Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence

Thesis (Ph.D.)--University of Washington, 2016-06

Technological and financial approaches to risk management in agriculture: an integrated approach

In the present paper, risk-management problems where farmers manage risk both through production decisions and through the use of market-based and informal risk-management mechanisms are considered. It is shown that many of these problems share a common structure, and that a unified and informative treatment of a broad spectrum of risk-management tools is possible within a cost-minimisation framework, under minimal conditions on their objective functions. Fundamental results are derived that apply regardless of the producer's preference towards risks, using only the no-arbitrage condition that agricultural producers never forego any opportunity to lower costs without lowering returns.

Analysis of operational risk of banks – catastrophe modelling

Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of “first time to hit” requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future.

Transferability of Regional Permafrost Disturbance Susceptibility Modelling Using Generalized Linear and Generalized Additive Models

To effectively assess and mitigate risk of permafrost disturbance, disturbance-p rone areas can be predicted through the application of susceptibility models. In this study we developed regional susceptibility models for permafrost disturbances using a field disturbance inventory to test the transferability of the model to a broader region in the Canadian High Arctic. Resulting maps of susceptibility were then used to explore the effect of terrain variables on the occurrence of disturbances within this region. To account for a large range of landscape charac- teristics, the model was calibrated using two locations: Sabine Peninsula, Melville Island, NU, and Fosheim Pen- insula, Ellesmere Island, NU. Spatial patterns of disturbance were predicted with a generalized linear model (GLM) and generalized additive model (GAM), each calibrated using disturbed and randomized undisturbed lo- cations from both locations and GIS-derived terrain predictor variables including slope, potential incoming solar radiation, wetness index, topographic position index, elevation, and distance to water. Each model was validated for the Sabine and Fosheim Peninsulas using independent data sets while the transferability of the model to an independent site was assessed at Cape Bounty, Melville Island, NU. The regional GLM and GAM validated well for both calibration sites (Sabine and Fosheim) with the area under the receiver operating curves (AUROC) N 0.79. Both models were applied directly to Cape Bounty without calibration and validated equally with AUROC's of 0.76; however, each model predicted disturbed and undisturbed samples differently. Addition- ally, the sensitivity of the transferred model was assessed using data sets with different sample sizes. Results in- dicated that models based on larger sample sizes transferred more consistently and captured the variability within the terrain attributes in the respective study areas. Terrain attributes associated with the initiation of dis- turbances were similar regardless of the location. Disturbances commonly occurred on slopes between 4 and 15°, below Holocene marine limit, and in areas with low potential incoming solar radiation

Systematic Review Protocol to Evaluate the Effectiveness and Cost Effectiveness of Personalised Surveillance after Colorectal Adenomatous Polypectomy

Lifetime risk of developing colorectal cancer (CRC) is 5% and five-year survival at early-stage is 92%. CRC risk following index colonoscopy should establish post-screening surveillance benefit, which may be greater in high-risk patients. This review evaluated published cost-effectiveness estimates of post-polypectomy surveillance to assess the potential for personalised recommendations by risk sub-group. Current data suggested colonoscopy identifies those at low-risk of CRC, who may not benefit from intensive surveillance, which risks unnecessary harms and inefficient use of colonoscopy resources. Meta-analyses of incidence of advanced-neoplasia post-polypectomy for low-risk was comparable to those without adenoma; both rates were under the lifetime risk of 5%. Therefore, greater personalisation through de-intensified strategies for low-risk individuals could be beneficial and could employ non-invasive testing such as faecal immunochemical tests (FIT) combined with primary prevention or chemoprevention, thereby reserving colonoscopy for targeted use in personalised risk-stratified surveillance.
This systematic review aims to:
1. Assess if there is evidence supporting a program of personalised surveillance in patients with colorectal adenoma according to risk sub-group.
2. Compare the effectiveness of surveillance colonoscopy with alternative prevention strategies.
3. Assess trade-off between costs, benefits and adverse effects which must be considered in a decision to adopt or reject personalised surveillance.

Role of assessment components and recent adverse outcomes in risk estimation and prediction: use of the Short Term Assessment of Risk and Treatability (START) in an adult secure inpatient mental health service

The Short Term Assessment of Risk and Treatability is a structured judgement tool used to inform risk estimation for multiple adverse outcomes. In research, risk estimates outperform the tool's strength and vulnerability scales for violence prediction. Little is known about what its’component parts contribute to the assignment of risk estimates and how those estimates fare in prediction of non-violent adverse outcomes compared with the structured components. START assessment and outcomes data from a secure mental health service (N=84) was collected. Binomial and multinomial regression analyses determined the contribution of selected elements of the START structured domain and recent adverse risk events to risk estimates and outcomes prediction for violence, self-harm/suicidality, victimisation, and self-neglect. START vulnerabilities and lifetime history of violence, predicted the violence risk estimate; self-harm and victimisation estimates were predicted only by corresponding recent adverse events. Recent adverse events uniquely predicted all corresponding outcomes, with the exception of self-neglect which was predicted by the strength scale. Only for victimisation did the risk estimate outperform prediction based on the START components and recent adverse events. In the absence of recent corresponding risk behaviour, restrictions imposed on the basis of START-informed risk estimates could be unwarranted and may be unethical.

Evaluation of biologic occupational risk control practices: Quality indicators development and validation

Background: There is growing demand for the adoption of qualification systems for health care practices. This study is aimed at describing the development and validation of indicators for evaluation of biologic occupational risk control programs. Methods: The study involved 3 stages: (1) setting up a research team, (2) development of indicators, and (3) validation of the indicators by a team of specialists recruited to validate each attribute of the developed indicators. The content validation method was used for the validation, and a psychometric scale was developed for the specialists` assessment. A consensus technique was used, and every attribute that obtained a Content Validity Index of at least 0.75 was approved. Results: Eight indicators were developed for the evaluation of the biologic occupational risk prevention program, with emphasis on accidents caused by sharp instruments and occupational tuberculosis prevention. The indicators included evaluation of the structure, process, and results at the prevention and biologic risk control levels. The majority of indicators achieved a favorable consensus regarding all validated attributes. Conclusion: The developed indicators were considered validated, and the method used for construction and validation proved to be effective.

Risk premiums and benefit measures for generalized-expected-utility theories

Standard tools for the analysis of economic problems involving uncertainty, including risk premiums, certainty equivalents and the notions of absolute and relative risk aversion, are developed without making specific assumptions on functional form beyond the basic requirements of monotonicity, transitivity, continuity, and the presumption that individuals prefer certainty to risk. Individuals are not required to display probabilistic sophistication. The approach relies on the distance and benefit functions to characterize preferences relative to a given state-contingent vector of outcomes. The distance and benefit functions are used to derive absolute and relative risk premiums and to characterize preferences exhibiting constant absolute risk aversion (CARA) and constant relative risk aversion (CRRA). A generalization of the notion of Schur-concavity is presented. If preferences are generalized Schur concave, the absolute and relative risk premiums are generalized Schur convex, and the certainty equivalents are generalized Schur concave.

Influence of patient age and implantation technique on the probability of re-replacement of the homograft aortic valve

Background and aim of the study: Results of valve re-replacement (reoperation) in 898 patients undergoing aortic valve replacement with cryopreserved homograft valves between 1975 and 1998 are reported. The study aim was to provide estimates of unconditional probability of valve reoperation and cumulative incidence function (actual risk) of reoperation. Methods: Valves were implanted by subcoronary insertion (n = 500), inclusion cylinder (n = 46), and aortic root replacement (n = 352). Probability of reoperation was estimated by adopting a mixture model framework within which estimates were adjusted for two risk factors: patient age at initial replacement, and implantation technique. Results: For a patient aged 50 years, the probability of reoperation in his/her lifetime was estimated as 44% and 56% for non-root and root replacement techniques, respectively. For a patient aged 70 years, estimated probability of reoperation was 16% and 25%, respectively. Given that a reoperation is required, patients with non-root replacement have a higher hazard rate than those with root replacement (hazards ratio = 1.4), indicating that non-root replacement patients tend to undergo reoperation earlier before death than root replacement patients. Conclusion: Younger patient age and root versus non-root replacement are risk factors for reoperation. Valve durability is much less in younger patients, while root replacement patients appear more likely to live longer and hence are more likely to require reoperation.

Country risk, national cultural differences between partners and survival of international joint ventures in Brazil

This article aims to identify the main and interaction effects of two country-level variables, namely national distance and country risk, on the survival of international joint ventures in emerging markets. Research hypotheses predicting the negative impact of national distance and country risk on survival of international joint ventures are formulated in this article. These research hypotheses are examined in a sample of 234 international joint ventures formed in Brazil between 1973 and 2004. These international joint ventures were subjected to an event history analysis over a period of time ranging from 1973 to 2006. The empirical results show that large national cultural differences between local and foreign partners increase the instability of international joint ventures, whereas the survival of these alliances does not seem to be affected either by the economic and political uncertainty of Brazil. Furthermore, the national distance between local and foreign partners has effects on survival that are variable according to the life cycle of international joint ventures. (C) 2007 Elsevier Ltd. All rights reserved.

An analysis of US greenhouse gas cap-and-trade proposals using a forward-looking economic model

We develop a forward-looking version of the recursive dynamic MIT Emissions Prediction and Policy Analysis (EPPA) model, and apply it to examine the economic implications of proposals in the US Congress to limit greenhouse gas (GHG) emissions. We find that shocks in the consumption path are smoothed out in the forward-looking model and that the lifetime welfare cost of GHG policy is lower than in the recursive model, since the forward-looking model can fully optimize over time. The forward-looking model allows us to explore issues for which it is uniquely well suited, including revenue-recycling and early action crediting. We find capital tax recycling to be more welfare-cost reducing than labor tax recycling because of its long-term effect on economic growth. Also, there are substantial incentives for early action credits; however, when spread over the full horizon of the policy they do not have a substantial effect on lifetime welfare costs.

The prevalence, intensities and risk factors associated with geohelminth infection in tea-growing communities of Assam, India

OBJECTIVE To determine the prevalence, intensity and associated risk factors for infection with Ascaris, hookworms and Trichuris in three tea-growing communities in Assam, India. METHODS Single faecal samples were collected from 328 individuals and subjected to centrifugal floatation and the Kato Katz quantitation technique and prevalence and intensities of infection with each parasite calculated. Associations between parasite prevalence, intensity and host and environmental factors were then made using both univariate and multivariate analysis. RESULTS The overall prevalence of Ascaris was 38% [95% confidence interval (CI): 33, 43], and the individual prevalence of hookworm and Trichuris was 43% (95% CI: 38, 49). The strongest predictors for the intensity of one or more geohelminths using multiple regression (P less than or equal to 0.10) were socioeconomic status, age, household crowding, level of education, religion, use of footwear when outdoors, defecation practices, pig ownership and water source. CONCLUSION A universal blanket treatment with broad-spectrum anthelmintics together with promotion of scholastic and health education and improvements in sanitation is recommended for helminth control in the communities under study.

Risk Profiles and Penetrance Estimations in Multiple Endocrine Neoplasia Type 2A Caused by Germline RET Mutations Located in Exon 10

Multiple endocrine neoplasia type 2 is characterized by germline mutations in RET. For exon 10, comprehensive molecular and corresponding phenotypic data are scarce. The International RET Exon 10 Consortium, comprising 27 centers from 15 countries, analyzed patients with RET exon 10 mutations for clinical-risk profiles. Presentation, age-dependent penetrance, and stage at presentation of medullary thyroid carcinoma (MTC), pheochromocytoma, and hyperparathyroidism were studied. A total of 340 subjects from 103 families, age 4-86, were registered. There were 21 distinct single nucleotide germline mutations located in codons 609 (45 subjects), 611 (50), 618 (94), and 620 (151). MTC was present in 263 registrants, pheochromocytoma in 54, and hyperparathyroidism in 8 subjects. Of the patients with MTC, 53% were detected when asymptomatic, and among those with pheochromocytoma, 54%. Penetrance for MTC was 4% by age 10, 25% by 25, and 80% by 50. Codon-associated penetrance by age 50 ranged from 60% (codon 611) to 86% (620). More advanced stage and increasing risk of metastases correlated with mutation in codon position (609-620) near the juxtamembrane domain. Our data provide rigorous bases for timing of premorbid diagnosis and personalized treatment/prophylactic procedure decisions depending on specific RET exon 10 codons affected. Hum Mutat 32:51-58, 2011. (C) 2010 Wiley-Liss, Inc.

Association between ADAMTS13 polymorphisms and risk of cardiovascular events in chronic coronary disease

Introduction: Association between ADAMTS13 levels and cardiovascular events has been described recently. However, no genetic study of ADAMTS13 in coronary patients has been described. Materials and Methods: Based on related populations frequencies and functional studies, we tested three ADAMTS13 polymorphisms: C1342G (Q448E), C1852G (P618A) and C2699T (A900V) in a group of 560 patients enrolled in the Medical, Angioplasty, or Surgery Study II (MASS II), a randomized trial comparing treatments for patients with coronary artery disease (CAD) and preserved left ventricular function. The incidence of the 5-year end-points of death and death from cardiac causes, myocardial infarction, refractory angina requiring revascularization and cerebrovascular accident was determined for each polymorphim`s allele, genotype and haplotype. Risk was assessed with the use of logistic regression and Cox proportional-hazards model and multivariable adjustment was employed for possible confounders. Results: Clinical characteristics and received treatment of each genotype group were similar at baseline. In an adjusted model for cardiovascular risk variables, we were able to observe a significant association between ADAMTS13 900V variant and an increased risk of death (OR: 1,92 CI: 1,14-3,23, p = 0,015) or death from cardiac cause (OR: 2,67, CI: 1,59-4,49, p = 0,0009). No association between events and ADAMTS13 Q448E or P618A was observed. Conclusions: This first report studying the association between ADAMTS13 genotypes and cardiovascular events provides evidence for the association between ADAMTS13 900V variant and an increased risk of death in a population with multi-vessel CAD. (C) 2009 Elsevier Ltd. All rights reserved.

European ancestry and polymorphisms in DNA repair genes modify the risk of melanoma: A case-control study in a high UV index region in Brazil

Background: UV radiation is the major environmental factor related to development of cutaneous melanoma. Besides sun exposure and the influence of latitude, some host characteristics such as skin phototype and hair and eye color are also risk factors for melanoma. Polymorphisms in DNA repair genes could be good candidates for susceptibility genes, mainly in geographical regions exposed to high solar radiation. Objective: Evaluate the role of host characteristic.; and DNA repair polymorphism in melanoma risk in Brazil. Methods: We carried out a hospital-based case-control study in Brazil to evaluate the contribution of host factors and polymorphisms in DNA repair to melanoma risk. A total of 412 patients (202 with melanoma and 210 controls) were analyzed regarding host characteristics for melanoma risk as well as for 11 polymorphisms in DNA repair genes. Results: We found an association of host characteristics with melanoma development, such as eye and hair color, fair skin, history of pigmented lesions removed, sunburns in childhood and adolescence, and also European ancestry. Regarding DNA repair gene polymorphisms, we found protection for the XPG 1104 His/His genotype (OR 0.32; 95% CI 0.13-0.75), and increased risk for three polymorphisms in the XPC gene (PAT+; IV-6A and 939Gln), which represent a haplotype for XPC. Melanoma risk was higher in individuals carrying the complete XPC haplotype than each individual polymorphism (OR 3.64; 95% CI 1.77-7.48). Conclusions: Our data indicate that the host factors European ancestry and XPC polymorphisms contributed to melanoma risk in a region exposed to high sun radiation. (C) 2011 Japanese Society for Investigative Dermatology. Published by Elsevier Ireland Ltd. All rights reserved.