Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

Parental Adjustment to Disability, Stress Indicators and the Influence of Social Support

Research into families of children and young people with disability maintain that parents or caregivers seem to experience higher levels of global stress than parents of children without disabilities, thereby presenting a high risk of developing disorders in their health and quality of life. The aim of this study is to understand the differences in parental stress and social support among groups of parents whose children have different disabilities in the context of parental adjustment to disability. Considering that adjustment is related to the effectiveness with which the family uses its resources and the support of their social network, we intend to analyse the differences of stress and social support among groups of parents of children with different problems and to clarify the relationships between the variables under study in order to adapt family intervention strategies. For this purpose a comparative, descriptive-correlational study was undertaken. The convenience sample included 152 parents of children with different disabilities (82 with intellectual disability, 37 with motor problems and 33 with autism) supported by schools and institutions in Viseu. The instruments used were: a Portuguese version of the Parenting Stress Index (Abidin, 1995), the Social Support Questionnaire – short version (Pinheiro & Ferreira, 2001) and a Parental Questionnaire (demographic and family data). Data were collected in schools and institutions that support people with disabilities, located in the Municipality of Viseu (Portugal). The results revealed significant differences between groups of parents in the partial results of parental stress, specifically in the Hyperactivity/Distract (DI), Acceptability (AC) and Adaptability (AD), dimensions of the Child Domain subscale (CD stress) and the Role Restriction (RO), dimension of Parent Domain subscale (PD stress). With regard to social support dimensions, we found significant differences between parents in the extent and availability of the social support network (SSQN).

A framework for risk analysis in automotive cybersecurity

We address the problem of automotive cybersecurity from the point of view of Threat Analysis and Risk Assessment (TARA). The central question that motivates the thesis is the one about the acceptability of risk, which is vital in taking a decision about the implementation of cybersecurity solutions. For this purpose, we develop a quantitative framework in which we take in input the results of risk assessment and define measures of various facets of a possible risk response; we then exploit the natural presence of trade-offs (cost versus effectiveness) to formulate the problem as a multi-objective optimization. Finally, we develop a stochastic model of the future evolution of the risk factors, by means of Markov chains; we adapt the formulations of the optimization problems to this non-deterministic context. The thesis is the result of a collaboration with the Vehicle Electrification division of Marelli, in particular with the Cybersecurity team based in Bologna; this allowed us to consider a particular instance of the problem, deriving from a real TARA, in order to test both the deterministic and the stochastic framework in a real world application. The collaboration also explains why in the work we often assume the point of view of a tier-1 supplier; however, the analyses performed can be adapted to any other level of the supply chain.

Nat2, Xrcc1 And Hogg1 Polymorphisms, Cigarette Smoking, Alcohol Consumption And Risk Of Upper Aerodigestive Tract Cancer.

To evaluate associations between polymorphisms of the N-acetyltransferase 2 (NAT2), human 8-oxoguanine glycosylase 1 (hOGG1) and X-ray repair cross-complementing protein 1 (XRCC1) genes and risk of upper aerodigestive tract (UADT) cancer. A case-control study involving 117 cases and 224 controls was undertaken. The NAT2 gene polymorphisms were genotyped by automated sequencing and XRCC1 Arg399Gln and hOGG1 Ser326Cys polymorphisms were determined by Polymerase Chain Reaction followed by Restriction Fragment Length Polymorphism (PCR-RFLP) methods. Slow metabolization phenotype was significantly associated as a risk factor for the development of UADT cancer (p=0.038). Furthermore, haplotype of slow metabolization was also associated with UADT cancer (p=0.014). The hOGG1 Ser326Cys polymorphism (CG or GG vs. CC genotypes) was shown as a protective factor against UADT cancer in moderate smokers (p=0.031). The XRCC1 Arg399Gln polymorphism (GA or AA vs. GG genotypes), in turn, was a protective factor against UADT cancer only among never-drinkers (p=0.048). Interactions involving NAT2, XRCC1 Arg399Gln and hOGG1 Ser326Cys polymorphisms may modulate the risk of UADT cancer in this population.

[association Between Breast Arterial Calcifications And Cardiovascular Risk Factors In Menopausal Women].

To analyze associations between mammographic arterial mammary calcifications in menopausal women and risk factors for cardiovascular disease. This was a cross-sectional retrospective study, in which we analyzed the mammograms and medical records of 197 patients treated between 2004 and 2005. Study variables were: breast arterial calcifications, stroke, acute coronary syndrome, age, obesity, diabetes mellitus, smoking, and hypertension. For statistical analysis, we used the Mann-Whitney, χ2 and Cochran-Armitage tests, and also evaluated the prevalence ratios between these variables and mammary artery calcifications. Data were analyzed with the SAS version 9.1 software. In the group of 197 women, there was a prevalence of 36.6% of arterial calcifications on mammograms. Among the risk factors analyzed, the most frequent were hypertension (56.4%), obesity (31.9%), smoking (15.2%), and diabetes (14.7%). Acute coronary syndrome and stroke presented 5.6 and 2.0% of prevalence, respectively. Among the mammograms of women with diabetes, the odds ratio of mammary artery calcifications was 2.1 (95%CI 1.0-4.1), with p-value of 0.02. On the other hand, the mammograms of smokers showed the low occurrence of breast arterial calcification, with an odds ratio of 0.3 (95%CI 0.1-0.8). Hypertension, obesity, diabetes mellitus, stroke and acute coronary syndrome were not significantly associated with breast arterial calcification. The occurrence of breast arterial calcification was associated with diabetes mellitus and was negatively associated with smoking. The presence of calcification was independent of the other risk factors for cardiovascular disease analyzed.

Urinary Tract Infection In Renal Transplant Recipients: Incidence, Risk Factors, And Impact On Graft Function.

Urinary tract infection (UTI) is the most common infection posttransplant. However, the risk factors for and the impact of UTIs remain controversial. The aim of this study was to identify the incidence of posttransplant UTIs in a series of renal transplant recipients from deceased donors. Secondary objectives were to identify: (1) the most frequent infectious agents; (2) risk factors related to donor; (3) risk factors related to recipients; and (4) impact of UTI on graft function. This was a retrospective analysis of medical records from renal transplant patients from January to December 2010. Local ethics committee approved the protocol. The incidence of UTI in this series was 34.2%. Risk factors for UTI were older age, (independent of gender), biopsy-proven acute rejection episodes, and kidneys from deceased donors (United Network for Organ Sharing criteria). For female patients, the number of pretransplant pregnancies was an additional risk factor. Recurrent UTI was observed in 44% of patients from the UTI group. The most common infectious agents were Escherichia coli and Klebsiella pneumoniae, for both isolated and recurrent UTI. No difference in renal graft function or immunosuppressive therapy was observed between groups after the 1-year follow-up. In this series, older age, previous pregnancy, kidneys from expanded criteria donors, and biopsy-proven acute rejection episodes were risk factors for posttransplant UTI. Recurrence of UTI was observed in 44%, with no negative impact on graft function or survival.

Falls Among The Elderly: Risk Factors In A Population-based Study.

The aim of the present study was to identify factors associated with the occurrence of falls among elderly adults in a population-based study (ISACamp 2008). A population-based cross-sectional study was carried out with two-stage cluster sampling. The sample was composed of 1,520 elderly adults living in the urban area of the city of Campinas, São Paulo, Brazil. The occurrence of falls was analyzed based on reports of the main accident occurred in the previous 12 months. Data on socioeconomic/demographic factors and adverse health conditions were tested for possible associations with the outcome. Prevalence ratios (PR) were estimated and adjusted for gender and age using the Poisson multiple regression analysis. Falls were more frequent, after adjustment for gender and age, among female elderly participants (PR = 2.39; 95% confidence interval (95% CI) 1.47 - 3.87), elderly adults (80 years old and older) (PR = 2.50; 95% CI 1.61 - 3.88), widowed (PR = 1.74; 95% CI 1.04 - 2.89) and among elderly adults who had rheumatism/arthritis/arthrosis (PR = 1.58; 95% CI 1.00 - 2.48), osteoporosis (PR = 1.71; 95% CI 1.18 - 2.49), asthma/bronchitis/emphysema (PR = 1,73; 95% CI 1.09 - 2.74), headache (PR = 1.59; 95% CI 1.07 - 2.38), mental common disorder (PR = 1.72; 95% CI 1.12 - 2.64), dizziness (PR = 2.82; 95% CI 1.98 - 4.02), insomnia (PR = 1.75; 95% CI 1.16 - 2.65), use of multiple medications (five or more) (PR = 2.50; 95% CI 1.12 - 5.56) and use of cane/walker (PR = 2.16; 95% CI 1.19 - 3,93). The present study shows segments of the elderly population who are more prone to falls through the identification of factors associated with this outcome. The findings can contribute to the planning of public health policies and programs addressed to the prevention of falls.

Dietary Supplement Usage And Motivation In Brazilian Road Runners.

The consumption of dietary supplements is highest among athletes and it can represent potential a health risk for consumers. The aim of this study was to determine the prevalence of consumption of dietary supplements by road runners. We interviewed 817 volunteers from four road races in the Brazilian running calendar. The sample consisted of 671 male and 146 female runners with a mean age of 37.9 ± 12.4 years. Of the sample, 28.33% reported having used some type of dietary supplement. The main motivation for this consumption is to increase in stamina and improve performance. The probability of consuming dietary supplements increased 4.67 times when the runners were guided by coaches. The consumption of supplements was strongly correlated (r = 0.97) with weekly running distance, and also highly correlated (r = 0.86) with the number of years the sport had been practiced. The longer the runner had practiced the sport, the higher the training volume and the greater the intake of supplements. The five most frequently cited reasons for consumption were: energy enhancement (29.5%), performance improvement (17.1%), increased level of endurance (10.3%), nutrient replacement (11.1%), and avoidance of fatigue (10.3%). About 30% of the consumers declared more than one reason for taking dietary supplements. The most consumed supplements were: carbohydrates (52.17%), vitamins (28.70%), and proteins (13.48%). Supplement consumption by road runners in Brazil appeared to be guided by the energy boosting properties of the supplement, the influence of coaches, and the experience of the user. The amount of supplement intake seemed to be lower among road runners than for athletes of other sports. We recommend that coaches and nutritionists emphasise that a balanced diet can meet the needs of physically active people.

Risk Of Leukemia In First Degree Relatives Of Patients With Nonsyndromic Cleft Lip And Palate.

The aim of this study was to determine the frequency of leukemia in parents of patients with nonsyndromic cleft lip and/or cleft palate (NSCL/P). This case-control study evaluated first-degree family members of 358 patients with NSCL/P and 1,432 subjects without craniofacial alterations or syndromes. Statistical analysis was carried out using Fisher's test. From the 358 subjects with NSCL/P, 3 first-degree parents had history of leukemia, while 2 out of 1,432 subjects from the unaffected group had a family history of leukemia. The frequency of positive family history of leukemia was not significantly increased in first-degree relatives of patients with NSCL/P.

Myocardial Extracellular Volume Expansion And The Risk Of Recurrent Atrial Fibrillation After Pulmonary Vein Isolation.

This study tested whether myocardial extracellular volume (ECV) is increased in patients with hypertension and atrial fibrillation (AF) undergoing pulmonary vein isolation and whether there is an association between ECV and post-procedural recurrence of AF. Hypertension is associated with myocardial fibrosis, an increase in ECV, and AF. Data linking these findings are limited. T1 measurements pre-contrast and post-contrast in a cardiac magnetic resonance (CMR) study provide a method for quantification of ECV. Consecutive patients with hypertension and recurrent AF referred for pulmonary vein isolation underwent a contrast CMR study with measurement of ECV and were followed up prospectively for a median of 18 months. The endpoint of interest was late recurrence of AF. Patients had elevated left ventricular (LV) volumes, LV mass, left atrial volumes, and increased ECV (patients with AF, 0.34 ± 0.03; healthy control patients, 0.29 ± 0.03; p < 0.001). There were positive associations between ECV and left atrial volume (r = 0.46, p < 0.01) and LV mass and a negative association between ECV and diastolic function (early mitral annular relaxation [E'], r = -0.55, p < 0.001). In the best overall multivariable model, ECV was the strongest predictor of the primary outcome of recurrent AF (hazard ratio: 1.29; 95% confidence interval: 1.15 to 1.44; p < 0.0001) and the secondary composite outcome of recurrent AF, heart failure admission, and death (hazard ratio: 1.35; 95% confidence interval: 1.21 to 1.51; p < 0.0001). Each 10% increase in ECV was associated with a 29% increased risk of recurrent AF. In patients with AF and hypertension, expansion of ECV is associated with diastolic function and left atrial remodeling and is a strong independent predictor of recurrent AF post-pulmonary vein isolation.

[factors Impacting The Growth And Nutritional Status Of Cystic Fibrosis Patients Younger Than 10 Years Of Age Who Did Not Undergo Neonatal Screening.]

The aim of this study was to evaluate by clinical and laboratory parameters how cystic fibrosis (CF) affects growth and nutritional status of children who were undergoing CF treatment but did not receive newborn screening. A historical cohort study of 52 CF patients younger than 10 years of age were followed in a reference center in Campinas, Southeast Brazil. Anthropometric measurements were abstracted from medical records until March/2010, when neonatal screening program was implemented. Between September/2009 and March/2010, parental height of the 52 CF patients were also measured. Regarding nutritional status, four patients had Z-scores ≤ -2 for height/age (H/A) and body mass index/age (BMI/A). The following variables were associated with improved H/A ratio: fewer hospitalizations, longer time from first appointment to diagnosis, longer time from birth to diagnosis and later onset of respiratory disease. Forced vital capacity [FVC(%)], forced expiratory flow between 25-75% of FVC [FEF25-75(%)], forced expiratory volume in the first second [FEV1(%)], gestational age, birth weight and early respiratory symptoms were associated with IMC/A. Greater number of hospitalizations, diagnosis delay and early onset of respiratory disease had a negative impact on growth. Lower spirometric values, lower gestational age, lower birth weight, and early onset of respiratory symptoms had negative impact on nutritional status. Malnutrition was observed in 7.7% of cases, but 23% of children had nutritional risk.

Burden Of Focal Cryoablation Versus Brachytherapy Versus Active Surveillance In The Treatment Of Very Low-risk Prostate Cancer: A Preliminary Head-to-head Comprehensive Assessment.

Focal cryoablation (FC), brachytherapy (B) and active surveillance (AS) were offered to patients diagnosed with very low-risk prostate cancer (VLRPC) in an equal access protocol. Comprehensive validated self-report questionnaires accessed patients' erectile (IIEF-5) and voiding (IPSS) functions, Beck scales measured anxiety (BAI), hopelessness (BHS) and depression (BDI), SF-36 reflected patients' quality of life added to the emotional thermometers including five visual analogue scales (distress, anxiety, depression, anger and need for help). Kruskal-Wallis or ANOVA tests and Spearman's correlations were obtained among groups and studied variables. Thirty patients were included, median follow-up 18 months (15-21). Those on AS (n = 11) were older, presented higher hopelessness (BHS) and lower general health perceptions (SF-36) scores than patients opting for FC (n = 10) and B (n = 9), P = 0.0014, P = 0.0268 and P = 0.0168 respectively. Patients on B had higher IPSS scores compared to those under FC and AC, P = 0.0223. For all 30 included patients, Spearman's correlation (rs ) was very strong between BHS and general health perceptions (rs  = -0.800, P < 0.0001), and weak/moderate between age and BHS (rs  = 0.405, P = 0.026) and age and general health perceptions (rs  = -0.564, P = 0.001). The sample power was >60%. To be considered in patients' counselling and care, current study supports the hypothesis that even VLRPC when untreated undermines psychosocial domains.

Fluoride Concentrations In The Water Of Maringá, Brazil, Considering The Benefit/risk Balance Of Caries And Fluorosis.

Current Brazilian law regarding water fluoridation classification is dichotomous with respect to the risks of and benefits for oral diseases, and fluoride (F) concentrations less than 0.6 or above 0.8 mg F/L are considered outside the normal limits. Thus, the law does not consider that both caries and fluorosis are dependent on the dosage and duration of fluoride exposure because they are both chronic diseases. Therefore, this study evaluated the quality of water fluoridation in Maringá, PR, Brazil, considering a new classification for the concentration of F in water the supply, based on the anticaries benefit and risk of fluorosis (CECOL/USP, 2011). Water samples (n = 325) were collected monthly over one year from 28 distribution water networks: 20 from treatment plants and 8 from artesian wells. F concentrations were determined using a specific ion electrode. The average F concentration was 0.77 mg F/L (ppm F), ranging from 0.44 to 1.22 mg F/L. Considering all of the water samples analyzed, 83.7% of them presented from 0.55 to 0.84 mg F/L, and according to the new classification used, they would provide maximum anticaries benefit with a low risk of fluorosis. This percentage was lower (75.4%) in the water samples supplied from artesian wells than from those distributed by the treatment plant (86%). In conclusion, based on the new classification of water F concentrations, the quality of water fluoridation in Maringá is adequate and is within the range of the best balance between risk and benefit.

Is Sport Practice A Risk Factor For Shoulder Injuries In Tetraplegic Individuals?

A retrospective cohort. To report the incidence rates of shoulder injuries diagnosed with magnetic resonance imaging (MRI) in tetraplegic athletes and sedentary tetraplegic individuals. To evaluate whether sport practice increases the risk of shoulder injuries in tetraplegic individuals. Campinas, Sao Paulo, Brazil. Ten tetraplegic athletes with traumatic spinal cord injury were selected among quad rugby athletes and had both the shoulders evaluated by MRI. They were compared with 10 sedentary tetraplegic individuals who were submitted to the same radiological protocol. All athletes were male with a mean age of 32.1 years (range 25-44 years, s.d.=6.44). Time since injury ranged from 6 to 17 years, with a mean value of 9.7 years and s.d. of 3.1 years. All sedentary individuals were male with a mean age of 35.9 years (range 22-47 years, s.d.=8.36). Statistical analysis showed a protective effect of sport in the development of shoulder injuries, with a weak correlation for infraspinatus and subscapularis tendinopathy (P=0.09 and P=0.08, respectively) and muscle atrophy (P=0.08). There was a strong correlation for acromioclavicular joint (ACJ) and labrum injuries (P=0.04), with sedentary individuals at a higher risk for these injuries. Tetraplegic athletes and sedentary individuals have a high incidence of supraspinatus tendinosis, bursitis and ACJ degeneration. Statistical analysis showed that there is a possible protective effect of sport in the development of shoulder injuries. Weak evidence was encountered for infraspinatus and subscapularis tendinopathy and muscle atrophy (P=0.09, P=0.08 and P=0.08, respectively). Strong evidence with P=0.04 suggests that sedentary tetraplegic individuals are at a greater risk for ACJ and labrum injuries.Spinal Cord advance online publication, 17 March 2015; doi:10.1038/sc.2014.248.

Polymorphism In Lep And Lepr May Modify Leptin Levels And Represent Risk Factors For Thyroid Cancer.

Purpose. To understand the role of polymorphisms in the LEP (rs7799039 and rs2167270) and LEPR (rs1137101 and rs1137100) genes in DTC susceptibility and their effect on leptin levels. Methods. We studied 153 patients with DTC and 234 controls through TaqMan SNP Genotyping and ELISA, comparing these data to the clinicopathological data of patients with DTC. Results. Patients with AA genotype of rs7799039 had higher levels of serum leptin (9.22 ± 0.98 ng/mL) than those with AG genotype (10.07 ± 0.60 ng/mL; P = 0.005). Individuals with AG genotype of rs2167270 also produced higher serum leptin levels (10.05 ± 0.59 ng/mL) than the subjects with GG genotype (9.52 ± 0.79 ng/mL; P < 0.05). A multivariate logistic regression adjusted for gender, age, and BMI showed that the AG genotype of rs7799039 was an independent risk for DTC (OR, 11.689; P = 0.0183; 95% CI, 1.516-90.119). Similarly, AG and GG genotypes of rs1137101 increased the susceptibility to DTC (OR, 3.747; P = 0.027; 95% CI, 1.161-12.092 and OR, 5.437; P = 0.013; 95% CI, 1.426-20.729). Conclusions. We demonstrated that rs7799039 and rs2167270 polymorphisms modify the serum leptin concentrations in patients with DTC. Furthermore, polymorphisms rs7799039 and rs1137101 increase the risk of DTC development, although they do not correlate with tumor aggressiveness.