Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

Basel III new capital requirements, impacts and bank behavior

For some years, researchers could not find a clear effect of capital adequacy on the risk profile of banks, as shareholders could increase the riskiness of the assets (qualitative effect), crowding-out the effect of reduced leverage (volume effect). Some shareholders might have the will to increase the riskiness of the assets, but they may lack the power to do so. Considering only ”powerful” shareholders, definitive conclusions were drawn but with constant ownership profile. In this paper I investigate whether there is a significant change in the type of shareholders in response to regulatory capital shocks and, if so, will the banking system be in the hands of more “desired” shareholders. I find that ownership profile responds to a regulatory shock, changing the risk appetite of the ruling power at the bank. I find more banks and the government in the ownership of undercapitalised banks and much less institutional shareholders and free float. I claim that these new shareholders may not the desired ones, given the objective of the regulatory change, as they are associated with a preference for more leverage. One possible explanation for this crowding-out effect is that regulators are trying to contain idiosyncratic risk (more linked to the riskiness of the assets) with a rule that contains systematic risk (capital adequacy). This has a distorting effect on ownership. Another insight can be drawn from the tests: supervisors should be aware of significant ownership movements that cause the crowding-out.

Impact of carbon/nitrogen feeding strategy on polyhydroxyalkanoates production using mixed microbial cultures

Polyhydroxyalkanoates (PHA) production using mixed microbial cultures (MMC) requires a multi-stage process involving the microbial selection of PHA-storing microorganisms, typically operated in sequencing batch reactors (SBR), and an accumulation reactor. Since low-cost renewable feedstocks used as process feedstock are often nitrogen-deficient, nutrient supply in the selection stage is required to allow for microbial growth. In this context, the possibility to uncouple nitrogen supply from carbon feeding within the SBR cycle has been investigated in this study. Moreover, three different COD:N ratios (100:3.79, 100:3.03 and 100:2.43) were tested in three different runs which also allowed the study of COD:N ratio on the SBR performance. For each run, a synthetic mixture of acetic and propionic acids at an overall organic load rate of 8.5 gCOD L-1 d-1 was used as carbon feedstock, whereas ammonium sulfate was the nitrogen source in a lab-scale sequence batch reactor (SBR) with 1 L of working volume. Besides, a sludge retention time (SRT) of 1 d was used as well as a 6 h cycle length. The uncoupled feeding strategy significantly enhanced the selective pressure towards PHA-storing microorganisms, resulting in a two-fold increase in the PHA production (up to about 1.3 gCOD L-1). A high storage response was observed for the two runs with the COD:N ratios (gCOD:gN) of 100:3.79 and 100:3.03, whereas the lowest investigated nitrogen load resulted in very poor performance in terms of polymer production. In fact, strong nitrogen limitation caused fungi to grow and a very poor storage ability by microorganisms that thrived in those conditions. The COD:N ratio also affected the polymer composition, indeed the produced poly(3-hydroxybutyrate-co-3-hydroxyvalerate) (PHBV) showed a variable HV content (1-20 %, w/w) among the three runs, lessening as the COD:N increased. This clearly suggests the possibility to use the COD:N ratio as a tool for tuning polymer properties regardless the composition of the feedstock.

Basel III: The impact of new capital requirements on profitability of Portuguese Banks

This empirical study aims to explore the impact of increased capital ratio requirements, on the ROE of the Portuguese banking sector. The paper employs both a quantitative- and qualitative approach, with the qualitative approach as the main method of research. The method adopted to conduct the qualitative research was semi structured elite interviews with banking executives. Higher capital requirements decrease the ROE of banks in Portugal, but huge impairments charges, macroeconomic factors and increased costs of deposits are clearly the dominant reasons for the reduced levels of ROE the past years. Among the measures taken to increase capital ratios, reduction of RWAs and non-core assets have been the main focus, but the issuance of CoCos is regarded as the most expensive measure due to high interest payments. However, the CoCos will not have any effect on the ROE in the long term. It is difficult to draw any conclusions on the impact of more equity in the balance sheet on the ROE of Portuguese banks, as many banks currently don’t generate enough money to pay back on shareholders´ investments.

Development and current use of parenteral nutrition in critical care - an opinion paper.

Critically ill patients depend on artificial nutrition for the maintenance of their metabolic functions and lean body mass, as well as for limiting underfeeding-related complications. Current guidelines recommend enteral nutrition (EN), possibly within the first 48 hours, as the best way to provide the nutrients and prevent infections. EN may be difficult to realize or may be contraindicated in some patients, such as those presenting anatomic intestinal continuity problems or splanchnic ischemia. A series of contradictory trials regarding the best route and timing for feeding have left the medical community with great uncertainty regarding the place of parenteral nutrition (PN) in critically ill patients. Many of the deleterious effects attributed to PN result from inadequate indications, or from overfeeding. The latter is due firstly to the easier delivery of nutrients by PN compared with EN increasing the risk of overfeeding, and secondly to the use of approximate energy targets, generally based on predictive equations: these equations are static and inaccurate in about 70% of patients. Such high uncertainty about requirements compromises attempts at conducting nutrition trials without indirect calorimetry support because the results cannot be trusted; indeed, both underfeeding and overfeeding are equally deleterious. An individualized therapy is required. A pragmatic approach to feeding is proposed: at first to attempt EN whenever and as early as possible, then to use indirect calorimetry if available, and to monitor delivery and response to feeding, and finally to consider the option of combining EN with PN in case of insufficient EN from day 4 onwards.

Effect of carbohydrate overfeeding on whole body macronutrient metabolism and expression of lipogenic enzymes in adipose tissue of lean and overweight humans

OBJECTIVE: Lipids stored in adipose tissue can originate from dietary lipids or from de novo lipogenesis (DNL) from carbohydrates. Whether DNL is abnormal in adipose tissue of overweight individuals remains unknown. The present study was undertaken to assess the effect of carbohydrate overfeeding on glucose-induced whole body DNL and adipose tissue lipogenic gene expression in lean and overweight humans. DESIGN: Prospective, cross-over study. SUBJECTS AND METHODS: A total of 11 lean (five male, six female, mean BMI 21.0+/-0.5 kg/m(2)) and eight overweight (four males, four females, mean BMI 30.1+/-0.6 kg/m(2)) volunteers were studied on two occasions. On one occasion, they received an isoenergetic diet containing 50% carbohydrate for 4 days prior to testing; on the other, they received a hyperenergetic diet (175% energy requirements) containing 71% carbohydrates. After each period of 4 days of controlled diet, they were studied over 6 h after having received 3.25 g glucose/kg fat free mass. Whole body glucose oxidation and net DNL were monitored by means of indirect calorimetry. An adipose tissue biopsy was obtained at the end of this 6-h period and the levels of SREBP-1c, acetyl CoA carboxylase, and fatty acid synthase mRNA were measured by real-time PCR. RESULTS: After isocaloric feeding, whole body net DNL amounted to 35+/-9 mg/kg fat free mass/5 h in lean subjects and to 49+/-3 mg/kg fat free mass/5 h in overweight subjects over the 5 h following glucose ingestion. These figures increased (P<0.001) to 156+/-21 mg/kg fat free mass/5 h in lean and 64+/-11 mg/kg fat free mass/5 h (P<0.05 vs lean) in overweight subjects after carbohydrate overfeeding. Whole body DNL after overfeeding was lower (P<0.001) and glycogen synthesis was higher (P<0.001) in overweight than in normal subjects. Adipose tissue SREBP-1c mRNA increased by 25% in overweight and by 43% in lean subjects (P<0.05) after carbohydrate overfeeding, whereas fatty acid synthase mRNA increased by 66 and 84% (P<0.05). CONCLUSION: Whole body net DNL is not increased during carbohydrate overfeeding in overweight individuals. Stimulation of adipose lipogenic enzymes is also not higher in overweight subjects. Carbohydrate overfeeding does not stimulate whole body net DNL nor expression of lipogenic enzymes in adipose tissue to a larger extent in overweight than lean subjects.

Retrospective research: What are the ethical and legal requirements?

Retrospective research is conducted on already available data and/or biologic material. Whether such research requires that patients specifically consent to the use of "their" data continues to stir controversy. From a legal and ethical point of view, it depends on several factors. The main criteria to be considered are whether the data or the sample is anonymous, whether the researcher is the one who collected it and whether the patient was told of the possible research use. In Switzerland, several laws delineate the procedure to be followed. The definition of "anonymous" is open to some interpretation. In addition, it is debatable whether consent waivers that are legally admissible for data extend to research involving human biological samples. In a few years, a new Swiss federal law on human research could clarify the regulatory landscape. Meanwhile, hospital-internal guidelines may impose stricter conditions than required by federal or cantonal law. Conversely, Swiss and European ethical texts may suggest greater flexibility and call for a looser interpretation of existing laws. The present article provides an overview of the issues for physicians, scientists, ethics committee members and policy makers involved in retrospective research in Switzerland. It aims at provoking more open discussions of the regulatory problems and possible future legal and ethical solutions.

Record keeping by Swiss physiotherapists--a national survey of knowledge regarding legal requirements.

A national survey conducted in Switzerland aimed to evaluate the knowledge of physiotherapists regarding the legal requirements for record keeping and to collect their feedback about record keeping in general. Three physiotherapists from various professional practice groups and a lawyer specialised in health law developed a questionnaire that was sent to the 7,753 members of two existing national associations of physiotherapists. The questionnaire evaluated the participants' knowledge by calculating a score of legal knowledge, which had a maximum of 30 points. We included 825 questionnaires in the analysis. The large majority (83.4%) of participants confessed an ignorance of the legal requirements concerning record keeping prior to the survey. The average score of legal compatibility was 8 points. The younger age of the physiotherapists was a significant predictor of having knowledge of the legal requirements for record keeping (p <0.001). The participants had an appreciation of the value of records, but they did not have the relevant knowledge regarding the legal requirements for keeping records. The participants blamed a lack of time and remuneration for their failure to keep records according to known requirements. All practising allied health professionals should keep up-to-date and accurate records that conform to active legal requirements and existing international guidelines. In addition to the existing legal requirements, the emergence of e-health and the electronic era will trigger major changes in patient record management by physiotherapists.

Parenteral nutrition in the intensive care unit: cautious use improves outcome.

Critical illness is characterised by nutritional and metabolic disorders, resulting in increased muscle catabolism, fat-free mass loss, and hyperglycaemia. The objective of the nutritional support is to limit fat-free mass loss, which has negative consequences on clinical outcome and recovery. Early enteral nutrition is recommended by current guidelines as the first choice feeding route in ICU patients. However, enteral nutrition alone is frequently associated with insufficient coverage of the energy requirements, and subsequently energy deficit is correlated to worsened clinical outcome. Controlled trials have demonstrated that, in case of failure or contraindications to full enteral nutrition, parenteral nutrition administration on top of insufficient enteral nutrition within the first four days after admission could improve the clinical outcome, and may attenuate fat-free mass loss. Parenteral nutrition is cautious if all-in-one solutions are used, glycaemia controlled, and overnutrition avoided. Conversely, the systematic use of parenteral nutrition in the ICU patients without clear indication is not recommended during the first 48 hours. Specific methods, such as thigh ultra-sound imaging, 3rd lumbar vertebra-targeted computerised tomography and bioimpedance electrical analysis, may be helpful in the future to monitor fat-free mass during the ICU stay. Clinical studies are warranted to demonstrate whether an optimal nutritional management during the ICU stay promotes muscle mass and function, the recovery after critical illness and reduces the overall costs.

The Literary relations between La Fontaine and the "Astrée" of Honoré d'Urfé : a dissertation presented to the faculty of the department of philosophy of the university of Pennsylvania in partial fulfilment of the requirements for the degree of doctor of philosophy / by Walther P. Fischer

Collection : Publications of the University of Pennsylvania ; n° 6

Analysis of the feeding behaviour of the mosquito Culex pipiens L. (Diptera: Culicidae) in relation to West Nile virus

The goal ofthis literature review is to inform the reader on several aspects of West Nile Virus (WNV) transmission by its mosquito vector, Culex pipiens and to elucidate how Cx. pipiens and WNV are intertwined. The first few sections of the literature review describe the life cycle and blood feeding behaviours ofmosquitoes so that baseline data ofmosquito biology are established. In addition to explaining how and why a mosquito blood feeds, the section on "Blood Meal Analysis" describes the different methods for determining the vertebrate source of mosquito blood meals and a brief history of these testing methods. Since this thesis looks at the feeding behaviour of Cx. pipiens, it is important to know how to determine what they are feeding upon. Discussion on other mosquito-borne diseases related to WNV gives a broader perspective to the thesis, and examines other diseases that have occurred in Ontario in the past. This is followed by background information on WNV and theories on how this virus came to North America and how it relates to Cx. pipiens. The final sections discuss Cx. pipiens and give background information to how this species of mosquito exists and behaves within North America.

An investigation of sugar feeding by black flies (Diptera: Simuliidae)

Although much research has been conducted on blood-meal acquisition in adult female black flies (Diptera: Simuliidae), the same cannot be said for sugarmeals. Both sexes feed on sugar which provides energy for flight and it has been commonly held that nectar is the major carbohydrate source. This thesis addresses the question of whether a non-floral carbohydrate source, specifically homopteran honeydew, is ingested by male and female black flies. Black flies reared in the laboratory have been observed to readily ingest freshly excreted and older (dry) honeydew when presented with honeydew coated tamarack branches. Field work was conducted in Algonquin Park, Ontario in the spring and summer of 1993. Three separate studies were designed to test whether homopteran honeydew is an important carbohydrate source for black flies and whether flies from different habitats utilize different sugar sources. The sugars melezitose and / or stachyose are known to occur in a variety of homopteran honeydews and therefore were used as indicators of honeydew feeding by black flies. In the first study, black flies were collected with insect nets from a stand of Larix larcina heavily infested with honeydew - producing homopterans (Adelges lariciatus). Six black fly species were captured: Simulium venustum, S. rostra tum, S. vittatum, Stegopterna mutata, S. aureum and S. quebecense. Samples of honeydew and individual black flies were tested using thin layer chromatography (T. L. C.) with fructose, glucose, sucrose, turanose, melezitose, raffinose and stachyose as standards. All sugars except turanose and melezitose were found in the adelgid honeydew samples. Since the sugar melezitose was absent from ~ honeydew samples, stachyose was used to indicate that black flies were feeding from this particular honeydew source. Of the 201 black flies tested, 194 contained sugars which occurred in 16 combinations. Stachyose combinations excluding melezitose, present in 45.9 % of flies, were used to indicate that black flies had been feeding on the adelgid honeydew. In the second study, black flies were collected in the morning and evening on 8 collection dates, using a vehicle mounted insect net. The crops and midguts of 10 male and 10 female Simulium venustum were dissected on each sample date. In total the gut contents of 320 individual flies were analysed by T. L. C. The sugars identified from these flies were present in the following proportions: fructose (100.0%), glucose (100.0%), sucrose/turanose (50.4%), melezitose (30.3%), raffinose (18.8%) and stachyose (8.7%). These sugars occurred in fourteen different combinations. It is argued that the presence of melezitose and / or stachyose indicates that black flies had fed on homopteran honeydew. Significantly more female flies (40.0%) than male flies (27.5%) had fed on honeydew. In the third study, adult black flies were sampled by sweep netting vegetation in four habitats in the morning and evening on 8 collection dates. The habitats are as follows: (1) Davies Bog, (2) Abandoned Air Field (dominated by blueberries, Vaccinium spp.), (3) Deciduous Habitat and (4) Coniferous Habitat. Sugars in the crops and midguts of female flies were tested by T. L. C. and, for S. venustum, it was found that significantly fewer flies (18.8%) from the Air Field contained honeydew than from the other three sites (Davies Bog, 34.4%; Deciduous Habitat, 36.2%; Coniferous Habitat, 25.0%). Of the 1287 black flies tested individually by T. L. C. 441 (34.3%) contained melezitose and / or stachyose sugars indicating that this proportion of the population were feeding from Homopteran honeydew. It is therefore clear that floral (nectar) sugars are not the only source of carbohydrates available to black flies.

Feeding rates, parental investment, and brood reduction in Caspian terns (Sterna caspia)

Fresh egg-weights and feeding rates to chicks were related to chick survival as one means of quantifying apportionment of parental investment wi thin broods of Caspian Terns (SterDI casRla) at a colony in Georgian Bay. Lake Huron, during 1978 and 1979. Ftrst-laid eggs from 2-egg clutches were Significantly heavier and usually hatched one to three days earlier than second-laid eggs in both years of the study. In both years, first-hatched chicks were larger and generally better fed than second-hatched siblings. The disparity between feedIng rates of first- and second-hatched ehicks was greater in 1979. Brood feeding I rates correlated positively with the percentage of food fed to the least-fed sibUng through the period of B-chick ages zero to 10 days in 1978. I suggest that after this age period, parental control over whlcb cbick was fed diminished. In 1978, 10 of 16 secondhatched chicks were fed more than their older siblings during their first 5 days. 'lb.is is interpreted as a parental response to reduce the competitive advantage of the larger first-hatched chicks. Most chick losses were apparently caused by starvation or preda. tion. In 1979, seeorvl-hatched chick disappearance (due to predation) was -related to low feeding rates, whereas first-hatched chick disappearance was related to low fresh egg-weights.. First-hatched chicks survived better than second-hatched chicks both years, and more pairs fledged two chicks in 1978. Maximum estimated feeding rates at the nest and fledging ages suggested that food was more avatlable in 1978 than in 1979. In 1979, second eggs apparently functioned as "insurance" eggs. When the first-laid egg falled to hatch, or the first-hatched chick died, the second-hatched chick was often successfully fledged. When first-hatched chicks survived, the second-hatched chick usually starved or was preyed upon, reducing the brood to one chick. Parental investment patterns favored first-hatched chicks. Brood reduction, when employed, discouraged total nest failure, however, under appropriate conditions, brood reduction was avoided and full broods (or two chicks) were fledged.

The effect of feeding regime on larval black fly (Diptera: simuliidae) primary head fan ray number

Identification of larval simuliids has always been difficult due to the morphological similarity many species bear to one another. For this reason all characters available have been drawn upon to aid in species identification, including head fan ray number. Even in light of an increasing body of anecdotal reports that head fan ray number is not fixed, it has continued to be used to aid species identification. In the current experiment simuliid larvae were reared under controlled laboratory conditions to last instar in one of three feeding regimes. Out of nine trials, the results of six showed a significant inverse relationship between feeding regime and head fan ray number. In addition to the laboratory experiments, larvae were also collected from the field over the course of the spring and summer, 1994. From these samples significant interspecific and intraspecific variations in head fan ray number were found both spatially and temporally within Algonquin Park. From these data it is concluded that head fan ray number for the species analysed is a developmentally plastic character, which varies in response to food availability. Furthermore, given the extreme variations in head fan ray number found in some species, I recommend that head fan ray number not be used as an aid to identification unless it can be shown to be a fixed character for the species in question.

The role of learning and growth hormone-releasing factor in the control of protein intake in rats /

Both learning and basic biological mechanisms have been shown to play a role in the control of protein int^e. It has previously been shown that rats can adapt their dietary selection patterns successfully in the face of changing macronutrient requirements and availability. In particular, it has been demonstrated that when access to dietary protein is restricted for a period of time, rats selectively increase their consumption of a proteincontaining diet when it becomes available. Furthermore, it has been shown that animals are able to associate various orosensory cues with a food's nutrient content. In addition to the role that learning plays in food intake, there are also various biological mechanisms that have been shown to be involved in the control of feeding behaviour. Numerous studies have documented that various hormones and neurotransmitter substances mediate food intake. One such hormone is growth hormone-releasing factor (GRF), a peptide that induces the release of growth hormone (GH) from the anterior pituitary gland. Recent research by Vaccarino and Dickson ( 1 994) suggests that GRF may stimulate food intake by acting as a neurotransmitter in the suprachiasmatic nucleus (SCN) and the adjacent medial preoptic area (MPOA). In particular, when GRF is injected directly into the SCN/MPOA, it has been shown to selectively enhance the intake of protein in both fooddeprived and sated rats. Thus, GRF may play a role in activating protein consumption generally, and when animals have a need for protein, GRF may serve to trigger proteinseeking behaviour. Although researchers have separately examined the role of learning and the central mechanisms involved in the control of protein selection, no one has yet attempted to bring together these two lines of study. Thus, the purpose of this study is to join these two parallel lines of research in order to further our understanding of mechanisms controlling protein selection. In order to ascertain the combined effects that GRF and learning have on protein intake several hypothesis were examined. One major hypothesis was that rats would successfully alter their dietary selection patterns in response to protein restriction. It was speculated that rats kept on a nutritionally complete maintenance diet (NCMD) would consume equal amount of the intermittently presented high protein conditioning diet (HPCD) and protein-free conditioning diet (PFCD). However, it was hypothesized that rats kept on a protein-free maintenance diet (PFMD) would selectively increase their intake of the HPCD. Another hypothesis was that rats would learn to associate a distinct marker flavour with the nutritional content of the diets. If an animal is able to make the association between a marker flavour and the nutrient content of the food, then it is hypothesized that they will consume more of a mixed diet (equal portion HPCD and PFCD) with the marker flavour that was previously paired with the HPCD (Mixednp-f) when kept on the PFMD. In addition, it was hypothesized that intracranial injection of GRF into the SCN/MPOA would result in a selective increase in HPCD as well as Mixednp-t consumption. Results demonstrated that rats did in fact selectively increase their consumption of the flavoured HPCD and Mixednp-f when kept on the NCMD. These findings indicate that the rats successfully learned about the nutrient content of the conditioning diets and were able to associate a distinct marker flavour with the nutrient content of the diets. However, the results failed to support previous findings that GRF increases protein intake. In contrast, the administration of GRF significantly reduced consumption of HPCD during the first hour of testing as compared to the no injection condition. In addition, no differences in the intake of the HPCD were found between the GRF and vehicle condition. Because GRF did not selectively increase HPCD consumption, it was not surprising that GRF also did not increase MixedHP-rintake. What was interesting was that administration of GRF and vehicle did not reduc^Mixednp-f consumption as it had decreased HPCD consumption.