Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

Mutational analysis of cysteine-rich domains of the epithelium sodium channel (ENaC). Identification of cysteines essential for channel expression at the cell surface.

One of the characteristic features of the structure of the epithelial sodium channel family (ENaC) is the presence of two highly conserved cysteine-rich domains (CRD1 and CRD2) in the large extracellular loops of the proteins. We have studied the role of CRDs in the functional expression of rat alphabetagamma ENaC subunits by systematically mutating cysteine residues (singly or in combinations) into either serine or alanine. In the Xenopus oocyte expression system, mutations of two cysteines in CRD1 of alpha, beta, or gamma ENaC subunits led to a temperature-dependent inactivation of the channel. In CRD1, one of the cysteines of the rat alphaENaC subunit (Cys158) is homologous to Cys133 of the corresponding human subunit causing, when mutated to tyrosine (C133Y), pseudohypoaldosteronism type 1, a severe salt-loosing syndrome in neonates. In CRD2, mutation of two cysteines in alpha and beta but not in the gamma subunit also produced a temperature-dependent inactivation of the channel. The main features of the mutant cysteine channels are: (i) a decrease in cell surface expression of channel molecules that parallels the decrease in channel activity and (ii) a normal assembly or rate of degradation as assessed by nondenaturing co-immunoprecipitation of [35S]methionine-labeled channel protein. These data indicate that the two cysteines in CRD1 and CRD2 are not a prerequisite for subunit assembly and/or intrinsic channel activity. We propose that they play an essential role in the efficient transport of assembled channels to the plasma membrane.

Assessment of adult formulas for glomerular filtration rate estimation in children.

BACKGROUND: Estimated glomerular filtration rate (eGFR) is an important diagnostic instrument in clinical practice. The National Kidney Foundation-Kidney Disease Quality Initiative (NKF-KDOQI) guidelines do not recommend using formulas developed for adults to estimate GFR in children; however, studies confirming these recommendations are scarce. The aim of our study was to evaluate the accuracy of the new Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) formula, the Modification of Diet in Renal Disease (MDRD) formula, and the Cockcroft-Gault formula in children with various stages of chronic kidney disease (CKD). METHODS: A total of 550 inulin clearance (iGFR) measurements for 391 children were analyzed. The cohort was divided into three groups: group 1, with iGFR >90 ml/min/1.73 m(2); group 2, with iGFR between 60 and 90 ml/min/1.73 m(2); group 3, with iGFR of <60 ml/min/1.73 m(2). RESULTS: All formulas overestimate iGFR with a significant bias (p < 0.001), present poor accuracies, and have poor Spearman correlations. For an accuracy of 10 %, only 11, 6, and 27 % of the eGFRs are accurate when using the MDRD, CKD-EPI, and Cockcroft-Gault formulas, respectively. For an accuracy of 30 %, these formulas do not reach the NKF-KDOQI guidelines for validation, with only 25, 20, and 70 % of the eGFRs, respectively, being accurate. CONCLUSIONS: Based on our results, the performances of all of these formulas are unreliable for eGFR in children across all CKD stages and cannot therefore be applied in the pediatric population group.

Bone mineral density (BMD), micro-architecture estimation (TBS) and vertebral fracture assessment (VFA) extracted from a single DXA device in combination with clinical risk factors improve significantly the identification of women at high risk of fracture

Introduction: Osteoporosis (OP) is a systemic skeletal disease characterized by a low bone mineral density (BMD) and a micro-architectural (MA) deterioration. Clinical risk factors (CRF) are often used as a MA approximation. MA is yet evaluable in daily practice by the Trabecular Bone Score (TBS) measure. TBS is a novel grey-level texture measurement reflecting bone micro-architecture based on the use of experimental variograms of 2D projection images. TBS is very simple to obtain, by reanalyzing a lumbar DXA-scan. TBS has proven to have diagnosis and prognosis value, partially independent of CRF and BMD. The aim of the OsteoLaus cohort is to combine in daily practice the CRF and the information given by DXA (BMD, TBS and vertebral fracture assessment (VFA)) to better identify women at high fracture risk. Method: The OsteoLaus cohort (1400 women 50 to 80 years living in Lausanne, Switzerland) started in 2010. This study is derived from the cohort COLAUS who started in Lausanne in 2003. The main goals of COLAUS is to obtain information on the epidemiology and genetic determinants of cardiovascular risk in 6700 men and women. CRF for OP, bone ultrasound of the heel, lumbar spine and hip BMD, VFA by DXA and MA evaluation by TBS are recorded in OsteoLaus. Preliminary results are reported. Results: We included 631 women: mean age 67.4±6.7 y, BMI 26.1±4.6, mean lumbar spine BMD 0.943±0.168 (T-score -1.4 SD), TBS 1.271±0.103. As expected, correlation between BMD and site matched TBS is low (r2=0.16). Prevalence of VFx grade 2/3, major OP Fx and all OP Fx is 8.4%, 17.0% and 26.0% respectively. Age- and BMI-adjusted ORs (per SD decrease) are 1.8 (1.2- 2.5), 1.6 (1.2-2.1), 1.3 (1.1-1.6) for BMD for the different categories of fractures and 2.0 (1.4-3.0), 1.9 (1.4-2.5), 1.4 (1.1-1.7) for TBS respectively. Only 32 to 37% of women with OP Fx have a BMD < -2.5 SD or a TBS < 1.200. If we combine a BMD < -2.5 SD or a TBS < 1.200, 54 to 60% of women with an osteoporotic Fx are identified. Conclusion: As in the already published studies, these preliminary results confirm the partial independence between BMD and TBS. More importantly, a combination of TBS subsequent to BMD increases significantly the identification of women with prevalent OP Fx which would have been miss-classified by BMD alone. For the first time we are able to have complementary information about fracture (VFA), density (BMD), micro- and macro architecture (TBS & HAS) from a simple, low ionizing radiation and cheap device: DXA. Such complementary information is very useful for the patient in the daily practice and moreover will likely have an impact on cost effectiveness analysis.

Treatment of severe infectious purpura in children with human plasma from donors immunized with Escherichia coli J5: a prospective double-blind study. J5 study Group.

To evaluate the efficacy of anti-J5 serum in the treatment of severe infectious purpura, 73 children were randomized to receive either anti-J5 (40) or control (33) plasma. Age, blood pressure, and biologic risk factors were similar in both groups. At admission, however, tumor necrosis factor serum concentrations were 974 +/- 173 pg/ml compared with 473 +/- 85 pg/ml (P = .023) and interleukin-6 serum concentrations were 129 +/- 45 compared with 19 +/- 5 ng/ml (P = .005) in the control and treated groups, respectively. The duration of shock and the occurrence of complications were similar in both groups. The mortality rate was 36% in the control group and 25% in the treated group (P = .317; odds ratio, 0.76; 95% confidence interval, 0.46-1.26). This trend disappeared after correction for unbalances in risk factors at randomization using a logistic regression model. These results suggest that anti-j5 plasma did not affect the course or mortality of severe infectious purpura in children.

Efficacy and safety of various combination therapies based on a calcium antagonist in essential hypertension: results of a placebo-controlled randomized trial

We tested the efficacy and safety of different combination therapies in hypertensive patients with uncontrolled blood pressure (BP) on a monotherapy with a calcium antagonist: 1,647 hypertensive patients were enrolled to receive placebo for 4 weeks followed by isradipine (ISR) 2.5 mg twice daily (b.i.d.) for 4 weeks. Nonresponders [diastolic BP (DBP) > 90 mm Hg] were randomly assigned to receive either the beta-blocker bopindolol 0.5 or 1 mg/day, the diuretic metolazone 1.25 or 2.5 mg/day, the angiotensin-converting enzyme (ACE) inhibitor enalapril 10 or 20 mg/day, ISR 5 mg b.i.d., or placebo. One hundred seventy-five receiving placebo dropped out; 93% (n = 1,376) of the 1,472 patients finished 4-week monotherapy with ISR. Sixty percent (n = 826) reached target BP, and 40% (n = 550) remained uncontrolled and were randomized. Regardless of dosage, all drugs led to a comparable reduction in BP except for the lower dosage of bopindolol and ISR 5 mg b.i.d., which were less effective in lowering systolic BP (SBP). The BP decrease achieved by combination therapy ranged from 10 to 15 mm Hg SBP and from 7 to 11 mm Hg DBP but remained unchanged with placebo. Side effects were minor, and only 2.4% of patients discontinued therapy because of side effects. The side-effect score for edema was lower with ISR plus diuretics than with other combinations, whereas the ACE inhibitor was associated with a higher score for cough. Monotherapy with a calcium antagonist normalizes BP in about two-thirds of patients when used in general practice.(ABSTRACT TRUNCATED AT 250 WORDS)

Messenger RNA expression of transporter and ion channel genes in undifferentiated and differentiated Caco-2 cells compared to human intestines.

PURPOSE: The purpose of this work was to study the influence of cell differentiation on the mRNA expression of transporters and channels in Caco-2 cells and to assess Caco-2 cells as a model for carrier-mediated drug transport in the intestines. METHOD: Gene mRNA expression was measured using a custom-designed microarray chip with 750 deoxyoligonucleotide probes (70mers). Each oligomer was printed four times on poly-lysine-coated glass slides. Expression profiles were expressed as ratio values between fluorescence intensities of Cy3 and Cy5 dye-labeled cDNA derived from poly(A) + RNA samples of Caco-2 cells and total RNA of human intestines. RESULTS: Significant differences in the mRNA expression profile of transporters and channels were observed upon differentiation of Caco-2 cells from 5 days to 2 weeks in culture, including changes for MAT8, S-protein, and Nramp2. Comparing Caco-2 cells of different passage number revealed few changes in mRNAs except for GLUT3, which was down-regulated 2.4-fold within 13 passage numbers. Caco-2 cells had a similar expression profile when either cultured in flasks or on filters but differed more strongly from human small and large intestine, regardless of the differentiation state of Caco-2 cells. Expression of several genes highly transcribed in small or large intestines differed fourfold or more in Caco-2 cells. CONCLUSIONS: Although Caco-2 cells have proven a suitable model for studying carrier-mediated transport in human intestines, the expression of specific transporter and ion channel genes may differ substantially.

Three essays in international finance

Executive Summary The first essay of this dissertation investigates whether greater exchange rate uncertainty (i.e., variation over time in the exchange rate) fosters or depresses the foreign investment of multinational firms. In addition to the direct capital financing it supplies, foreign investment can be a source of valuable technology and know-how, which can have substantial positive effects on a host country's economic growth. Thus, it is critically important for policy makers and central bankers, among others, to understand how multinationals base their investment decisions on the characteristics of foreign exchange markets. In this essay, I first develop a theoretical framework to improve our knowledge regarding how the aggregate level of foreign investment responds to exchange rate uncertainty when an economy consists of many firms, each of which is making decisions. The analysis predicts a U-shaped effect of exchange rate uncertainty on the total level of foreign investment of the economy. That is, the effect is negative for low levels of uncertainty and positive for higher levels of uncertainty. This pattern emerges because the relationship between exchange rate volatility and 'the probability of investment is negative for firms with low productivity at home (i.e., firms that find it profitable to invest abroad) and the relationship is positive for firms with high productivity at home (i.e., firms that prefer exporting their product). This finding stands in sharp contrast to predictions in the existing literature that consider a single firm's decision to invest in a unique project. The main contribution of this research is to show that the aggregation over many firms produces a U-shaped pattern between exchange rate uncertainty and the probability of investment. Using data from industrialized countries for the period of 1982-2002, this essay offers a comprehensive empirical analysis that provides evidence in support of the theoretical prediction. In the second essay, I aim to explain the time variation in sovereign credit risk, which captures the risk that a government may be unable to repay its debt. The importance of correctly evaluating such a risk is illustrated by the central role of sovereign debt in previous international lending crises. In addition, sovereign debt is the largest asset class in emerging markets. In this essay, I provide a pricing formula for the evaluation of sovereign credit risk in which the decision to default on sovereign debt is made by the government. The pricing formula explains the variation across time in daily credit spreads - a widely used measure of credit risk - to a degree not offered by existing theoretical and empirical models. I use information on a country's stock market to compute the prevailing sovereign credit spread in that country. The pricing formula explains a substantial fraction of the time variation in daily credit spread changes for Brazil, Mexico, Peru, and Russia for the 1998-2008 period, particularly during the recent subprime crisis. I also show that when a government incentive to default is allowed to depend on current economic conditions, one can best explain the level of credit spreads, especially during the recent period of financial distress. In the third essay, I show that the risk of sovereign default abroad can produce adverse consequences for the U.S. equity market through a decrease in returns and an increase in volatility. The risk of sovereign default, which is no longer limited to emerging economies, has recently become a major concern for financial markets. While sovereign debt plays an increasing role in today's financial environment, the effects of sovereign credit risk on the U.S. financial markets have been largely ignored in the literature. In this essay, I develop a theoretical framework that explores how the risk of sovereign default abroad helps explain the level and the volatility of U.S. equity returns. The intuition for this effect is that negative economic shocks deteriorate the fiscal situation of foreign governments, thereby increasing the risk of a sovereign default that would trigger a local contraction in economic growth. The increased risk of an economic slowdown abroad amplifies the direct effect of these shocks on the level and the volatility of equity returns in the U.S. through two channels. The first channel involves a decrease in the future earnings of U.S. exporters resulting from unfavorable adjustments to the exchange rate. The second channel involves investors' incentives to rebalance their portfolios toward safer assets, which depresses U.S. equity prices. An empirical estimation of the model with monthly data for the 1994-2008 period provides evidence that the risk of sovereign default abroad generates a strong leverage effect during economic downturns, which helps to substantially explain the level and the volatility of U.S. equity returns.

Regulation of the epithelial Na+ channel ENaC by Tsg101 in renal epithelial cells

Kidneys are the main regulator of salt homeostasis and blood pressure. In the distal region of the tubule active Na-transport is finely tuned. This transport is regulated by various hormonal pathways including aldosterone that regulates the reabsorption at the level of the ASDN, comprising the late DCT, the CNT and the CCD. In the ASDN, the amiloride-sensitive epithelial Na-channel (ENaC) plays a major role in Na-homeostasis, as evidenced by gain-of function mutations in the genes encoding ENaC, causing Liddle's syndrome, a severe form of salt-sensitive hypertension. In this disease, regulation of ENaC is compromised due to mutations that delete or mutate a PY-motif in ENaC. Such mutations interfere with Nedd4-2- dependent ubiquitylation of ENaC, leading to reduced endocytosis of the channel, and consequently to increased channel activity at the cell surface. After endocytosis ENaC is targeted to the lysosome and rapidly degraded. Similarly to other ubiquitylated and endocytosed plasma membrane proteins (such as the EGFR), it is likely that the multi-protein complex system ESCRT is involved. To investigate the involvement of this system we tested the role of one of the ESCRT proteins, Tsg101. Here we show that Tsg101 interacts endogenously and in transfected HEK-293 cells with all three ENaC sub-units. Furthermore, mutations of cytoplasmic lysines of ENaC subunits lead to the disruption of this interaction, indicating a potential involvement of ubiquitin in Tsg101 / ENaC interaction. Tsg101 knockdown in renal epithelial cells increases the total and cell surface pool of ENaC, thus implying TsglOl and consequently the ESCRT system in ENaC degradation by the endosomal/lysosomal system. - Les reins sont les principaux organes responsables de la régulation de la pression artérielle ainsi que de la balance saline du corps. Dans la région distale du tubule, le transport actif de sodium est finement régulé. Ce transport est contrôlé par plusieurs hormones comme l'aldostérone, qui régule la réabsorption au niveau de l'ASDN, segment comprenant la fin du DCT, le CNT et le CCD. Dans l'ASDN, le canal à sodium épithélial sensible à l'amiloride (ENaC) joue un rôle majeur dans l'homéostasie sodique, comme cela fut démontré par les mutations « gain de fonction » dans les gênes encodant ENaC, causant ainsi le syndrome de Liddle, une forme sévère d'hypertension sensible au sel. Dans cette maladie, la régulation d'ENaC est compromise du fait des mutations qui supprime ou mute le domaine PY présent sur les sous-unités d'ENaC. Ces mutations préviennent l'ubiquitylation d'ENaC par Nedd4-2, conduisant ainsi à une baisse de l'endocytose du canal et par conséquent une activité accrue d'ENaC à la surface membranaire. Après endocytose, ENaC est envoyé vers le lysosome et rapidement dégradé. Comme d'autres protéines membranaires ubiquitylées et endocytées (comme l'EGFR), il est probable que le complexe multi-protéique ESCRT est impliqué dans le transport d'ENaC au lysosome. Pour étudier l'implication du système d'ESCRT dans la régulation d'ENaC nous avons testé le rôle d'une protéine de ces complexes, TsglOl. Notre étude nous a permis de démontrer que TsglOl se lie aux trois sous-unités ENaC aussi bien en co-transfection dans des cellules HEK-293 que de manière endogène. De plus, nous avons pu démontrer l'importance de l'ubiquitine dans cette interaction par la mutation de toutes les lysines placées du côté cytoplasmique des sous-unités d'ENaC, empêchant ainsi l'ubiquitylation de ces sous-unités. Enfin, le « knockdown » de TsglOl dans des cellules épithéliales de rein induit une augmentation de l'expression d'ENaC aussi bien dans le «pool» total qu'à la surface membranaire, indiquant ainsi un rôle pour TsglOl et par conséquent du système d'ESCRT dans la dégradation d'ENaC par la voie endosome / lysosome. - Le corps humain est composé d'organes chacun spécialisé dans une fonction précise. Chaque organe est composé de cellules, qui assurent la fonction de l'organe en question. Ces cellules se caractérisent par : - une membrane qui leur permet d'isoler leur compartiment interne (milieu intracellulaire ou cytoplasme) du liquide externe (milieu extracellulaire), - un noyau, où l'ADN est situé, - des protéines, sortent d'unités fonctionnelles ayant une fonction bien définie dans la cellule. La séparation entre l'extérieure et l'intérieure de la cellule est essentielle pour le maintien des composants de ces milieux ainsi que pour la bonne fonction de l'organisme et des cellules. Parmi ces composants, le sodium joue un rôle essentiel car il conditionne le maintien de volume sanguin en participant au maintien du volume extracellulaire. Une augmentation du sodium dans l'organisme provoque donc une augmentation du volume sanguin et ainsi provoque une hypertension. De ce fait, le contrôle de la quantité de sodium présente dans l'organisme est essentiel pour le bon fonctionnement de l'organisme. Le sodium est apporté par l'alimentation, et c'est au niveau du rein que va s'effectuer le contrôle de la quantité de sodium qui va être retenue dans l'organisme pour le maintien d'une concentration normale de sodium dans le milieu extracellulaire. Le rein va se charger de réabsorber toutes sortes de solutés nécessaires pour l'organisme avant d'évacuer les déchets ou le surplus de ces solutés en produisant l'urine. Le rein va se charger de réabsorber le sodium grâce à différentes protéines, parmi elle, nous nous sommes intéressés à une protéine appelée ENaC. Cette protéine joue un rôle important dans la réabsorption du sodium, et lorsqu'elle fonctionne mal, comme il a pu être observé dans certaines maladies génétiques, il en résulte des problèmes d'hypo- ou d'hypertension. Les problèmes résultant du mauvais fonctionnement de cette protéine obligent donc la cellule à réguler efficacement ENaC par différents mécanismes, notamment en diminuant son expression et en dégradant le « surplus ». Dans cette travail de thèse, nous nous sommes intéressés au mécanisme impliqué dans la dégradation d'ENaC et plus précisément à un ensemble de protéines, appelé ESCRT, qui va se charger « d'escorter » une protéine vers un sous compartiment à l'intérieur de la cellule ou elle sera dégradée.

Use-dependent block of the voltage-gated Na+ channel by tetrodotoxin and saxitoxin: Effect of pore mutations that change ionic selectivity.

Voltage-gated Na(+) channels (NaV channels) are specifically blocked by guanidinium toxins such as tetrodotoxin (TTX) and saxitoxin (STX) with nanomolar to micromolar affinity depending on key amino acid substitutions in the outer vestibule of the channel that vary with NaV gene isoforms. All NaV channels that have been studied exhibit a use-dependent enhancement of TTX/STX affinity when the channel is stimulated with brief repetitive voltage depolarizations from a hyperpolarized starting voltage. Two models have been proposed to explain the mechanism of TTX/STX use dependence: a conformational mechanism and a trapped ion mechanism. In this study, we used selectivity filter mutations (K1237R, K1237A, and K1237H) of the rat muscle NaV1.4 channel that are known to alter ionic selectivity and Ca(2+) permeability to test the trapped ion mechanism, which attributes use-dependent enhancement of toxin affinity to electrostatic repulsion between the bound toxin and Ca(2+) or Na(+) ions trapped inside the channel vestibule in the closed state. Our results indicate that TTX/STX use dependence is not relieved by mutations that enhance Ca(2+) permeability, suggesting that ion-toxin repulsion is not the primary factor that determines use dependence. Evidence now favors the idea that TTX/STX use dependence arises from conformational coupling of the voltage sensor domain or domains with residues in the toxin-binding site that are also involved in slow inactivation.

Testing advances in molecular discrimination among Chinook salmon life histories: evidence from a blind test.

The application of DNA-based markers toward the task of discriminating among alternate salmon runs has evolved in accordance with ongoing genomic developments and increasingly has enabled resolution of which genetic markers associate with important life-history differences. Accurate and efficient identification of the most likely origin for salmon encountered during ocean fisheries, or at salvage from fresh water diversion and monitoring facilities, has far-reaching consequences for improving measures for management, restoration and conservation. Near-real-time provision of high-resolution identity information enables prompt response to changes in encounter rates. We thus continue to develop new tools to provide the greatest statistical power for run identification. As a proof of concept for genetic identification improvements, we conducted simulation and blind tests for 623 known-origin Chinook salmon (Oncorhynchus tshawytscha) to compare and contrast the accuracy of different population sampling baselines and microsatellite loci panels. This test included 35 microsatellite loci (1266 alleles), some known to be associated with specific coding regions of functional significance, such as the circadian rhythm cryptochrome genes, and others not known to be associated with any functional importance. The identification of fall run with unprecedented accuracy was demonstrated. Overall, the top performing panel and baseline (HMSC21) were predicted to have a success rate of 98%, but the blind-test success rate was 84%. Findings for bias or non-bias are discussed to target primary areas for further research and resolution.

The heterotetrameric architecture of the epithelial sodium channel (ENaC).

The epithelial sodium channel (ENaC) is a key element for the maintenance of sodium balance and the regulation of blood pressure. Three homologous ENaC subunits (alpha, beta and gamma) assemble to form a highly Na+-selective channel. However, the subunit stoichiometry of ENaC has not yet been solved. Quantitative analysis of cell surface expression of ENaC alpha, beta and gamma subunits shows that they assemble according to a fixed stoichiometry, with alpha ENaC as the most abundant subunit. Functional assays based on differential sensitivities to channel blockers elicited by mutations tagging each alpha, beta and gamma subunit are consistent with a four subunit stoichiometry composed of two alpha, one beta and one gamma. Expression of concatameric cDNA constructs made of different combinations of ENaC subunits confirmed the four subunit channel stoichiometry and showed that the arrangement of the subunits around the channel pore consists of two alpha subunits separated by beta and gamma subunits.