Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

Risk factors for metabolic bone disease in Crohn's disease patients

Background: The aim was to evaluate the presence of metabolic bone disease (MBD) in patients with Crohn’s disease (CD) and to identify potential etiologic factors. Methods: The case–control study included 99 patients with CD and 56 controls with a similar age and gender distribution. Both groups had dual-energy x-ray absorptionmetry and a nutritional evaluation. Single nucleotide polymorphisms at the IL1, TNF-a, LTa, and IL-6 genes were analyzed in patients only. Statistical analysis was performed using SPSS software. Results: The prevalence of MBD was significantly higher in patients (P ¼ 0.006). CD patients with osteoporosis were older (P < 0.005), small bowel involvement and surgical resections were more frequent (P < 0.005), they more often exhibited a penetrating or stricturing phenotype (P < 0.05), duration of disease over 15 years (P < 0.005), and body mass index (BMI) under 18.5 kg/m2 (P < 0.01) were more often found. No association was found with steroid use. Patients with a Z-score < 2.0 more frequently had chronic active disease (P < 0.05). With regard to diet, low vitamin K intake was more frequent (P ¼ 0.03) and intake of total, monounsaturated, and polyunsaturated fat was higher in patients with Z-score < 2.0 (P < 0.05). With respect to genetics, carriage of the polymorphic allele for LTa252 A/G was associated with a higher risk of osteoporosis (P ¼ 0.02). Regression analysis showed that age over 40 years, chronic active disease, and previous colonic resections were independently associated with the risk of developing MBD. Conclusions: The prevalence of MBD was significantly higher in CD patients. Besides the usual risk factors, we observed that factors related to chronic active and long-lasting disease increased the risk of MBD.

Past and present: conditions of life during childhood and mortality of older adults

ABSTRACT OBJECTIVE: To analyze whether socioeconomic and health conditions during childhood are associated with mortality during old age. METHODS: Data were extracted from the SABE Study (Saúde, Bem-estar e Envelhecimento – Health, Welfare and Aging), which were performed in 2000 and 2006. The sample consisted of 2004 (1,355 living and 649 dead) older adults. The statistical analysis was performed based on Poisson regression models, taking into account the time variation of risk observed. Older adults’ demographic characteristics and life conditions were evaluated, as were the socioeconomic and lifestyle conditions they acquired during their adult life. RESULTS: Only the area of residence during childhood (rural or urban) remained as a factor associated with mortality at advanced ages. However, this association lost significance when the variables acquired during adulthood were added to the model. CONCLUSIONS: Despite the information regarding the conditions during childhood being limited and perhaps not accurately measure the socioeconomic status and health in the first years of life, the findings of this study suggest that improving the environmental conditions of children and creating opportunities during early adulthood may contribute to greater survival rates for those of more advanced years.

Classification Performance of Multilayer Perceptrons with Different Risk Functionals

In the present paper we assess the performance of information-theoretic inspired risks functionals in multilayer perceptrons with reference to the two most popular ones, Mean Square Error and Cross-Entropy. The information-theoretic inspired risks, recently proposed, are: HS and HR2 are, respectively, the Shannon and quadratic Rényi entropies of the error; ZED is a risk reflecting the error density at zero errors; EXP is a generalized exponential risk, able to mimic a wide variety of risk functionals, including the information-thoeretic ones. The experiments were carried out with multilayer perceptrons on 35 public real-world datasets. All experiments were performed according to the same protocol. The statistical tests applied to the experimental results showed that the ubiquitous mean square error was the less interesting risk functional to be used by multilayer perceptrons. Namely, mean square error never achieved a significantly better classification performance than competing risks. Cross-entropy and EXP were the risks found by several tests to be significantly better than their competitors. Counts of significantly better and worse risks have also shown the usefulness of HS and HR2 for some datasets.

Establishment of optimal physical assets inspection frequency based on risk principles

Risk Based Inspection (RBI) is a risk methodology used as the basis for prioritizing and managing the efforts for an inspection program allowing the allocation of resources to provide a higher level of coverage on physical assets with higher risk. The main goal of RBI is to increase equipment availability while improving or maintaining the accepted level of risk. This paper presents the concept of risk, risk analysis and RBI methodology and shows an approach to determine the optimal inspection frequency for physical assets based on the potential risk and mainly on the quantification of the probability of failure. It makes use of some assumptions in a structured decision making process. The proposed methodology allows an optimization of inspection intervals deciding when the first inspection must be performed as well as the subsequent intervals of inspection. A demonstrative example is also presented to illustrate the application of the proposed methodology.

Identification of factors and groups at risk of infection with Schistosoma mansoni: a strategy for the implementation of control measures?

A fourteen year schistosomiasis control program in Peri-Peri (Capim Branco, MG) reduced prevalence from 43.5 to 4.4%; incidence from 19.0 to 2.9%, the geometric mean of the number of eggs from 281 to 87 and the level of the hepatoesplenic form cases from 5.9 to 0.0%. In 1991, three years after the interruption of the program, the prevalence had risen to 19.6%. The district consists of Barbosa (a rural area) and Peri-Peri itself (an urban area). In 1991, the prevalence in the two areas was 28.4% and 16.0% respectively. A multivariate analysis of risk factors for schistosomiasis indicated the domestic agricultural activity with population attributive risk (PAR) of 29.82%, the distance (< 10 m) from home to water source (PAR = 25.93%) and weekly fishing (PAR = 17.21%) as being responsible for infections in the rural area. The recommended control measures for this area are non-manual irrigation and removal of homes to more than ten meters from irrigation ditches. In the urban area, it was observed that swimming at weekly intervals (PAR = 20.71%), daily domestic agricultural activity (PAR = 4.07%) and the absence of drinking water in the home (PAR=4.29%) were responsible for infections. Thus, in the urban area the recommended control measures are the substitution of manual irrigation with an irrigation method that avoids contact with water, the creation of leisure options of the population and the provision of a domestic water supply. The authors call attention to the need for the efficacy of multivariate analysis of risk factors to be evaluated for schistosomiasis prior to its large scale use as a indicator of the control measures to be implemented.

Development of web services to help risk management of construction projects

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Electrotécnica e de Computadores

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.

Efficiency of indirect immunofluorescence assay as a confirmatory test for the diagnosis of human retrovirus infection (HIV-1 and HTLV-I/II) in different at risk populations

We compared the indirect immunofluorescence assay (IFA) with Western blot (Wb) as a confirmatory method to detect antibodies anti retrovirus (HIV-1 and HTLV-I/II). Positive and negative HIV-1 and HTLV-I/II serum samples from different risk populations were studied. Sensitivity, specificity, positive, negative predictive and kappa index values were assayed, to assess the IFA efficiency versus Wb. The following cell lines were used as a source of viral antigens: H9 ( HTLV-III b); MT-2 and MT-4 (persistently infected with HTLV-I) and MO-T (persistently infected with HTLV-II). Sensitivity and specificity rates for HIV-1 were 96.80% and 98.60% respectively, while predictive positive and negative values were 99.50% and 92.00% respectively. No differences were found in HIV IFA performance between the various populations studied. As for IFA HTLV system, the sensitivity and specificity values were 97.91% and 100% respectively with positive and negative predictive values of 100% and 97.92%. Moreover, the sensitivity of the IFA for HTLV-I/II proved to be higher when the samples were tested simultaneously against both antigens (HTLV-I-MT-2 and HTLV-II-MO-T). The overall IFA efficiency for HIV-1 and HTLV-I/II-MT-2 antibody detection probed to be very satisfactory with an excellent correlation with Wb (Kappa indexes 0.93 and 0.98 respectively). These results confirmed that the IFA is a sensitive and specific alternative method for the confirmatory diagnosis of HIV-1 and HTLV-I/II infection in populations at different levels of risk to acquire the infection and suggest that IFA could be included in the serologic diagnostic algorithm.

Cerebral Sinovenous Thrombosis in Children: Clinical Presentation and Extension, Localization and Recanalization of Thrombosis

Many important questions regarding pathophysiology and treatment of cerebral sinovenous thrombosis need clarification and may depend on further knowledge on the etiology, site, extension and recanalization of the thrombosis. We studied these variables in a cohort of children and adolescents from seven Portuguese Centers. We conclude from our results that the deep venous system and the superior longitudinal sinus are less frequently affected with thrombosis but have a greater potential for serious neurologic disease and for major sequelae. Non-recanalization, at least in the long term, is not an adverse prognostic factor. Extensive propagation of the thrombus from the initial site of origin seems to be common. The early identification of risk factors and their treatment coupled with an aggressive attitude towards diagnosis and treatment for thrombosis involving the deep venous system would be warranted.

Fascioliasis in relatives of patients with Fasciola hepatica infection in Peru

High prevalence rates of human fascioliasis have been described in several regions of Peru. We surveyed 20 families in an endemic area of Peru in order to determine the proportion of infection with F. hepatica in relatives of diagnosed subjects and in order to identify associated risk factors. The study included feces and blood samples of 93 subjects. Ages ranged from one to 53 (mean = 18.6; SD = 14.2). The overall prevalence of fascioliasis by fecal examinations was 33.3% (n = 83) and by serology, 51.9% (n = 86). The prevalence in age group I (< 19 years old) by coprological and serological tests was 61.4% and 75.9%, respectively; in group II (> 19 years old) 15.4% and 37.5%. The main associated risk factor with fascioliasis was eating salads (OR = 3.29, CI = 1.2 - 9.0, p = 0.02). In conclusion, human fascioliasis is highly prevalent in the relatives of index cases and the most significant risk factor of acquiring fascioliasis in the family is eating salads in endemic areas.

Municipalities of higher vulnerability to Sylvatic Yellow Fever occurrence in the São Paulo State, Brazil

Until 1999 the endemic cases of Sylvatic Yellow Fever were located in the states of northern, midwestern and pre-Amazon regions. Since then, the disease progressively expanded its territory of occurrence, cases being registered beyond the traditional boundaries of endemism. The São Paulo State is considered to be part of this context, since after decades without registration of autochthonous cases of the disease, it reported, in 2000 and 2008-2009, epizootic occurrence in non-human primates and 30 cases in humans. Facts like these, added to the increase in incidences of serious adverse effects resulting from the Yellow Fever vaccination, have highlighted the importance of defining priority municipalities for vaccination against the disease in the state. Two groups of municipalities, some affected and some non-affected by YF, were compared for environmental variables related to the eco-epidemiology of the disease according to literature. The Multiple Correspondence Analysis (MCA) was used to pinpoint the factor able to differentiate the two groups of municipalities and define the levels of risk. The southeast region of the São Paulo State was considered to be the area with a higher number of municipalities classified as high risk and should be considered a priority for the application of prevention measures against Yellow Fever.

Characterizing the Risk Profiles of Intensive Care Units

OBJECTIVE: To develop a new method to evaluate the performance of individual ICUs through the calculation and visualisation of risk profiles. METHODS: The study included 102,561 patients consecutively admitted to 77 ICUs in Austria. We customized the function which predicts hospital mortality (using SAPS II) for each ICU. We then compared the risks of hospital mortality resulting from this function with the risks which would be obtained using the original function. The derived risk ratio was then plotted together with point-wise confidence intervals in order to visualise the individual risk profile of each ICU over the whole spectrum of expected hospital mortality. MAIN MEASUREMENTS AND RESULTS: We calculated risk profiles for all ICUs in the ASDI data set according to the proposed method. We show examples how the clinical performance of ICUs may depend on the severity of illness of their patients. Both the distribution of the Hosmer-Lemeshow goodness-of-fit test statistics and the histogram of the corresponding P values demonstrated a good fit of the individual risk models. CONCLUSIONS: Our risk profile model makes it possible to evaluate ICUs on the basis of the specific risk for patients to die compared to a reference sample over the whole spectrum of hospital mortality. Thus, ICUs at different levels of severity of illness can be directly compared, giving a clear advantage over the use of the conventional single point estimate of the overall observed-to-expected mortality ratio.

Determinants of mother-baby relationship evaluated during pregnancy

ABSTRACT Background Mental health promotion is supported by a strong body of knowledge and is a matter of public health with the potential of a large impact on society. Mental health promotion programs should be implemented as soon as possible in life, preferably starting during pregnancy. Programs should focus on malleable determinants, introducing strategies to reduce risk factors or their impact on mother and child, and also on strengthening protective factors to increase resilience. The ambition of early detecting risk situations requires the development and use of tools to assess risk, and the creation of a responsive network of services based in primary health care, especially maternal consultation during pregnancy and the first months of the born child. The number of risk factors and the way they interact and are buffered by protective factors are relevant for the final impact. Maternal-fetal attachment (MFA) is not yet a totally understood and well operationalized concept. Methodological problems limit the comparison of data as many studies used small size samples, had an exploratory character or used different selection criteria and different measures. There is still a lack of studies in high risk populations evaluating the consequences of a weak MFA. Instead, the available studies are not very conclusive, but suggest that social support, anxiety and depression, self-esteem and self-control and sense of coherence are correlated with MFA. MFA is also correlated with health practices during pregnancy, that influence pregnancy and baby outcomes. MFA seems a relevant concept for the future mother baby interaction, but more studies are needed to clarify the concept and its operationalization. Attachment is a strong scientific concept with multiple implications for future child development, personality and relationship with others. Secure attachment is considered an essential basis of good mental health, and promoting mother-baby interaction offers an excellent opportunity to intervention programmes targeted at enhancing mental health and well-being. Understanding the process of attachment and intervening to improve attachment requires a comprehension of more proximal factors, but also a broader approach that assesses the impact of more distal social conditions on attachment and how this social impact is mediated by family functioning and mother-baby interaction. Finally, it is essential to understand how this knowledge could be translated in effective mental health promoting interventions and measures that could reach large populations of pregnant mothers and families. Strengthening emotional availability (EA) seems to be a relevant approach to improve the mother-baby relationship. In this review we have offered evidence suggesting a range of determinants of mother-infant relationship, including age, marital relationship, social disadvantages, migration, parental psychiatric disorders and the situations of abuse or neglect. Based on this theoretical background we constructed a theoretical model that included proximal and distal factors, risk and protective factors, including variables related to the mother, the father, their social support and mother baby interaction from early pregnancy until six months after birth. We selected the Antenatal Psychosocial Health Assessment (ALPHA) for use as an instrument to detect psychosocial risk during pregnancy. Method Ninety two pregnant women were recruited from the Maternal Health Consultation in Primary Health Care (PHC) at Amadora. They had three moments of assessment: at T1 (until 12 weeks of pregnancy) they filed out a questionnaire that included socio-demographic data, ALPHA, Edinburgh post-natal Depression Scale (EDPS), General Health Questionnaire (GHQ) and Sense of Coherence (SOC); at T2 (after the 20th weeks of pregnancy) they answered EDPS, SOC and MFA Scale (MFAS), and finally at T3 (6 months after birth), they repeated EDPS and SOC, and their interaction with their babies was videotaped and later evaluated using EA Scales. A statistical analysis has been done using descriptive statistics, correlation analysis, univariate logistic regression and multiple linear regression. Results The study has increased our knowledge on this particular population living in a multicultural, suburb community. It allow us to identify specific groups with a higher level of psychosocial risk, such as single or divorced women, young couples, mothers with a low level of education and those who are depressed or have a low SOC. The hypothesis that psychosocial risk is directly correlated with MFAS and that MFA is directly correlated with EA was not confirmed, neither the correlation between prenatal psychosocial risk and mother-baby EA. The study identified depression as a relevant risk factor in pregnancy and its higher prevalence in single or divorced women, immigrants and in those who have a higher global psychosocial risk. Depressed women have a poor MFA, and a lower structuring capacity and a higher hostility to their babies. In average, depression seems to reduce among pregnant women in the second part of their pregnancy. The children of immigrant mothers show a lower level of responsiveness to their mothers what could be transmitted through depression, as immigrant mothers have a higher risk of depression in the beginning of pregnancy and six months after birth. Young mothers have a low MFA and are more intrusive. Women who have a higher level of education are more sensitive and their babies showed to be more responsive. Women who are or have been submitted to abuse were found to have a higher level of MFA but their babies are less responsive to them. The study highlights the relevance of SOC as a potential protective factor while it is strongly and negatively related with a wide range of risk factors and mental health outcomes especially depression before, during and after pregnancy. Conclusions ALPHA proved to be a valid, feasible and reliable instrument to Primary Health Care (PHC) that can be used as a total sum score. We could not prove the association between psychosocial risk factors and MFA, neither between MFA and EA, or between psychosocial risk and EA. Depression and SOC seems to have a clear and opposite relevance on this process. Pregnancy can be considered as a maturational process and an opportunity to change, where adaptation processes occur, buffering risk, decreasing depression and increasing SOC. Further research is necessary to better understand interactions between variables and also to clarify a better operationalization of MFA. We recommend the use of ALPHA, SOC and EDPS in early pregnancy as a way of identifying more vulnerable women that will require additional interventions and support in order to decrease risk. At political level we recommend the reinforcement of Immigrant integration and the increment of education in women. We recommend more focus in health care and public health in mental health condition and psychosocial risk of specific groups at high risk. In PHC special attention should be paid to pregnant women who are single or divorced, very young, low educated and to immigrant mothers. This study provides the basis for an intervention programme for this population, that aims to reduce broad spectrum risk factors and to promote Mental Health in women who become pregnant. Health and mental health policies should facilitate the implementation of the suggested measures.