Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Prospective validation of the Pulmonary Embolism Severity Index. A clinical prognostic model for pulmonary embolism

Practice guidelines recommend outpatient care for selected patients with non-massive pulmonary embolism (PE), but fail to specify how these low-risk patients should be identified. Using data from U.S. patients, we previously derived the Pulmonary Embolism Severity Index (PESI), a prediction rule that risk stratifies patients with PE. We sought to validate the PESI in a European patient cohort. We prospectively validated the PESI in patients with PE diagnosed at six emergency departments in three European countries. We used baseline data for the rule's 11 prognostic variables to stratify patients into five risk classes (I-V) of increasing probability of mortality. The outcome was overall mortality at 90 days after presentation. To assess the accuracy of the PESI to predict mortality, we estimated the sensitivity, specificity, and predictive values for low- (risk classes I/II) versus higher-risk patients (risk classes III-V), and the discriminatory power using the area under the receiver operating characteristic (ROC) curve. Among 357 patients with PE, overall mortality was 5.9%, ranging from 0% in class I to 17.9% in class V. The 186 (52%) low-risk patients had an overall mortality of 1.1% (95% confidence interval [CI]: 0.1-3.8%) compared to 11.1% (95% CI: 6.8-16.8%) in the 171 (48%) higher-risk patients. The PESI had a high sensitivity (91%, 95% CI: 71-97%) and a negative predictive value (99%, 95% CI: 96-100%) for predicting mortality. The area under the ROC curve was 0.78 (95% CI: 0.70-0.86). The PESI reliably identifies patients with PE who are at low risk of death and who are potential candidates for outpatient care. The PESI may help physicians make more rational decisions about hospitalization for patients with PE.

Predictors of early hospital readmission after acute pulmonary embolism.

BACKGROUND: Risk factors for early mortality after pulmonary embolism (PE) are widely known. However, it is uncertain which factors are associated with early readmission after PE. We sought to identify predictors of readmission after an admission for PE. METHODS: We studied 14 426 patient discharges with a primary diagnosis of PE from 186 acute care hospitals in Pennsylvania from January 1, 2000, to November 30, 2002. The outcome was readmission within 30 days of presentation for PE. We used a discrete proportional odds model to study the association between time to readmission and patient factors (age, sex, race, insurance, discharge status, and severity of illness), thrombolysis, and hospital characteristics (region, teaching status, and number of beds). RESULTS: Overall, 2064 patient discharges (14.3%) resulted in a readmission within 30 days of presentation for PE. The most common reasons for readmission were venous thromboembolism (21.9%), cancer (10.8%), pneumonia (5.2%), and bleeding (5.0%). In multivariable analysis, African American race (odds ratio [OR], 1.19; 95% confidence interval [CI], 1.02-1.38), Medicaid insurance (OR, 1.54; 95% CI, 1.31-1.81), discharge home with supplemental care (OR, 1.40; 95% CI, 1.27-1.54), leaving the hospital against medical advice (OR, 2.84; 95% CI, 1.80-4.48), and severity of illness were independently associated with readmission; readmission also varied by hospital region. CONCLUSIONS: Early readmission after PE is common. African American race, Medicaid insurance, severity of illness, discharge status, and hospital region are significantly associated with readmission. The high readmission rates for venous thromboembolism and bleeding suggest that readmission may be linked to suboptimal quality of care in the management of PE.

Approche des oedèmes du membre supérieur liés à une occlusion de la veine sous-clavière située en aval d'une fistule artério-veineuse [Approach to upper limb edema secondary to subclavian vein occlusion situated distal to an arteriovenous fistula]

AIM OF THE STUDY: To analyse the course of upper limb edema in patients with an arteriovenous fistula used for dialysis and to analyse the available therapeutic options. STUDY DESIGN: Retrospective study of patients with this type of edema, who were treated in our institution from 1992 to 1996. PATIENTS AND METHODS: Seven consecutive patients with an arterioveinous fistula treated for edema of the upper extremity, were reviewed. The fistula was created at the elbow in 6 patients and at the forearm in 1. The edema appeared immediately after operation in 4 patients and after a delay in 3 patients. Stenosis (3 patients) or occlusion (2 patients) of the subclavian vein was documented in 5 patients who were investigated by angiography. RESULTS: The edema regressed spontaneously in 4 patients because collaterals developed in 3 patients, and the fistula thrombosed in 1 patient. Surgical intervention allowed regression of the edema in the other 3 patients: excessive output of the fistula was reduced in 2 patients and an axillojugular bypass was performed in 1 patient. The fistula remained effective in 6 patients. Another fistula was performed on the contralateral arm in 1 patient. CONCLUSION: Non-operative management is recommended in patients who develop edema immediately after creation of the fistula, because spontaneous regression is likely. Measures aimed at reducing the output of the fistula or enhancing the venous capacities of the arm are required when edema appears at a later stage. The fistula can be saved in the majority of cases.

Prognostic importance of anaemia in patients with acute pulmonary embolism.

Although associated with adverse outcomes in other cardiopulmonary diseases, limited evidence exists on the prognostic value of anaemia in patients with acute pulmonary embolism (PE). We sought to examine the associations between anaemia and mortality and length of hospital stay in patients with PE. We evaluated 14,276 patients with a primary diagnosis of PE from 186 hospitals in Pennsylvania, USA. We used random-intercept logistic regression to assess the association between anaemia at the time of presentation and 30-day mortality and discrete-time logistic hazard models to assess the association between anaemia and time to hospital discharge, adjusting for patient (age, gender, race, insurance type, clinical and laboratory variables) and hospital (region, size, teaching status) factors. Anaemia was present in 38.7% of patients at admission. Patients with anaemia had a higher 30-day mortality (13.7% vs. 6.3%; p <0.001) and a longer length of stay (geometric mean, 6.9 vs. 6.6 days; p <0.001) compared to patients without anaemia. In multivariable analyses, anaemia remained associated with an increased odds of death (OR 1.82, 95% CI: 1.60-2.06) and a decreased odds of discharge (OR 0.85, 95% CI: 0.82-0.89). Anaemia is very common in patients presenting with PE and is independently associated with an increased short-term mortality and length of stay.

Asymmetric standing facilities: an unexploited monetary policy tool

This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of prices and quantities in the market for daily funds.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Egalitarian equivalence under asymmetric information

We propose a definition of egalitarian equivalence that extends Pazner and Schmeidler's (1978) concept to environments with incomplete information. If every feasible allocation rule can be implemented by an incentive compatible mechanism (as, for instance, in the case of non-exclusive information), then interim egalitarian equivalence and interim incentive efficiency remain compatible, as they were under complete information. When incentive constraints are more restrictive, on the other hand, the two criteria may become incompatible.

Antibody isotypes, including IgG subclasses, in Ecuadorian patients with pulmonary Paragonimiasis

An ELISA test was developed to detect Paragonimus-specific antibodies, including IgG subclasses, using P. mexicanus crude water-soluble antigens. The test was standardized to detect antibodies in sera of Ecuadorian patients with pulmonary paragonimiasis and negative controls from the endemic area. The detected mean levels of IgG (0.753, SEM: 0.074) and IgM (0.303, SEM: 0.033) were significantly elevated (P<0.05). Within the IgG subclasses, IgG4 showed the highest detected mean level (0.365, SEM: 0.116) and the other three subclasses showed considerably lower mean levels (IgG1, 0.186 SEM: 0.06; IgG2, 0.046 SEM: 0.01; IgG3, 0.123 SEM: 0.047). The number of P. mexicanus eggs found in sputum of infected individuals showed a positive correlation with the level of antibodies detected for IgM, IgG and its subclasses (P<0.001). The relevance of these findings in Ecuadorian patients suffering from pulmonary paragonimiasis is discussed.

Low occurrence of arthritic manifestations in patients with pulmonary tuberculosis: T cell subsets and humoral studies

Given the suspected role of mycobacteria in the establishment of disorders with an autoimmune background and joint damage, a study was conducted to analize whether rheumatic symptoms were likely to be present in tuberculosis (TB) patients. To this end, 330 patients with a bacteriologic confirmation of tuberculosis were investigated for the presence of arthritic complaints. The latter were recorded in five of them with rheumatic symptoms mostly involving interphalangeal and metacarpophalanged joints, and preceding the clinical manifestations of the TB illness. Three out of these five patients remained arthritic by the time of the bacteriologic conversion and fulfilled the criteria for the diagnosis of rheumatoid arthritis. In the two remaining patients sputum negativization was accompanied by a disappearance of rheumatic manifestations. These patients were also assessed for their peripheral levels of major T cell subsets as well as for the presence of autoantibodies. Comparisons with a series of non-arthritic TB cases, rheumatoid arthritis patients, and controls revealed that presence of rheumatic manifestations was associated with a different profile of autoantibody formation and T cell subset changes. Evidence recorded in the present study indicates that joint affectation in TB is a rare event, being rather the exception than the rule.

Is monetary policy in new members states asymmetric?

Estimated Taylor rules became popular as a description of monetary policy conduct. There are numerous reasons why real monetary policy can be asymmetric and estimated Taylor rule nonlinear. This paper tests whether monetary policy can be described as asymmetric in three new European Union (EU) members (the Czech Republic, Hungary and Poland), which apply an inflation targeting regime. Two different empirical frameworks are

Pulmonary biology of anti-interleukin 5 antibodies

Interleukin 5 (IL-5) is a critical cytokine for the maturation of eosinophil precursors to eosinophils in the bone marrow and those eosinophils then accumulate in the lungs during asthma. We have studied anti IL-5 antibodies on allergic responses in mice, guinea pigs and monkeys and are extending this experiment into humans with a humanized antibody. In a monkey model of pulmonary inflammation and airway hyperreactivity, we found that the TRFK-5 antibody blocked both responses for three months following a single dose of 0.3 mg/kg, i.v. This antibody also blocked lung eosinophilia in mice by inhibiting release from the bone marrow. To facilitate multiple dosing and to reduce immunogenicity in humans, we prepared Sch 55700, a humanized antibody against IL-5. Sch 55700 was also active against lung eosinophilia in allergic monkeys and mice and against pulmonary eosinophilia and airway hyperresponsiveness in guinea pigs. Furthermore, as opposed to steroids, Sch 55700 did not cause immunosuppression in guinea pigs. Studies with this antibody in humans will be critical to establishing the therapeutic potential of IL-5 inhibition.