Al-Awadi-Raas-Rothschild (limb/pelvis/uterus-hypoplasia/aplasia) syndrome and WNT7A mutations: genetic homogeneity and nosological delineation.

The Al-Awadi-Raas-Rothschild syndrome (AARRS; OMIM 276820) and the Fuhrmann syndrome (FS; OMIM 228930) are distinct limb malformation disorders comprising different degrees of limb aplasia or hypoplasia. In 2006, Woods et al. found different recessive WNT7A mutations in one family segregating the AARRS phenotype and in a second family with FS. To explain the common genetic basis for the two clinically distinct disorders, functional studies were done showing that partial loss of WNT7A function resulted in FS, while complete loss of WNT7A function resulted in the more severe phenotype of AARRS. In spite of the elucidation of the molecular basis of AARRS, there remains to this day considerable diagnostic confusion that has culminated in the lumping of Schinzel phocomelia syndrome with AARRS; however, this phocomelic limb defect is quite different in its clinical aspect and pathogenesis from the limb findings of AARRS. Here, we report on a child with the AARRS phenotype and homozygosity for a non-conservative E72K mutation in WNT7A, underline the homogeneity of the WNT7A-associated AARRS phenotype, and propose differential diagnostic criteria for the AARRS reflecting the roles of WNT7A in limb development.

Modelling Interbank Relations during the International Financial Crisis

This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion. JEL classifications: C51; G15 Keywords: Financial Crises; Contagion; Interbank Markets.

Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity

We study a general static noisy rational expectations model where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of equilibria. We find that a main driver of the characterization of equilibria is whether the actions of investors are strategic substitutes or complements. This latter property in turn is driven by the strength of a private learning channel from prices, arising from the multidimensional sources of asymmetric information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to the public we have strong (weak) strategic complementarity in actions and potentially multiple (unique) equilibria. The results enable a precise characterization of whether information acquisition decisions are strategic substitutes or complements. We find that the strategic substitutability in information acquisition result obtained in Grossman and Stiglitz (1980) is robust. JEL Classification: D82, D83, G14 Keywords: Rational expectations equilibrium, asymmetric information, risk exposure, hedging, supply information, information acquisition.

Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Mitotic figure counts are significantly overestimated in resection specimens of invasive breast carcinomas.

Several authors have demonstrated an increased number of mitotic figures in breast cancer resection specimen when compared with biopsy material. This has been ascribed to a sampling artifact where biopsies are (i) either too small to allow formal mitotic figure counting or (ii) not necessarily taken form the proliferating tumor periphery. Herein, we propose a different explanation for this phenomenon. Biopsy and resection material of 52 invasive ductal carcinomas was studied. We counted mitotic figures in 10 representative high power fields and quantified MIB-1 immunohistochemistry by visual estimation, counting and image analysis. We found that mitotic figures were elevated by more than three-fold on average in resection specimen over biopsy material from the same tumors (20±6 vs 6±2 mitoses per 10 high power fields, P=0.008), and that this resulted in a relative diminution of post-metaphase figures (anaphase/telophase), which made up 7% of all mitotic figures in biopsies but only 3% in resection specimen (P<0.005). At the same time, the percentages of MIB-1 immunostained tumor cells among total tumor cells were comparable in biopsy and resection material, irrespective of the mode of MIB-1 quantification. Finally, we found no association between the size of the biopsy material and the relative increase of mitotic figures in resection specimen. We propose that the increase in mitotic figures in resection specimen and the significant shift towards metaphase figures is not due to a sampling artifact, but reflects ongoing cell cycle activity in the resected tumor tissue due to fixation delay. The dwindling energy supply will eventually arrest tumor cells in metaphase, where they are readily identified by the diagnostic pathologist. Taken together, we suggest that the rapidly fixed biopsy material better represents true tumor biology and should be privileged as predictive marker of putative response to cytotoxic chemotherapy.

A logistic regression approach to estimating customer profit loss due to lapses in insurance

This article focuses on business risk management in the insurance industry. A methodology for estimating the profit loss caused by each customer in the portfolio due to policy cancellation is proposed. Using data from a European insurance company, customer behaviour over time is analyzed in order to estimate the probability of policy cancelation and the resulting potential profit loss due to cancellation. Customers may have up to two different lines of business contracts: motor insurance and other diverse insurance (such as, home contents, life or accident insurance). Implications for understanding customer cancellation behaviour as the core of business risk management are outlined.

Down-regulation of NOSII gene expression by iontophoresis of anti-sense oligonucleotide in endotoxin-induced uveitis.

Transcorneoscleral iontophoresis was used to enhance ocular penetration of a 21-bp NH(2) protected anti-NOSII oligonucleotides (ODNs) (fluorescein or infrared-41 labeled) in Lewis rats. Both histochemical localization and acrylamide sequencing gels were used. To evaluate the potential to down-regulate NOSII expression in the rat model of endotoxin-induced uveitis (EIU), anti-sense NOSII ODN, scrambled ODN or saline were iontophorezed into these animals' eyes. Iontophoresis facilitated the penetration of intact ODNs into the intraocular tissues of the rat eye and only the eyes receiving ODNs and electrical current demonstrated intact ODNs within the ocular tissues of both segments of the eye. Iontophoresis of anti-NOSII ODN significantly down-regulated the expression of NOSII expression in iris/ciliary body compared to the saline or scrambled ODN treated eyes. Nitrite production was also significantly reduced in the anti-NOSII applied eyes compared to those treated with saline. Using this system, intraocular delivery of ODNs can be significantly enhanced increasing the potential for successful gene therapy for human eye diseases.

Història natural dels pacients amb arteriopatia perifèrica

Introducció: Estudiar la història natural de la malaltia arterial perifèrica. Pacients i mètode: Registre observacional, multicèntric, prospectiu de pacients amb malaltia arterial perifèrica (FRENA) Resultats: Es registren 1205 pacients, 604 grau IIa de Fontaine; 336 grau IIb; 121 grau III i 144 grau IV. Durant el seguiment, 172 desenvolupen episodis isquèmics i 83 moren. En l’anàlisi multivariant pacients amb altres patologies, estadis III-IV, PAS&130mmHg i anticoagulats tenen risc de mort augmentat. Conclusions: Quan avança la malaltia augmenten episodis isquèmics i mortalitat. En l’estadi IIa, la incidència d’isquèmia crítica és com la d’infart de miocardi o d’ictus. Els pacients amb PAS &130mmHg tenen 3 vegades més risc de morir.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

How to use the standard model with own data?

In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. In particular, this analysis focuses on the formula presented in the latest quantitative impact study (2010 CEIOPS) for non-life underwriting premium and reserve risk. One of the keys of the standard model for premium and reserves risk is the correlation matrix between lines of business. In this work we present how the correlation matrix between lines of business could be estimated from a quantitative perspective, as well as the possibility of using a credibility model for the estimation of the matrix of correlation between lines of business that merge qualitative and quantitative perspective.