Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

Value for Money and Policy Review of the Economic Cost and Charges Associated with Private and Semi-Private Treatment Services in Public Hospitals - Interim Report

This report sets out a revised costing methodology and an estimate of the gap which currently exists between private and semi-private bed charges and the average economic cost. While the Steering Group considers the costing methodology proposed as an improvement on the approach taken in previous years and a good overall approximation of the difference on average between economic costs and current charges, it recognises that the current charging regime does not take sufficient account of the variation between different categories of patient. Download document here Note to Readers

Gender difference in the response to an angiotensin-converting enzyme inhibitor and a diurectic in hypertensive patients of African descent

Résumé de la thèse en français Titre : Différence entre hommes et femmes dans la réponse à un inhibiteur de l'enzyme de conversion de l'angiotensine et un diurétique chez des patients hypertendus d'origine Africaine. Introduction: L'efficacité des inhibiteurs de l'enzyme de conversion de l'angiotensine (ACEI) dans le traitement de l'hypertension artérielle chez les patients africains est controversée. Objectif: Nous avons examiné la baisse de la tension artérielle ambulatoire (ABP) en réponse à un diurétique et un ACEI chez des patients hypertendus d'origine africaine et nous avons évalué les différentes caractéristiques déterminant l'efficacité du traitement. Méthodes: Etude en simple-aveugle randomisée, en crossover AB/BA. Arrangement Familles hypertendues d'origine africaine de la population générale des Seychelles. Participants : 52 patients (29 hommes et 23 femmes) sur 62 patients hypertendus éligibles ont été inclus. Le principal résultat était la mesure de la réponse de l'ABP à 20 mg de lisinopril (LIS) ou 25 mg d'hydrochlorothiazide (HCT) quotidiennement pendant quatre semaines. Résultats: Le jour, la réponse systolique/diastolique de l'ABP sous HCT était de 4.9 (95% intervalle de confiance (IC) 1.2-8.6)/3.6 (1.0-6.2) mm Hg pour les hommes et 12.9 (9.216.6)/6.3 (3.7-8.8) mm Hg pour les femmes. Sous LIS, la réponse était de 18.8 (15.022.5)/14.6 (12.0-17.1) mm Hg pour les hommes et de 12.4 (8.7-16.2)/7.7 (5.1-10.2) mm Hg pour les femmes. La nuit, la réponse systolique/diastolique sous HCT était de 5.0 (0.6-9.4)/2.7 ((-0.4)-5.7) mm Hg pour les hommes et de 11.5 (7.1-16.0)/5.7 (2.6-8.8) mm Hg pour les femmes, et sous LIS était de 18.7 (14.2-22.1)/15.4 (12.4-18.5) mm Hg pour les hommes et de 3.5 ((-1.0)-7.9)/2.3 ((-0.8)-5.4) mm Hg pour les femmes. L'analyse de régression linéaire multiple a montré que le sexe est un prédicteur indépendant de la réponse tensionnelle à l'HCT et au LIS. Conclusions : Les patients hypertendus d'origine africaine ont présenté une baisse tensionnelle plus grande en réponse au LIS qu'à l'HCT. Les hommes ont mieux répondu au LIS qu'à l'HCT alors que les femmes ont répondu de manière similaire aux deux traitements.

Spot the difference?

This poster informs about looking out for your friends when you're out, stating: 'Having a good time? All that can change in a minute. Be there for each other and help if things go wrong, whether it's drink, drugs...or just mascara'.

Cross-sectional study defines difference in malaria morbidity in two Yanomami communities on Amazonian boundary between Brazil and Venezuela

It is well established that immunity to malaria is short-lived and is maintained by the continuous contact with the parasite. We now show that the stable transmission of malaria in Yanomami Amerindian communities maintains a degree of immunity in the exposed population capable to reduce prevalence and morbidity of malaria. We examined 508 Yanomami Amerindians living along Orinoco (407) and Mucajaí (101) rivers, on the Venezuelan and Brazilian Amazon region, respectively. At Orinoco villages, malaria was hyperendemic and presented stable transmission, while at Mucajaí villages it was mesoendemic and showed unstable transmission. The frequency of Plasmodium vivax and P. falciparum was roughly comparable in Venezuelan and Brazilian communities. Malaria presented different profiles at Orinoco and Mucajaí villages. In the former communities, malaria showed a lower prevalence (16% x 40.6%), particularly among those over 10 years old (5.2% x 34.8%), a higher frequency of asymptomatic cases (38.5% x 4.9%), and a lower frequency of cases of severe malaria (9.2% x 36.5%). Orinoco villagers also showed a higher reactivity of the immune system, measured by the frequency of splenomegaly (72.4% x 29.7%) and by the splenic index (71.4% over level 1 x 28.6), and higher prevalence (91.1% x 72.1%) and mean titer (1243 x 62) of antiplasmodial IgG antibodies, as well as a higher prevalence (77.4% x 24.7%) and mean titer (120 x 35) of antiplasmodial IgM antibodies. Our findings show that in isolated Yanomami communities the stability of malaria transmission, and the consequent continuous activation of the immune system of the exposed population, leads to the reduction of malaria prevalence and morbidity.

The robustness of the weak selection approximation for the evolution of altruism against strong selection.

The weak selection approximation of population genetics has made possible the analysis of social evolution under a considerable variety of biological scenarios. Despite its extensive usage, the accuracy of weak selection in predicting the emergence of altruism under limited dispersal when selection intensity increases remains unclear. Here, we derive the condition for the spread of an altruistic mutant in the infinite island model of dispersal under a Moran reproductive process and arbitrary strength of selection. The simplicity of the model allows us to compare weak and strong selection regimes analytically. Our results demonstrate that the weak selection approximation is robust to moderate increases in selection intensity and therefore provides a good approximation to understand the invasion of altruism in spatially structured population. In particular, we find that the weak selection approximation is excellent even if selection is very strong, when either migration is much stronger than selection or when patches are large. Importantly, we emphasize that the weak selection approximation provides the ideal condition for the invasion of altruism, and increasing selection intensity will impede the emergence of altruism. We discuss that this should also hold for more complicated life cycles and for culturally transmitted altruism. Using the weak selection approximation is therefore unlikely to miss out on any demographic scenario that lead to the evolution of altruism under limited dispersal.

First explicit criteria to decide on the appropriateness of therapy of ulcerative colitis: the European EPATUC panel

Background: Ulcerative colitis (UC) is a chronic disease with a wide variety of treatment options many of which are not evidence based. Supplementing available guidelines, which are often broadly defined, consensus-based and generally not tailored to specifically reflect the individual patient situation, we developed explicit appropriateness criteria to assist, and improve treatment decisions. Methods: We used the RAND appropriateness method which does not force consensus. An extensive literature review was compiled based on and supplementing, where necessary, the ECCO UC 2011 guidelines. EPATUC (endorsed by ECCO) was formed by 8 gastroenterologists, 2 surgeons and 2 general practitioners from throughout Europe. Clinical scenarios reflecting practice were rated on a 9-point scale from 1 (extremely inappropriate) to 9 (extremely appropriate), based on the expert's experience and the available literature. After extensive discussion, all scenarios were re-rated at a two-day panel meeting. Median and disagreement were used to categorize ratings into 3 categories: appropriate, uncertain and inappropriate. Results: 718 clinical scenarios were rated, structured in 13 main clinical presentations: not refractory (n=64) or refractory (n=33) proctitis, mild to moderate left-sided (n=72) or extensive (n=48) colitis, severe colitis (n=36), steroid-dependant colitis (n=36), steroid-refractory colitis (n=55), acute pouchitis (n=96), maintenance of remission (n=248), colorectal cancer prevention (n=9) and fulminant colitis (n=9). Overall, 100 indications were judged appropriate (14%), 129 uncertain (18%) and 489 inappropriate (68%). Disagreement between experts was very low (6%). Conclusion: For the very first time, explicit appropriateness criteria for therapy of UC were developed that allow both specific and rapid therapeutic decision making and prospective assessment of treatment appropriateness. Comparison of these detailed scenarios with patient profiles encountered in the Swiss IBD cohort study indicates good concordance. EPATUC criteria will be freely accessible on the internet (epatuc.ch).

Auditory spatial deficits following hemispheric lesions: Dissociation of explicit and implicit processing.

Auditory spatial deficits occur frequently after hemispheric damage; a previous case report suggested that the explicit awareness of sound positions, as in sound localisation, can be impaired while the implicit use of auditory cues for the segregation of sound objects in noisy environments remains preserved. By assessing systematically patients with a first hemispheric lesion, we have shown that (1) explicit and/or implicit use can be disturbed; (2) impaired explicit vs. preserved implicit use dissociations occur rather frequently; and (3) different types of sound localisation deficits can be associated with preserved implicit use. Conceptually, the dissociation between the explicit and implicit use may reflect the dual-stream dichotomy of auditory processing. Our results speak in favour of systematic assessments of auditory spatial functions in clinical settings, especially when adaptation to auditory environment is at stake. Further, systematic studies are needed to link deficits of explicit vs. implicit use to disability in everyday activities, to design appropriate rehabilitation strategies, and to ascertain how far the explicit and implicit use of spatial cues can be retrained following brain damage.

A First approximation to the realism/idealism debate about the external world

El text intenta fer una primera aproximació al debat contemporani entre realistes i anti-realistes sobre el món empíric, centrant-se en les posicions de Putnam i Nagel. El seu objectiu principal és el d'entendre les motivacions de les posicions i l'estructura actual del debat, i el d'establir les característiques que hauria de tenir qualsevol posició satisfactòria