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.

Vom Finanz- zum Wissenschaftsbetrug : Methode, den Irrungen in der medizinischen Literatur beizukommen [From financial to scientific fraud : Methods to detect discrepancies in the medical literature].

Fraud is as old as Mankind. There are an enormous number of historical documents which show the interaction between truth and untruth; therefore it is not really surprising that the prevalence of publication discrepancies is increasing. More surprising is that new cases especially in the medical field generate such a huge astonishment. In financial mathematics a statistical tool for detection of fraud is known which uses the knowledge of Newcomb and Benford regarding the distribution of natural numbers. This distribution is not equal and lower numbers are more likely to be detected compared to higher ones. In this investigation all numbers contained in the blinded abstracts of the 2009 annual meeting of the Swiss Society of Anesthesia and Resuscitation (SGAR) were recorded and analyzed regarding the distribution. A manipulated abstract was also included in the investigation. The χ(2)-test was used to determine statistical differences between expected and observed counts of numbers. There was also a faked abstract integrated in the investigation. A p<0.05 was considered significant. The distribution of the 1,800 numbers in the 77 submitted abstracts followed Benford's law. The manipulated abstract was detected by statistical means (difference in expected versus observed p<0.05). Statistics cannot prove whether the content is true or not but can give some serious hints to look into the details in such conspicuous material. These are the first results of a test for the distribution of numbers presented in medical research.

Financial impact of introducing the Swiss-DRG reimbursement system on potentially avoidable readmissions at a university hospital.

QUESTION UNDER STUDY: Thirty-day readmissions can be classified as potentially avoidable (PARs) or not avoidable (NARs) by following a specific algorithm (SQLape®). We wanted to assess the financial impact of the Swiss-DRG system, which regroups some readmissions occurring within 18 days after discharge within the initial hospital stay, on PARs at our hospital. METHODS: First, PARs were identified from all hospitalisations recorded in 2011 at our university hospital. Second, 2012 Swiss-DRG readmission rules were applied, regrouped readmissions (RR) were identified, and their financial impact computed. Third, RRs were classified as potentially avoidable (PARRs), not avoidable (NARRs), and others causes (OCRRs). Characteristics of PARR patients and stays were retrieved, and the financial impact of PARRS was computed. RESULTS: A total of 36,777 hospitalisations were recorded in 2011, of which 3,140 were considered as readmissions (8.5%): 1,470 PARs (46.8%) and 1,733 NARs (53.2%). The 2012 Swiss-DRG rules would have resulted in 910 RRs (2.5% of hospitalisations, 29% of readmissions): 395 PARRs (43% of RR), 181 NARRs (20%), and 334 OCRRs (37%). Loss in reimbursement would have amounted to CHF 3.157 million (0.6% of total reimbursement). As many as 95% of the 395 PARR patients lived at home. In total, 28% of PARRs occurred within 3 days after discharge, and 58% lasted less than 5 days; 79% of the patients were discharged home again. Loss in reimbursement would amount to CHF 1.771 million. CONCLUSION: PARs represent a sizeable number of 30-day readmissions, as do PARRs of 18-day RRs in the 2012 Swiss DRG system. They should be the focus of attention, as the PARRs represent an avoidable loss in reimbursement.

Schistosomiasis mansoni in Bananal (State of São Paulo, Brazil): IV. Study on the public awareness of its risks in the Palha District

A rather high prevalence of mansoni schistosomiasis has been observed in some localities of Bananal, State of São Paulo, during the past decade. The highest prevalence of schistosomiasis was found in the Palha District; it was thus considered adequate for an evaluation of public awareness of the risks involved in acquiring schistosomiasis, a likely outcome of certain behavior patterns. We interviewed 542 district-dwellers. The 5-to-39 age-group constituted 65.5% of the whole sample. Concerning the infection, 69.2% had hearsay information; 46.1% know the infection; 69.6% know how it is acquired; 31.5% know about the symptoms and 57.1% know what can be done to avoid infection; 17.7% declared to have acquired the infection at least once in their lifetime; 62.3% reported total or partial immersion in collections of water of Bananal, once or twice a week, 53.9% of these for bathing or fishing. Although most (91.7%) households have treated running water, are connected to the sewage network or have septic tanks, 9% of the people interviewed use to defecate on the field. It became clear that the educational messages aimed at this population had not been adequate, having failed to fulfil any expectations. The local people received only piecemeal and subjective information about their problem. The control of schistosomiasis requires an integrated practice, which includes the analysis of macro-determinant factors, such as basic sanitation, habitation, education and health care. In short, we require a multidisciplinary vision of the mechanisms of transmission of the infection, which depends upon adequate planning and well trained personnel, intent on their educational work, to attain satisfactory results.

Framework for Corporate and Financial Governance for Regulatory Bodies under the aegis of the Department of Health and Children

The document should be read as supplementary to existing requirements as set out both in statute â?" particularly legislation specific to your organisation, the Health Acts 1947-2004, Ombudsman Act, 1980, Data Protection Acts 1988 & 2003, Freedom of Information Acts 1997-2003, Ethics in Public Office Acts 1995 & 2001, Ombudsman for Children Act, 2002 and the Comptroller and Auditor General (Amendment) Act, 1993 – and in Government approved guidelines, including the Code of Practice for the Governance of State Bodies (2001), Public Financial Procedures, The Role and Responsibilities of Accounting Officers (2003) and Risk Management Guidance for Government Departments and Offices (2004). Read the report (PDF, 1.4mb)  

Framework for Corporate and Financial Governance for Agencies funded by the Department of Health and Children

Corporate governance is the system by which organisations direct and control their functions and relate to their stakeholders in order to manage their business, achieve their mission and objectives and meet the necessary standards of accountability, integrity and propriety. It is a key element in improving efficiency and accountability as well as enhancing openness and transparency. A significant element of the Governmentâ?Ts programme for health service reform is the strengthening of governance and accountability arrangements across the health system. Read the Report (PDF, 1mb)

Health system responses to financial pressures in Ireland: policy options in an international context

Given the scale of the challenge facing the health system for 2013 and subsequent years, the Department of Health invited the European Observatory on Health Systems and Policies to prepare a report on the implications for the Irish health system of our current financial pressures. The Observatory is an international partnership hosted by the World Health Organisation (WHO). The partnership includes three other international agencies (European Commission, the European Investment Bank, World Bank), several national and decentralized governments, including Ireland, and academic institutions. As an independent and neutral knowledge broker the Observatory's core mission is to inform policy-making and decision-making processes by providing tailored, timely and reliable evidence on health policy and health systems. Click here to download PDF 2.1mb

Factsheet: the health risks of second-hand smoke

This factsheet summarises why one person's smoking can be harmful to others, by highlighting the health risks of second-hand smoke to adults and children.

Exercise aggravates cardiovascular risks and mortality in rats with disrupted nitric oxide pathway and treated with recombinant human erythropoietin.

Chronic administration of recombinant human erythropoietin (rHuEPO) can generate serious cardiovascular side effects such as arterial hypertension (HTA) in clinical and sport fields. It is hypothesized that nitric oxide (NO) can protect from noxious cardiovascular effects induced by chronic administration of rHuEPO. On this base, we studied the cardiovascular effects of chronic administration of rHuEPO in exercise-trained rats treated with an inhibitor of NO synthesis (L-NAME). Rats were treated or not with rHuEPO and/or L-NAME during 6 weeks. During the same period, rats were subjected to treadmill exercise. The blood pressure was measured weekly. Endothelial function of isolated aorta and small mesenteric arteries were studied and the morphology of the latter was investigated. L-NAME induced hypertension (197 ± 6 mmHg, at the end of the protocol). Exercise prevented the rise in blood pressure induced by L-NAME (170 ± 5 mmHg). However, exercise-trained rats treated with both rHuEPO and L-NAME developed severe hypertension (228 ± 9 mmHg). Furthermore, in these exercise-trained rats treated with rHuEPO/L-NAME, the acetylcholine-induced relaxation was markedly impaired in isolated aorta (60% of maximal relaxation) and small mesenteric arteries (53%). L-NAME hypertension induced an internal remodeling of small mesenteric arteries that was not modified by exercise, rHuEPO or both. Vascular ET-1 production was not increased in rHuEPO/L-NAME/training hypertensive rats. Furthermore, we observed that rHuEPO/L-NAME/training hypertensive rats died during the exercise or the recovery period (mortality 51%). Our findings suggest that the use of rHuEPO in sport, in order to improve physical performance, represents a high and fatal risk factor, especially with pre-existing cardiovascular risk.

Blood transfusion and iatrogenic risks in Mexico city: anti-Trypanosoma cruzi seroprevalence in 43,048 blood donors, evaluation of parasitemia, and electrocardiogram findings in seropositive

Iatrogenous transmission of Trypanosoma cruziby blood transfusion was suggested as a potential risk by Pellegrino (1949). Seropositive blood donors in Mexico were first reported in 1978, however, limited information is available due to small sampling, the use of heterogeneous serologic assays, and geographically limited studies. A wide survey carried out in 18 out of the 32 states of Mexico, showed a national mean of 1.6% seropositive among 64,969 donors, ranging from 0.2 to 2.8%. In the present study, we have screened 43,048 voluntary blood donors in a period of five years at the Instituto Nacional de Cardiología I. Chávez, a concentration hospital located in Mexico city which serves mainly the metropolitan area and accepts from all over the country. Standardized ELISA and IIF were used to identify seropositive individuals in addition to hemoculture, PCR and standard 12 lead ECG tests that were applied to a group of seropositive patients (29/161). The result showed a seropositivity of 0.37% (161/43,048). From the group of seropositive individuals 40% (12/29) were potential carriers of T. cruzi at the donation time and 5/29 had subclinical ECG abnormalities. Parasitological tests performed in 70 erythrocyte and platelet fractions from seropositive units (70/161) showed negative results. Our findings strongly support T. cruzi screening in the transfusion medicine practice and identify subclinical heart disease among seropositive blood donors.

Health Risks and Health Inequalities in Housing: an Assessment Tool

This tool is designed to assess the health risks of housing and the residential environment at the scale of a neighbourhood, housing stock or administrative area. For each health risk, the tool enables a judgement to be recorded about the level of health risk attributable to unhealthy or unsafe housing conditions, and for this to be compared with the adequacy of local practice in mitigating the risk.

Can Families Resist Managerial and Financial Revolutions? Swiss Family Firms in the Twentieth Century

The aim of this contribution is to highlight the long-term evolution of family capitalism in Switzerland during the twentieth century. We focus on 22 large companies of the machine, electrotechnical and metallurgy (MEM) sector whose boards of directors and general managers have been identified in five benchmark years across the twentieth century, which allows us to distinguish between family-owned and family-controlled firms. Our results show that family firms prevailed until the 1980s and thus contradict the dominance of 'managerial capitalism'. Although we observe a decline of family capitalism during the last decade of the century, the significant remaining presence of family firms in 2000 allows us to relativise the advent of investor capitalism.