Value at Risk in measuring market risk: Historical simulation

In this study the theoretical part was created to make comparison between different Value at Risk models. Based on that comparison one model was chosen to the empirical part which concentrated to find out whether the model is accurate to measure market risk. The purpose of this study was to test if Volatility-weighted Historical Simulation is accurate in measuring market risk and what improvements does it bring to market risk measurement compared to traditional Historical Simulation. Volatility-weighted method by Hull and White (1998) was chosen In order to improve the traditional methods capability to measure market risk. In this study we found out that result based on Historical Simulation are dependent on chosen time period, confidence level and how samples are weighted. The findings of this study are that we cannot say that the chosen method is fully reliable in measuring market risk because back testing results are changing during the time period of this study.

δ15N value does not reflect fasting in mysticetes.

The finding that tissue δ15N values increase with protein catabolism has led researchers to apply this value to gauge nutritive condition in vertebrates. However, its application to marine mammals has in most occasions failed. We investigated the relationship between δ15N values and the fattening/fasting cycle in a model species, the fin whale, a migratory capital breeder that experiences severe seasonal variation in body condition. We analyzed two tissues providing complementary insights: one with isotopic turnover (muscle) and one that keeps a permanent record of variations in isotopic values (baleen plates). In both tissues δ15N values increased with intensive feeding but decreased with fasting, thus contradicting the pattern previously anticipated. The apparent inconsistency during fasting is explained by the fact that a) individuals migrate between different isotopic isoscapes, b) starvation may not trigger significant negative nitrogen balance, and c) excretion drops and elimination of 15N-depleted urine is minimized. Conversely, when intensive feeding is resumed in the northern grounds, protein anabolism and excretion start again, triggering 15N enrichment. It can be concluded that in whales and other mammals that accrue massive depots of lipids as energetic reserves and which have limited access to drinking water, the δ15N value is not affected by fasting and therefore cannot be used as an indicatior of nutritive condition.

Multi-institutional validation of the prognostic value of Ki-67 labeling index in patients treated with radical prostatectomy.

OBJECTIVE: Several smaller single-center studies have reported a prognostic role for Ki-67 labeling index in prostate cancer. Our aim was to test whether Ki-67 is an independent prognostic marker of biochemical recurrence (BCR) in a large international cohort of patients treated with radical prostatectomy (RP). METHODS: Ki-67 immunohistochemical staining on prostatectomy specimens from 3,123 patients who underwent RP for prostate cancer was retrospectively performed. Univariable and multivariable Cox regression models were used to assess the association of Ki-67 status with BCR. RESULTS: Ki-67 positive status was observed in 762 (24.4 %) patients and was associated with lymph node involvement (LNI) (p = 0.039). Six hundred and twenty-one (19.9 %) patients experienced BCR. The estimated 3-year biochemical-free survivals were 85 % for patients with negative Ki-67 status and 82.1 % for patients with positive Ki-67 status (log-rank test, p = 0.014). In multivariable analysis that adjusted for the effects of age, preoperative PSA, RP Gleason sum, seminal vesicle invasion, extracapsular extension, positive surgical margins, lymphovascular invasion, and LNI, Ki-67 was significantly associated with BCR (HR = 1.19; p = 0.019). Subgroup analysis revealed that Ki-67 is associated with BCR in patients without LNI (p = 0.004), those with RP Gleason sum 7 (p = 0.015), and those with negative surgical margins (p = 0.047). CONCLUSION: We confirmed Ki-67 as an independent predictor of BCR after RP. Ki-67 could be particularly informative in patients with favorable pathologic characteristics to help in the clinical decision-making regarding adjuvant therapy and optimized follow-up scheduling.

The predictive value of preoperative B-type natriuretic peptide in children undergoing cardiac surgery

Introduction: B-type natriuretic peptide (BNP) is a biomarker of myocardial stress. In children, the value of preoperative BNP on postoperative outcome is unclear. The aim of this study was to determine the predictive value of preoperative NT-proBNP on postoperative outcome in children after congenital heart surgery. Results: Ninety-seven patients were included in the study with a median age of 3.3 years [0.7-5.2]. Preoperative median NT-proBNP was 412 pg/ml [164-1309]. NT-proBNP was above the P95 reference value for age in 56 patients (58%). Preoperative NT-proBNP was significantly higher in patients who had mechanical ventilation duration of more than 2 days (1156 pg/ml [281-1951] vs. 267 pg/ml [136-790], p=0.003) and who stayed more than 6 days in the pediatric intensive care unit (727 pg/ml [203-1951] vs. 256 pg/ml [136-790], p=0.007). However, preoperative NT-proBNP was not significantly higher in patients with an increased inotropic score, a prolonged cardiopulmonary bypass time or an increased surgical risk category. Conclusions: An elevated preoperative NT-proBNP reflects hemodynamic status and cardiac dysfunction, and therefore is a valuable adjunct in predicting a complicated postoperative course. ___________________________________ Introduction: Le peptide natriurétique type B (BNP) est un marqueur reflétant le stress myocardique. Dans la population pédiatrique, la signification des valeurs préopératoire de BNP, en particulier sur l'évolution postopératoire, n'est pas clairement établie. Le but de l'étude est de déterminer la valeur prédictive de la partie NT sérique du BNP (NT-proBNP) sur l'évolution post opératoire d'enfants porteur d'une cardiopathie congénitale et ayant eu une chirurgie cardiaque. Résultats: Nonante-sept enfants ont été inclus dans l'étude, avec un âge médian de 3.3 ans [0.7-5.2]. La valeur médiane du NT-proBNP préopératoire était de 412 pg/ml [164-1309]. Le NT-proBNP préopératoire était supérieur au P95 des valeurs de référence pour l'âge chez 56 patients (58%). Le NT-proBNP préopératoire était significativement plus élevé chez les patients ayant eu plus de deux jours de ventilation mécanique dans la période postopératoire (1156 pg/ml [281-1951] vs. 267 pg/ml [136-790], p=0.003) et ayant été hospitalisés plus de 6 jours dans l'unité de soins intensifs pédiatrique (727 pg/ml [203-1951] vs. 256 pg/ml [136-790], p=0.007). Par contre, le NT-proBNP préopératoire n'était pas significativement plus élevé chez les patients ayant eu un score d'inotrope élevé pendant leur hospitalisation aux soins intensifs, un temps de circulation extracorporelle prolongé ou ayant subi une chirurgie avec un risque chirurgical élevé. Conclusions: Un NT-proBNP sérique élevé en préopératoire reflète l'importance du stress myocardique induit par l'hémodynamique et la dysfonction myocardique, il est un marqueur qui permet d'améliorer l'identification des patients à risque d'avoir une évolution post opératoire compliquée.

Beyond Value-at-Risk : GlueVaR Distortion Risk Measures

We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is investigated and it is shown that some GlueVaR risk measures satisfy this property. An interpretation in terms of risk attitudes is provided and a discussion is given on the applicability in non-financial problems such as health, safety, environmental or catastrophic risk management

The motivation to learn as a self-presentation tool among Swiss high school students : The moderating role of mastery goals' perceived social value on learning

Although it has been assumed that the motivation to learn - or mastery goal endorsement - positively predicts learning achievement, most empirical findings fail to demonstrate this relationship. In the present research, conducted in a Swiss high school, we adopted a social value approach to test the hypothesis that adolescent students' mastery goals do in fact predict learning, but only if these goals are perceived as highly useful for scholarly success (high social utility), and are not endorsed as a means to be appreciated by the teachers (low social desirability), a finding that has previously been observed among college students and on teacher-graded achievement measures only. Results demonstrate that in spite of potential peculiarities of an adolescent population, individual differences in mastery goals' perceived social utility and desirability moderate the mastery goal endorsement-learning achievement relation. Findings are discussed with regard to both theory development and educational practice.

Stochasticity in economic losses increases the value of reputation in indirect reciprocity.

Recent theory predicts harsh and stochastic conditions to generally promote the evolution of cooperation. Here, we test experimentally whether stochasticity in economic losses also affects the value of reputation in indirect reciprocity, a type of cooperation that is very typical for humans. We used a repeated helping game with observers. One subject (the "Unlucky") lost some money, another one (the "Passer-by") could reduce this loss by accepting a cost to herself, thereby building up a reputation that could be used by others in later interactions. The losses were either stable or stochastic, but the average loss over time and the average efficiency gains of helping were kept constant in both treatments. We found that players with a reputation of being generous were generally more likely to receive help by others, such that investing into a good reputation generated long-term benefits that compensated for the immediate costs of helping. Helping frequencies were similar in both treatments, but players with a reputation to be selfish lost more resources under stochastic conditions. Hence, returns on investment were steeper when losses varied than when they did not. We conclude that this type of stochasticity increases the value of reputation in indirect reciprocity.

Diagnostic and prognostic value of antibodies against chimeric fibrin/filaggrin citrullinated synthetic peptides in rheumatoid arthritis

Introduction: Evidence suggests that citrullinated fibrin(ogen) may be a potential in vivo target of anticitrullinated protein/peptide antibodies (ACPA) in rheumatoid arthritis (RA). We compared the diagnostic yield of three enzyme-linked immunosorbent assay (ELISA) tests by using chimeric fibrin/filaggrin citrullinated synthetic peptides (CFFCP1, CFFCP2, CFFCP3) with a commercial CCP2-based test in RA and analyzed their prognostic values in early RA. Methods: Samples from 307 blood donors and patients with RA (322), psoriatic arthritis (133), systemic lupus erythematosus (119), and hepatitis C infection (84) were assayed by using CFFCP- and CCP2-based tests. Autoantibodies also were analyzed at baseline and during a 2-year follow-up in 98 early RA patients to determine their prognostic value. Results: With cutoffs giving 98% specificity for RA versus blood donors, the sensitivity was 72.1% for CFFCP1, 78.0% for CFFCP2, 71.4% for CFFCP3, and 73.9% for CCP2, with positive predictive values greater than 97% in all cases. CFFCP sensitivity in RA increased to 80.4% without losing specificity when positivity was considered as any positive anti-CFFCP status. Specificity of the three CFFCP tests versus other rheumatic populations was high (> 90%) and similar to those for the CCP2. In early RA, CFFCP1 best identified patients with a poor radiographic outcome. Radiographic progression was faster in the small subgroup of CCP2-negative and CFFCP1-positive patients than in those negative for both autoantibodies. CFFCP antibodies decreased after 1 year, but without any correlation with changes in disease activity. Conclusions: CFFCP-based assays are highly sensitive and specific for RA. Early RA patients with anti-CFFCP1 antibodies, including CCP2-negative patients, show greater radiographic progression.

Customer driven business model – connecting customer value to firm resources in ICT value networks

The objective of this thesis is to provide a business model framework that connects customer value to firm resources and explains the change logic of the business model. Strategic supply management and especially dynamic value network management as its scope, the dissertation is based on basic economic theories, transaction cost economics and the resource-based view. The main research question is how the changing customer values should be taken into account when planning business in a networked environment. The main question is divided into questions that form the basic research problems for the separate case studies presented in the five Publications. This research adopts the case study strategy, and the constructive research approach within it. The material consists of data from several Delphi panels and expert workshops, software pilot documents, company financial statements and information on investor relations on the companies’ web sites. The cases used in this study are a mobile multi-player game value network, smart phone and “Skype mobile” services, the business models of AOL, eBay, Google, Amazon and a telecom operator, a virtual city portal business system and a multi-play offering. The main contribution of this dissertation is bridging the gap between firm resources and customer value. This has been done by theorizing the business model concept and connecting it to both the resource-based view and customer value. This thesis contributes to the resource-based view, which deals with customer value and firm resources needed to deliver the value but has a gap in explaining how the customer value changes should be connected to the changes in key resources. This dissertation also provides tools and processes for analyzing the customer value preferences of ICT services, constructing and analyzing business models and business concept innovation and conducting resource analysis.

Statistical hypothesis testing and common misinterpretations: should we abandon p-value in forensic science applications?

Many people regard the concept of hypothesis testing as fundamental to inferential statistics. Various schools of thought, in particular frequentist and Bayesian, have promoted radically different solutions for taking a decision about the plausibility of competing hypotheses. Comprehensive philosophical comparisons about their advantages and drawbacks are widely available and continue to span over large debates in the literature. More recently, controversial discussion was initiated by an editorial decision of a scientific journal [1] to refuse any paper submitted for publication containing null hypothesis testing procedures. Since the large majority of papers published in forensic journals propose the evaluation of statistical evidence based on the so called p-values, it is of interest to expose the discussion of this journal's decision within the forensic science community. This paper aims to provide forensic science researchers with a primer on the main concepts and their implications for making informed methodological choices.

Comparison of the prognostic value of pretreatment measurements of systemic inflammatory response in patients undergoing curative resection of clear cell renal cell carcinoma.

PURPOSE: Pretreatment measurements of systemic inflammatory response, including the Glasgow prognostic score (GPS), the neutrophil-to-lymphocyte ratio (NLR), the monocyte-to-lymphocyte ratio (MLR), the platelet-to-lymphocyte ratio (PLR) and the prognostic nutritional index (PNI) have been recognized as prognostic factors in clear cell renal cell carcinoma (CCRCC), but there is at present no study that compared these markers. METHODS: We evaluated the pretreatment GPS, NLR, MLR, PLR and PNI in 430 patients, who underwent surgery for clinically localized CCRCC (pT1-3N0M0). Associations with disease-free survival were assessed with Cox models. Discrimination was measured with the C-index, and a decision curve analysis was used to evaluate the clinical net benefit. RESULTS: On multivariable analyses, all measures of systemic inflammatory response were significant prognostic factors. The increase in discrimination compared with the stage, size, grade and necrosis (SSIGN) score alone was 5.8 % for the GPS, 1.1-1.4 % for the NLR, 2.9-3.4 % for the MLR, 2.0-3.3 % for the PLR and 1.4-3.0 % for the PNI. On the simultaneous multivariable analysis of all candidate measures, the final multivariable model contained the SSIGN score (HR 1.40, P < 0.001), the GPS (HR 2.32, P < 0.001) and the MLR (HR 5.78, P = 0.003) as significant variables. Adding both the GPS and the MLR increased the discrimination of the SSIGN score by 6.2 % and improved the clinical net benefit. CONCLUSIONS: In patients with clinically localized CCRCC, the GPS and the MLR appear to be the most relevant prognostic measures of systemic inflammatory response. They may be used as an adjunct for patient counseling, tailoring management and clinical trial design.

Un "fil rouge" pour prévenir la violence au travail : propositions de mesures prioritaires dans le contexte suisse

Une première étude menée par les auteures de cet article dans le cadre de l'Unité de médecine des violences du Centre hospitalier universitaire vaudois et de l'Institut universitaire romand de santé au travail avait montré que les conséquences à long terme d'une agression physique au travail pouvaient être sérieuses et le soutien de l'employeur était primordial pour surmonter les conséquences d'un tel événement. Une étude complémentaire, dont les résultats sont présentés ici, avait pour but de formuler des propositions concrètes de mesures de prévention de la violence physique au travail dans le contexte suisse. Les résultats sont présentés dans un «fil rouge» qui se présente sous forme de check-lists de recommandations concrètes. Ce travail s'appuie sur l'analyse et la synthèse d'une abondante documentation, ainsi que sur des entretiens auprès de personnes-ressource et des témoignages de victimes d'agressions physiques au travail. En conclusion, il apparaît que les mesures existantes en Suisse sont encore trop souvent partielles et fragmentées, et se limitent souvent à des offres de formation ou d'information ponctuelles. Alors même que les organisations sont de plus en plus confrontées aux agressions envers le personnel, il y a lieu de les sensibiliser à la nécessité d'instaurer de véritables dispositifs de prévention inscrits dans la durée et s'appuyant sur des modèles éprouvés, opérant aux trois niveaux de prévention primaire, secondaire et tertiaire.