Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

Role of malnutrition and parasite infections in the spatial variation in children’s anaemia risk in Northern Angola

Anaemia has a significant impact on child development and mortality and is a severe public health problem in most countries in sub-Saharan Africa. Nutritional and infectious causes of anaemia are geographically variable and anaemia maps based on information on the major aetiologies of anaemia are important for identifying communities most in need and the relative contribution of major causes. We investigated the consistency between ecological and individual-level approaches to anaemia mapping, by building spatial anaemia models for children aged ≤15 years using different modeling approaches. We aimed to a) quantify the role of malnutrition, malaria, Schistosoma haematobium and soil-transmitted helminths (STH) for anaemia endemicity in children aged ≤15 years and b) develop a high resolution predictive risk map of anaemia for the municipality of Dande in Northern Angola. We used parasitological survey data on children aged ≤15 years to build Bayesian geostatistical models of malaria (PfPR≤15), S. haematobium, Ascaris lumbricoides and Trichuris trichiura and predict small-scale spatial variation in these infections. The predictions and their associated uncertainty were used as inputs for a model of anemia prevalence to predict small-scale spatial variation of anaemia. Stunting, PfPR≤15, and S. haematobium infections were significantly associated with anaemia risk. An estimated 12.5%, 15.6%, and 9.8%, of anaemia cases could be averted by treating malnutrition, malaria, S. haematobium, respectively. Spatial clusters of high risk of anaemia (>86%) were identified. Using an individual-level approach to anaemia mapping at a small spatial scale, we found that anaemia in children aged ≤15 years is highly heterogeneous and that malnutrition and parasitic infections are important contributors to the spatial variation in anemia risk. The results presented in this study can help inform the integration of the current provincial malaria control program with ancillary micronutrient supplementation and control of neglected tropical diseases, such as urogenital schistosomiasis and STH infection.

Criação de valor, gestão de risco e as medidas de performance ajustadas ao risco: aplicação do RAROC - Risk Adjustment Return on Capital - ao grupo crédito agrícola

Mestrado em Contabilidade e Gestão das Instituições Financeiras

A long-term risk management tool for electricity markets using swarm intelligence

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

O impacto da entrada das agências de rating nos países emergentes: estudo comparativo Brasil/Angola

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Role of malnutrition and parasite infections in the spatial variation in children’s anaemia risk in northern Angola

Anaemia is known to have an impact on child development and mortality and is a severe public health problem in most countries in sub-Saharan Africa. We investigated the consistency between ecological and individual-level approaches to anaemia mapping by building spatial anaemia models for children aged ≤15 years using different modelling approaches. We aimed to (i) quantify the role of malnutrition, malaria, Schistosoma haematobium and soil-transmitted helminths (STHs) in anaemia endemicity; and (ii) develop a high resolution predictive risk map of anaemia for the municipality of Dande in northern Angola. We used parasitological survey data for children aged ≤15 years to build Bayesian geostatistical models of malaria (PfPR≤15), S. haematobium, Ascaris lumbricoides and Trichuris trichiura and predict small-scale spatial variations in these infections. Malnutrition, PfPR≤15, and S. haematobium infections were significantly associated with anaemia risk. An estimated 12.5%, 15.6% and 9.8% of anaemia cases could be averted by treating malnutrition, malaria and S. haematobium, respectively. Spatial clusters of high risk of anaemia (>86%) were identified. Using an individual-level approach to anaemia mapping at a small spatial scale, we found that anaemia in children aged ≤15 years is highly heterogeneous and that malnutrition and parasitic infections are important contributors to the spatial variation in anaemia risk. The results presented in this study can help inform the integration of the current provincial malaria control programme with ancillary micronutrient supplementation and control of neglected tropical diseases such as urogenital schistosomiasis and STH infections.

Dietary patterns and risk of oral cancer: a case-control study in São Paulo, Brazil

OBJECTIVE: To analyze the association between dietary patterns and oral cancer. METHODS: The study, part of a Latin American multicenter hospital-based case-control study, was conducted in São Paulo, Southeastern Brazil, between November 1998 and March 2002 and included 366 incident cases of oral cancer and 469 controls, frequency-matched with cases by sex and age. Dietary data were collected using a food frequency questionnaire. The risk associated with the intake of food groups defined a posteriori, through factor analysis (called factors), was assessed. The first factor, labeled "prudent," was characterized by the intake of vegetables, fruit, cheese, and poultry. The second factor, "traditional," consisted of the intake of rice, pasta, pulses, and meat. The third factor, "snacks," was characterized as the intake of bread, butter, salami, cheese, cakes, and desserts. The fourth, "monotonous," was inversely associated with the intake of fruit, vegetables and most other food items. Factor scores for each component retained were calculated for cases and controls. After categorization of factor scores into tertiles according to the distribution of controls, odds ratios and 95% confidence intervals were calculated using unconditional multiple logistic regression. RESULTS: "Traditional" factor showed an inverse association with cancer (OR=0.51; 95% CI: 0.32; 0.81, p-value for trend 0.14), whereas "monotonous" was positively associated with the outcome (OR=1.78; 95% CI: 1.78; 2.85, p-value for trend <0.001). CONCLUSIONS: The study data suggest that the traditional Brazilian diet, consisting of rice and beans plus moderate amounts of meat, may confer protection against oral cancer, independently of any other risk factors such as alcohol intake and smoking.

Risk-factors for antepartum fetal deaths in the city of São Paulo, Brazil

OBJECTIVE: To assess risk factors for antepartum fetal deaths. METHODS: A population-based case-control study was carried out in the city of São Paulo from August 2000 to January 2001. Subjects were selected from a birth cohort from a linked birth and death certificate database. Cases were 164 antepartum fetal deaths and controls were drawn from a random sample of 313 births surviving at least 28 days. Information was collected from birth and death certificates, hospital records and home interviews. A hierarchical conceptual framework guided the logistic regression analysis. RESULTS: Statistically significant factors associated with antepartum fetal death were: mother without or recent marital union; mother's education under four years; mothers with previous low birth weight infant; mothers with hypertension, diabetes, bleeding during pregnancy; no or inadequate prenatal care; congenital malformation and intrauterine growth restriction. The highest population attributable fractions were for inadequacy of prenatal care (40%), hypertension (27%), intrauterine growth restriction (30%) and absence of a long-standing union (26%). CONCLUSIONS: Proximal biological risk factors are most important in antepartum fetal deaths. However, distal factors - mother's low education and marital status - are also significant. Improving access to and quality of prenatal care could have a large impact on fetal mortality.

Risk analysis in a Portuguese archive what has changed in five years?

The Cultural Property Risk Analysis Model was applied in 2006 to a Portuguese archive located in Lisbon. Its results highlighted the need for the institution to take care of risks related to fire, physical forces and relative humidity problems. Five years after this first analysis the results are revisited and a few changes are introduced due to recent events: fire and high humidity remain an important hazard but are now accompanied by a pressing contaminants problem. Improvements in storage systems were responsible for a large decrease in terms of calculated risk magnitude and proved to be very cost-effective.

Haptoglobin, acid phosphatase and demographic factors: obesity risk

The aim of this work is to study the risk of obesity posed by two genetic factors: haptoglobin phenotype and acid phosphatase phenotype, one enzymatic activity: acid phosphatase activity (ACP1), age and gender. Haptoglobin (Hp) is a protein of the immune system, and three phenotypes of Hp are found in humans: Hp1-1, Hp2-1, and Hp2-2. This protein is associated with a susceptibility to common pathological conditions, such as obesity. ACP1 is an intracellular enzyme The phenotypes of ACP1 (AA, AB, AC, BB, BC, CC) are also considered. We took a sample of 127 subjects with complete data from 714 registers. Since we intend to identify risk factors for obesity, an ordinal regression model is adjusted, using the Body Mass Index, BMI, to define weight categories. Haptoglobin phenotype, enzymatic activity of ACP1, acid phosphatase phenotype, age and gender are considered as regressor variables. We found three factors associated with an increased risk of obesity: phenotype Hp2-1 of haptoglobin (estimated odds ratio OR 11.54), phenotype AA of acid phosphatase (OR 33.788) and age (OR 1.39). The interaction between phenotype Hp2-1 and phenotype AC is associated with a decreased risk of obesity (OR 0.032); The interaction between phenotype AA and ACP1 activity is associated with a decreased risk of obesity (OR 0.954).

Risk factors for metabolic bone disease in Crohn's disease patients

Background: The aim was to evaluate the presence of metabolic bone disease (MBD) in patients with Crohn’s disease (CD) and to identify potential etiologic factors. Methods: The case–control study included 99 patients with CD and 56 controls with a similar age and gender distribution. Both groups had dual-energy x-ray absorptionmetry and a nutritional evaluation. Single nucleotide polymorphisms at the IL1, TNF-a, LTa, and IL-6 genes were analyzed in patients only. Statistical analysis was performed using SPSS software. Results: The prevalence of MBD was significantly higher in patients (P ¼ 0.006). CD patients with osteoporosis were older (P < 0.005), small bowel involvement and surgical resections were more frequent (P < 0.005), they more often exhibited a penetrating or stricturing phenotype (P < 0.05), duration of disease over 15 years (P < 0.005), and body mass index (BMI) under 18.5 kg/m2 (P < 0.01) were more often found. No association was found with steroid use. Patients with a Z-score < 2.0 more frequently had chronic active disease (P < 0.05). With regard to diet, low vitamin K intake was more frequent (P ¼ 0.03) and intake of total, monounsaturated, and polyunsaturated fat was higher in patients with Z-score < 2.0 (P < 0.05). With respect to genetics, carriage of the polymorphic allele for LTa252 A/G was associated with a higher risk of osteoporosis (P ¼ 0.02). Regression analysis showed that age over 40 years, chronic active disease, and previous colonic resections were independently associated with the risk of developing MBD. Conclusions: The prevalence of MBD was significantly higher in CD patients. Besides the usual risk factors, we observed that factors related to chronic active and long-lasting disease increased the risk of MBD.

Risk of colorectal cancer associated with the C677T polymorphism in 5,10-methylenetetrahydrofolate reductase in Portuguese patients depends on the intake of methyl-donor nutrients

Background: Polymorphisms located in genes involved in the metabolism of folate and some methyl-related nutrients are implicated in colorectal cancer (CRC). Objective: We evaluated the association of 3 genetic polymorphisms [C677T MTHFR (methylene tetrahydrofolate reductase), A2756G MTR (methionine synthase), and C1420T SHMT (serine hydroxymethyltransferase)] with the intake of methyl-donor nutrients in CRC risk. Design: Patients withCRC(n 196) and healthy controls (n 200) matched for age and sex were evaluated for intake of methyl-donor nutrients and the 3 polymorphisms. Results: Except for folate intake, which was significantly lower in patients (P 0.02), no differences were observed in the dietary intake of other methyl-donor nutrients between groups. High intake of folate ( 406.7 g/d) was associated with a significantly lower risk of CRC (odds ratio: 0.67; 95% CI: 0.45, 0.99). The A2756G MTR polymorphism was not associated with the risk of developing CRC. In contrast, homozygosity for the C677TMTHFRvariant (TT) presented a 3.0-fold increased risk of CRC (95% CI: 1.3, 6.7). Similarly, homozygosity for the C1420T SHMT polymorphism also had a 2.6-fold increased risk (95% CI: 1.1, 5.9) of developing CRC. When interactions between variables were studied, low intake of all methyl-donor nutrients was associated with an increased risk ofCRC in homozygous participants for the C677T MTHFR polymorphism, but a statistically significant interaction was only observed for folate (odds ratio: 14.0; 95% CI: 1.8, 108.5). No significant associations were seen for MTR or SHMT polymorphisms. Conclusion: These results show an association between the C677T MTHFR variant and different folate intakes on risk of CRC.

Q192R polymorphism of the paraoxonase-1 gene as a risk factor for obesity in Portuguese women

Introduction - Obesity became a major public health problem as a result of its increasing prevalence worldwide. Paraoxonase-1 (PON1) is an esterase able to protect membranes and lipoproteins from oxidative modifications. At the PON1 gene, several polymorphisms in the promoter and coding regions have been identified. The aims of this study were i) to assess PON1 L55M and Q192R polymorphisms as a risk factor for obesity in women; ii) to compare PON1 activity according to the expression of each allele in L55M and Q192R polymorphisms; iii) to compare PON1 activity between obese and normal-weight women. Materials and methods - We studied 75 healthy (35.9±8.2 years) and 81 obese women (34.3±8.2 years). Inclusion criteria for obese subjects were body mass index ≥30 kg/m2 and absence of inflammatory/neoplasic conditions or kidney/hepatic dysfunction. The two PON1 polymorphisms were assessed by real-time PCR with TaqMan probes. PON1 enzymatic activity was assessed by spectrophotometric methods, using paraoxon as a substrate. Results - No significant differences were found for PON1 activity between normal and obese women. Nevertheless, PON1 activity was greater (P<0.01) for the RR genotype (in Q192R polymorphism) and for the LL genotype (in L55M polymorphism). The frequency of allele R of Q192R polymorphism was significantly higher in obese women (P<0.05) and was associated with an increased risk of obesity (odds ratio=2.0 – 95% confidence interval (1.04; 3.87)). Conclusion - 55M and Q192R polymorphisms influence PON1 activity. The allele R of the Q192R polymorphism is associated with an increased risk for development of obesity among Portuguese Caucasian premenopausal women.

5' and 3' UTR thymidylate synthase polymorphisms modulate the risk of colorectal cancer independently of the intake of methyl group donors

Thymidylate synthase, as a rate-limiting step in DNA synthesis, catalyses the conversion of dUMP into dTMP using 5,10-methylenotetrahydrofolate as the methyl donor. Two polymorphisms have been described in this gene: a repeat polymorphism in the 5' promoter enhancer region (3R versus 2R) and a 6 bp deletion in the 3' unstranslated region. Both of these may affect protein levels. The present case control study was aimed at investigating the influence of these two polymorphisms on the development of colorectal cancer (CRC), as well as their potential interaction with folate, vitamin B6 and vitamin B12 intake. A total of 196 cases and 200 controls, matched for age and sex distribution, were included in the study. No association was found between CRC and the 28 bp repeat polymorphism, but it was observed that individuals with the 6 bp/del and del/del genotypes had a significantly lower risk of developing the disease (OR=0.47; 95% CI 0.30-0.72). A combined genotype (2R/2R; 6 bp/del+del/del) was also found, which was associated with an even lower risk of developing of the disease (OR=0.42; 95% CI 0.26-0.69). No significant interaction between these polymorphisms and vitamin intake was observed. These results indicate for the first time that the 6 bp/del allele might be a protective factor in the development of CRC, independent of the intake of methyl group donors.