOH) in young Seychellois adults and their associations with exposure to prenatal and recent postnatal methylmercury. METHODS: Subjects in the Seychelles Child Development Study (SCDS) main cohort were evaluated at age 19 years. Non-invasive beat-to-beat blood pressure (BP) monitoring (Finapres, Ohmeda) was performed at rest and during active standing in 95 consecutive subjects. Recent postnatal mercury exposure was measured in subjects' hair at the age of 19 years and prenatal exposure in maternal hair grown during pregnancy. BRS was estimated by sequence analysis to identify spontaneous ascending and descending BP ramps. HRV was estimated by the following markers: PNN50 (relative numbers of normal-to-normal intervals which are shorter by more than 50 ms than the immediately following normal-to-normal intervals); rMSSD (root mean of the squared sum of successive interval differences); LF/HF (low frequency/high frequency component ratio); ratio of the mean expiratory/inspiratory RR intervals (EI ratio); and the ratio between the longest RR interval 30 s after active standing and the shortest RR interval at 15 s (Max30/Min15). IOH was estimated by the deepest BP fall within the first 15 s after active standing up. RESULTS: Prenatal MeHg exposures were similar in boys and girls (6.7±4.3, 6.7±3.8 ng/g) but recent postnatal mercury levels were higher in males than females (11.2±5.8 vs 7.9±4.3 ng/g, p=0.003). Markers of autonomic heart rate control were within the normal range (BRS: 24.8±7 ms/mm Hg, PNN50: 24.9±6.8%, rMSSD: 68±22, LF/HF: 0.61±0.28) in both sexes. After standing, 51.4% of subjects had a transient systolic BP drop>40 mm Hg, but only 5.3% reported dizziness or had syncope. Prenatal and recent postnatal MeHg levels, overall, were not associated with BRS, E/I ratio, PNN50, rMSSD, LF/HF ratio, Max30/Min15 ratio, and IOH. CONCLUSIONS: This study provides no support for the hypothesis that prenatal or recent postnatal MeHg exposure from fish consumption is associated with impaired autonomic heart rate control.

Pregnancy Outcome Following Maternal Exposure To Statins: A Multicenter Prospective Study

Introduction: Statin use for the treatment of hypercholesterolemia in women of childbearing age is increasingly common. However, published data on pregnancy outcome after exposure to statins are scarce and conflicting. This contribution addresses the safety of exposure to statins during pregnancy.Method: In a multi-center (n = 11) observational, prospective study we compared the outcomes of 249 women exposed during the 1st trimester of pregnancy to simvastatin (n = 124), atorvastatin (n = 67), pravastatin (n = 32), rosuvastatin (n = 18), fluvastatin (n = 7) or cerivastatin (n = 1) with a control group exposed to agents known to be non-teratogenic (n = 249). The data were collected by members of the European Network of Teratology Information Services (ENTIS) during individual risk counseling between 1990 and 2009. Standardized procedures for data collection were used in each center.Results: The difference in the rate of major birth defects between the statin-exposed group and the control group was not statistically significant (4.0% vs. 2.7% OR 1.5; 95% CI 0.5-4.5, P = 0.44). The crude rate of spontaneous abortions (12.8% vs. 7.1%, OR 1.9, 95% CI 1.0-3.6, P = 0.04) was higher in the exposed group. However, after adjustment to maternal age and gestational age at initial contact, the difference became statistically insignificant. The rate of elective pregnancy-termination (8.8% vs. 4.4%, P = 0.05) was higher and the rate of deliveries resulting in live births was significantly lower in the statin exposed group (77.9% vs. 88.4%, P = 0.002). Prematurity was more frequent in exposed pregnancies (16.1% vs. 8.5%; OR 2.1, 95% CI 1.1-3.8, P = 0.02). Nonetheless, gestational age at birth (median 39 weeks, IQR 37-40 vs. 39 weeks, IQR 38-40, P = 0.27) and birth weight (median 3280 g, IQR 2835-3590 vs. 3250 g, IQR 2880-3600, P = 0.95) did not differ between exposed and non-exposed pregnancies.Conclusion: This study did not detect a clear teratogenic effect of statins. Its statistical power however is not sufficient to reverse the recommendation of treatment discontinuation during pregnancy. At most, the results are reassuring in case of inadvertent exposure.

New developments and applications in modelling occupational exposure to airborne contaminants

Résumé: L'évaluation de l'exposition aux nuisances professionnelles représente une étape importante dans l'analyse de poste de travail. Les mesures directes sont rarement utilisées sur les lieux même du travail et l'exposition est souvent estimée sur base de jugements d'experts. Il y a donc un besoin important de développer des outils simples et transparents, qui puissent aider les spécialistes en hygiène industrielle dans leur prise de décision quant aux niveaux d'exposition. L'objectif de cette recherche est de développer et d'améliorer les outils de modélisation destinés à prévoir l'exposition. Dans un premier temps, une enquête a été entreprise en Suisse parmi les hygiénistes du travail afin d'identifier les besoins (types des résultats, de modèles et de paramètres observables potentiels). Il a été constaté que les modèles d'exposition ne sont guère employés dans la pratique en Suisse, l'exposition étant principalement estimée sur la base de l'expérience de l'expert. De plus, l'émissions de polluants ainsi que leur dispersion autour de la source ont été considérés comme des paramètres fondamentaux. Pour tester la flexibilité et la précision des modèles d'exposition classiques, des expériences de modélisations ont été effectuées dans des situations concrètes. En particulier, des modèles prédictifs ont été utilisés pour évaluer l'exposition professionnelle au monoxyde de carbone et la comparer aux niveaux d'exposition répertoriés dans la littérature pour des situations similaires. De même, l'exposition aux sprays imperméabilisants a été appréciée dans le contexte d'une étude épidémiologique sur une cohorte suisse. Dans ce cas, certains expériences ont été entreprises pour caractériser le taux de d'émission des sprays imperméabilisants. Ensuite un modèle classique à deux-zone a été employé pour évaluer la dispersion d'aérosol dans le champ proche et lointain pendant l'activité de sprayage. D'autres expériences ont également été effectuées pour acquérir une meilleure compréhension des processus d'émission et de dispersion d'un traceur, en se concentrant sur la caractérisation de l'exposition du champ proche. Un design expérimental a été développé pour effectuer des mesures simultanées dans plusieurs points d'une cabine d'exposition, par des instruments à lecture directe. Il a été constaté que d'un point de vue statistique, la théorie basée sur les compartiments est sensée, bien que l'attribution à un compartiment donné ne pourrait pas se faire sur la base des simples considérations géométriques. Dans une étape suivante, des données expérimentales ont été collectées sur la base des observations faites dans environ 100 lieux de travail différents: des informations sur les déterminants observés ont été associées aux mesures d'exposition des informations sur les déterminants observés ont été associé. Ces différentes données ont été employées pour améliorer le modèle d'exposition à deux zones. Un outil a donc été développé pour inclure des déterminants spécifiques dans le choix du compartiment, renforçant ainsi la fiabilité des prévisions. Toutes ces investigations ont servi à améliorer notre compréhension des outils des modélisations ainsi que leurs limitations. L'intégration de déterminants mieux adaptés aux besoins des experts devrait les inciter à employer cet outil dans leur pratique. D'ailleurs, en augmentant la qualité des outils des modélisations, cette recherche permettra non seulement d'encourager leur utilisation systématique, mais elle pourra également améliorer l'évaluation de l'exposition basée sur les jugements d'experts et, par conséquent, la protection de la santé des travailleurs. Abstract Occupational exposure assessment is an important stage in the management of chemical exposures. Few direct measurements are carried out in workplaces, and exposures are often estimated based on expert judgements. There is therefore a major requirement for simple transparent tools to help occupational health specialists to define exposure levels. The aim of the present research is to develop and improve modelling tools in order to predict exposure levels. In a first step a survey was made among professionals to define their expectations about modelling tools (what types of results, models and potential observable parameters). It was found that models are rarely used in Switzerland and that exposures are mainly estimated from past experiences of the expert. Moreover chemical emissions and their dispersion near the source have also been considered as key parameters. Experimental and modelling studies were also performed in some specific cases in order to test the flexibility and drawbacks of existing tools. In particular, models were applied to assess professional exposure to CO for different situations and compared with the exposure levels found in the literature for similar situations. Further, exposure to waterproofing sprays was studied as part of an epidemiological study on a Swiss cohort. In this case, some laboratory investigation have been undertaken to characterize the waterproofing overspray emission rate. A classical two-zone model was used to assess the aerosol dispersion in the near and far field during spraying. Experiments were also carried out to better understand the processes of emission and dispersion for tracer compounds, focusing on the characterization of near field exposure. An experimental set-up has been developed to perform simultaneous measurements through direct reading instruments in several points. It was mainly found that from a statistical point of view, the compartmental theory makes sense but the attribution to a given compartment could ñó~be done by simple geometric consideration. In a further step the experimental data were completed by observations made in about 100 different workplaces, including exposure measurements and observation of predefined determinants. The various data obtained have been used to improve an existing twocompartment exposure model. A tool was developed to include specific determinants in the choice of the compartment, thus largely improving the reliability of the predictions. All these investigations helped improving our understanding of modelling tools and identify their limitations. The integration of more accessible determinants, which are in accordance with experts needs, may indeed enhance model application for field practice. Moreover, while increasing the quality of modelling tool, this research will not only encourage their systematic use, but might also improve the conditions in which the expert judgments take place, and therefore the workers `health protection.

Oxidative stress and inflammation response after nanoparticle exposure : differences between human lung cell monocultures and an advanced three-dimensional model of the human epithelial airways

Combustion-derived and manufactured nanoparticles (NPs) are known to provoke oxidative stress and inflammatory responses in human lung cells; therefore, they play an important role during the development of adverse health effects. As the lungs are composed of more than 40 different cell types, it is of particular interest to perform toxicological studies with co-cultures systems, rather than with monocultures of only one cell type, to gain a better understanding of complex cellular reactions upon exposure to toxic substances. Monocultures of A549 human epithelial lung cells, human monocyte-derived macrophages and monocyte-derived dendritic cells (MDDCs) as well as triple cell co-cultures consisting of all three cell types were exposed to combustion-derived NPs (diesel exhaust particles) and to manufactured NPs (titanium dioxide and single-walled carbon nanotubes). The penetration of particles into cells was analysed by transmission electron microscopy. The amount of intracellular reactive oxygen species (ROS), the total antioxidant capacity (TAC) and the production of tumour necrosis factor (TNF)-a and interleukin (IL)-8 were quantified. The results of the monocultures were summed with an adjustment for the number of each single cell type in the triple cell co-culture. All three particle types were found in all cell and culture types. The production of ROS was induced by all particle types in all cell cultures except in monocultures of MDDCs. The TAC and the (pro-)inflammatory reactions were not statistically significantly increased by particle exposure in any of the cell cultures. Interestingly, in the triple cell co-cultures, the TAC and IL-8 concentrations were lower and the TNF-a concentrations were higher than the expected values calculated from the monocultures. The interplay of different lung cell types seems to substantially modulate the oxidative stress and the inflammatory responses after NP exposure. [Authors]

Occupational exposure of truck drivers to dust and polynuclear aromatic hydrocarbons: a pilot study in Geneva, Switzerland.

The exposure to dust and polynuclear aromatic hydrocarbons (PAH) of 15 truck drivers from Geneva, Switzerland, was measured. The drivers were divided between "long-distance" drivers and "local" drivers and between smokers and nonsmokers and were compared with a control group of 6 office workers who were also divided into smokers and nonsmokers. Dust was measured on 1 workday both by a direct-reading instrument and by sampling. The local drivers showed higher exposure to dust (0.3 mg/m3) and PAH than the long-distance drivers (0.1 mg/m3), who showed no difference with the control group. This observation may be due to the fact that the local drivers spend more time in more polluted areas, such as streets with heavy traffic and construction sites, than do the long-distance drivers. Smoking does not influence exposure to dust and PAH of professional truck drivers, as measured in this study, probably because the ventilation rate of the truck cabins is relatively high even during cold days (11-15 r/h). The distribution of dust concentrations was shown in some cases to be quite different from the expected log-normal distribution. The contribution of diesel exhaust to these exposures could not be estimated since no specific tracer was used. However, the relatively low level of dust exposure dose not support the hypothesis that present day levels of diesel exhaust particulates play a significant role in the excess occurrence of lung cancer observed in professional truck drivers.