Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

The Effect of Obesity on Wages and Employment: The Difference Between Having a High BMI and Being Fat

In this paper, we re-examine the relationship between overweight and labour market success, using indicators of individual body composition along with BMI (Body Mass Index). We use the dataset from Finland in which weight, height, fat mass and waist circumference are not self-reported, but obtained as part of the overall health examination. We find that waist circumference, but not weight or fat mass, has a negative effect on wages for women, whereas all measures of obesity have negative effects on women’s employment probabilities. For men, the only obesity measure that is significant for men’s employment probabilities is fat mass. One interpretation of our findings is that the negative wage effects of overweight on wages run through the discrimination channel, but that the negative effects of overweight on employment have more to do with ill health. All in all, measures of body composition provide a more refined picture about the effects of obesity on wages and employment.

Thermodynamic and structural studies of cavity formation in proteins suggest that loss of packing interactions rather than the hydrophobic effect dominates the observed energetics

The hydrophobic effect is widely believed to be an important determinant of protein stability. However, it is difficult to obtain unambiguous experimental estimates of the contribution of the hydrophobic driving force to the overall free energy of folding. Thermodynamic and structural studies of large to small substitutions in proteins are the most direct method of measuring this contribution. We have substituted the buried residue Phe8 in RNase S with alanine, methionine, and norleucine, Binding thermodynamics and structures were characterized by titration calorimetry and crystallography, respectively. The crystal structures of the RNase S F8A, F8M, and F8Nle mutants indicate that the protein tolerates the changes without any main chain adjustments, The correlation of structural and thermodynamic parameters associated with large to small substitutions was analyzed for nine mutants of RNase S as well as 32 additional cavity-containing mutants of T4 lysozyme, human lysozyme, and barnase. Such substitutions were typically found to result in negligible changes in Delta C-p and positive values of both Delta Delta H degrees and aas of folding. Enthalpic effects were dominant, and the sign of Delta Delta S is the opposite of that expected from the hydrophobic effect. Values of Delta Delta G degrees and Delta Delta H degrees correlated better with changes in packing parameters such as residue depth or occluded surface than with the change in accessible surface area upon folding. These results suggest that the loss of packing interactions rather than the hydrophobic effect is a dominant contributor to the observed energetics for large to small substitutions. Hence, estimates of the magnitude of the hydrophobic driving force derived from earlier mutational studies are likely to be significantly in excess of the actual value.

Mode-dependent dispersion in Raman line shapes: Observation and implications from ultrafast Raman loss spectroscopy

Ultrafast Raman loss spectroscopy (URLS) enables one to obtain the vibrational structural information of molecular systems including fluorescent materials. URLS, a nonlinear process analog to stimulated Raman gain, involves a narrow bandwidth picosecond Raman pump pulse anda femtosecond broadband white light continuum. Under nonresonant condition, the Raman response appears as a negative (loss) signal, whereas, on resonance with the electronic transition the line shape changes from a negative to a positive through a dispersive form. The intensities observed and thus, the Franck-Condon activity (coordinate dependent), are sensitive to the wavelength of the white light corresponding to a particular Raman frequency with respect to the Raman pump pulse wavelength, i.e., there is a mode-dependent response in URLS. (C) 2010 American Institute of Physics.

Study of the electronic structures of high Tc cuprate superconductors by electron energy loss and secondary electron emission spectroscopies

Energy loss spectra of superconducting YBa2Cu3O6.9' Bi1.5Pb0.5Ca2.5Sr1.5Cu3O10+δ and Tl2CaBa2Cu3O8 obtained at primary electron energies in the 170–310 eV range show features reflecting the commonalities in their electronic structures. The relative intensity of the plasmon peak shows a marked drop across the transition temperature. Secondary electron emission spectra of the cuprates also reveal some features of the electronic structure.

Electronic-Transitions In Hydrogen-Bonded Dimers Of Carboxylic-Acids In The Vapor-Phase - An Electron-Energy Loss Spectroscopic Study

An electron energy loss spectroscopic study of the formic acid dimer has shown bands centred around 7.2, 8.5, 9.8, and 11.1 eV, of which the first and the third bands are assigned to n- rc* transitions and the other two to n-n* transitions; similar transitions are found in the acetic acid dimer.

Critical leg ischaemia with tissue loss : a challenge for the vascular surgeon

There is a widespread reporting habit of combining the outcomes for patients with rest pain (Fontaine III) and tissue loss (Fontaine IV) under the single category of critical leg ischaemia (CLI). This study focused on patients with ischaemic tissue loss treated with infrainguinal bypass surgery (IBS). All patients included in the study were treated at Helsinki University Central Hospital in 2000-2007. First, ulcer healing time after IBS and factors influencing healing time were prospectively assessed in 2 studies including 148 and 110 patients, respectively. Second,the results of redo IBS were retrospectively evaluated in 593 patients undergoing primary IBS for CLI with tissue loss . Third,long-term outcome were retrospectively analysed in 636 patients who underwent IBS for CLI with tissue loss . Fourth, the outcome of IBS was retrospectively compared with endovascular treatment (PTA) of the infrapopliteal arteries in 1023 CLI patients. Fifth, the influence multidrug resistant Pseudomans aeruginosa (MDR Pa) bacteria contamination in CLI patients treated with IBS was retropectively assessed. Sixty-four patients with positive MDR Pa -culture were matched with 64 MDR Pa - negative controls. Complete ulcer healing rate, including the ischemic ulcers and incisional wounds, was 40% at 6 months after IBS and 75% at one year. Diabetes was a risk factor for prolonged complete ulcer healing time. Ischaemic tissue lesions located in mid-and hindfoot healed poorly. At one year after IBS 50% of the patients were alive with salvaged leg and completely healed ulcers. The absence of gap between tertiary graft patency and leg salvage rates indicates the importance of a patent infrainguinal graft to save a leg with ischaemic tissue loss. Long-term survival for patients with ischaemic tissue loss was poor, 38% at 5 years. Only 30% of the patients were alive without amputation at 5 years. Several of the patient comorbidities increased independently the mortality risk; coronary artery disease, renal insufficiency, chronic obstructive lung disease and high age. When both PTA and bypass is feasible, infrapopliteal PTA as a first-line strategy is expected to achieve similar long-term results to bypass surgery in CLI when redo surgery is actively utilized. MDR Pa in a patient with CLI should be considered as a serious event with increased risk of early major amputation or death. Conclusion: Despite a successful infrainguinal bypass healing of the ischaemic ulcers and incisional wounds ulcer healing is a slow process especially in diabetics. Bypass surgery and PTA improve the outcome of the ischaemic leg but the mortality rate of the patients is high due to their severe comorbidities.

Combination antiretroviral therapy -associated lipodystrophy : insights into pathogenesis and treatment

Introduction: Combination antiretroviral therapy (cART) has decreased morbidity and mortality of individuals infected with human immunodeficiency virus type 1 (HIV-1). Its use, however, is associated with adverse effects which increase the patients risk of conditions such as diabetes and coronary heart disease. Perhaps the most stigmatizing side effect is lipodystrophy, i.e., the loss of subcutaneous adipose tissue (SAT) in the face, limbs and trunk while fat accumulates intra-abdominally and dorsocervically. The pathogenesis of cART-associated lipodystrophy is obscure. Nucleoside reverse transcriptase inhibitors (NRTI) have been implicated to cause lipoatrophy via mitochondrial toxicity. There is no known effective treatment for cART-associated lipodystrophy during unchanged antiretroviral regimen in humans, but in vitro data have shown uridine to abrogate NRTI-induced toxicity in adipocytes. Aims: To investigate whether i) cART or lipodystrophy associated with its use affect arterial stiffness; ii) lipoatrophic SAT is inflamed compared to non-lipoatrophic SAT; iii) abdominal SAT from patients with compared to those without cART-associated lipoatrophy differs with respect to mitochondrial DNA (mtDNA) content, adipose tissue inflammation and gene expression, and if NRTIs stavudine and zidovudine are associated with different degree of changes; iv) lipoatrophic abdominal SAT differs from preserved dorsocervical SAT with respect to mtDNA content, adipose tissue inflammation and gene expression in patients with cART-associated lipodystrophy and v) whether uridine can revert lipoatrophy and the associated metabolic disturbances in patients on stavudine or zidovudine based cART. Subjects and methods: 64 cART-treated patients with (n=45) and without lipodystrophy/-atrophy (n=19) were compared cross-sectionally. A marker of arterial stiffness, heart rate corrected augmentation index (AgIHR), was measured by pulse wave analysis. Body composition was measured by magnetic resonance imaging and dual-energy X-ray absorptiometry, and liver fat content by proton magnetic resonance spectroscopy. Gene expression and mtDNA content in SAT were assessed by real-time polymerase chain reaction and microarray. Adipose tissue composition and inflammation were assessed by histology and immunohistochemistry. Dorsocervical and abdominal SAT were studied. The efficacy and safety of uridine for the treatment of cART-associated lipoatrophy were evaluated in a randomized, double-blind, placebo-controlled 3-month trial in 20 lipoatrophic cART-treated patients. Results: Duration of antiretroviral treatment and cumulative exposure to NRTIs and protease inhibitors, but not the presence of cART-associated lipodystrophy, predicted AgIHR independent of age and blood pressure. Gene expression of inflammatory markers was increased in SAT of lipodystrophic as compared to non-lipodystrophic patients. Expression of genes involved in adipogenesis, triglyceride synthesis and glucose disposal was lower and of those involved in mitochondrial biogenesis, apoptosis and oxidative stress higher in SAT of patients with than without cART-associated lipoatrophy. Most changes were more pronounced in stavudine-treated than in zidovudine-treated individuals. Lipoatrophic SAT had lower mtDNA than SAT of non-lipoatrophic patients. Expression of inflammatory genes was lower in dorsocervical than in abdominal SAT. Neither depot had characteristics of brown adipose tissue. Despite being spared from lipoatrophy, dorsocervical SAT of lipodystrophic patients had lower mtDNA than the phenotypically similar corresponding depot of non-lipodystrophic patients. The greatest difference in gene expression between dorsocervical and abdominal SAT, irrespective of lipodystrophy status, was in expression of homeobox genes that regulate transcription and regionalization of organs during embryonal development. Uridine increased limb fat and its proportion of total fat, but had no effect on liver fat content and markers of insulin resistance. Conclusions: Long-term cART is associated with increased arterial stiffness and, thus, with higher cardiovascular risk. Lipoatrophic abdominal SAT is characterized by inflammation, apoptosis and mtDNA depletion. As mtDNA is depleted even in non-lipoatrophic dorsocervical SAT, lipoatrophy is unlikely to be caused directly by mtDNA depletion. Preserved dorsocervical SAT of patients with cART-associated lipodystrophy is less inflamed than their lipoatrophic abdominal SAT, and does not resemble brown adipose tissue. The greatest difference in gene expression between dorsocervical and abdominal SAT is in expression of transcriptional regulators, homeobox genes, which might explain the differential susceptibility of these adipose tissue depots to cART-induced toxicity. Uridine is able to increase peripheral SAT in lipoatrophic patients during unchanged cART.