Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Confidence sets for asset correlations in portfolio credit risk

Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

Resiliencia y variables sociodemograficas

En el presente trabajo se aborda la definición de una de las variables dentro de lo que se denomina Capital psicológico positivo, la Resiliencia, sus principales características y algunas de las variables socio demográficas que en el estudio pretenden ver el nivel de relación existente entre cada una de ellas (indirecta o directamente) en el proceso resiliente de una persona para posteriores discusiones y su implicación dentro de la gestión empresarial y sus direcciones futuras.

Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

A multiwave range test for obstacle reconstructions with unknown physical properties

We develop a new multiwave version of the range test for shape reconstruction in inverse scattering theory. The range test [R. Potthast, et al., A ‘range test’ for determining scatterers with unknown physical properties, Inverse Problems 19(3) (2003) 533–547] has originally been proposed to obtain knowledge about an unknown scatterer when the far field pattern for only one plane wave is given. Here, we extend the method to the case of multiple waves and show that the full shape of the unknown scatterer can be reconstructed. We further will clarify the relation between the range test methods, the potential method [A. Kirsch, R. Kress, On an integral equation of the first kind in inverse acoustic scattering, in: Inverse Problems (Oberwolfach, 1986), Internationale Schriftenreihe zur Numerischen Mathematik, vol. 77, Birkhäuser, Basel, 1986, pp. 93–102] and the singular sources method [R. Potthast, Point sources and multipoles in inverse scattering theory, Habilitation Thesis, Göttingen, 1999]. In particular, we propose a new version of the Kirsch–Kress method using the range test and a new approach to the singular sources method based on the range test and potential method. Numerical examples of reconstructions for all four methods are provided.

Effect of acute administration of recombinant human leptin during the neonatal period on body temperature and endocrine profile of the piglet

Background: Leptin is produced predominantly by white adipocytes; in adults it regulates appetite and energy expenditure but its role in the neonate remains to be fully established. Objectives: To examine the effects of acute administration of recombinant human leptin on the endocrine profile and thermoregulation of neonatal pigs. Methods: 24 pairs of siblings (n = 48) were administered with either a single dose (4 mu g ml(-1) kg(-1) body weight) of leptin (L: n = 24) or a placebo (P: n = 24) on day 6 of neonatal life. Rectal temperature was recorded, and tissue samples were taken at 1 (n = 12), 2 (n = 12), 4 (n = 12) or 6 (n = 12) hours post-administration. Plasma concentrations of hormones and metabolites were determined in conjunction with messenger RNA (mRNA) for leptin and uncoupling protein-2. Results: Plasma leptin increased following leptin administration, and differences in concentrations of insulin, thyroxine and non-esterified fatty acids were observed between the two groups. Initially, rectal temperature decreased in L pigs but returned to start values by 1.5 h. This decline in rectal temperature was delayed in placebo animals, resulting in differences between treatments at 1.5 and 2 h. Conclusions: Acute leptin administration alters the endocrine profile of pigs and influences the thermoregulatory ability of the neonate. Copyright (C) 2007 S. Karger AG, Basel.

How a sequential design would have affected the GAIN international study of Gavestinel in stroke

While planning the GAIN International Study of gavestinel in acute stroke, a sequential triangular test was proposed but not implemented. Before the trial commenced it was agreed to evaluate the sequential design retrospectively to evaluate the differences in the resulting analyses, trial durations and sample sizes in order to assess the potential of sequential procedures for future stroke trials. This paper presents four sequential reconstructions of the GAIN study made under various scenarios. For the data as observed, the sequential design would have reduced the trial sample size by 234 patients and shortened its duration by 3 or 4 months. Had the study not achieved a recruitment rate that far exceeded expectation, the advantages of the sequential design would have been much greater. Sequential designs appear to be an attractive option for trials in stroke. Copyright 2004 S. Karger AG, Basel

Rate-limiting steps in the development of atherosclerosis: the response-to-influx theory

A large number of processes are involved in the pathogenesis of atherosclerosis but it is unclear which of them play a rate-limiting role. One way of resolving this problem is to investigate the highly non-uniform distribution of disease within the arterial system; critical steps in lesion development should be revealed by identifying arterial properties that differ between susceptible and protected sites. Although the localisation of atherosclerotic lesions has been investigated intensively over much of the 20th century, this review argues that the factor determining the distribution of human disease has only recently been identified. Recognition that the distribution changes with age has, for the first time, allowed it to be explained by variation in transport properties of the arterial wall; hitherto, this view could only be applied to experimental atherosclerosis in animals. The newly discovered transport variations which appear to play a critical role in the development of adult disease have underlying mechanisms that differ from those elucidated for the transport variations relevant to experimental atherosclerosis: they depend on endogenous NO synthesis and on blood flow. Manipulation of transport properties might have therapeutic potential. Copyright (C) 2004 S. Karger AG, Basel.

Acute stroke predisposes to oral gram-negative bacilli - a cause of aspiration pneumonia?

Objectives: To assess any change in the oral flora in the mouths of stroke patients during the acute and rehabilitation phases and to determine whether this is related to episodes of aspiration pneumonia and clinical outcome. Materials and Methods: This observational study was carried out in hospital wards in a University teaching hospital. The subjects were patients immediately post-stroke and during the rehabilitation period, acute admissions and a group of healthy volunteers. An assessment of dentition and swallow in the presence or absence of oral aerobic gram-negative bacilli (AGNB) was correlated. Results: Of the acute stroke patients 52% had an unsafe swallow. AGNB carriage was documented in 34% of the acute stroke group. Of the 11 patients who died 55% had AGNB, 73% had an unsafe swallow and 36% had a combination of both. Conclusion: AGNB is a common finding in acute stroke patients. It is not a consequence of age or acute hospitalisation and is associated with an unsafe swallow and a higher mortality. Copyright (C) 2003 S. Karger AG, Basel.

A randomised clinical trial to assess the effect of total enteral and total parenteral nutritional support on metabolic, inflammatory and oxidative markers in patients with predicted severe acute pancreatitis (APACHE II >= 66)

Background: Total enteral nutrition (TEN) within 48 h of admission has recently been shown to be safe and efficacious as part of the management of severe acute pancreatitis. Our aim was to ascertain the safety of immediate TEN in these patients and the effect of TEN on systemic inflammation, psychological state, oxidative stress, plasma glutamine levels and endotoxaemia. Methods: Patients admitted with predicted severe acute pancreatitis (APACHE II score 15) were randomised to total enteral (TEN; n = 8) or total parenteral nutrition (TPN; n = 9). Measurements of systemic inflammation (C-reactive protein), fatigue ( visual analogue scale), oxidative stress ( plasma thiobarbituric acid- reactive substances), plasma glutamine and anti-endotoxin IgG and IgM antibody concentrations were made on admission and repeated on days 3 and 7 thereafter. Clinical progress was monitored using APACHE II score. Organ failure and complications were recorded. Results: All patients tolerated the feeding regime well with few nutrition-related complications. Fatigue improved in both groups but more rapidly in the TEN group. Oxidative stress was high on admission and rose by similar amounts in both groups. Plasma glutamine concentrations did not change significantly in either group. In the TPN group, 3 patients developed respiratory failure and 3 developed non-respiratory single organ failure. There were no such complications in the TEN group. Hospital stay was shorter in the TEN group [ 7 (4-14) vs. 10 (7-26) days; p = 0.05] as was time to passing flatus and time to opening bowels [1 (0-2) vs. 2 (1-5) days; p = 0.01]. The cost of TEN was considerably less than of TPN. Conclusion: Immediate institution of nutritional support in the form of TEN is safe in predicted severe acute pancreatitis. It is as safe and as efficacious as TPN and may be beneficial in the clinical course of this disease. Copyright (C) 2003 S. Karger AG, Basel and IAP.

Effect of micronutrient supplementation on mood in nursing home residents

One third of older people in nursing and/or residential homes have significant symptoms of depression. In younger people, deficiencies in selenium, vitamin C and folate are associated with depression. This study examines the association between micronutrient status and mood before and after supplementation. The objective was to determine whether the administration of selenium, vitamin C and folate improved mood in frail elderly nursing home residents. Mood was assessed using the Hospital Anxiety and Depression rating scale (HAD), and Montgomery-Asberg Depression Rating Scale (MADRS). Micronutrient supplementation was provided for 8 weeks in a double-blinded randomised controlled trial. Significant symptoms of depression (29%) and anxiety (24%) were found at baseline. 67% of patients had low serum concentrations of vitamin C, but no-one was below the reference range for selenium. Depression was significantly associated with selenium levels, but not with folate or vitamin C levels. No individual with a HAD depression score of >= 8, had selenium levels >1.2 mu M. In those patients with higher HAD depression scores, there was a significant reduction in the score and a significant increase in serum selenium levels after 8 weeks of micronutrient supplementation. Placebo group scores were unchanged. This small study concluded that depression was associated with low levels of selenium in frail older individuals. Following 8 weeks of micronutrient supplementation, there was a significant increase in selenium levels and improved symptoms of depression occurred in a subgroup. Copyright (C) 2008 S. Karger AG, Basel

Under-investigation of older people with abnormal chest radiographs

Background: Whilst many authors have previously suggested that older people are under-represented in the investigation and management of lung cancer, few data are available as to the effect of age on the subsequent investigation and management of a patient with an abnormal chest radiograph. Methods: During a 3-month period in a university teaching hospital, all abnormal chest radiographs suggestive of a possible diagnosis of lung cancer were identified, and patients subsequently followed to determine investigation, management and date of death over a 5-year period. Results: Thirty-seven younger (less than or equal to69 years, median age 62 years) and 43 older patients ( 670 years, median age 80 years) were identified. Of the 80 patients with a possible bronchial carcinoma only 59% had a further chest radiograph performed. Bronchoscopy was performed in 34% of patients, but a biopsy of the lesion was undertaken in only 24% of patients. Sixteen of the 80 patients, irrespective of what investigations had been undertaken, were referred for an oncological or surgical opinion. During the study period ( 3 months), 24% of the patients died. At 6, 24 and 60 months, respectively, the total deaths were 40, 78 and 88%. Conclusion: Older patients compared with those aged less than 70 years were less likely to be investigated, further, were more likely to be managed differently (i.e., less aggressively) and more likely to die within each time interval. In more of the older group a presumed death certificate diagnosis of pneumonia was made. When an abnormal chest radiograph raises the possibility of an underlying bronchial carcinoma, the finding of this study suggests that an ageist attitude influences the subsequent management of some patients. Copyright (C) 2005 S. Karger AG, Basel.