Real estate portfolio size and risk reduction

The reduction of portfolio risk is important to all investors but is particularly important to real estate investors as most property portfolios are generally small. As a consequence, portfolios are vulnerable to a significant risk of under-performing the market, or a target rate of return and so investors may be exposing themselves to greater risk than necessary. Given the potentially higher risk of underperformance from owning only a few properties, we follow the approach of Vassal (2001) and examine the benefits of holding more properties in a real estate portfolio. Using Monte Carlo simulation and the returns from 1,728 properties in the IPD database, held over the 10-year period from 1995 to 2004, the results show that increases in portfolio size offers the possibility of a more stable and less volatile return pattern over time, i.e. down-side risk is diminished with increasing portfolio size. Nonetheless, increasing portfolio size has the disadvantage of restricting the probability of out-performing the benchmark index by a significant amount. In other words, although increasing portfolio size reduces the down-side risk in a portfolio, it also decreases its up-side potential. Be that as it may, the results provide further evidence that portfolios with large numbers of properties are always preferable to portfolios of a smaller size.

A value chain approach to animal diseases risk management: technical foundations and practical framework for field application

Classical risk assessment approaches for animal diseases are influenced by the probability of release, exposure and consequences of a hazard affecting a livestock population. Once a pathogen enters into domestic livestock, potential risks of exposure and infection both to animals and people extend through a chain of economic activities related to producing, buying and selling of animals and products. Therefore, in order to understand economic drivers of animal diseases in different ecosystems and to come up with effective and efficient measures to manage disease risks from a country or region, the entire value chain and related markets for animal and product needs to be analysed to come out with practical and cost effective risk management options agreed by actors and players on those value chains. Value chain analysis enriches disease risk assessment providing a framework for interdisciplinary collaboration, which seems to be in increasing demand for problems concerning infectious livestock diseases. The best way to achieve this is to ensure that veterinary epidemiologists and social scientists work together throughout the process at all levels.

An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system.

Stress testing credit risk: the Great Depression scenario

By employing Moody’s corporate default and rating transition data spanning the last 90 years we explore how much capital banks should hold against their corporate loan portfolios to withstand historical stress scenarios. Specifically, we will focus on the worst case scenario over the observation period, the Great Depression. We find that migration risk and the length of the investment horizon are critical factors when determining bank capital needs in a crisis. We show that capital may need to rise more than three times when the horizon is increased from 1 year, as required by current and future regulation, to 3 years. Increases are still important but of a lower magnitude when migration risk is introduced in the analysis. Further, we find that the new bank capital requirements under the so-called Basel 3 agreement would enable banks to absorb Great Depression-style losses. But, such losses would dent regulatory capital considerably and far beyond the capital buffers that have been proposed to ensure that banks survive crisis periods without government support.

Anthropogenic greenhouse gas contribution to flood risk in England and Wales in autumn 2000

Interest in attributing the risk of damaging weather-related events to anthropogenic climate change is increasing1. Yet climate models used to study the attribution problem typically do not resolve the weather systems associated with damaging events2 such as the UK floods of October and November 2000. Occurring during the wettest autumn in England and Wales since records began in 17663, 4, these floods damaged nearly 10,000 properties across that region, disrupted services severely, and caused insured losses estimated at £1.3 billion (refs 5, 6). Although the flooding was deemed a ‘wake-up call’ to the impacts of climate change at the time7, such claims are typically supported only by general thermodynamic arguments that suggest increased extreme precipitation under global warming, but fail8, 9 to account fully for the complex hydrometeorology4, 10 associated with flooding. Here we present a multi-step, physically based ‘probabilistic event attribution’ framework showing that it is very likely that global anthropogenic greenhouse gas emissions substantially increased the risk of flood occurrence in England and Wales in autumn 2000. Using publicly volunteered distributed computing11, 12, we generate several thousand seasonal-forecast-resolution climate model simulations of autumn 2000 weather, both under realistic conditions, and under conditions as they might have been had these greenhouse gas emissions and the resulting large-scale warming never occurred. Results are fed into a precipitation-runoff model that is used to simulate severe daily river runoff events in England and Wales (proxy indicators of flood events). The precise magnitude of the anthropogenic contribution remains uncertain, but in nine out of ten cases our model results indicate that twentieth-century anthropogenic greenhouse gas emissions increased the risk of floods occurring in England and Wales in autumn 2000 by more than 20%, and in two out of three cases by more than 90%.

Interpretation bias in preschool children at risk for anxiety: a prospective study

A story-stem paradigm was used to assess interpretation bias in preschool children. Data were available for 131 children. Interpretation bias, behavioural inhibition (BI) and anxiety were assessed when children were aged between 3 years 2 months and 4 years 5 months. Anxiety was subsequently assessed 12-months, 2-years and 5-years later. A significant difference in interpretation bias was found between participants who met criteria for an anxiety diagnosis at baseline, with clinically anxious participants more likely to complete the ambiguous story-stems in a threat-related way. Threat interpretations significantly predicted anxiety symptoms at 12-month follow-up, after controlling for baseline symptoms, but did not predict anxiety symptoms or diagnoses at either 2-year or 5- year follow-up. There was little evidence for a relationship between BI and interpretation bias. Overall, the pattern of results was not consistent with the hypothesis that interpretation bias plays a role in the development of anxiety. Instead, some evidence for a role in the maintenance of anxiety over relatively short periods of time was found. The use of a story-stem methodology to assess interpretation bias in young children is discussed along with the theoretical and clinical implications of the findings.

The role of temperament and family environment in the development of anxiety disorder: two-year follow-up

Objective Behavioural inhibition (BI) in early childhood is associated with increased risk for anxiety. The present research examines BI alongside family environment factors, specifically maternal negativity and overinvolvement, maternal anxiety and mother-child attachment, with a view to providing a broader understanding of the development of child anxiety. Method Participants were 202 children classified at age 4 as either behaviourally inhibited (N=102) or uninhibited (N=100). Family environment, BI and child anxiety were assessed at baseline and child anxiety and BI were assessed again two-years later when participants were aged 6 years. Results After controlling for baseline anxiety, inhibited participants were significantly more likely to meet criteria for a diagnosis of social phobia and generalized anxiety disorder at follow-up. Path analysis suggested that maternal anxiety significantly affected child anxiety over time, even after controlling for the effects of BI and baseline anxiety. No significant paths from parenting or attachment to child anxiety were found. Maternal overinvolvement was significantly associated with BI at follow-up. Conclusions At age 4, BI, maternal anxiety and child anxiety represent risk factors for anxiety at age 6. Furthermore, overinvolved parenting increases risk for BI at age 6, which may then lead to the development of anxiety in later childhood.

What will be the risk-free rate and benchmark yield curve following European monetary union?

Using a linear factor model, we study the behaviour of French, Germany, Italian and British sovereign yield curves in the run up to EMU. This allows us to determine which of these yield curves might best approximate a benchmark yield curve post EMU. We find that the best approximation for the risk free yield is the UK three month T-bill yield, followed by the German three month T-bill yield. As no one sovereign yield curve dominates all others, we find that a composite yield curve, consisting of French, Italian and UK bonds at different maturity points along the yield curve should be the benchmark post EMU.

Postpartum GAD is a risk factor for postpartum MDD: the course and longitudinal relationships of postpartum GAD and MDD

Background The objective was to examine the course and longitudinal associations of generalized anxiety disorder (GAD) and major depressive disorder (MDD) in mothers over the postpartum 2 years. Method Using a prospective naturalistic design, 296 mothers recruited from a large community pool were assessed for GAD and MDD at 3, 6, 10, 14, and 24 months postpartum. Structured clinical interviews were used for diagnoses, and symptoms were assessed using self-report questionnaires. Logistic regression analyses were used to examine diagnostic stability and longitudinal relations, and latent variable modeling was employed to examine change in symptoms. Results MDD without co-occurring GAD, GAD without co-occurring MDD, and co-occurring GAD and MDD, displayed significant stability during the postpartum period. Whereas MDD did not predict subsequent GAD, GAD predicted subsequent MDD (in the form of GAD + MDD). Those with GAD + MDD at 3 months postpartum were significantly less likely to be diagnosis free during the follow-up period than those in other diagnostic categories. At the symptom level, symptoms of GAD were more trait-like than those of depression. Conclusions Postpartum GAD and MDD are relatively stable conditions, and GAD is a risk factor for MDD but not vice versa. Given the tendency of MDD and GAD to be persistent, especially when comorbid, and the increased risk for MDD in mothers with GAD, as well as the potential negative effects of cumulative exposure to maternal depression and anxiety on child development, the present findings clearly highlight the need for screening and treatment of GAD in addition to MDD during the postpartum period.

Association of vitamin D status with arterial blood pressure and hypertension risk: a mendelian randomisation study

BACKGROUND: Low plasma 25-hydroxyvitamin D (25[OH]D) concentration is associated with high arterial blood pressure and hypertension risk, but whether this association is causal is unknown. We used a mendelian randomisation approach to test whether 25(OH)D concentration is causally associated with blood pressure and hypertension risk. METHODS: In this mendelian randomisation study, we generated an allele score (25[OH]D synthesis score) based on variants of genes that affect 25(OH)D synthesis or substrate availability (CYP2R1 and DHCR7), which we used as a proxy for 25(OH)D concentration. We meta-analysed data for up to 108 173 individuals from 35 studies in the D-CarDia collaboration to investigate associations between the allele score and blood pressure measurements. We complemented these analyses with previously published summary statistics from the International Consortium on Blood Pressure (ICBP), the Cohorts for Heart and Aging Research in Genomic Epidemiology (CHARGE) consortium, and the Global Blood Pressure Genetics (Global BPGen) consortium. FINDINGS: In phenotypic analyses (up to n=49 363), increased 25(OH)D concentration was associated with decreased systolic blood pressure (β per 10% increase, -0·12 mm Hg, 95% CI -0·20 to -0·04; p=0·003) and reduced odds of hypertension (odds ratio [OR] 0·98, 95% CI 0·97-0·99; p=0·0003), but not with decreased diastolic blood pressure (β per 10% increase, -0·02 mm Hg, -0·08 to 0·03; p=0·37). In meta-analyses in which we combined data from D-CarDia and the ICBP (n=146 581, after exclusion of overlapping studies), each 25(OH)D-increasing allele of the synthesis score was associated with a change of -0·10 mm Hg in systolic blood pressure (-0·21 to -0·0001; p=0·0498) and a change of -0·08 mm Hg in diastolic blood pressure (-0·15 to -0·02; p=0·01). When D-CarDia and consortia data for hypertension were meta-analysed together (n=142 255), the synthesis score was associated with a reduced odds of hypertension (OR per allele, 0·98, 0·96-0·99; p=0·001). In instrumental variable analysis, each 10% increase in genetically instrumented 25(OH)D concentration was associated with a change of -0·29 mm Hg in diastolic blood pressure (-0·52 to -0·07; p=0·01), a change of -0·37 mm Hg in systolic blood pressure (-0·73 to 0·003; p=0·052), and an 8·1% decreased odds of hypertension (OR 0·92, 0·87-0·97; p=0·002). INTERPRETATION: Increased plasma concentrations of 25(OH)D might reduce the risk of hypertension. This finding warrants further investigation in an independent, similarly powered study.

Association between Mediterranean and Nordic diet scores and changes in weight and waist circumference: influence of FTO and TCF7L2 loci

BACKGROUND: Several studies have shown that adherence to the Mediterranean Diet measured by using the Mediterranean diet score (MDS) is associated with lower obesity risk. The newly proposed Nordic Diet could hold similar beneficial effects. Because of the increasing focus on the interaction between diet and genetic predisposition to adiposity, studies should consider both diet and genetics. OBJECTIVE: We investigated whether FTO rs9939609 and TCF7L2 rs7903146 modified the association between the MDS and Nordic diet score (NDS) and changes in weight (Δweight), waist circumference (ΔWC), and waist circumference adjusted for body mass index (BMI) (ΔWCBMI). DESIGN: We conducted a case-cohort study with a median follow-up of 6.8 y that included 11,048 participants from 5 European countries; 5552 of these subjects were cases defined as individuals with the greatest degree of unexplained weight gain during follow-up. A randomly selected subcohort included 6548 participants, including 5496 noncases. Cases and noncases were compared in analyses by using logistic regression. Continuous traits (ie, Δweight, ΔWC, and ΔWCBMI) were analyzed by using linear regression models in the random subcohort. Interactions were tested by including interaction terms in models. RESULTS: A higher MDS was significantly inversely associated with case status (OR: 0.98; 95% CI: 0.96, 1.00), ΔWC (β = -0.010 cm/y; 95% CI: -0.020, -0.001 cm/y), and ΔWCBMI (β = -0.008; 95% CI:-0.015, -0.001) per 1-point increment but not Δweight (P = 0.53). The NDS was not significantly associated with any outcome. There was a borderline significant interaction between the MDS and TCF7L2 rs7903146 on weight gain (P = 0.05), which suggested a beneficial effect of the MDS only in subjects who carried 1 or 2 risk alleles. FTO did not modify observed associations. CONCLUSIONS: A high MDS is associated with a lower ΔWC and ΔWCBMI, regardless of FTO and TCF7L2 risk alleles. For Δweight, findings were less clear, but the effect may depend on the TCF7L2 rs7903146 variant. The NDS was not associated with anthropometric changes during follow-up.

Association between sucrose intake and risk of overweight and obesity in a prospective sub-cohort of EPIC-Norfolk

Objective: The objective of this study was to investigate associations between sugar intake and overweight using dietary biomarkers in the Norfolk cohort of the European Prospective Investigation into Cancer and Nutrition (EPIC-Norfolk). Design: Prospective cohort study Setting: European Prospective Investigation into Cancer in Norfolk (EPIC-Norfolk) in the UK, recruitment between 1993 and 1997. Subjects: 1734 participants (39 – 77 years). Sucrose intake was assessed using 7-day diaries. Baseline spot urine samples were analysed for sucrose by GC-MS. Sucrose concentration adjusted by specific gravity was used as biomarker for intake. Regression analyses were used to investigate associations between sucrose intake and risk of BMI > 25 kg/m2 after three years of follow-up. Results: After three years of follow-up, mean BMI was 26.8 kg/m2. Self-reported sucrose intake was significantly positively associated with biomarker. Associations between biomarker and BMI were positive (β=0.25; 95% CI: 0.08; 0.43), while they were inverse when using self-reported dietary data (β=-1.40; 95% CI: -1.81; -0.99). Age- and sex-adjusted OR for BMI > 25 kg/m2 in participants in the fifth vs. first quintile was 1.54 (95% CI: 1.12; 2.12; pTrend=0.003,) when using biomarker and 0.56 (95% CI: 0.40; 0.77; pTrend<0.001) with self-reported dietary data. Conclusions: Our results suggest that sucrose measured by objective biomarker but not self-reported sucrose intake is positively associated with body mass index. Future studies should consider use of objective biomarkers of sucrose intake.

Associations between flavan-3-ol intake and CVD risk in the Norfolk cohort of the European Prospective Investigation into Cancer (EPIC-Norfolk)

Background: Dietary intervention studies suggest that flavan-3-ol intake can improve vascular function and reduce the risk of cardiovascular diseases (CVD). However, results from prospective studies failed to show a consistent beneficial effect. Objective: To investigate associations between flavan-3-ol intake and CVD risk in the Norfolk arm of the European Prospective Investigation into Cancer and Nutrition (EPIC-Norfolk). Design: Data was available from 24,885 (11,252 men; 13,633 women) participants, recruited between 1993 and 1997 into the EPIC-Norfolk study. Flavan-3-ol intake was assessed using 7-day food diaries and the FLAVIOLA Flavanol Food Composition database. Missing data for plasma cholesterol and vitamin C were imputed using multiple imputation. Associations between flavan-3-ol intake and blood pressure at baseline were determined using linear regression models. Associations with CVD risk were estimated using Cox regression analyses. Results: Median intake of total flavan-3-ols was 1034 mg/d (range: 0 – 8531 mg/d) for men and 970 mg/d (0 – 6695 mg/d) for women, median intake of flavan-3-ol monomers was 233 mg/d (0 – 3248 mg/d) for men and 217 (0 – 2712 mg/d) for women. There were no consistent associations between flavan-3-ol monomer intake and baseline systolic and diastolic blood pressure (BP). After 286,147 person-years of follow up, there were 8463 cardio-vascular events and 1987 CVD related deaths; no consistent association between flavan-3-ol intake and CVD risk (HR 0.93, 95% CI:0.87; 1.00; Q1 vs Q5) or mortality was observed (HR 0.93, 95% CI: 0.84; 1.04). Conclusions: Flavan-3-ol intake in EPIC-Norfolk is not sufficient to achieve a statistically significant reduction in CVD risk.

Improving mood with psychoanalytic and cognitive therapies (IMPACT): a pragmatic effectiveness superiority trial to investigate whether specialised psychological treatment reduces the risk for relapse in adolescents with moderate to severe unipolar depression: study protocol for a randomised controlled trial

Background Up to 70% of adolescents with moderate to severe unipolar major depression respond to psychological treatment plus Fluoxetine (20-50 mg) with symptom reduction and improved social function reported by 24 weeks after beginning treatment. Around 20% of non responders appear treatment resistant and 30% of responders relapse within 2 years. The specific efficacy of different psychological therapies and the moderators and mediators that influence risk for relapse are unclear. The cost-effectiveness and safety of psychological treatments remain poorly evaluated. Methods/Design Improving Mood with Psychoanalytic and Cognitive Therapies, the IMPACT Study, will determine whether Cognitive Behavioural Therapy or Short Term Psychoanalytic Therapy is superior in reducing relapse compared with Specialist Clinical Care. The study is a multicentre pragmatic effectiveness superiority randomised clinical trial: Cognitive Behavioural Therapy consists of 20 sessions over 30 weeks, Short Term Psychoanalytic Psychotherapy 30 sessions over 30 weeks and Specialist Clinical Care 12 sessions over 20 weeks. We will recruit 540 patients with 180 randomised to each arm. Patients will be reassessed at 6, 12, 36, 52 and 86 weeks. Methodological aspects of the study are systematic recruitment, explicit inclusion criteria, reliability checks of assessments with control for rater shift, research assessors independent of treatment team and blind to randomization, analysis by intention to treat, data management using remote data entry, measures of quality assurance, advanced statistical analysis, manualised treatment protocols, checks of adherence and competence of therapists and assessment of cost-effectiveness. We will also determine whether time to recovery and/or relapse are moderated by variations in brain structure and function and selected genetic and hormone biomarkers taken at entry. Discussion The objective of this clinical trial is to determine whether there are specific effects of specialist psychotherapy that reduce relapse in unipolar major depression in adolescents and thereby costs of treatment to society. We also anticipate being able to utilise psychotherapy experience, neuroimaging, genetic and hormone measures to reveal what techniques and their protocols may work best for which patients.

Could in-home sensors surpass human observation of people with Parkinson’s at high risk of falling? An ethnographic study

Self-report underpins our understanding of falls among people with Parkinson’s (PwP) as they largely happen unwitnessed at home. In this qualitative study, we used an ethnographic approach to investigate which in-home sensors, in which locations, could gather useful data about fall risk. Over six weeks, we observed five independently mobile PwP at high risk of falling, at home. We made field notes about falls (prior events and concerns) and recorded movement with video, Kinect, and wearable sensors. The three women and two men (aged 71 to 79 years) having moderate or severe Parkinson’s were dependent on others and highly sedentary. We most commonly noted balance protection, loss, and restoration during chair transfers, walks across open spaces and through gaps, turns, steps up and down, and tasks in standing (all evident walking between chair and stairs, e.g.). Our unobtrusive sensors were acceptable to participants: they could detect instability during everyday activity at home and potentially guide intervention. Monitoring the route between chair and stairs is likely to give information without invading the privacy of people at high risk of falling, with very limited mobility, who spend most of the day in their sitting rooms.