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.

Quality of Disease Management and Risk of Mortality in English Primary Care Practices

OBJECTIVE: To investigate whether better management of chronic conditions by family practices reduces mortality risk. DATA: Two random samples of 5 million patients registered with over 8,000 English family practices followed up for 4 years (2004/5-2007/8). Measures of the quality of disease management for 10 conditions were constructed for each family practice for each year. The outcome measure was an indicator taking the value 1 if the patient died during a specified year, 0 otherwise. STUDY DESIGN: Cross-section and multilevel panel data multiple logistic regressions were estimated. Covariates included age, gender, morbidity, hospitalizations, attributed socio-economic characteristics, and local health care supply measures. PRINCIPAL FINDINGS: Although a composite measure of the quality of disease management for all 10 conditions was significantly associated with lower mortality, only the quality of stroke care was significant when all 10 quality measures were entered in the regression. CONCLUSIONS: The panel data results suggest that a 1 percent improvement in the quality of stroke care could reduce the annual number of deaths in England by 782 [95 percent CI: 423, 1140]. A longer study period may be necessary to detect any mortality impact of better management of other conditions.

Value at Risk in measuring market risk: Historical simulation

In this study the theoretical part was created to make comparison between different Value at Risk models. Based on that comparison one model was chosen to the empirical part which concentrated to find out whether the model is accurate to measure market risk. The purpose of this study was to test if Volatility-weighted Historical Simulation is accurate in measuring market risk and what improvements does it bring to market risk measurement compared to traditional Historical Simulation. Volatility-weighted method by Hull and White (1998) was chosen In order to improve the traditional methods capability to measure market risk. In this study we found out that result based on Historical Simulation are dependent on chosen time period, confidence level and how samples are weighted. The findings of this study are that we cannot say that the chosen method is fully reliable in measuring market risk because back testing results are changing during the time period of this study.

The Swiss cohort study on substance use risk factors : findings of two waves

Aim: To summarize published findings in peer-reviewed journals of the first two waves of the Swiss Cohort Study on Substance Use Risk Factors (C-SURF), a longitudinal study assessing risk and protective factors of 5,987 young men during the phase of emerging adulthood (20 years at baseline, followed-up 15 months later). Methods: Included were 33 studies published until November 2014 focusing on substance use. Results: Substance use in early adulthood is a prevalent and stable behavior. The 12-month prevalence of nonmedical use of prescription drugs (10.6%) lies between that of cannabis (36.4%) and other illicit drugs such as ecstasy (3.7%) and cocaine (3.2%). Although peer pressure in the form of misconduct is associated with increased substance use, other aspects such as peer involvement in social activities may have beneficial effects. Regular sport activities are associated with reduced substance use, with the exception of alcohol use. Young men are susceptible to structural conditions such as the price of alcohol beverages or the density of on-premise alcohol outlets. Particularly alcohol use in public settings such as bars, discos or in parks (compared with private settings such as the home) is associated with alcohol-related harm, including injuries or violence. Being a single parent versus nuclear family has no effect on alcohol use, but active parenting does. Besides parenting, religiousness is an important protective factor for both legal and illegal substance use. Merely informing young men about the risks of substance use may not be an effective preventive measure. At-risk users of licit and illicit substances are more health literate, e. g., for example, they seek out more information on the internet than non-at-risk-users or abstainers. Discussion: There are a number of risk and protective substance use factors, but their associations with substance use do not necessarily agree with those found outside Europe. In the United States, for example, heavy alcohol use in this age group commonly takes place in private settings, whereas in Switzerland it more often takes place in public settings. Other behaviors, such as the nonmedical use of prescription drugs, appear to be similar to those found overseas, which may show the need for targeted preventive actions. C-SURF findings point to the necessity of establishing European studies to identify factors for designing specific preventive actions.

Modelling body mass index and endometrial cancer risk in a pooled-analysis of three case-control studies.

OBJECTIVE: To quantify the relation between body mass index (BMI) and endometrial cancer risk, and to describe the shape of such a relation. DESIGN: Pooled analysis of three hospital-based case-control studies. SETTING: Italy and Switzerland. POPULATION: A total of 1449 women with endometrial cancer and 3811 controls. METHODS: Multivariate odds ratios (OR) and 95% confidence intervals (95% CI) were obtained from logistic regression models. The shape of the relation was determined using a class of flexible regression models. MAIN OUTCOME MEASURE: The relation of BMI with endometrial cancer. RESULTS: Compared with women with BMI 18.5 to <25 kg/m(2) , the odds ratio was 5.73 (95% CI 4.28-7.68) for women with a BMI ≥35 kg/m(2) . The odds ratios were 1.10 (95% CI 1.09-1.12) and 1.63 (95% CI 1.52-1.75) respectively for an increment of BMI of 1 and 5 units. The relation was stronger in never-users of oral contraceptives (OR 3.35, 95% CI 2.78-4.03, for BMI ≥30 versus <25 kg/m(2) ) than in users (OR 1.22, 95% CI 0.56-2.67), and in women with diabetes (OR 8.10, 95% CI 4.10-16.01, for BMI ≥30 versus <25 kg/m(2) ) than in those without diabetes (OR 2.95, 95% CI 2.44-3.56). The relation was best fitted by a cubic model, although after the exclusion of the 5% upper and lower tails, it was best fitted by a linear model. CONCLUSIONS: The results of this study confirm a role of elevated BMI in the aetiology of endometrial cancer and suggest that the risk in obese women increases in a cubic nonlinear fashion. The relation was stronger in never-users of oral contraceptives and in women with diabetes. TWEETABLE ABSTRACT: Risk of endometrial cancer increases with elevated body weight in a cubic nonlinear fashion.

Risk of hypoglycemia in newborns from mothers with gestacional diabetes

There are not enough previous publications which are focused on mothers with well-controlled gestational diabetes mellitus (GDM) as a risk factor that determines the occurrence of neonatal hypoglycemia. In addition, approaches to blood glucose monitoring have been inconsistent and poorly defined. Our objective is to determine if being a newborn from a mother with well-controlled gestational diabetes (regardless insulin treatment) have a higher risk to develop hypoglycemia than a healthy newborn, using a defined and strict protocol. The project will take place in a regional hospital of Girona. We will recruit from 2014 to 2015 a cohort of 623 infants born in this center without any malformation or any perinatal pathology or complication, selected with a consecutive sampling. We will record sex, ethnicity and gestational age information. We will measure blood glucose levels and anthropometric measurements in newborns always taking into account the presence of well-controlled maternal gestational diabetes or not. Patients will be followed up during 24 hours to determine the incidence of hypoglycemia. We will analyze the contribution between exposure factors that we have studied and the incidence of the outcome using a multivariate analysis

Improving interMediAte Risk management. MARK study

Background: Cardiovascular risk functions fail to identify more than 50% of patients who develop cardiovascular disease. This is especially evident in the intermediate-risk patients in which clinical management becomes difficult. Our purpose is to analyze if ankle-brachial index (ABI), measures of arterial stiffness, postprandial glucose, glycosylated hemoglobin, self-measured blood pressure and presence of comorbidity are independently associated to incidence of vascular events and whether they can improve the predictive capacity of current risk equations in the intermediate-risk population. Methods/Design: This project involves 3 groups belonging to REDIAPP (RETICS RD06/0018) from 3 Spanish regions. We will recruit a multicenter cohort of 2688 patients at intermediate risk (coronary risk between 5 and 15% or vascular death risk between 3-5% over 10 years) and no history of atherosclerotic disease, selected at random. We will record socio-demographic data, information on diet, physical activity, comorbidity and intermittent claudication. We will measure ABI, pulse wave velocity and cardio ankle vascular index at rest and after a light intensity exercise. Blood pressure and anthropometric data will be also recorded. We will also quantify lipids, glucose and glycosylated hemoglobin in a fasting blood sample and postprandial capillary glucose. Eighteen months after the recruitment, patients will be followed up to determine the incidence of vascular events (later follow-ups are planned at 5 and 10 years). We will analyze whether the new proposed risk factors contribute to improve the risk functions based on classic risk factors. Discussion: Primary prevention of cardiovascular diseases is a priority in public health policy of developed and developing countries. The fundamental strategy consists in identifying people in a high risk situation in which preventive measures are effective and efficient. Improvement of these predictions in our country will have an immediate, clinical and welfare impact and a short term public health effect

Accounting Beta Measuring Systematic Risk: Empirical Evidence from the Finnish Markets

The main purpose of this study is to examine whether accounting-based variables can be used to measure systematic risk of a company using Finnish data. When the fundamental sources of systematic risk are known, companies are able to manage these risks and increase company value. Accounting beta was formed based on OLS regression models. Theoretical background for the study was based on the findings of studies according to which business risk, financial risk, operating risk and growth risk can be theoretically regarded as determinants of the systematic risk. The results reveal that accounting variables describe systematic risk of a company. The accounting beta is found to be particularly sensitive to the changes in the risk components. The investigation is confidential until 15.10.2012.

Classification, comorbidity, heredity, and risk factors of female sexual dysfunctions

Female sexual dysfunctions, including desire, arousal, orgasm and pain problems, have been shown to be highly prevalent among women around the world. The etiology of these dysfunctions is unclear but associations with health, age, psychological problems, and relationship factors have been identified. Genetic effects explain individual variation in orgasm function to some extent but until now quantitative behavior genetic analyses have not been applied to other sexual functions. In addition, behavior genetics can be applied to exploring the cause of any observed comorbidity between the dysfunctions. Discovering more about the etiology of the dysfunctions may further improve the classification systems which are currently under intense debate. The aims of the present thesis were to evaluate the psychometric properties of a Finnish-language version of a commonly used questionnaire for measuring female sexual function, the Female Sexual Function Index (FSFI), in order to investigate prevalence, comorbidity, and classification, and to explore the balance of genetic and environmental factors in the etiology as well as the associations of a number of biopsychosocial factors with female sexual functions. Female sexual functions were studied through survey methods in a population based sample of Finnish twins and their female siblings. There were two waves of data collection. The first data collection targeted 5,000 female twins aged 33–43 years and the second 7,680 female twins aged 18–33 and their over 18–year-old female siblings (n = 3,983). There was no overlap between the data collections. The combined overall response rate for both data collections was 53% (n = 8,868), with a better response rate in the second (57%) compared to the first (45%). In order to measure female sexual function, the FSFI was used. It includes 19 items which measure female sexual function during the previous four weeks in six subdomains; desire, subjective arousal, lubrication, orgasm, sexual satisfaction, and pain. In line with earlier research in clinical populations, a six factor solution of the Finnish-language version of the FSFI received supported. The internal consistencies of the scales were good to excellent. Some questions about how to avoid overestimating the prevalence of extreme dysfunctions due to women being allocated the score of zero if they had had no sexual activity during the preceding four weeks were raised. The prevalence of female sexual dysfunctions per se ranged from 11% for lubrication dysfunction to 55% for desire dysfunction. The prevalence rates for sexual dysfunction with concomitant sexual distress, in other words, sexual disorders were notably lower ranging from 7% for lubrication disorder to 23% for desire disorder. The comorbidity between the dysfunctions was substantial most notably between arousal and lubrication dysfunction even if these two dysfunctions showed distinct patterns of associations with the other dysfunctions. Genetic influences on individual variation in the six subdomains of FSFI were modest but significant ranging from 3–11% for additive genetic effects and 5–18% for nonadditive genetic effects. The rest of the variation in sexual functions was explained by nonshared environmental influences. A correlated factor model, including additive and nonadditive genetic effects and nonshared environmental effects had the best fit. All in all, every correlation between the genetic factors was significant except between lubrication and pain. All correlations between the nonshared environment factors were significant showing that there is a substantial overlap in genetic and nonshared environmental influences between the dysfunctions. In general, psychological problems, poor satisfaction with the relationship, sexual distress, and poor partner compatibility were associated with more sexual dysfunctions. Age was confounded with relationship length but had over and above relationship length a negative effect on desire and sexual satisfaction and a positive effect on orgasm and pain functions. Alcohol consumption in general was associated with better desire, arousal, lubrication, and orgasm function. Women pregnant with their first child had fewer pain problems than nulliparous nonpregnant women. Multiparous pregnant women had more orgasm problems compared to multiparous nonpregnant women. Having children was associated with less orgasm and pain problems. The conclusions were that desire, subjective arousal, lubrication, orgasm, sexual satisfaction, and pain are separate entities that have distinct associations with a number of different biopsychosocial factors. However, there is also considerable comorbidity between the dysfunctions which are explained by overlap in additive genetic, nonadditive genetic and nonshared environmental influences. Sexual dysfunctions are highly prevalent and are not always associated with sexual distress and this relationship might be moderated by a good relationship and compatibility with partner. Regarding classification, the results supports separate diagnoses for subjective arousal and genital arousal as well as the inclusion of pain under sexual dysfunctions.

Same- and Other-Sex Victimization : Risk Factors, Consequences, and Protection by Peers

Bullying can be viewed as goal-oriented behavior in the strive for dominance and prestige in the peer group (Salmivalli, 2010). To ensure the effectiveness of their power demonstrations, bullies often choose targets from among their vulnerable peers (Salmivalli, 2010; Veenstra et al., 2007). A large number of studies have also shown that victimization has severe consequences for the victims’ psychosocial adjustment (Reijntjes, Kamphuis, Prinzie, & Telch, 2010; Ttofi, Farrington, Lösel, & Loeber, 2011). In this thesis I investigate – based on three empirical studies – whether similar dynamics on the risk factors and consequences apply to same- and other-sex victimization. In the empirical studies, we used the data from the randomized control trial of the KiVa antibullying program for the elementary school grades 4–6 (2007–2008), and for the middle school grades 7–9 (2008–2009). We measured same- and other-sex victimization, and victims’ defending relationships by dyadic questions: “By which classmates are you victimized?” and “By which classmates are you supported, comforted, or defended?” In addition, we used self-reports and peer reports to measure adjustment and social status. The findings imply that other-sex victimization may be challenging for antibullying work. First, although targets of bullying seemed to be selected from among vulnerable peers for the most part, perceived popularity increased the risks of other-sex victimization. Popularity of these victims may falsely lead to an impression that the victims are doing well. Second, the consequences considering victims’ later psychosocial adjustment were alarming concerning girls bullied by boys. Thus, despite the fact that the targets may be perceived as popular, other-sex victimization can have even more severe consequences than same-sex victimization. Third, we found that defending relationships were mostly same-sex relationships, and consequently, we may ask whether defending is effective against other-sex bullies. Finally, the KiVa antibullying program was less effective against other-sex victimization in the adolescent sample. The findings altogether emphasize the importance of taking into account the sex composition of the bully-victim dyad, both considering future research on bullying and in the antibullying work with children and adolescents.

Linking community variables to parenting behaviours and youth risk behaviours

The puq)ose of this thesis is to test a model Hnking community disadvantage and urbanicity factors to parenting variables (i.e., monitoring, warmth, and knowledge) and to youth risk behavior (i.e., substance use and delinquency), measured both concurrently and one year after the assessment of parenting variables. The model builds on the work of Fletcher, Steinberg, and Williams-Wheeler (2004) but a) includes a more comprehensive measure of SES than that conceptualized by Fletcher et al.; b) considers whether the role of community disadvantage is indirectly as well as directly linked to youth risk behavior, by way of its association with parenting variables; c) considers whether level of community urbanicity plays a direct role in predicting both parenting variables and risk behaviors, or whether its influence on risk behaviours is primarily indirect through parenting variables. Both community disadvantage and urbanicity had virtually no relation to parenting and risk behaviour variables. Results found for relations of parenting variables and risk behaviour were similar to Fletcher et al. Although urban youth are typically perceived as being more at risk for substance use and delinquency, no evidence was found for a distinction between urban and rural youth within this sample. Targeting risk behaviour prevention/reduction programs toward only urban youth, therefore, is not supported by these findings.

Closing the Summer Learning Gap for Vulnerable Children: An Examination of a Summer Family Literacy Program for Junior Kindergarten Children At-Risk for Reading Difficulties

The learning gap created by summer vacation creates a significant breach in the learning cycle, where student achievement levels decrease over the course ofthe summer (Cooper et aI., 2000). In a review of 39 studies, Cooper and colleagues (1996) specified that the summer learning shortfall equals at least one month loss of instruction as measured by grade level equivalents on standardized test scores. Specifically, the achievement gap has a more profound effect on children as they grow older, where there is a steady deterioration in knowledge and skills sustained during the summer months (Cooper et aI., 1996; Kerry & Davies, 1998). While some stakeholders believe that the benefits of a summer vacation overshadow the reversing effect on achievement, it is the impact of the summer learning gap on vulnerable children, including children who are disadvantaged as a result of requiring special educational needs, children from low socioeconomic backgrounds, and children learning English as a second language, that is most problematic. More specifically, research has demonstrated that it is children's literacy-based skills that are most affected during the summer months. Children from high socioeconomic backgrounds recurrently showed gains in reading achievement over the summer whereas disadvantaged children repeatedly illustrate having significant losses. Consequently, the summer learning gap was deemed to exaggerate the inequality experienced by children from low socioeconomic backgrounds. Ultimately, the summer learning gap was found to have the most profound on vulnerable children, placing these children at an increased chance for academic failure. A primary feature of this research project was to include primary caregivers as authentic partners in a summer family literacy program fabricated to scaffold their children's literacy-based needs. This feature led to the research team adapting and implementing a published study entitled, Learning Begins at Home (LBH): A Research-Based Family Literacy Program Curriculum. Researchers at the Ontario Institute designed this program for the Study of Education, University of Toronto. The LBH program capitalized on incorporating the flexibility required to make the program adaptable to meet the needs of each participating child and his or her primary caregiver. As it has been well documented in research, the role primary caregivers have in an intervention program are the most influential on a child's future literacy success or failure (Timmons, 2008). Subsequently, a requirement for participating in the summer family literacy program required the commitment of one child and one of his or her primary caregivers. The primary caregiver played a fundamental role in the intervention program through their participation in workshop activities prior to and following hands on work with their child. The purpose of including the primary caregiver as an authentic partner in the program was to encourage a definitive shift in the family, whereby caregivers would begin to implement literacy activities in their home on a daily basis. The intervention program was socially constructed through the collaboration of knowledge. The role ofthe author in the study was as the researcher, in charge of analyzing and interpreting the results of the study. There were a total of thirty-six (36) participants in the study; there were nineteen (19) participants in the intervention group and seventeen (17) participants in the control group. All of the children who participated in the study were enrolled in junior kindergarten classrooms within the Niagara Catholic District School Board. Once children were referred to the program, a Speech and Language Pathologist assessed each individual child to identify if they met the eligibility requirements for participation in the summer family literacy intervention program. To be eligible to participate, children were required to demonstrate having significant literacy needs (i.e., below 25%ile on the Test of Preschool Early Literacy described below). Children with low incident disabilities (such as Autism or Intellectual Disabilities) and children with significant English as a Second Language difficulties were excluded from the study. The research team utilized a standard pre-test-post-test comparison group design whereby all participating children were assessed with the Test of Preschool Early Literacy (Lonigan et aI., 2007), and a standard measure of letter identification and letter sound understanding. Pre-intervention assessments were conducted two weeks prior to the intervention program commencing, and the first set of the post-intervention assessments were administered immediately following the completion of the intervention program. The follow-up post-intervention assessments took place in December 2010 to measure the sustainability of the gains obtained from the intervention program. As a result of the program, all of the children in the intervention program scored statistically significantly higher on their literacy scores for Print Knowledge, Letter Identification, and Letter Sound Understanding scores than the control group at the postintervention assessment point (immediately following the completion of the program) and at the December post-intervention assessment point. For Phonological Awareness, there was no statistically significant difference between the intervention group and the control at the postintervention assessment point, however, there was a statistically significant difference found between the intervention group and the control group at the December post-intervention assessment point. In general, these results indicate that the summer family literacy intervention program made an immediate impact on the emergent literacy skills of the participating children. Moreover, these results indicate that the summer family literacy intervention program has the ability to foster the emergent literacy skills of vulnerable children, potentially reversing the negative effect the summer learning gap has on these children.

Associations Between Personal Cancer History and Lung Cancer Risk

The study aim was to investigate the relationship between factors related to personal cancer history and lung cancer risk as well as assess their predictive utility. Characteristics of interest included the number, anatomical site(s), and age of onset of previous cancer(s). Data from the Prostate, Lung, Colorectal and Ovarian Screening (PLCO) Cancer Screening Trial (N = 154,901) and National Lung Screening Trial (N = 53,452) were analysed. Logistic regression models were used to assess the relationships between each variable of interest and 6-year lung cancer risk. Predictive utility was assessed through changes in area-under-the-curve (AUC) after substitution into the PLCOall2014 lung cancer risk prediction model. Previous lung, uterine and oral cancers were strongly and significantly associated with elevated 6-year lung cancer risk after controlling for confounders. None of these refined measures of personal cancer history offered more predictive utility than the simple (yes/no) measure already included in the PLCOall2014 model.

Effects of credit rating change on risk-taking

This thesis investigates whether there are changes in risk-taking behavior following an upgrade or downgrade in credit ratings. Research on effects of rating changes on capital markets is well-documented but the literature on how rating changes may affect firm behavior is sparse. Following, a downgrade in credit rating, managers may increase risk-taking to improve their overall performance or reduce risk-taking following upgrades to ensure that their performance is assessed more on the basis of what they may deem success in the form of an upgrade. Using a sample of firms trading in the U.S from 1994-2013, we find evidence of change in risk-taking behavior. We use cross-sectional regressions and matching using propensity scores and Barber and Lyon (1997) methodology to measure changes in risk-taking and we do find evidence of changes in managerial risk-taking behavior. Furthermore, we find that the direction of change (increase or decrease) in some cases is dependent on the type of measure rather than the type of rating change.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.