Monitoring bank performance in the presence of risk

This paper proposes a managerial control tool that integrates risk in efficiency scores. Building on existing efficiency specifications, our proposal reflects the real banking technology and accurately models the relationship between desirable and undesirable outputs. Specifically, the undesirable output is defined as non-performing loans to capture credit risk, and is linked only to the relevant dimension of the output set. We empirically illustrate how our efficiency measure functions for managerial control purposes. The application considers a unique dataset of Costa Rican banks during 1998-2012. Efficiency scores? implications are mostly discussed at bank-level, and their interpretations are enhanced by using accounting ratios. We also show the usefulness of our tool for corporate governance by examining performance changes around executive turnover. Results confirm that appointing CEOs from outside the bank significantly improves performance, thus suggesting the potential benefits of new organisational practices.

A systems view of risk factors for knee osteoarthritis reveals insights into the pathogenesis of the disease.

Early detection of osteoarthritis (OA) remains a critical yet unsolved multifaceted problem. To address the multifaceted nature of OA a systems model was developed to consolidate a number of observations on the biological, mechanical and structural components of OA and identify features common to the primary risk factors for OA (aging, obesity and joint trauma) that are present prior to the development of clinical OA. This analysis supports a unified view of the pathogenesis of OA such that the risk for developing OA emerges when one of the components of the disease (e.g., mechanical) becomes abnormal, and it is the interaction with the other components (e.g., biological and/or structural) that influences the ultimate convergence to cartilage breakdown and progression to clinical OA. The model, applied in a stimulus-response format, demonstrated that a mechanical stimulus at baseline can enhance the sensitivity of a biomarker to predict cartilage thinning in a 5 year follow-up in patients with knee OA. The systems approach provides new insight into the pathogenesis of the disease and offers the basis for developing multidisciplinary studies to address early detection and treatment at a stage in the disease where disease modification has the greatest potential for a successful outcome.

Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Potential impact of the global climate changes on the spatial distribution of areas of risk for the occurrence of eucalyptus rust in Brazil

Rust, caused by Puccinia psidii, is one of the most important diseases affecting eucalyptus in Brazil. This pathogen causes disease in mini-clonal garden and in young plants in the field, especially in leaves and juvenile shoots. Favorable climate conditions for infection by this pathogen in eucalyptus include temperature between 18 and 25 ºC, together with at least 6-hour leaf wetness periods, for 5 to 7 consecutive days. Considering the interaction between the environment and the pathogen, this study aimed to evaluate the potential impact of global climate changes on the spatial distribution of areas of risk for the occurrence of eucalyptus rust in Brazil. Thus, monthly maps of the areas of risk for the occurrence of this disease were elaborated, considering the current climate conditions, based on a historic series between 1961 and 1990, and the future scenarios A2 and B2, predicted by IPCC. The climate conditions were classified into three categories, according to the potential risk for the disease occurrence, considering temperature (T) and air relative humidity (RH): i) high risk (18 < T < 25 ºC and RH > 90%); ii) medium risk (18 < T < 25 ºC and RH < 90%; T< 18 or T > 25 ºC and RH > 90%); and iii) low risk (T < 18 or T > 25 ºC and RH < 90%). Data about the future climate scenarios were supplied by GCM Change Fields. In this study, the simulation model Hadley Centers for Climate Prediction and Research (HadCm3) was adopted, using the software Idrisi 32. The obtained results led to the conclusion that there will be a reduction in the area favorable to eucalyptus rust occurrence, and such a reduction will be gradual for the decades of 2020, 2050 and 2080 but more marked in scenario A2 than in B2. However, it is important to point out that extensive areas will still be favorable to the disease development, especially in the coldest months of the year, i.e., June and July. Therefore, the zoning of areas and periods of higher occurrence risk, considering the global climate changes, becomes important knowledge for the elaboration of predicting models and an alert for the integrated management of this disease.

Comparative study of the different degrees of risk of gastrointestinal stromal tumor

OBJECTIVE: To evaluate the applicability of the main categories of risk and morphological factors in the prognosis of gastrointestinal stromal tumors. METHODS: we retrospectively studied fifty-four cases of GIST, assessing the main prognostic factors of this neoplasis: risk levels, topography, size, mitotic index, necrosis, histological subtype and immunophenotype. We also verified their association and the reduction of overall survival. RESULTS: Univariate analysis showed that tumors with mitoses number greater than 5 per 50CGA (high-power fields), the presence of necrosis and a high risk for both the systems proposed by Fletcher and Miettinen had a significant association with reduced survival (p = 0.00001, 0.0056, 0.03 and 0.009, respectively). The remaining analyzed factors (size, histological subtype, topography and immunophenotype) had no such association. Multivariate analysis (Jacard index) showed that the Miettinen degree of risk was the one that best correlated with prognosis. CONCLUSION: the risk criteria of Fletcher and Miettinen are important in assessing the prognosis of patients with gastrointestinal stromal tumors, especially the latter, which adds to the mitotic index and the presence of tumor necrosis.

Increased oxidative stress markers may be a promising indicator of risk for primary ovarian insufficiency: a cross-sectional case control study

PURPOSE: The aim of this study was to evaluate serum levels of inducible nitric oxide synthase (INOS), myeloperoxidase (MPO), total antioxidant status (TAS), and total oxidative status (TOS) in women with primary ovarian insufficiency (POI) and to compare them with healthy fertile women. We also examined the possible risk factors associated with POI.METHODS: This cross-sectional case control study was conducted in Zekai Tahir Burak Women's Health Education and Research Hospital. The study population consisted of 44 women with POI (study group) and 36 healthy fertile women (control group). In all patients, serum levels of INOS, MPO, TAS, and TOS were determined. INOS and MPO levels were measured by enzyme-linked immunosorbent assay whereas colorimetric method was used for evaluating TAS and TOS levels. Age, body mass index (BMI), obstetric history, smoking status, family history, comorbidities, sonographic findings, complete blood count values, C-reactive protein and baseline hormone levels were also analyzed. Student's t-test or Mann-Whitney U test was used to compare continuous variables between the groups; categorical data were evaluated by using Pearson χ2 or Fisher exact test, when appropriate. Binary logistic regression method was used to identify risk factors for POI.RESULTS: We found significantly elevated levels of INOS (234.1±749.5 versus133.8±143.0; p=0.005), MPO (3,438.7±1,228.6 versus 2,481.9±1,230.1; p=0.001), and TOS (4.3±1.4 versus 3.6±1.4; p=0.02) in the sera of the study group when compared to the BMI-age matched control group. However, difference in serum levels of TAS were not significant between the 2 groups (1.7±0.2 versus 1.6±0.2; p=0.15). Logistic regression method demonstrated that BMI <25 kg/m2, nulliparity, family history of POI, smoking, and elevated serum levels of INOS, MPO, and TOS were independent risk factors for POI.CONCLUSION: We found an increase in INOS, MPO, and TOS in women with POI. These serum markers may be promising in early diagnosis of POI. Further large-scale studies are required to determine whether oxidative stress markers have a role in diagnosing POI.

The Effect of Risk-Based Factors on the Value Premium: The Finnish Evidence

This thesis examines the effect of operating leverage and financial leverage on the value premium in the Finnish stock markets 2002-2012. The purpose of the thesis is to examine whether operating leverage and financial leverage affect firm`s BE/ME and stock returns. The accounting data has been collected from Amadeus database and market-based data from the Datastream database. Sample used in this thesis covers years from 1998 to 2012. This thesis confirms the findings of previous research of tight connection between operating leverage and BE/ME and reinforces the findings of previous research that relation between financial leverage and BE/ME is not robust. In turn, relation between operating leverage, BE/ME and stock returns is not clearly perceived during the 2002-2012 period in the Finnish stock markets.

Taenia solium transmission in a rural community in Honduras : an examination of risk factors and knowledge

Taenia soliurn taeniasis and cysticercosis are recognized as a major public health problem in Latin America. T. soliurn transmission not only affects the health of the individual, but also social and economic development, perpetuating the cycle of poverty. To determine prevalence rates, population knowledge and risk factors associated with transmission, an epidemiological study was undertaken in the rural community of Jalaca. Two standardized questionnaires were used to collect epidemiological and T. soli urn general knowledge data. Kato-Katz technique and an immunoblot assay (EITB) were used to determine taeniasis and seroprevalence, respectively. In total, 139 individuals belonging to 56 households participated in the study. Household characteristics were consistent with conditions of poverty of rural Honduras: 21.4% had no toilet or latrines, 19.6% had earthen floor, and 51.8% lacked indoor tap water. Pigs were raised in 46.4% of households, of which 70% allowed their pigs roaming freely. A human seroprevalence rate of 18.7% and a taeniasis prevalence rate of 2.4% were found. Only four persons answered correctly 2: 6 out of ten T. soliurn knowledge questions, for an average passing score of 2.9%. In general, a serious gap exists in knowledge regarding how humans acquire the infections, especially neurocysticercosis was identified. After regression analysis, the ability to recognize adult tapeworms and awareness of the clinical importance of taeniasis, were found to be significant risk factors for T. soliurn seropositivity. These results demonstrate a high level of transmission and a low level of kn~,wledge about Taenia soliurn in Jalaca. Consequently, intervention measures integrated with health education are necessary to decrease the burden caused by this parasite.

Mediated action, narratives of risk-taking, and identity formation in adolescents with a visual impairment

The purpose of this project was to discern the inherent tension present in narratives told by adolescents with a visual impairment as they attempted to make sense of their experiences, specifically those surrounding risk. Mediated action, based on the foundational work of Vygotsky and Bakhtin, was used as both a theoretical and methodological approach; it is the theory that there are two components that constitute any human action: the "agent," or the person who is doing the acting, and the "mediational means" that he or she is using to accomplish the action in question. Tension ensues as neither is able to fully explain human behaviour. Ten adolescents with a visual impairment participated in a narrative interview, revealing numerous counter-narratives surrounding risk-taking, including "experimentation undertaken using good judgment." Participants offered examples of how they engaged, appropriated, resisted and transformed the dominant narratives of disability and adolescence in their identity formation.

A Survey Measure of Risk Aversion

We Use Survey Data on the Well-Being of Individuals to Measure Attitude Toward Risk. Risk Neutrality Cannot Be Rejected by the Data.

"Staying Alive" while "Living the Life" : conceptualizations of risk among homeless youth

Résumé Le but de cette thèse est de comprendre les représentations du risque chez les jeunes de la rue. Plus précisément, elle s’intéresse à appréhender les constructions du risque que font les jeunes de la rue eux-mêmes, d’autant plus que ces jeunes sont définis comme un groupe à risque. Si le risque est plus souvent défini de manière stricte comme le mal éventuel, dans cette étude, il est défini plus largement intégrant l’idée des opportunités et prises de risque. Ancrée dans une perspective double du constructionnisme social et de l’interactionnisme symbolique, cette recherche a exploré les savoirs des jeunes sur les risques qu’ils vivaient dans les contextes observés et la manière dont ils les appréhendaient. Pour y parvenir, cette recherche s’inscrit dans une approche ethnographique pour mieux comprendre le monde des jeunes de la rue, utilisant des méthodes d'observation participante et dévoilée et des entrevues informelles variées. Cette approche globale permet de saisir comment les jeunes définissent leur capacité à estimer, gérer, éviter ou prendre des risques. L’utilisation d’une perspective longitudinale (de un à deux ans) et les relations de confiance bâties avec ces jeunes, ont permis de suivre comment la construction identitaire des jeunes observés a influencé leurs perception du risque et leurs pratiques de débrouillardise. En outre, les liens établis ont permis de révéler les points de vue singuliers des jeunes mais aussi leurs savoirs expérientiels relatifs aux risques. Il s’agit dans cette étude de montrer à partir des théories générales qui définissent nos sociétés comme des sociétés du risque, comment des individus, identifiés comme appartenant à un groupe à risque, définissent et gèrent leurs risques à partir de leur propre expérience et point de vue afin de révéler la diversité et la complexité des expériences et savoirs des jeunes de la rue à l’endroit du risque. En effet, cette thèse montre qu’un ancrage dans une sociologie du risque permet de sortir de l’image de victime ou de déviance associée généralement aux jeunes de la rue mais qu’elle demeure marquée par la promotion de la sécurité légitimant intervention et régulation de la situation des jeunes de la rue tout en ignorant l’expérience même des jeunes. Les discours sur les risques associés à la rue sont alors inscrits dans une logique d’expertise. Cette étude vise à sortir de ces préconceptions des risques pris par les jeunes de la rue pour au contraire s’attarder à comprendre comment se définit le risque à partir du sens que les jeunes accordent et les expériences qu’ils en ont. Mots clés: jeunes itinérants, jeunes de la rue, le risque, à risque, victimisation, déviance, identité.

A Representation of Risk Measures

We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition, sub-additive; see Artzner et al. [2]).

Heterogeneity and the formation of risk - sharing coalitions

We offer a new explanation of partial risk sharing based on coalition formation and segmentation of society in a risky environment, without assuming limited commitment and imperfect information. Heterogenous individuals in a society freely choose with whom they will share risk. A partition belonging to the core of the membership game obtains. Perfect risk sharing does not necessarily arise. Focusing on mutual insurance rule and assuming that individuals only differ with respect to risk, we show that the core partition is homophily-based. The distribution of risk affects the number and size of these coalitions. Individuals may pay a lower risk premium in riskier societies. A higher heterogeneity in risk leads to a lower degree of risk sharing. We discuss how the endogenous partition of society into risk-sharing coalitions may shed light on empirical evidence on partial risk sharing. The case of heterogenous risk aversion leads to similar results.