Factor models and the credit risk of a loan portfolio

Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may be violated in one-factor models with constant default thresholds, as conditional defaults become independent only including a set of observable (time-lagged) risk factors. This result is confirmed both when we consider semi-annual default rates and if we focus on small firms. Maximum likelihood estimates for the sensitivity of default rates to systematic risk factors are obtained, showing how they may substantially vary across industry sectors. Finally, individual risk contributions are derived through Monte Carlo simulation.Asset correlation, factor models, loss distribution, portfolio credit risk, risk contributions

Homocysteine in cerebrovascular disease: An independent risk factor for subcortical vascular encephalopathy

Hyperhomocysteinemia is a risk factor for obstructive large-vessel disease. Here, we studied plasma concentrations of homocysteine and vitamins in patients suffering from subcortical vascular encephalopathy (SVE), a cerebral small-vessel disease leading to dementia. These results were compared to the homocysteine and vitamin plasma concentrations from patients with cerebral large vessel disease and healthy control subjects. Plasma concentrations of homocysteine, vascular risk factors and vitamin status (B-6, B-12, folate) were determined in 82 patients with subcortical vascular encephalopathy, in 144 patients with cerebral large-vessel disease and in 102 control subjects. Patients with SVE, but not those with cerebral large-vessel disease, exhibited pathologically increased homocysteine concentrations in comparison with control subjects without cerebrovascular disease. Patients with SVE also showed lower vitamin B6 values in comparison to subjects without cerebrovascular disease. Logistic regression analysis showed that homocysteine is associated with the highest risk for SVE (odds ratio 5.7; CI 2.5-12.9) in comparison to other vascular risk factors such as hypertension, age and smoking. These observations indicate that hyperhomocysteinemia is a strong independent risk factor for SVE

The independent association of overweight and obesity with breathlessness in adults: a cross-sectional, population-based study

Obesity is an independent risk factor for chronic breathlessness and should be assessed in people with this symptom

The staging of gastritis with the olga system in the italian setting. histological features and gastric cancer risk

BACKGROUND: Recently OLGA (Operative Link on Gastritis Assessment) classification has been proposed to identify high-risk forms of gastritis that can evolve in gastric cancer (stages III and IV). Helicobacter pylori infection and age older than 40 have been considered as independent risk factor for high-risk OLGA stages

HIV infection is an independent risk factor for decreased 6-minute walk test distance.

BackgroundAmbulatory function predicts morbidity and mortality and may be influenced by cardiopulmonary dysfunction. Persons living with HIV (PLWH) suffer from a high prevalence of cardiac and pulmonary comorbidities that may contribute to higher risk of ambulatory dysfunction as measured by 6-minute walk test distance (6-MWD). We investigated the effect of HIV on 6-MWD.MethodsPLWH and HIV-uninfected individuals were enrolled from 2 clinical centers and completed a 6-MWD, spirometry, diffusing capacity for carbon monoxide (DLCO) and St. George's Respiratory Questionnaire (SGRQ). Results of 6-MWD were compared between PLWH and uninfected individuals after adjusting for confounders. Multivariable linear regression analysis was used to determine predictors of 6-MWD.ResultsMean 6-MWD in PLWH was 431 meters versus 462 in 130 HIV-uninfected individuals (p = 0.0001). Older age, lower forced expiratory volume (FEV1)% or lower forced vital capacity (FVC)%, and smoking were significant predictors of decreased 6-MWD in PLWH, but not HIV-uninfected individuals. Lower DLCO% and higher SGRQ were associated with lower 6-MWD in both groups. In a combined model, HIV status remained an independent predictor of decreased 6-MWD (Mean difference = -19.9 meters, p = 0.005).ConclusionsHIV infection was associated with decreased ambulatory function. Airflow limitation and impaired diffusion capacity can partially explain this effect. Subjective assessments of respiratory symptoms may identify individuals at risk for impaired physical function who may benefit from early intervention

Fibrinogen as independent risk factor for ischemic stroke

We have studied fibrinogen levels (Clauss technique) in atherothrombotic ischemic stroke patients, in order to determine its role as a thombogenic risk factor. Twenty nine patients (20 men and 9 women) between 25 and 79 years old were studied; they all have had a atherothrombotic stroke. They were classified into two groups according to the result of their carotid doppler ultrasonography: g1 - without carotid flow reduction (n=l 9) and g2 - with carotid flow reduction (n=10). The fibrinogen mean value was 269mg/dl in gl and 353 mg/dl in g2. There were 47% of patients in gl and 80% of patients in g2 who presented levels >300 mg/dl. The proportions of the groups were significantly different (p300 mg/dl. As diferenças obtidas entre os grupos neste estudo foram significantes. Conclusão- Considerando o nível de risco epidemiológico de 300 mg/dl, nossos resultados sugerem que o fibrinogênio é um fator de risco independente para AVC aterotrombótico, especialmente naqueles com alteração de fluxo carotídeo.Universidade Federal de São Paulo (UNIFESP) Escola Paulista de MedicinaUniversidade Federal de São Paulo (UNIFESP) Escola Paulista de Medicina Departamento de MedicinaUNIFESP, EPM, Depto. de MedicinaSciEL

Factor Models for Portofolio Credit Risk

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.Default Risk, Portfolio Models

Associations of Blood Pressure and Cholesterol Levels During Young Adulthood With Later Cardiovascular Events.

BackgroundBlood pressure (BP) and cholesterol are major modifiable risk factors for cardiovascular disease (CVD), but effects of exposures during young adulthood on later life CVD risk have not been well quantified.ObjectiveThe authors sought to evaluate the independent associations between young adult exposures to risk factors and later life CVD risk, accounting for later life exposures.MethodsThe authors pooled data from 6 U.S. cohorts with observations spanning the life course from young adulthood to later life, and imputed risk factor trajectories for low-density lipoprotein (LDL) and high-density lipoprotein cholesterols, systolic and diastolic BP starting from age 18 years for every participant. Time-weighted average exposures to each risk factor during young (age 18 to 39 years) and later adulthood (age ≥40 years) were calculated and linked to subsequent risks of coronary heart disease (CHD), heart failure (HF), or stroke.ResultsA total of 36,030 participants were included. During a median follow-up of 17 years, there were 4,570 CHD, 5,119 HF, and 2,862 stroke events. When young and later adult risk factors were considered jointly in the model, young adult LDL ≥100 mg/dl (compared with <100 mg/dl) was associated with a 64% increased risk for CHD, independent of later adult exposures. Similarly, young adult SBP ≥130 mm Hg (compared with <120 mm Hg) was associated with a 37% increased risk for HF, and young adult DBP ≥80 mm Hg (compared with <80 mm Hg) was associated with a 21% increased risk.ConclusionsCumulative young adult exposures to elevated systolic BP, diastolic BP and LDL were associated with increased CVD risks in later life, independent of later adult exposures

Serum urea: an independent risk factor for cataract

Background: Elevated levels of blood urea/blood urea nitrogen in serum is considered an independent risk factor for the occurrence of cataract. Estimation of these levels can be used as a predictor for the occurrence of cataract. Methods: This was a hospital-based prospective case control study conducted in the department of ophthalmology at SKIMS MCH, Srinagar from January 2023 to June 2023. We evaluated 25 patients admitted for cataract surgery in our department for serum urea and BUN levels and compared their results with 25 age and sex-matched controls admitted for causes other than cataract. The cases with significantly elevated levels of urea were further screened for possible renal impairment using Glomerular filtration rates and urine albumin. Results: 7 out of 25 cases had elevated levels of serum urea with a mean of 44.2±16.19 mg/dl whereas all 25 patients of the control group had normal serum urea levels with a mean of 28.84±4.3 mg/dl. The mean levels of urea were significantly higher in the cases than controls with p<0.0001. 4 out of the 7 patients in the case group with elevated serum urea levels showed impaired glomerular filtration rates and clinically significant levels of urine albumin. Conclusions: The study suggested a statistically significant correlation (p<0.0001) between serum levels of urea and BUN with cataract

P104 White coat hypertension is associated with increased small vessel disease in the brain

Objective: Small vessel disease, measured by brain white matter hyperintensity (WMH), is associated with increased stroke risk and cognitive impairment. This study aimed to explore the relationship between WMH on computerised tomography (CT) and white coat hypertension (WCH) in patients with recent transient ischaemic attack (TIA) or lacunar stroke (LS). Methods: Ninety-six patients recruited for the ASIST trial (Arterial Stiffness in Lacunar Stroke and TIA) underwent measurement of clinic blood pressure (BP) and ambulatory BP monitoring (APBM) within two weeks of TIA or LS. Patients were grouped by BP phenotypes. Twenty-three patients had normotension (clinic BP 140/90 mmHg and day-time ABPM <135/85 mmHg). CT brain images were scored for WMH using the four-point Fazekas visual rating scale. Patients were grouped into no-mild WMH (scores 0–1) or moderate-severe (scores 2–3) groups. The relationship between BP and WMH was explored with chi-square and logistic regression accounting for known cardiovascular risk factors (age, gender, smoking, diabetes and hyperlipidaemia). Results: 44% of WCH patients had moderate-severe WMH compared to 17% of normotensives (p = 0.047). Logistical regression incorporating WCH as the independent factor and cardiovascular risk factors as independent variables showed WCH to be the only independent significant factor contributing to WMH (p = 0.024). Conclusion: Patients with WCH were more likely to have moderate-severe WMH on CT brain than normotensives. WCH was associated with increased WMH, independent of other cardiovascular risk factors. This study suggests that WCH is associated with increased small vessel disease in the brain and may benefit from treatment