Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques

The proposed market-risk capital-adequacy framework, to be implemented at the end of 1997, requires Australian banks to hold capital against market risk. A fundamental component of this framework is the opportunity for banks to use their value-at-risk (VaR) models as the basis of the market-risk capital charge. Value-at-risk measures the potential loss on a portfolio for a specified level of confidence if adverse movements in market prices were to occur. This paper examines the VaR measure and some of the techniques available for assessing the performance of a VaR model. The first section of the paper uses a simple portfolio of two spot foreign exchange positions to illustrate three of the approaches used in the calculation of a VaR measure: variance-covariance, historical simulation and Monte-Carlo simulation. It is concluded that, although VaR is a very useful tool, it is not without its shortcomings and so should be supplemented with other risk-management techniques. The second section of the paper focuses on the use of backtesting – the comparison of model-generated VaR numbers with actual profits and losses z– for assessing the accuracy of a VaR model. Several statistical tests are demonstrated by testing daily VaR and profit and loss data obtained from an Australian bank. The paper concludes that, although the tests are not sufficiently precise to form the basis of regulatory treatment of banks’ VaR results, the tests do provide useful diagnostic information for evaluating model performance.

Social Buffering as a Moderator of the Relationship Between Anxiety and Attention

A Research Methods Project supervised by Dr. Laura Wilson (Spring 2021)

DU Undergraduate Showcase: Research, Scholarship, and Creative Works

DU Undergraduate Showcase: Research, Scholarship, and Creative Work

Chronic Stroke Sensorimotor Impairment Is Related to Smaller Hippocampal Volumes: An ENIGMA Analysis

Background. Persistent sensorimotor impairments after stroke can negatively impact quality of life. The hippocampus is vulnerable to poststroke secondary degeneration and is involved in sensorimotor behavior but has not been widely studied within the context of poststroke upper‐limb sensorimotor impairment. We investigated associations between non‐lesioned hippocampal volume and upper limb sensorimotor impairment in people with chronic stroke, hypothesizing that smaller ipsilesional hippocampal volumes would be associated with greater sensorimotor impairment. Methods and Results. Cross‐sectional T1‐weighted magnetic resonance images of the brain were pooled from 357 participants with chronic stroke from 18 research cohorts of the ENIGMA (Enhancing NeuoImaging Genetics through Meta‐Analysis) Stroke Recovery Working Group. Sensorimotor impairment was estimated from the FMA‐UE (Fugl‐Meyer Assessment of Upper Extremity). Robust mixed‐effects linear models were used to test associations between poststroke sensorimotor impairment and hippocampal volumes (ipsilesional and contralesional separately; Bonferroni‐corrected, P<0.025), controlling for age, sex, lesion volume, and lesioned hemisphere. In exploratory analyses, we tested for a sensorimotor impairment and sex interaction and relationships between lesion volume, sensorimotor damage, and hippocampal volume. Greater sensorimotor impairment was significantly associated with ipsilesional (P=0.005; β=0.16) but not contralesional (P=0.96; β=0.003) hippocampal volume, independent of lesion volume and other covariates (P=0.001; β=0.26). Women showed progressively worsening sensorimotor impairment with smaller ipsilesional (P=0.008; β=−0.26) and contralesional (P=0.006; β=−0.27) hippocampal volumes compared with men. Hippocampal volume was associated with lesion size (P<0.001; β=−0.21) and extent of sensorimotor damage (P=0.003; β=−0.15). Conclusions. The present study identifies novel associations between chronic poststroke sensorimotor impairment and ipsilesional hippocampal volume that are not caused by lesion size and may be stronger in women.S.-L.L. is supported by NIH K01 HD091283; NIH R01 NS115845. A.B. and M.S.K. are supported by National Health and Medical Research Council (NHMRC) GNT1020526, GNT1045617 (A.B.), GNT1094974, and Heart Foundation Future Leader Fellowship 100784 (A.B.). P.M.T. is supported by NIH U54 EB020403. L.A.B. is supported by the Canadian Institutes of Health Research (CIHR). C.M.B. is supported by NIH R21 HD067906. W.D.B. is supported by the Heath Research Council of New Zealand. J.M.C. is supported by NIH R00HD091375. A.B.C. is supported by NIH R01NS076348-01, Hospital Israelita Albert Einstein 2250-14, CNPq/305568/2016-7. A.N.D. is supported by funding provided by the Texas Legislature to the Lone Star Stroke Clinical Trial Network. Its contents are solely the responsibility of the authors and do not necessarily represent the of ficial views of the Government of the United States or the State of Texas. N.E.-B. is supported by Australian Research Council NIH DE180100893. W.F. is sup ported by NIH P20 GM109040. F.G. is supported by Wellcome Trust (093957). B.H. is funded by and NHMRC fellowship (1125054). S.A.K is supported by NIH P20 HD109040. F.B. is supported by Italian Ministry of Health, RC 20, 21. N.S. is supported by NIH R21NS120274. N.J.S. is supported by NIH/National Institute of General Medical Sciences (NIGMS) 2P20GM109040-06, U54-GM104941. S.R.S. is supported by European Research Council (ERC) (NGBMI, 759370). G.S. is supported by Italian Ministry of Health RC 18-19-20-21A. M.T. is sup ported by National Institute of Neurological Disorders and Stroke (NINDS) R01 NS110696. G.T.T. is supported by Temple University sub-award of NIH R24 –NHLBI (Dr Mickey Selzer) Center for Experimental Neurorehabilitation Training. N.J.S. is funded by NIH/National Institute of Child Health and Human Development (NICHD) 1R01HD094731-01A1

A large, curated, open-source stroke neuroimaging dataset to improve lesion segmentation algorithms.

Accurate lesion segmentation is critical in stroke rehabilitation research for the quantification of lesion burden and accurate image processing. Current automated lesion segmentation methods for T1-weighted (T1w) MRIs, commonly used in stroke research, lack accuracy and reliability. Manual segmentation remains the gold standard, but it is time-consuming, subjective, and requires neuroanatomical expertise. We previously released an open-source dataset of stroke T1w MRIs and manually-segmented lesion masks (ATLAS v1.2, N = 304) to encourage the development of better algorithms. However, many methods developed with ATLAS v1.2 report low accuracy, are not publicly accessible or are improperly validated, limiting their utility to the field. Here we present ATLAS v2.0 (N = 1271), a larger dataset of T1w MRIs and manually segmented lesion masks that includes training (n = 655), test (hidden masks, n = 300), and generalizability (hidden MRIs and masks, n = 316) datasets. Algorithm development using this larger sample should lead to more robust solutions; the hidden datasets allow for unbiased performance evaluation via segmentation challenges. We anticipate that ATLAS v2.0 will lead to improved algorithms, facilitating large-scale stroke research

Association of Brain Age, Lesion Volume, and Functional Outcome in Patients With Stroke

BACKGROUND AND OBJECTIVES: Functional outcomes after stroke are strongly related to focal injury measures. However, the role of global brain health is less clear. In this study, we examined the impact of brain age, a measure of neurobiological aging derived from whole-brain structural neuroimaging, on poststroke outcomes, with a focus on sensorimotor performance. We hypothesized that more lesion damage would result in older brain age, which would in turn be associated with poorer outcomes. Related, we expected that brain age would mediate the relationship between lesion damage and outcomes. Finally, we hypothesized that structural brain resilience, which we define in the context of stroke as younger brain age given matched lesion damage, would differentiate people with good vs poor outcomes. METHODS: We conducted a cross-sectional observational study using a multisite dataset of 3-dimensional brain structural MRIs and clinical measures from the ENIGMA Stroke Recovery. Brain age was calculated from 77 neuroanatomical features using a ridge regression model trained and validated on 4,314 healthy controls. We performed a 3-step mediation analysis with robust mixed-effects linear regression models to examine relationships between brain age, lesion damage, and stroke outcomes. We used propensity score matching and logistic regression to examine whether brain resilience predicts good vs poor outcomes in patients with matched lesion damage. RESULTS: We examined 963 patients across 38 cohorts. Greater lesion damage was associated with older brain age (β = 0.21; 95% CI 0.04-0.38, DISCUSSION: We provide evidence that younger brain age is associated with superior poststroke outcomes and modifies the impact of focal damage. The inclusion of imaging-based assessments of brain age and brain resilience may improve the prediction of poststroke outcomes compared with focal injury measures alone, opening new possibilities for potential therapeutic targets

Proceedings of the 3rd Biennial Conference of the Society for Implementation Research Collaboration (SIRC) 2015: advancing efficient methodologies through community partnerships and team science

It is well documented that the majority of adults, children and families in need of evidence-based behavioral health interventionsi do not receive them [1, 2] and that few robust empirically supported methods for implementing evidence-based practices (EBPs) exist. The Society for Implementation Research Collaboration (SIRC) represents a burgeoning effort to advance the innovation and rigor of implementation research and is uniquely focused on bringing together researchers and stakeholders committed to evaluating the implementation of complex evidence-based behavioral health interventions. Through its diverse activities and membership, SIRC aims to foster the promise of implementation research to better serve the behavioral health needs of the population by identifying rigorous, relevant, and efficient strategies that successfully transfer scientific evidence to clinical knowledge for use in real world settings [3]. SIRC began as a National Institute of Mental Health (NIMH)-funded conference series in 2010 (previously titled the “Seattle Implementation Research Conference”; $150,000 USD for 3 conferences in 2011, 2013, and 2015) with the recognition that there were multiple researchers and stakeholdersi working in parallel on innovative implementation science projects in behavioral health, but that formal channels for communicating and collaborating with one another were relatively unavailable. There was a significant need for a forum within which implementation researchers and stakeholders could learn from one another, refine approaches to science and practice, and develop an implementation research agenda using common measures, methods, and research principles to improve both the frequency and quality with which behavioral health treatment implementation is evaluated. SIRC’s membership growth is a testament to this identified need with more than 1000 members from 2011 to the present.ii SIRC’s primary objectives are to: (1) foster communication and collaboration across diverse groups, including implementation researchers, intermediariesi, as well as community stakeholders (SIRC uses the term “EBP champions” for these groups) – and to do so across multiple career levels (e.g., students, early career faculty, established investigators); and (2) enhance and disseminate rigorous measures and methodologies for implementing EBPs and evaluating EBP implementation efforts. These objectives are well aligned with Glasgow and colleagues’ [4] five core tenets deemed critical for advancing implementation science: collaboration, efficiency and speed, rigor and relevance, improved capacity, and cumulative knowledge. SIRC advances these objectives and tenets through in-person conferences, which bring together multidisciplinary implementation researchers and those implementing evidence-based behavioral health interventions in the community to share their work and create professional connections and collaborations

Hydronephrosis in a four-year-old Basset Hound

A four-year-old female spayed Basset Hound was referred to the Cornell University Hospital for Animals Soft Tissue Surgery Service for treatment of hydronephrosis and possible nephrectomy. Previous abdominal radiographs revealed a large cranial-middle abdominal mass. Abdominal ultrasound revealed severe hydronephrosis and hydroureter on the left. Urine culture revealed a urinary tract infection. The patient was taken to surgery and left ureteronephrectomy and cystotomy were performed and previous surgical ligation of the left ureter were found. The patient was placed on pain medications and antibiotics post-operatively and recovered well, with her UTI resolving approximately 3 weeks post-operatively. This case discussion will include the anatomy of canine ureters, methods of ureteral surgery, and methods of avoiding ureteral damage during ovariohysterectomy