Determinants of credit default swap spread: evidence from european credit derivatives market

Tämän tutkielman tavoitteena on selvittää, mitkä tekijät vaikuttavat yrityksen ja valtion velkakirjojen väliseen tuottoeroon. Strukturaalisten luottoriskin hinnoittelumallien mukaan luottoriskiin vaikuttavia tekijöitä ovat yrityksen velkaantumisaste, volatiliteetti ja riskitön korkokanta. Tavoitteena on erityisesti tutkia, kuinka hyvin nämä teoreettiset tekijät selittävät tuottoeroja ja onko olemassa muita tärkeitä selittäviä tekijöitä. Luottoriskinvaihtosopimusten noteerauksia käytetään tuottoerojen määrittämiseen. Selittävät tekijät koostuvat sekä yrityskohtaisista että markkinalaajuisista muuttujista. Luottoriskinvaihtosopimusten ja yrityskohtaisten muuttujien data on kerätty yhteensä 50 yritykselle Euroalueen maista. Aineisto koostuu kuukausittaisista havainnoista aikaväliltä 01.01.2003-31.12.2006. Empiiriset tulokset osoittavat, että strukturaalisten mallien mukaiset tekijät selittävät vain pienen osan tuottoeron muutoksista yli ajan. Toisaalta nämä teoreettiset tekijät selittävät huomattavasti paremmin tuottoeron vaihtelua yli poikkileikkauksen. Muut kuin teoreettiset tekijät pystyvät selittämään suuren osan tuottoeron vaihtelusta. Erityisen tärkeäksi tuottoeron selittäväksi tekijäksi osoittautui yleinen riskipreemio velkakirjamarkkinoilla. Tulokset osoittavat, että luottoriskin hinnoittelumalleja on kehitettävä edelleenniin, että ne ottaisivat huomioon yrityskohtaisten tekijöiden lisäksi myös markkinalaajuisia tekijöitä.

Exposure to Tobacco Smoke and Markers of Subclinical Atherosclerosis in Children and Adolescents. The STRIP Study.

Background: Measurement of serum cotinine, a major metabolite of nicotine, provides a valid marker for quantifying exposure to tobacco smoke. Exposure to tobacco smoke causes vascular damage by multiple mechanisms, and it has been acknowledged as a risk factor for atherosclerosis. Multifactorial atherosclerosis begins in childhood, but the relationship between exposure to tobacco smoke and arterial changes related to early atherosclerosis have not been studied in children. Aims: The aim of the present study was to evaluate exposure to tobacco smoke with a biomarker, serum cotinine concentration, and its associations with markers of subclinical atherosclerosis and lipid profile in school-aged children and adolescents. Subjects and Methods: Serum cotinine concentration was measured using a gas chromatographic method annually between the ages 8 and 13 years in 538-625 children participating since infancy in a randomized, prospective atherosclerosis prevention trial STRIP (Special Turku coronary Risk factor Intervention Project). Conventional atherosclerosis risk factors were measured repeatedly. Vascular ultrasound studies were performed among 402 healthy 11-year-old children and among 494 adolescents aged 13 years. Results: According to serum cotinine measurements, a notable number of the school aged children and adolescents were exposed to tobacco smoke, but the exposure levels were only moderate. Exposure to tobacco smoke was associated with decreased endothelial function as measured with flow-mediated dilation of the brachial artery, decreased elasticity of the aorta, and increased carotid and aortic intima-media thickness. Longitudinal exposure to tobacco smoke was also related with increased apolipoprotein B and triglyceride levels in 13-year-old adolescents, whose body mass index and nutrient intakes did not differ. Conclusions: These findings suggest that exposure to tobacco smoke in childhood may play a significant role in the development of early atherosclerosis. Key Words: arterial elasticity, atherosclerosis, children, cotinine, endothelial function, environmental tobacco smoke, intima-media thickness, risk factors, ultrasound

Determinants of credit default swap spread, the effect of the financial crisis in the us markets

The purpose of this study is to define what determinants affect the Credit spread. There are two theoretical frameworks to study this: structural models and reduced form models. Structural models indicate that the main determinants are company leverage, volatility and risk-free interest rate, and other market and firm-specific variables. The purpose is to determine which of these theoretical determinants can explain the CDS spread and also how these theoretical determinants are affected by the financial crisis in 2007. The data is collected from 30 companies in the US Markets, mainly S&P Large Cap. The sample time-frame is 31.1.2004 – 31.12.2009. Empirical studies indicate that structural models can explain the CDS spreads well. Also, there were significant differences between bear and bull markets. The main determinants explaining CDS spreads were leverage and volatility. The other determinants were significant, depending on the sample period. However, these other variables did not explain the spread consistently.

Conventional and novel cardiovascular risk factors in young Finns and their associations with structural and functional vascular changes of subclinical atherosclerosis. The Cardiovascular Risk in Young Finns Study

Background: Atherosclerosis begins in early life progressing from asymptomatic to symptomatic as we age. Although substantial progress has been made in identifying the determinants of atherosclerosis in middle to older age adults at increased cardiovascular risk, there is lack of data examining determinants and prediction of atherosclerosis in young adults. Aims: The current study was designed to investigate levels of cardiovascular risk factors in young adults, subclinical measures of atherosclerosis, and prediction of subclinical arterial changes with conventional risk factor measures and novel metabolic profiling of serum samples. Subjects and Methods: This thesis utilised data from the follow-ups performed in 2001 and 2007 in the Cardiovascular Risk in Young Finns study, a Finnish population-based prospective cohort study that examined 2,204 subjects who were aged 30-45 years in 2007. Subclinical atherosclerosis was studied using noninvasive ultrasound measurements of carotid intima-media thickness (IMT), carotid arterial distensibility (CDist) and brachial flow-mediated dilation (FMD). Measurements included conventional risk factors and metabolic profiling using highthroughput nuclear magnetic resonance (NMR) methods that provided data on 42 lipid markers and 16 circulating metabolites. Results: Trends in lipids were favourable between 2001 and 2007, whereas waist circumference, fasting glucose, and blood pressure levels increased. To study the stability of noninvasive ultrasound markers, 6-year tracking (the likelihood to maintain the original fractile over time) in 6 years was examined. IMT tracked more strongly than CDist and FMD. Cardiovascular risk scores (Framingham, SCORE, Finrisk, Reynolds and PROCAM) predicted subclinical atherosclerosis equally. Lipoprotein subclass testing did not improve the prediction of subclinical atherosclerosis over and above conventional risk factors. However, circulating metabolites improved risk stratification. Tyrosine and docosahexaenoic acid were found to be novel biomarkers of high IMT. Conclusions: Prediction of cardiovascular risk in young Finnish adults can be performed with any of the existing risk scores. The addition of metabonomics to risk stratification improves prediction of subclinical changes and enables more accurate targeting of prevention at an early stage.

Metabolic syndrome in young adults – prevalence, childhood predictors and association with subclinical atherosclerosis

Background: Metabolic syndrome (MetS) is a cluster of cardiovascular risk factors including central obesity, insulin resistance, impaired glucose tolerance, hypertension and dyslipidemia. The prevalence of MetS is increasing worldwide in all age groups. MetS is associated with increased risk of cardiovascular disease and type 2 diabetes mellitus. Aims: The aim of the present study was to investigate the prevalence, secular trends and childhood predictors of MetS in young adults. Furthermore, the relations between MetS and subclinical atherosclerosis were studied and whether apolipoproteins (apo) B and A-I, C-reactive protein (CRP) and type II secretory phospholipase A2 (sPLA2) were associated with MetS, and to what extent the atherogenicity of MetS was explained by these factors. Participants and Methods: The present thesis is part of the large scale population-based, prospective study, the Cardiovascular Risk in Young Finns Study. The first cross-sectional study was conducted in 1980 and included 3,596 participants aged 3-18 years. Carotid and brachial ultrasound studies were performed for 2,283 of these participants in 2001 and 2,200 of these participants in 2007. Results: The overall prevalence of MetS in young adults aged 24-39 years in 2001 was 10-15 % and 6 years later in 30-45 year-old adults it was 15-23 % depending on the MetS definition used. Between the years 1986 and 2001, MetS prevalence increased from 1.0 % to 7.5 % (p<0.0001) in 24-year-old participants that was mostly driven by the increased central obesity. Participants with MetS had increased carotid intima-media thickness (cIMT) and decreased carotid elasticity compared to those without the syndrome. Impaired brachial flow-mediated dilatation (FMD) was not related to MetS but it modified the relationship between MetS and cIMT (P for interaction 0.023). High levels of apoB, CRP, sPLA2 and low levels of apoA-I associated with MetS in young adults. In prospective analysis both MetS and high apoB predicted (P<0.0001) incident high cIMT, defined as cIMT>90th percentile and/or plaque. The association between MetS and incident high cIMT was attenuated by ~40 % after adjustment with apoB. Conclusions: MetS is common in young adults and increases with age. Screening for risk factors, especially obesity, at an early life stage could help identify children and adolescents at increased risk of developing MetS and cardiovascular disease later in life. MetS identifies a population of young adults with evidence of increased subclinical atherosclerosis. Impaired brachial endothelial response is not a hallmark of MetS in young adults, but the status of endothelial function modifies the association between metabolic risk factors and atherosclerosis. In addition, the atherogenicity of MetS in this population assessed by incident high cIMT appears to be substantially mediated by elevated apoB.

The Effects of the Breast Cancer Mammography Screening Programme in Women aged 40 to 84 years in Turku, Finland (1987-2009)

The objective of this thesis was to evaluate whether a more extensive mammography screening programme (TurkuMSP) conducted by the city of Turku, had an effect on breast cancer (BC) incidence, survival, or mortality in years 1987 to 2009. Despite the fact that some studies have suggested a 20 percent reduction in BC mortality due to mammography screening, there are findings of harm to subjects, which are claimed to negate the benefits of screening. Thus, the aims of this study are most pertinent. A total of 176 908 screening examinations were performed in 36 000 women aged 40−74 during the years 1987−1997. In all, 685 primary BCs were found in the screened women, either screen-detected (n=531) or during screening intervals (n=154). Survival and BC recurrence rate of women with screen-detected BC was compared to 184 women with clinical BCs detected among individuals who did not take part in the screening. The invitation interval, which may influence the outcome, was studied in the age group 40 to 49 by inviting those born in even calendar years annually for mammography screening and those born in odd years, triennially. In addition, BC incidence and mortality in the total female population of Turku aged 40 to 84 years was compared with the respective figures of Helsinki and the rest of Finland, both during the pre-screening era (1976-1986) and the screening era (1987-2009). The study was designed to compare women by age groups, because women aged 50 to 59 were generally screened in all of Finland, whereas only in Turku women aged 40 to 49 and 60 to 74 were screened in addition. Data regarding cancer recurrence were derived from the Finnish Cancer Registry and data on deaths were collected from Statistics Finland. In survival analyses, screened women with invasive BC had a significantly higher survival rate than the women with clinical BC. The survival benefit started to appear already during the first follow-up years and was evident in all age groups. A marginal survival extension was also seen in screened women when BC had spread to ipsilateral axillary nodes already at diagnosis. Recurrence-free survival rate after BC treatment was significantly more favorable among the screened women compared with women with BC found clinically. The screening invitation interval did not significantly influence BC mortality in the subset of women aged 40 to 49 years. There were no consistent differences in the changes of BC incidence between Turku and the comparison areas during the screening era. In Turku, the BC mortality incidence in women aged 55−69 years was significantly lower during the screening era (from 1987 to 1997) compared with the pre-screening era, whereas no such change was found in the city of Helsinki or Tampere. When comparing the changes in incidence-based BC mortality during years 1987 to 2009 in Turku to those of Helsinki and the rest of Finland, there was a suggestion of more than 20 percent lower mortality in Turku among oldest age group (75-84 years) compared with the reference residential areas, but the differences were not consistently significant. Interpretation of the study results should be made with caution because there were no random control groups, and on the other hand, the number of cases in subgroups was fairly low to yield definite conclusions. Also due to the many statistical analyses, some of the findings may be due to chance. The results are, however, suggestive for a decrease of BC mortality in the elderly age groups due to wide mammography screening. This finding needs confirmation in further studies before recommending an expansion of mammography screening to women up to the age of 74 years

Minimizing Conducted RF-Emissions in Switch Mode Power Supplies Using Spread-Spectrum Techniques

Switching power supplies are usually implemented with a control circuitry that uses constant clock frequency turning the power semiconductor switches on and off. A drawback of this customary operating principle is that the switching frequency and harmonic frequencies are present in both the conducted and radiated EMI spectrum of the power converter. Various variable-frequency techniques have been introduced during the last decade to overcome the EMC problem. The main objective of this study was to compare the EMI and steady-state performance of a switch mode power supply with different spread-spectrum/variable-frequency methods. Another goal was to find out suitable tools for the variable-frequency EMI analysis. This thesis can be divided into three main parts: Firstly, some aspects of spectral estimation and measurement are presented. Secondly, selected spread spectrum generation techniques are presented with simulations and background information. Finally, simulations and prototype measurements from the EMC and the steady-state performance are carried out in the last part of this work. Combination of the autocorrelation function, the Welch spectrum estimate and the spectrogram were used as a substitute for ordinary Fourier methods in the EMC analysis. It was also shown that the switching function can be used in preliminary EMC analysis of a SMPS and the spectrum and autocorrelation sequence of a switching function correlates with the final EMI spectrum. This work is based on numerous simulations and measurements made with the prototype. All these simulations and measurements are made with the boost DC/DC converter. Four different variable-frequency modulation techniques in six different configurations were analyzed and the EMI performance was compared to the constant frequency operation. Output voltage and input current waveforms were also analyzed in time domain to see the effect of the spread spectrum operation on these quantities. According to the results presented in this work, spread spectrum modulation can be utilized in power converter for EMI mitigation. The results from steady-state voltage measurements show, that the variable-frequency operation of the SMPS has effect on the voltage ripple, but the ripple measured from the prototype is still acceptable in some applications. Both current and voltage ripple can be controlled with proper main circuit and controller design.

Advanced epithelial ovarian cancer – studies on preoperative [18F] FDG PET/CT and HE4 profile during primary chemotherapy

Epithelial ovarian cancer (EOC) is usually diagnosed in an advanced stage. The prognosis depends highly on the amount of the residual tumor in surgery. In patients with extensive disease, neoadjuvant chemotherapy (NACT) is used to diminish the tumor load before debulking surgery. New non-invasive methods are needed to preoperatively evaluate the disease dissemination and operability. [18F] FDG PET/CT (Positron emission tomography/computed tomography) is a promising method for cancer diagnostics and staging. The biomarker profiles during treatment can predict patient’s outcome. This prospective study included 41 EOC patients, 21 treated with primary surgery and 20 with NACT and interval surgery. The performances of preoperative contrast enhanced PET/CT (PET/ceCT) and diagnostic CT (ceCT) were compared. Perioperative visual estimation of tumor spread was studied in primary and interval surgery. The profile of the serum marker HE4 (Human epididymis 4) during primary chemotherapy was evaluated. In primary surgery, surgical findings were found to form an adequate reference standard for imaging studies. After NACT, the sensitivity for visual estimation of cancer dissemination was significantly worse. Preoperative PET/ceCT was more effective than ceCT alone in detecting extra-abdominal disease spread. The high number of supradiaphragmatic lymph node metastases detected by PET/ceCT at the time of diagnosis brings new insight in EOC spread patterns. The sensitivity of both PET/CT and ceCT remained modest in intra-abdominal areas important to operability. The HE4 profile was in concordance with the CA125 profile during primary chemotherapy. Its role in the evaluation of EOC chemotherapy response will be clarified in further studies.