Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Influence of a probiotic soy product on fecal microbiota and its association with cardiovascular risk factors in an animal model

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Establishing the risk of neonatal mortality using a fuzzy predictive model

O objetivo do artigo foi avaliar o uso da lógica fuzzy para estimar possibilidade de óbito neonatal. Desenvolveu-se um modelo computacional com base na teoria dos conjuntos fuzzy, tendo como variáveis peso ao nascer, idade gestacional, escore de Apgar e relato de natimorto. Empregou-se o método de inferência de Mamdani, e a variável de saída foi o risco de morte neonatal. Criaram-se 24 regras de acordo com as variáveis de entrada, e a validação do modelo utilizou um banco de dados real de uma cidade brasileira. A acurácia foi estimada pela curva ROC; os riscos foram comparados pelo teste t de Student. O programa MATLAB 6.5 foi usado para construir o modelo. Os riscos médios foram menores para os que sobreviveram (p < 0,001). A acurácia do modelo foi 0,90. A maior acurácia foi com possibilidade de risco igual ou menor que 25% (sensibilidade = 0,70, especificidade = 0,98, valor preditivo negativo = 0,99 e valor preditivo positivo = 0,22). O modelo mostrou acurácia e valor preditivo negativo bons, podendo ser utilizado em hospitais gerais.

Influence of a probiotic soy product on fecal microbiota and its association with cardiovascular risk factors in a animal model

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Application of discriminant analysis-based model for prediction of risk of low back disorders due to workplace design in industrial jobs

The occupational exposure limits of different risk factors for development of low back disorders (LBDs) have not yet been established. One of the main problems in setting such guidelines is the limited understanding of how different risk factors for LBDs interact in causing injury, since the nature and mechanism of these disorders are relatively unknown phenomena. Industrial ergonomists' role becomes further complicated because the potential risk factors that may contribute towards the onset of LBDs interact in a complex manner, which makes it difficult to discriminate in detail among the jobs that place workers at high or low risk of LBDs. The purpose of this paper was to develop a comparative study between predictions based on the neural network-based model proposed by Zurada, Karwowski & Marras (1997) and a linear discriminant analysis model, for making predictions about industrial jobs according to their potential risk of low back disorders due to workplace design. The results obtained through applying the discriminant analysis-based model proved that it is as effective as the neural network-based model. Moreover, the discriminant analysis-based model proved to be more advantageous regarding cost and time savings for future data gathering.

Why Are Women With Cervical Cancer Not Being Diagnosed in Preinvasive Phase? An Analysis of Risk Factors Using a Hierarchical Model

Objective: To assess the risk factors for delayed diagnosis of uterine cervical lesions. Materials and Methods: This is a case-control study that recruited 178 women at 2 Brazilian hospitals. The cases (n = 74) were composed of women with a late diagnosis of a lesion in the uterine cervix (invasive carcinoma in any stage). The controls (n = 104) were composed of women with cervical lesions diagnosed early on (low-or high-grade intraepithelial lesions). The analysis was performed by means of logistic regression model using a hierarchical model. The socioeconomic and demographic variables were included at level I (distal). Level II (intermediate) included the personal and family antecedents and knowledge about the Papanicolaou test and human papillomavirus. Level III (proximal) encompassed the variables relating to individuals' care for their own health, gynecologic symptoms, and variables relating to access to the health care system. Results: The risk factors for late diagnosis of uterine cervical lesions were age older than 40 years (odds ratio [OR] = 10.4; 95% confidence interval [CI], 2.3-48.4), not knowing the difference between the Papanicolaou test and gynecological pelvic examinations (OR, = 2.5; 95% CI, 1.3-4.9), not thinking that the Papanicolaou test was important (odds ratio [OR], 4.2; 95% CI, 1.3-13.4), and abnormal vaginal bleeding (OR, 15.0; 95% CI, 6.5-35.0). Previous treatment for sexually transmissible disease was a protective factor (OR, 0.3; 95% CI, 0.1-0.8) for delayed diagnosis. Conclusions: Deficiencies in cervical cancer prevention programs in developing countries are not simply a matter of better provision and coverage of Papanicolaou tests. The misconception about the Papanicolaou test is a serious educational problem, as demonstrated by the present study.

The SURTAVI model: proposal for a pragmatic risk stratification for patients with severe aortic stenosis

Transcatheter aortic valve implantation (TAVI) is a less invasive alternative to surgical aortic valve replacement (SAVR) for patients with symptomatic severe aortic stenosis (AS) and a high operative risk. Risk stratification plays a decisive role in the optimal selection of therapeutic strategies for AS patients. The accuracy of contemporary surgical risk algorithms for AS patients has spurred considerable debate especially in the higher risk patient population. Future trials will explore TAVI in patients at intermediate operative risk. During the design of the SURgical replacement and Transcatheter Aortic Valve Implantation (SURTAVI) trial, a novel concept of risk stratification was proposed based upon age in combination with a fixed number of predefined risk factors, which are relatively prevalent, easy to capture and with a reasonable impact on operative mortality. Retrospective application of this algorithm to a contemporary academic practice dealing with clinically significant AS patients allocates about one-fourth of these patients as being at intermediate operative risk. Further testing is required for validation of this new paradigm in risk stratification. Finally, the Heart Team, consisting of at least an interventional cardiologist and cardiothoracic surgeon, should have the decisive role in determining whether a patient could be treated with TAVI or SAVR.

A clinical prediction model to identify patients at high risk of death in the emergency department.

PURPOSE Rapid assessment and intervention is important for the prognosis of acutely ill patients admitted to the emergency department (ED). The aim of this study was to prospectively develop and validate a model predicting the risk of in-hospital death based on all available information available at the time of ED admission and to compare its discriminative performance with a non-systematic risk estimate by the triaging first health-care provider. METHODS Prospective cohort analysis based on a multivariable logistic regression for the probability of death. RESULTS A total of 8,607 consecutive admissions of 7,680 patients admitted to the ED of a tertiary care hospital were analysed. Most frequent APACHE II diagnostic categories at the time of admission were neurological (2,052, 24 %), trauma (1,522, 18 %), infection categories [1,328, 15 %; including sepsis (357, 4.1 %), severe sepsis (249, 2.9 %), septic shock (27, 0.3 %)], cardiovascular (1,022, 12 %), gastrointestinal (848, 10 %) and respiratory (449, 5 %). The predictors of the final model were age, prolonged capillary refill time, blood pressure, mechanical ventilation, oxygen saturation index, Glasgow coma score and APACHE II diagnostic category. The model showed good discriminative ability, with an area under the receiver operating characteristic curve of 0.92 and good internal validity. The model performed significantly better than non-systematic triaging of the patient. CONCLUSIONS The use of the prediction model can facilitate the identification of ED patients with higher mortality risk. The model performs better than a non-systematic assessment and may facilitate more rapid identification and commencement of treatment of patients at risk of an unfavourable outcome.

Model for ranking freshwater fish farms according to their risk of infection and illustration for viral haemorrhagic septicaemia

We developed a model to calculate a quantitative risk score for individual aquaculture sites. The score indicates the risk of the site being infected with a specific fish pathogen (viral haemorrhagic septicaemia virus (VHSV); infectious haematopoietic necrosis virus, Koi herpes virus), and is intended to be used for risk ranking sites to support surveillance for demonstration of zone or member state freedom from these pathogens. The inputs to the model include a range of quantitative and qualitative estimates of risk factors organised into five risk themes (1) Live fish and egg movements; (2) Exposure via water; (3) On-site processing; (4) Short-distance mechanical transmission; (5) Distance-independent mechanical transmission. The calculated risk score for an individual aquaculture site is a value between zero and one and is intended to indicate the risk of a site relative to the risk of other sites (thereby allowing ranking). The model was applied to evaluate 76 rainbow trout farms in 3 countries (42 from England, 32 from Italy and 2 from Switzerland) with the aim to establish their risk of being infected with VHSV. Risk scores for farms in England and Italy showed great variation, clearly enabling ranking. Scores ranged from 0.002 to 0.254 (mean score 0.080) in England and 0.011 to 0.778 (mean of 0.130) for Italy, reflecting the diversity of infection status of farms in these countries. Requirements for broader application of the model are discussed. Cost efficient farm data collection is important to realise the benefits from a risk-based approach.

External validation of the Hospital-patient One-year Mortality Risk (HOMR) model for predicting death within 1 year after hospital admission

BACKGROUND Predicting long-term survival after admission to hospital is helpful for clinical, administrative and research purposes. The Hospital-patient One-year Mortality Risk (HOMR) model was derived and internally validated to predict the risk of death within 1 year after admission. We conducted an external validation of the model in a large multicentre study. METHODS We used administrative data for all nonpsychiatric admissions of adult patients to hospitals in the provinces of Ontario (2003-2010) and Alberta (2011-2012), and to the Brigham and Women's Hospital in Boston (2010-2012) to calculate each patient's HOMR score at admission. The HOMR score is based on a set of parameters that captures patient demographics, health burden and severity of acute illness. We determined patient status (alive or dead) 1 year after admission using population-based registries. RESULTS The 3 validation cohorts (n = 2,862,996 in Ontario, 210 595 in Alberta and 66,683 in Boston) were distinct from each other and from the derivation cohort. The overall risk of death within 1 year after admission was 8.7% (95% confidence interval [CI] 8.7% to 8.8%). The HOMR score was strongly and significantly associated with risk of death in all populations and was highly discriminative, with a C statistic ranging from 0.89 (95% CI 0.87 to 0.91) to 0.92 (95% CI 0.91 to 0.92). Observed and expected outcome risks were similar (median absolute difference in percent dying in 1 yr 0.3%, interquartile range 0.05%-2.5%). INTERPRETATION The HOMR score, calculated using routinely collected administrative data, accurately predicted the risk of death among adult patients within 1 year after admission to hospital for nonpsychiatric indications. Similar performance was seen when the score was used in geographically and temporally diverse populations. The HOMR model can be used for risk adjustment in analyses of health administrative data to predict long-term survival among hospital patients.

Disease risk factors and humoral antibody response to periodontal-associated pathogens: A model to evaluate periodontal disease in older adults

Periodontal diseases (PD) are infectious, inflammatory, and tissue destructive events which affect the periodontal ligament that surround and support the teeth. Periodontal diseases are the major cause of tooth loss after age 35, with gingivitis and periodontitis affecting 75% of the adult population. A select group of bacterial organisms are associated with periodontal pathogenesis. There is a direct association between oral hygiene and prevention of PD. The importance of genetic differences and host immune response capabilities in determining host, susceptibility or resistance to PD has not been established. This study examined the risk factors and serum (humoral) immune response to periodontal diseased-associated pathogens in a 55 to 80+ year old South Texas study sample with PD. This study sample was described by: age, sex, ethnicity, the socioeconomic factors marital status, income and occupation, IgG, IgA, IgM immunoglobulin status, and the autoimmune response markers rheumatoid factor (RF) and antinuclear antibody (ANA). These variables were used to determine the risk factors associated with development of PD. Serum IgG, IgA, IgM antibodies to bacterial antigens provided evidence for disease exposure.^ A causal model for PD was constructed from associations for risk factors (ethnicity, marital status, income, and occupation) with dental exam and periodontitis. The multiple correlation between PD and ethnicity, income and dental exam was significant. Hispanics of low income were least likely to have had a dental exam in the last year and most likely to have PD. The etiologic agents for PD, as evidenced by elevated humoral antibody responses, were the Gram negative microorganisms Bacteroides gingivalis, serotypes FDC381 and SUNYaBA7A1-28, and Wolinella recta. Recommendation for a PD prevention and control program are provided. ^

RESPIRATORY COMPENSATION MECHANISMS IN THE UPPER AND LOWER RESPIRATORY TRACTS OF AN ANIMAL MODEL AFTER SUBCHRONIC INHALATION EXPOSURE TO FORMALDEHYDE: IMPLICATIONS FOR TOXICOLOGY RISK ASSESSMENT (DEPOSITION, DOSE RECEIVED, RESPONSE)

The potential for significant human populations to experience long-term inhalation of formaldehyde and reports of symptomatology due to this exposure has led to a considerable interest in the toxicologic assessment of risk from subchronic formaldehyde exposures using animal models. Since formaldehyde inhalation depresses certain respiratory parameters in addition to its other forms of toxicity, there is a potential for the alteration of the actual dose received by the exposed individual (and the resulting toxicity) due to this respiratory effect. The respiratory responses to formaldehyde inhalation and the subsequent pattern of deposition were therefore investigated in animals that had received subchronic exposure to the compound, and the potential for changes in the formaldehyde dose received due to long-term inhalation evaluated. Male Sprague-Dawley rats were exposed to either 0, 0.5, 3, or 15 ppm formaldehyde for 6 hours/day, 5 days/week for up to 6 months. The patterns of respiratory response, deposition and the compensation mechanisms involved were then determined in a series of formaldehyde test challenges to both the upper and to the lower respiratory tracts in separate groups of subchronically exposed animals and age-specific controls (four concentration groups, two time points). In both the control and pre-exposed animals, there was a characteristic recovery of respiratory parameters initially depressed by formaldehyde inhalation to at or approaching pre-exposure levels within 10 minutes of the initiation of exposure. Also, formaldehyde deposition was found to remain very high in the upper and lower tracts after long-term exposure. Therefore, there was probably little subsequent effect on the dose received by the exposed individual that was attributable to the repeated exposures. There was a diminished initial minute volume response in test challenges of both the upper and lower tracts of animals that had received at least 16 weeks of exposure to 15 ppm, with compensatory increases in tidal volume in the upper tract and respiratory rate in the lower tract. However, this dose-related effect was probably not relevant to human risk estimation because this formaldehyde dose is in excess of that experienced by human populations. ^

ACCURACY OF THE BRCAPRO RISK ASSESSMENT MODEL IN MALES PRESENTING TO MD ANDERSON FOR BRCA TESTING

ACCURACY OF THE BRCAPRO RISK ASSESSMENT MODEL IN MALES PRESENTING TO MD ANDERSON FOR BRCA TESTING Publication No. _______ Carolyn A. Garby, B.S. Supervisory Professor: Banu Arun, M.D. Hereditary Breast and Ovarian Cancer (HBOC) syndrome is due to mutations in BRCA1 and BRCA2 genes. Women with HBOC have high risks to develop breast and ovarian cancers. Males with HBOC are commonly overlooked because male breast cancer is rare and other male cancer risks such as prostate and pancreatic cancers are relatively low. BRCA genetic testing is indicated for men as it is currently estimated that 4-40% of male breast cancers result from a BRCA1 or BRCA2 mutation (Ottini, 2010) and management recommendations can be made based on genetic test results. Risk assessment models are available to provide the individualized likelihood to have a BRCA mutation. Only one study has been conducted to date to evaluate the accuracy of BRCAPro in males and was based on a cohort of Italian males and utilized an older version of BRCAPro. The objective of this study is to determine if BRCAPro5.1 is a valid risk assessment model for males who present to MD Anderson Cancer Center for BRCA genetic testing. BRCAPro has been previously validated for determining the probability of carrying a BRCA mutation, however has not been further examined particularly in males. The total cohort consisted of 152 males who had undergone BRCA genetic testing. The cohort was stratified by indication for genetic counseling. Indications included having a known familial BRCA mutation, having a personal diagnosis of a BRCA-related cancer, or having a family history suggestive of HBOC. Overall there were 22 (14.47%) BRCA1+ males and 25 (16.45%) BRCA2+ males. Receiver operating characteristic curves were constructed for the cohort overall, for each particular indication, as well as for each cancer subtype. Our findings revealed that the BRCAPro5.1 model had perfect discriminating ability at a threshold of 56.2 for males with breast cancer, however only 2 (4.35%) of 46 were found to have BRCA2 mutations. These results are significantly lower than the high approximation (40%) reported in previous literature. BRCAPro does perform well in certain situations for men. Future investigation of male breast cancer and men at risk for BRCA mutations is necessary to provide a more accurate risk assessment.