Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

Risk management of new product development process

Dissertation submitted to Faculdade de Ciências e Tecnologia of Universidade Nova de Lisboa for the achievement of Integrated Master´s degree in Industrial Management Engineering

Scheduling of a hydro producer considering head-dependency, price scenarios and risk-aversion

In this paper, a mixed-integer quadratic programming approach is proposed for the short-term hydro scheduling problem, considering head-dependency, discontinuous operating regions and discharge ramping constraints. As new contributions to earlier studies, market uncertainty is introduced in the model via price scenarios, and risk aversion is also incorporated by limiting the volatility of the expected profit through the conditional value-at-risk. Our approach has been applied successfully to solve a case Study based on one of the main Portuguese cascaded hydro systems, requiring a negligible computational time.

Long-run consumption risk with durable goods : UK evidence for equity and bond markets

"It is a widely accepted fact that the consumption-based capital asset pricing model (CCAPM) fails to provide a good explanation of many important features of the behaviour of financial market returns in a large range of countries over a long period of time. However, within a representative consumer/investor model, it is hard to see how the basic structure of the consumption based model can be safely abandoned." [introdução]

Exposure to acellular blood products and risk of HIV infection in hemophiliacs from Belo Horizonte, Brazil

Results of a HIV prevalence study conducted in hemophiliacs from Belo Horizonte, Brazil are presented. History of exposure to acellular blood components was determined for the five year period prior to entry in the study, which occurred during 1986 and 1987. Patients with coagulations disorders (hemophilia A = 132, hemophilia B = 16 and coagulation disorders other than hemophilia = 16) were transfused with liquid cryoprecipitate, locally produced, lyophilized cryoprecipitate, imported from São Paulo (Brazil) and factor VIII and IX, imported from Rio de Janeiro (Brazil), Europe, and United States. Thirty six (22%) tested HIV seropositive. The univariate and multivariate analysis (logistic model) demonstrated that the risk of HIV infection during the study period was associated with the total units of acellular blood components transfused. In addition, the proportional contribution of the individual components to the total acellular units transfused, namely a increase in factor VIII/IX and lyophilized cryoprecipitate proportions, were found to be associated with HIV seropositivity. This analysis suggest that not only the total amount of units was an important determinant of HIV infection, but that the risk was also associated with the specific component of blood transfused

Age-period-cohort effects in the incidence of hip fractures: political and economic events are coincident with changes in risk

Introduction: Healthcare improvements have allowed prevention but have also increased life expectancy, resulting in more people being at risk. Our aim was to analyse the separate effects of age, period and cohort on incidence rates by sex in Portugal, 2000–2008. Methods: From the National Hospital Discharge Register, we selected admissions (aged ≥49 years) with hip fractures (ICD9-CM, codes 820.x) caused by low/moderate trauma (falls from standing height or less), readmissions and bone cancer cases. We calculated person-years at risk using population data from Statistics Portugal. To identify period and cohort effects for all ages, we used an age–period–cohort model (1-year intervals) followed by generalised additive models with a negative binomial distribution of the observed incidence rates of hip fractures. Results: There were 77,083 hospital admissions (77.4 % women). Incidence rates increased exponentially with age for both sexes (age effect). Incidence rates fell after 2004 for women and were random for men (period effect). There was a general cohort effect similar in both sexes; risk of hip fracture altered from an increasing trend for those born before 1930 to a decreasing trend following that year. Risk alterations (not statistically significant) coincident with major political and economic change in the history of Portugal were observed around birth cohorts 1920 (stable–increasing), 1940 (decreasing–increasing) and 1950 (increasing–decreasing only among women). Conclusions: Hip fracture risk was higher for those born during major economically/politically unstable periods. Although bone quality reflects lifetime exposure, conditions at birth may determine future risk for hip fractures.

Schistosomiasis mansoni in an area of low transmission: II. Risk factors for infection

Risk factors for Schistosoma mansoni infection were identified using a 1:1 matched case-control design. The work was conducted in the municipality of Pedro de Toledo, São Paulo State, Brazil, an area where the snail host is Biomphalaria tenagophila. Information on water contact patterns, knowledge, attitudes and pratices (kap), socioeconomic and sanitary conditions were obtained by mean of questionnaires. The crude odds ratio estimates and the adjusted odds ratio estimates using the logistic regression model are presented. Most of the examined individuals admitted recent water contacts (90.6% of the cases). The most frequent reason for contact was swimming, playing and fishing and the preferential site of contact was the river. According to the logistic regression technique, the main risk factors for infection were: a) water contact through swimming, playing and fishing; b) fording; c) bad hygiene. We concluded that recreational activities are the main reasons for schistosomiasis transmission in Pedro de Toledo and leisure alternatives should be offered to the local population.

Water-contact patterns and risk factors for Schistosoma mansoni infection in a rural village of Northeast Brazil

Schistosomiasis mansoni in the Serrano village, municipality of Cururupu, state of Maranhão, Brazil, is a widely spread disease. The PECE (Program for the Control of Schistosomiasis), undertaken since 1979 has reduced the prevalence of S. mansoni infection and the hepatosplenic form of the disease. Nevertheless piped water is available in 84% of the households, prevalence remains above 20%. In order to identify other risk factors responsible for the persistence of high prevalence levels, a cross-sectional survey was carried out in a systematic sample of 294 people of varying ages. Socioeconomic, environmental and demographic variables, and water contact patterns were investigated. Fecal samples were collected and analyzed by the Kato-Katz technique. Prevalence of S. mansoni infection was 24.1%, higher among males (35.5%) and between 10-19 years of age (36.6%). The risk factors identified in the univariable analysis were water contacts for vegetable extraction (Risk Ratio - RR = 2.92), crossing streams (RR = 2.55), bathing (RR = 2.35), fishing (RR = 2.19), hunting (RR = 2.17), cattle breeding (RR = 2.04), manioc culture (RR = 1.90) and leisure (RR = 1.56). After controlling for confounding variables by proportional hazards model the risks remained higher for males, vegetable extraction, bathing in rivers and water contact in rivers or in periodically inundated parts of riverine woodland (swamplands)

Vitamin D Intake and Cardiometabolic: Risk Factors in Adolescents

Background: A growing body of research suggests that vitamin D might play an important role in overall health. No data exist on vitamin D intake for the Azorean adolescent population. The purpose of this study was to assess vitamin D intake and investigate a possible association between vitamin D intake and cardiometabolic risk factors in Azorean adolescents. Methods: A cross-sectional school-based study was conducted on 496 adolescents (288 girls) aged 15–18 years from the Azorean Islands, Portugal. Anthropometric measurements (waist circumference and height), blood pressure (systolic), and plasma biomarkers [fasting glucose, insulin, total cholesterol (TC), high-density lipoprotein cholesterol (HDL-C), and triglycerides (TGs)] were measured to assess metabolic risk. Homeostasis model assessment (HOMA), TC-to-HDL-C ratio, and waist-to-height ratio were calculated. For each of these variables, a Z-score was computed by age and sex. A metabolic risk score was constructed by summing the Zscores of all individual risk factors. High risk was considered when the individual had ‡ 1 standard deviation(SD) of this score. Vitamin D intake was assessed with a semiquantitative food frequency questionnaire. Participants were classified into quartiles of vitamin D intake. Logistic regression was used to determine odds ratios for high cardiometabolic risk scores after adjusting for total energy intake, pubertal stage, fat mass percentage, and cardiorespiratory fitness. Results: Mean (SD) vitamin D intake was 5.8 (6.5) mg/day, and 9.1% of Azorean adolescents achieved the estimated average requirement of vitamin D (10 mg/day or 400 IU). Logistic regression showed that the odds ratio for a high cardiometabolic risk score was 3.35 [95% confidence interval (CI) 1.28–8.75] for adolescents in the lowest vitamin D intake quartile in comparison with those in the highest vitamin D intake quartile, even after adjustment for confounders. Conclusion: A lower level of vitamin D intake was associated with worse metabolic profile among Azorean adolescents.

Intake of milk, but not total dairy, yogurt, or cheese, is negatively associated with the clustering of cardiometabolic risk factors in adolescents

Epidemiologic studies have reported an inverse association between dairy product consumption and cardiometabolic risk factors in adults, but this relation is relatively unexplored in adolescents. We hypothesized that a higher dairy product intake is associated with lower cardiometabolic risk factor clustering in adolescents. To test this hypothesis, a cross-sectional study was conducted with 494 adolescents aged 15 to 18 years from the Azorean Archipelago, Portugal. We measured fasting glucose, insulin, total cholesterol, high-density lipoprotein cholesterol, triglycerides, systolic blood pressure, body fat, and cardiorespiratory fitness. We also calculated homeostatic model assessment and total cholesterol/high-density lipoprotein cholesterol ratio. For each one of these variables, a z score was computed using age and sex. A cardiometabolic risk score (CMRS) was constructed by summing up the z scores of all individual risk factors. High risk was considered to exist when an individual had at least 1 SD from this score. Diet was evaluated using a food frequency questionnaire, and the intake of total dairy (included milk, yogurt, and cheese), milk, yogurt, and cheese was categorized as low (equal to or below the median of the total sample) or “appropriate” (above the median of the total sample).The association between dairy product intake and CMRS was evaluated using separate logistic regression, and the results were adjusted for confounders. Adolescents with high milk intake had lower CMRS, compared with those with low intake (10.6% vs 18.1%, P = .018). Adolescents with appropriate milk intake were less likely to have high CMRS than those with low milk intake (odds ratio, 0.531; 95% confidence interval, 0.302-0.931). No association was found between CMRS and total dairy, yogurt, and cheese intake. Only milk intake seems to be inversely related to CMRS in adolescents.

Risk Acceptance in the Furniture Sector: Analysis of Acceptance Level and Relevant Influence Factors

Risk acceptance has been broadly discussed in relation to hazardous risk activities and/or technologies. A better understanding of risk acceptance in occupational settings is also important; however, studies on this topic are scarce. It seems important to understand the level of risk that stakeholders consider sufficiently low, how stakeholders form their opinion about risk, and why they adopt a certain attitude toward risk. Accordingly, the aim of this study is to examine risk acceptance in regard to occupational accidents in furniture industries. The safety climate analysis was conducted through the application of the Safety Climate in Wood Industries questionnaire. Judgments about risk acceptance, trust, risk perception, benefit perception, emotions, and moral values were measured. Several models were tested to explain occupational risk acceptance. The results showed that the level of risk acceptance decreased as the risk level increased. High-risk and death scenarios were assessed as unacceptable. Risk perception, emotions, and trust had an important influence on risk acceptance. Safety climate was correlated with risk acceptance and other variables that influence risk acceptance. These results are important for the risk assessment process in terms of defining risk acceptance criteria and strategies to reduce risks.

Toxoplasma-IgM and IgG-avidity in single samples from areas with a high infection rate can determine the risk of mother-to-child transmission

Anti-Toxoplasma IgG-avidity was determined in 168 serum samples from IgG- and IgM-positive pregnant women at various times during pregnancy, in order to evaluate the predictive value for risk of mother-to-child transmission in a single sample, taking the limitations of conventional serology into account. The neonatal IgM was considered the serologic marker of transmission. Fluorometric tests for IgG, IgM (immunocapture) and IgG-avidity were performed. Fifty-one of the 128 pregnant women tested gave birth in the hospital and neonatal IgM was obtained. The results showed 32 (62.75%) pregnant women having high avidity, IgM indexes between 0.6 and 2.4, and no infected newborn. Nineteen (37.25%) had low or inconclusive avidity, IgM indexes between 0.6 and 11.9, and five infected newborns and one stillbirth. In two infected newborns and the stillbirth maternal IgM indexes were low and in one infected newborn the only maternal parameter that suggested fetal risk was IgG-avidity. In the present study, IgG-avidity performed in single samples from positive IgM pregnant women helped to determine the risk of transmission at any time during pregnancy, especially when the indexes of the two tests were analysed with respect to gestational age. This model may be less expensive in developing countries where there is a high prevalence of infection than the follow-up of susceptible mothers until childbirth with monthly serology, and it creates a new perspective for the diagnosis of congenital toxoplasmosis.

Risk-factors for non-adherence to antiretroviral therapy

Cross-sectional study analyzed as case-control to identify risk factors for non-adherence to antiretroviral therapy. We studied 412 out-clinics HIV infected subjects of three public hospitals of Recife, Pernambuco. The objective was to examine the association between non-adherence to the antiretroviral therapy and biological, social-behavior and demographics and economic factors, factors related to the disease and/or treatment, factors related to life habits and depression symptoms. Variables significantly associated with non-adherence to antiretroviral therapy were: time elapsed since HIV diagnosis (p = 0.002), daily dose (p = 0.046), use of alcohol (p = 0.030) and past drug use (p = 0.048), and borderline p-values were found for educational level (p = 0.093) and family monthly income (p = 0.08). In the multivariable analysis, the factors that remained in the final model were family monthly income, time period with HIV infection and use of alcohol. No association was observed between non-adherence to antiretroviral therapy and gender, age, sexual orientation, marital status, educational level and place of residence. Based on our results and the local situation we suggest: assessment of social needs; training of partners and/or families on supporting adherence, creation of "adherence groups" to motivate and to reassure patients on the benefits of treatment; counseling and/or psychotherapy for alcohol drinkers.

Risk factors for and mortality of extended-spectrum-β-lactamase-producing Klebsiella pneumoniae and Escherichia coli nosocomial bloodstream infections

A case-control study, involving patients with positive blood cultures for Klebsiella pneumoniae (KP) or Escherichia coli (EC) EC and controls with positive blood cultures for non-ESBL-KP or EC, was performed to assess risk factors for extended-spectrum-β-lactamase (ESBL) production from nosocomial bloodstream infections (BSIs). Mortality among patients with BSIs was also assessed. The study included 145 patients (81, 59.5% with K. pneumoniae and 64, 44.1% with E. coli BSI); 51 (35.2%) isolates were ESBL producers and 94 (64.8%) nonproducers. Forty-five (55.6%) K. pneumoniae isolates were ESBL producers, while only six (9.4%) E. coli isolates produced the enzyme. Multivariate analysis showed that recent exposure to piperacillin-tazobactam (adjusted Odds Ratio [aOR] 6.2; 95%CI 1.1-34.7) was a risk factor for ESBL BSI. K. pneumoniae was significantly more likely to be an ESBL-producing isolate than E. coli (aOR 6.7; 95%CI 2.3-20.2). No cephalosporin class was independently associated with ESBLs BSI; however, in a secondary model considering all oxymino-cephalosporins as a single variable, a significant association was demonstrated (aOR 3.7; 95%CI 1.3-10.8). Overall 60-day mortality was significantly higher among ESBL-producing organisms. The finding that piperacillin-tazobactam use is a risk factor for ESBL-production in KP or EC BSIs requires attention, since this drug can be recommended to limit the use of third-generation cephalosporins.

Risk-based decision support system for life cycle management of industrials plants

Dissertação para obtenção do Grau de Doutor em Engenharia Electrotécnica e de Computadores