Three essays in risk management in financial institutions

The choice to adopt risk-sensitive measurement approaches for operational risks: the case of Advanced Measurement Approach under Basel II New Capital Accord This paper investigates the choice of the operational risk approach under Basel II requirements and whether the adoption of advanced risk measurement approaches allows banks to save capital. Among the three possible approaches for operational risk measurement, the Advanced Measurement Approach (AMA) is the most sophisticated and requires the use of historical loss data, the application of statistical tools, and the engagement of a highly qualified staff. Our results provide evidence that the adoption of AMA is contingent on the availability of bank resources and prior experience in risk-sensitive operational risk measurement practices. Moreover, banks that choose AMA exhibit low requirements for capital and, as a result might gain a competitive advantage compared to banks that opt for less sophisticated approaches. - Internal Risk Controls and their Impact on Bank Solvency Recent cases in financial sector showed the importance of risk management controls on risk taking and firm performance. Despite advances in the design and implementation of risk management mechanisms, there is little research on their impact on behavior and performance of firms. Based on data from a sample of 88 banks covering the period between 2004 and 2010, we provide evidence that internal risk controls impact the solvency of banks. In addition, our results show that the level of internal risk controls leads to a higher degree of solvency in banks with a major shareholder in contrast to widely-held banks. However, the relationship between internal risk controls and bank solvency is negatively affected by BHC growth strategies and external restrictions on bank activities, while the higher regulatory requirements for bank capital moderates positively this relationship. - The Impact of the Sophistication of Risk Measurement Approaches under Basel II on Bank Holding Companies Value Previous research showed the importance of external regulation on banks' behavior. Some inefficient standards may accentuate risk-taking in banks and provoke a financial crisis. Despite the growing literature on the potential effects of Basel II rules, there is little empirical research on the efficiency of risk-sensitive capital measurement approaches and their impact on bank profitability and market valuation. Based on data from a sample of 66 banks covering the period between 2008 and 2010, we provide evidence that prudential ratios computed under Basel II standards predict the value of banks. However, this relation is contingent on the degree of sophistication of risk measurement approaches that banks apply. Capital ratios are effective in predicting bank market valuation when banks adopt the advanced approaches to compute the value of their risk-weighted assets.

Chaotic, memory, and cooling rate effects in spin glasses: Evaluation of the Edwards-Anderson model

We investigate chaotic, memory, and cooling rate effects in the three-dimensional Edwards-Anderson model by doing thermoremanent (TRM) and ac susceptibility numerical experiments and making a detailed comparison with laboratory experiments on spin glasses. In contrast to the experiments, the Edwards-Anderson model does not show any trace of reinitialization processes in temperature change experiments (TRM or ac). A detailed comparison with ac relaxation experiments in the presence of dc magnetic field or coupling distribution perturbations reveals that the absence of chaotic effects in the Edwards-Anderson model is a consequence of the presence of strong cooling rate effects. We discuss possible solutions to this discrepancy, in particular the smallness of the time scales reached in numerical experiments, but we also question the validity of the Edwards-Anderson model to reproduce the experimental results.

Protein level expression of Toll-like receptors 2, 4 and 9 in renal disease.

Background. Toll-like receptors (TLR) recognize a variety of ligands, including pathogen-associated molecular patterns and link innate and adaptive immunity. Individual receptors can be up-regulated during infection and inflammation. We examined the expression of selected TLRs at the protein level in various types of renal disease.Methods. Frozen sections of renal biopsies were stained with monoclonal antibodies to TLR-2, -4 and -9.Results. Up-regulation of the three TLRs studied was seen, although the extent was modest. TLR-2- and -4-positive cells belonged to the population of infiltrating inflammatory cells; only in the case of TLR-9 were intrinsic glomerular cells positive in polyoma virus infection and haemolytic uraemic syndrome (HUS).Conclusions. Evidence for the involvement of the three TLRs tested in a variety of human renal diseases was found. These findings add to our understanding of the role of the innate immune system in kidney disease.

Idarubicin-loaded ONCOZENE drug-eluting embolic agents for chemoembolization of hepatocellular carcinoma: in vitro loading and release and in vivo pharmacokinetics.

PURPOSE: To present in vitro loading and release characteristics of idarubicin with ONCOZENE (CeloNova BioSciences, Inc, San Antonio, Texas) drug-eluting embolic (DEE) agents and in vivo pharmacokinetics data after transarterial chemoembolization with idarubicin-loaded ONCOZENE DEE agents in patients with hepatocellular carcinoma. MATERIALS AND METHODS: Loading efficacy of idarubicin with ONCOZENE DEE agents 100 µm and DC Bead (Biocompatibles UK Ltd, Farnham, United Kingdom) DEE agents 100-300 µm was monitored at 10, 20, and 30 minutes loading time by high-pressure liquid chromatography. A T-apparatus was used to monitor the release of idarubicin from the two types of DEE agents over 12 hours. Clinical and 24-hour pharmacokinetics data were recorded after transarterial chemoembolization with idarubicin-loaded ONCOZENE DEE agents in four patients with unresectable hepatocellular carcinoma. RESULTS: Idarubicin loading in ONCOZENE DEE agents was > 99% at 10 minutes. Time to reach 75% of the release plateau level was 37 minutes ± 6 for DC Bead DEE agents and 170 minutes ± 19 for ONCOZENE DEE agents both loaded with idarubicin 10 mg/mL. After transarterial chemoembolization with idarubicin-loaded ONCOZENE DEE agents, three partial responses and one complete response were observed with only two asymptomatic grade 3 biologic adverse events. Median time to maximum concentration for idarubicin in patients was 10 minutes, and mean maximum concentration was 4.9 µg/L ± 1.7. Mean area under the concentration-time curve from 0-24 hours was equal to 29.5 µg.h/L ± 20.5. CONCLUSIONS: ONCOZENE DEE agents show promising results with very fast loading ability, a favorable in vivo pharmacokinetics profile with a sustained release of idarubicin during the first 24 hours, and encouraging safety and responses. Histopathologic and clinical studies are needed to evaluate idarubicin release around the DEE agents in tumor tissue and to confirm safety and efficacy.

Expression hierarchy of T cell epitopes from melanoma differentiation antigens: unexpected high level presentation of tyrosinase-HLA-A2 Complexes revealed by peptide-specific, MHC-restricted, TCR-like antibodies.

Peptide Ags presented by class I MHC molecules on human melanomas and that are recognized by CD8(+) T cells are the subjects of many studies of antitumor immunity and represent attractive candidates for therapeutic approaches. However, no direct quantitative measurements exist to reveal their expression hierarchy on the cell surface. Using novel recombinant Abs which bind these Ags with a peptide-specific, MHC-restricted manner, we demonstrate a defined pattern of expression hierarchy of peptide-HLA-A2 complexes derived from three major differentiation Ags: gp100, Melan-A/Mart-1, and tyrosinase. Studying melanoma cell lines derived from multiple patients, we reveal a surprisingly high level of presentation of tyrosinase-derived complexes and moderate to very low expression of complexes derived from other Ags. No correlation between Ag presentation and mRNA expression was found; however, protein stability may play a major role. These results provide new insights into the characteristics of Ag presentation and are particularly important when such targets are being considered for immunotherapy. These results may shed new light on relationships between Ag presentation and immune response to cancer Ags.

Leadership at the upper echelons : three essays

"IT'S THE ECONOMY STUPID", BUT CHARISMA MATTERS TOO: A DUAL PROCESS MODEL OF PRESIDENTIAL ELECTION OUTCOMES. ABSTRACT Because charisma is assumed to be an important determinant of effective leadership, the extent to which a presidential nominee is more charismatic than his opponent should be an important determinant of voter choices. We computed a composite measure of the rhetorical richness of acceptances speeches given by U.S. presidential candidates at their national party convention. We added this marker of charisma to Ray C. Fair's presidential vote-share equation (1978; 2009). We theorized that voters decide using psychological attribution (i.e., due to macroeconomics and incumbency) as well as inferential processes (i.e., due to leader charismatic behavior) when voting. Controlling for the macro-level variables and incumbency in the Fair model, our results indicated that difference between nominees' charisma is a significant determinant of electoral success, particularly in close elections. This extended model significantly improves the precision of the Fair model and correctly predicts 23 out of the last 24 U.S. presidential elections. Paper 2: IT CEO LEADERSHIP, CORPORATE SOCIAL AND FINANCIAL PERFORMANCE. ABSTRACT We investigated whether CEO leadership predicted corporate financial performance (CFP) and corporate social performance (CSP). Using longitudinal data on 258 CEOs from 117 firms across 19 countries and 10 industry sectors, we found that determinants of CEO leadership (i.e., implicit motives) significantly predicted both CFP and CSP. As expected, the most consistent positive predictor was Responsibility Disposition when interacting with n (need for) Power. n Achievement and n Affiliation were generally negatively related or unrelated to outcomes. CSP was positively related to accounting measures of CFP. Our findings suggest that executive leader characteristics have important consequences for corporate level outcomes. Paper 3. PUNISHING THE POWERFUL: ATTRIBUTIONS OF BLAME AND LEADERSHIP ABSTRACT We propose that individuals are more lenient in attributing blame to leaders than to nonleaders. We advance a motivational explanation building on the perspective of punishment and on system justification theory. We conducted two scenario experiments which supported our proposition. In study 1, wrongdoer leader status was negatively related to blame and the perceived seriousness of the wrongdoing. In study 2, controlling for the Big-Five personality factor and individual differences in moral evaluation (i.e., moral foundations), wrongdoer leader status was negatively related with desired severity of punishment, and fair punishments were perceived as more just for non-leaders than for leaders.

Visualization Resources for Iowa State University and the Iowa DOT: An Automated Design Model to Simulator Converter, November 2012

This project developed an automatic conversion software tool that takes input a from an Iowa Department of Transportation (DOT) MicroStation three-dimensional (3D) design file and converts it into a form that can be used by the University of Iowa’s National Advanced Driving Simulator (NADS) MiniSim. Once imported into the simulator, the new roadway has the identical geometric design features as in the Iowa DOT design file. The base roadway appears as a wireframe in the simulator software. Through additional software tools, textures and shading can be applied to the roadway surface and surrounding terrain to produce the visual appearance of an actual road. This tool enables Iowa DOT engineers to work with the universities to create drivable versions of prospective roadway designs. By driving the designs in the simulator, problems can be identified early in the design process. The simulated drives can also be used for public outreach and human factors driving research.

Visualization Resources for Iowa State University and the Iowa DOT: An Automated Design Model to Simulator Converter, November 2012

The creation of three-dimensional (3D) drawings for proposed designs for construction, re-construction and rehabilitation activities are becoming increasingly common for highway designers, whether by department of transportation (DOT) employees or consulting engineers. However, technical challenges exist that prevent the use of these 3D drawings/models from being used as the basis of interactive simulation. Use of driving simulation to service the needs of the transportation industry in the US lags behind Europe due to several factors, including lack of technical infrastructure at DOTs, cost of maintaining and supporting simulation infrastructure—traditionally done by simulation domain experts—and cost and effort to translate DOT domain data into the simulation domain.

Visualization Resources for Iowa State University and the Iowa DOT: An Automated Design Model to Simulator Converter, November 2012

The creation of three-dimensional (3D) drawings for proposed designs for construction, re-construction and rehabilitation activities are becoming increasingly common for highway designers, whether by department of transportation (DOT) employees or consulting engineers. However, technical challenges exist that prevent the use of these 3D drawings/models from being used as the basis of interactive simulation. Use of driving simulation to service the needs of the transportation industry in the US lags behind Europe due to several factors, including lack of technical infrastructure at DOTs, cost of maintaining and supporting simulation infrastructure—traditionally done by simulation domain experts—and cost and effort to translate DOT domain data into the simulation domain.

Mass movement characterization using a reflexion and refraction seismic survey with the sloping local base level concept

This study proposes a new concept for upscaling local information on failure surfaces derived from geophysical data, in order to develop the spatial information and quickly estimate the magnitude and intensity of a landslide. A new vision of seismic interpretation on landslides is also demonstrated by taking into account basic geomorphic information with a numeric method based on the Sloping Local Base Level (SLBL). The SLBL is a generalization of the base level defined in geomorphology applied to landslides, and allows the calculation of the potential geometry of the landslide failure surface. This approach was applied to a large scale landslide formed mainly in gypsum and situated in a former glacial valley along the Rhone within the Western European Alps. Previous studies identified the existence of two sliding surfaces that may continue below the level of the valley. In this study. seismic refraction-reflexion surveys were carried out to verify the existence of these failure surfaces. The analysis of the seismic data provides a four-layer model where three velocity layers (<1000 ms(-1), 1500 ms(-1) and 3000 ms(-1)) are interpreted as the mobilized mass at different weathering levels and compaction. The highest velocity layer (>4000 ms(-1)) with a maximum depth of similar to 58 m is interpreted as the stable anhydrite bedrock. Two failure surfaces were interpreted from the seismic surveys: an upper failure and a much deeper one (respectively 25 and 50 m deep). The upper failure surface depth deduced from geophysics is slightly different from the results obtained using the SLBL, and the deeper failure surface depth calculated with the SLBL method is underestimated in comparison with the geophysical interpretations. Optimal results were therefore obtained by including the seismic data in the SLBL calculations according to the geomorphic limits of the landslide (maximal volume of mobilized mass = 7.5 x 10(6) m(3)).

Direct in vitro comparison of six three-dimensional positive contrast methods for susceptibility marker imaging.

PURPOSE: To compare different techniques for positive contrast imaging of susceptibility markers with MRI for three-dimensional visualization. As several different techniques have been reported, the choice of the suitable method depends on its properties with regard to the amount of positive contrast and the desired background suppression, as well as other imaging constraints needed for a specific application. MATERIALS AND METHODS: Six different positive contrast techniques are investigated for their ability to image at 3 Tesla a single susceptibility marker in vitro. The white marker method (WM), susceptibility gradient mapping (SGM), inversion recovery with on-resonant water suppression (IRON), frequency selective excitation (FSX), fast low flip-angle positive contrast SSFP (FLAPS), and iterative decomposition of water and fat with echo asymmetry and least-squares estimation (IDEAL) were implemented and investigated. RESULTS: The different methods were compared with respect to the volume of positive contrast, the product of volume and signal intensity, imaging time, and the level of background suppression. Quantitative results are provided, and strengths and weaknesses of the different approaches are discussed. CONCLUSION: The appropriate choice of positive contrast imaging technique depends on the desired level of background suppression, acquisition speed, and robustness against artifacts, for which in vitro comparative data are now available.

Investigation of the Reproductibility of Third-Level Characteristics

The process of comparing a fingermark recovered from a crime scene with the fingerprint taken from a known individual involves the characterization and comparison of different ridge details on both the mark and the print. Fingerprints examiners commonly classify these characteristics into three different groups, depending on their level of discriminating power. It is commonly considered that the general pattern of the ridge flow constitutes first-level detail, specific ridge flow and minutiaes (e.g. ending ridges, bifurcations) constitutes second-level detail, and fine ridge details (e. g. pore positions and shapes) are described as third-level details.In this study, the reproducibility of a selection of third-level characteristics is investigated. The reproducibility of these features is examined on serveral recordings of a same finger, first acquired using only optical visualization techniques and second on impressions developed using common firngermark development techniques. Prior to the evaluation of the reproducibility of the considered characteristics, digital images of the fingerprints were recorded at two different resolutions (1000 and 2000 ppi). This allowed the study to also examine the influence of higher resolution on the considered characteristics. It was observed that the increase in the resolution did not result in better feature detection or comparison between images.The examination of the reproducibility of a selection of third-level characteristics showed that the most reproducible features observed were minutiae shapes and pore positions along the ridges.

Inexperienced sonographers can successfully visualize and assess a three-dimensional image of the fetal face using a standardized ultrasound protocol.

Introduction: A standardized three-dimensional ultrasonographic (3DUS) protocol is described that allows fetal face reconstruction. Ability to identify cleft lip with 3DUS using this protocol was assessed by operators with minimal 3DUS experience. Material and Methods: 260 stored volumes of fetal face were analyzed using a standardized protocol by operators with different levels of competence in 3DUS. The outcomes studied were: (1) the performance of post-processing 3D face volumes for the detection of facial clefts; (2) the ability of a resident with minimal 3DUS experience to reconstruct the acquired facial volumes, and (3) the time needed to reconstruct each plane to allow proper diagnosis of a cleft. Results: The three orthogonal planes of the fetal face (axial, sagittal and coronal) were adequately reconstructed with similar performance when acquired by a maternal-fetal medicine specialist or by residents with minimal experience (72 vs. 76%, p = 0.629). The learning curve for manipulation of 3DUS volumes of the fetal face corresponds to 30 cases and is independent of the operator's level of experience. Discussion: The learning curve for the standardized protocol we describe is short, even for inexperienced sonographers. This technique might decrease the length of anatomy ultrasounds and improve the ability to visualize fetal face anomalies.

Migration Determinants at a Local Level

This paper is about determinants of migration at a local level. We use data from Catalan municipalities in order to understand what explains migration patterns trying to identify whether they are main explained by amenities or economic characteristics. We distinguish three typologies of migration in terms of distance travelled: short-distance, short-medium-distance and medium-distance and we hypothesize whether migration determinants vary across these groups. Our results show that, effectively, there are some noticeable differences, suggest that spatial issues must be taken into account and provide some insights for future research. Keywords: population dynamics, spatial econometrics. JEL codes: C21, R0, R23

The burnout syndrome and associated personality disturbances. The study in three graduate programs in Dentistry at the University of Barcelona

Objective: Determine the presence of"burnout" syndrome and characteristic personality patterns in the students and faculty of three graduate programs in Dentistry at the University of Barcelona: Department of Oral Surgery and Implantology, Department of Orthodontics and Department of Integrated Dentistry. Materials and Methods: The study was carried out in 78 dentists. The level of"burnout" was evaluated using the Maslach Burnout Inventory, socio-demographic variables and, finally, the personality test. Results: Oral surgeons constituted the group of highlevel"burnout". The profile of an individual with a propensity to"burn out" is a single man, with a median age of 27, that is in the first years of the graduate program and that combines studies with 30 hours of clinical practice and/or other work (p<0,05). Narcissistic and borderline are the types of personality most frequently found in the individuals that present"burnout" syndrome (p<0,05). Conclusions: In general, no high levels of"burnout" were registered in the studied population, only 2-3%, if applying strict definition of"burnout", and 10% if these criteria were amplified. We believe it is necessary to identify the individuals with a tendency towards"burnout", in order to establish preventive measures and avoid future negative behaviour at work as well as at the personal level.