Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.

What determines the yen swap spread?

We investigate if Japanese yen denominated interest rate swap spreads price risks in addition to liquidity and default risk. These additional risks include: the time-varying correlation between interest rates of different types and maturities; business cycle risk; and market skewness risk. Our analysis, over a number of different maturities and sample periods, supports the existence of an additional risk premium. We also show that the time-varying correlation between short term market interest rates (e.g., TIBOR) and the longer term Government bond yield (e.g., Gensaki) is of particular importance. Japanese yen swap spreads are shown to contain both pro-cyclical and counter-cyclical elements of business cycle risk, positive risk premia for skewness risk and variable risk premia for correlation risk (between fixed and floating interest rates).

International portfolio diversification: evidence from emerging markets

Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

Correlation of macrophage location and plaque stress distribution using USPIO-enhanced MRI in a patient with symptomatic severe carotid stenosis: A new insight into risk stratification

High resolution, USPIO-enhanced MR imaging can be used to identify inflamed atherosclerotic plaque. We report a case of a 79-year-old man with a symptomatic carotid stenosis of 82%. The plaque was retrieved for histology and finite element analysis (FEA) based on the preoperative MR imaging was used to predict maximal Von Mises stress on the plaque. Macrophage location correlated with maximal predicted stresses on the plaque. This supports the hypothesis that macrophages thin the fibrous cap at points of highest stress, leading to an increased risk of plaque rupture and subsequent stroke.

Order of question presentation and correlation between judgments of comparative and own risk

Unrealistic optimism is often assessed using a single question asking for an estimate of comparative risk. However, it has been proposed that individuals treat such a question essentially as though it were only about their own risk. This proposal leads to the prediction that, when the questions about own risk and comparative risk are asked in sequence, the correlation between the resulting estimates should be lower if the question about own risk comes first than if the question about comparative risk comes first. This prediction was tested using a student sample (N=68). Participants answered the two types of question in sequence, with order of presentation being counterbalanced. Results were in accord with the prediction. Possible reasons are advanced for individuals' answering questions about comparative risk as if the questions concerned their own risk.

Waist circumference, waist-hip ratio and BMI and their correlation with cardiovascular risk factors in Australian adults

Objectives. To compare body mass index (BMI), waist circumference and waist–hip ratio (WHR) as indices of obesity and assess the respective associations with type 2 diabetes, hypertension and dyslipidaemia.

Design and setting. A national sample of 11 247 Australians aged ≥25 years was examined in 2000 in a cross-sectional survey.

Main outcome measures. The examination included a fasting blood sample, standard 2-h 75-g oral glucose tolerance test, blood pressure measurements and questionnaires to assess treatment for dyslipidaemia and hypertension. BMI, waist circumference and WHR were measured to assess overweight and obesity.

Results. The prevalence of obesity amongst Australian adults defined by BMI, waist circumference and WHR was 20.8, 30.5 and 15.8% respectively. The unadjusted odds ratio for the fourth vs. first quartile of each obesity measurement showed that WHR had the strongest relationship with type 2 diabetes, dyslipidaemia (women only) and hypertension. Following adjustment for age, however, there was little difference between the three measures of obesity, with the possible exceptions of hypertension in women, where BMI had a stronger association, and dyslipidaemia in women and type 2 diabetes in men, where WHR was marginally superior.

Conclusions. Waist circumference, BMI and WHR identified different proportions of the population, as measured by both prevalence of obesity and cardiovascular disease (CVD) risk factors. Whilst WHR had the strongest correlations with CVD risk factors before adjustment for age, the three obesity measures performed similarly after adjustment for age. Given the difficulty of using age-adjusted associations in the clinical setting, these results suggest that given appropriate cut-off points, WHR is the most useful measure of obesity to use to identify individuals with CVD risk factors.

Human papillomavirus (HPV) detection in lip squamous cell carcinoma: correlation with clinical aspects and risk factors

O papilomavírus humano (HPV) está associado a um largo espectro de lesões em humanos e tem sido ligado à carcinogênese oral. O objetivo deste estudo foi investigar a presença do DNA do HPV em pacientes com carcinoma espinocelular de lábio e correlacioná-la com aspectos clínicos e fatores de risco. Foram estudados 33 pacientes com carcinoma espinocelular de lábio. Destes, 30 pacientes foram positivos para o gene da beta-globina humana e então foram testados para o DNA do HPV com uso da reação em cadeia de polimerase em duas etapas (PCR e nPCR) com os oligonucleotídeos iniciadores MY11/MY09 e GP5+/ GP6+. O DNA do HPV foi detectado em 43,33% dos 30 pacientes analisados. Não houve associação com os fatores de risco analisados.

Detection of HPV in mouth floor squamous cell carcinoma and its correlation with clinicopathologic variables, risk factors and survival

The human papillomavirus (HPV) has been historically associated with head and neck cancers, although its role in oral carcinogenesis remains poorly defined. The purpose of this study was to investigate the prevalence of HPV in mouth floor squamous cell carcinoma and correlate it with clinicopathologic variables, risk factors and survival. HPV presence was evaluated by nested polymerase chain reaction (nPCR) in 29 paraffin-embedded specimens of mouth floor squamous cell carcinoma. HPV DNA was detected in 17.2% (5 of 29) of the specimens; the highest prevalence was observed in non-smoking patients over the age of 60 years. All HPV DNA positive specimens were detected in men with clinical stage III and IV lesions, being most of which were moderately differentiated. Despite this correlation there were no statistically significant differences observed among the analyzed variables, including patients' survival. The relatively low incidence of HPV DNA present in these tumors suggests that this virus does not, by itself, have a significant role in the development of mouth floor squamous cell carcinoma. J Oral Pathol Med (2008) 37: 593-598

The 60-and 70-kDa heat-shock proteins and their correlation with cardiovascular risk factors in postmenopausal women with metabolic syndrome

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.

Correlation of NCAP performance with fatality risk in actual head-on collisions.

Mode of access: Internet.

Resilience in chronic disease : the relationships among risk factors, protective factors, adaptive outcomes, and the level of resilience in adults with diabetes

Background: There are innumerable diabetes studies that have investigated associations between risk factors, protective factors, and health outcomes; however, these individual predictors are part of a complex network of interacting forces. Moreover, there is little awareness about resilience or its importance in chronic disease in adulthood, especially diabetes. Thus, this is the first study to: (1) extensively investigate the relationships among a host of predictors and multiple adaptive outcomes; and (2) conceptualise a resilience model among people with diabetes. Methods: This cross-sectional study was divided into two research studies. Study One was to translate two diabetes-specific instruments (Problem Areas In Diabetes, PAID; Diabetes Coping Measure, DCM) into a Chinese version and to examine their psychometric properties for use in Study Two in a convenience sample of 205 outpatients with type 2 diabetes. In Study Two, an integrated theoretical model is developed and evaluated using the structural equation modelling (SEM) technique. A self-administered questionnaire was completed by 345 people with type 2 diabetes from the endocrine outpatient departments of three hospitals in Taiwan. Results: Confirmatory factor analyses confirmed a one-factor structure of the PAID-C which was similar to the original version of the PAID. Strong content validity of the PAID-C was demonstrated. The PAID-C was associated with HbA1c and diabetes self-care behaviours, confirming satisfactory criterion validity. There was a moderate relationship between the PAID-C and the Perceived Stress Scale, supporting satisfactory convergent validity. The PAID-C also demonstrated satisfactory stability and high internal consistency. A four-factor structure and strong content validity of the DCM-C was confirmed. Criterion validity demonstrated that the DCM-C was significantly associated with HbA1c and diabetes self-care behaviours. There was a statistical correlation between the DCM-C and the Revised Ways of Coping Checklist, suggesting satisfactory convergent validity. Test-retest reliability demonstrated satisfactory stability of the DCM-C. The total scale of the DCM-C showed adequate internal consistency. Age, duration of diabetes, diabetes symptoms, diabetes distress, physical activity, coping strategies, and social support were the most consistent factors associated with adaptive outcomes in adults with diabetes. Resilience was positively associated with coping strategies, social support, health-related quality of life, and diabetes self-care behaviours. Results of the structural equation modelling revealed protective factors had a significant direct effect on adaptive outcomes; however, the construct of risk factors was not significantly related to adaptive outcomes. Moreover, resilience can moderate the relationships among protective factors and adaptive outcomes, but there were no interaction effects of risk factors and resilience on adaptive outcomes. Conclusion: This study contributes to an understanding of how risk factors and protective factors work together to influence adaptive outcomes in blood sugar control, health-related quality of life, and diabetes self-care behaviours. Additionally, resilience is a positive personality characteristic and may be importantly involved in the adjustment process among people living with type 2 diabetes.

Evaluation of risk factors leading to cost overrun in delivery of highway construction projects

Accurate owner budget estimates are critical to the initial decision-to-build process for highway construction projects. However, transportation projects have historically experienced significant construction cost overruns from the time the decision to build has been taken by the owner. This paper addresses the problem of why highway projects overrun their predicted costs. It identifies the owner risk variables that contribute to significant cost overrun and then uses factor analysis, expert elicitation, and the nominal group technique to establish groups of importance ranked owner risks. Stepwise multivariate regression analysis is also used to investigate any correlation of the percentage of cost overrun with risks, together with attributes such as highway project type, indexed cost, geographics location, and project delivery method. The research results indicate a correlation between the reciprocal of project budgets size and percentage cost overrun. This can be useful for owners in determining more realistic decision-to-build highway budget estimates by taking into account the economies of scale associated with larger projects.