Basel II and Operational Risk: Implications for risk measurement and management in the financial sector

This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses, using internal and external loss data. It is illustrated on a 2x2 matrix of two selected business lines and two event types, drawn from a database of 3000 losses obtained from a large European banking institution. For each cell, the method calibrates three truncated distributions functions for the body of internal data, the tail of internal data, and external data. When the dependence structure between aggregate losses and the non-linear adjustment of external data are explicitly taken into account, the regulatory capital computed with the AMA method proves to be substantially lower than with less sophisticated approaches allowed by the Basel II Accord, although the effect is not uniform for all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that substantial savings can be achieved through active management techniques, although the estimated effect of a reduction of the number, frequency or severity of operational losses crucially depends on the calibration of the aggregate loss distributions.operational risk management, basel II, advanced measurement approach, copulae, external data, EVT, RAROC, cost-benefit analysis.

Simulation numérique du système cardiovasculaire

Les progrès réalisés en mathématiques appliquées permettent aujourd’hui d’envisager la simulation sur ordinateur de certains compartiments du système cardiovasculaire. Nous proposons de faire un point sur quelques modèles, en nous focalisant sur la simulation de l’écoulement du sang dans des artères déformables et sur la simulation de la contraction du myocarde sous l’effet de la propagation d’un signal électrique. Nous tentons également de présenter des applications possibles de ce type de travaux.In this article, we aim at giving a non-technical overview of some mathematical models currently used in the numerical simulation of the cardiovascular system. A hierarchy of models for blood flows in large arteries is briefly described as well as an electromechanical model for the heart. We discuss some possible applications of the numerical simulations of such models, for example the optimization of prostheses. We also address the issue of the data assimilation for the calibration of the models

Analytical validation of the new plasma calibrated Accu-Chek (R) Test Strips (Roche Diagnostics)

peer reviewedBackground: The Accu-Chek Inform glucose monitor is a point-of-care system for testing blood glucose. New test strips, calibrated to deliver glucose plasma-like values, were launched on the market in May 2005. The aim of our study was to perform analytical validation of these new strips. Methods: We compared the new plasma strips with whole blood strips; results for the plasma strips with plasma values obtained using a clinical analyzer and with whole blood values given by the glucose electrode of a blood gas analyzer; and the influence of the type of blood (capillary or venous) on the results obtained by the glucose monitor with the plasma calibrated strips. Results: Plasma strips give on average 7% higher results than the previous whole blood strips. However, the results given by the plasma strips on capillary whole blood, even if well correlated, are not completely comparable with those given by an analyzer for venous plasma. Nevertheless, these plasma strips and the glucose electrode of a blood gas analyzer give comparable results. Conclusions: Accu-Chek Inform plasma strips are a good method for monitoring of blood glucose values in patients with diabetes

Evaluation of Glomerular Filtration Rate in Clinical Practice

peer reviewedGlomerular filtration rate (GFR) is the most frequently used parameter to evaluate the renal function. GFR may be estimated with serum creatinine, creatinine clearance based on 24 hours urine collection or Cockcroft formula. All these methods have bias. Other approaches have thus been proposed. The limitations and advantages of isotopic methods and recent mathematical approaches (MDRD formula) are reviewed

Validation of the Abbott Architect 25(OH)-vitamin D assay

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analytical and Clinical Validation of Beta-Trace Protein, a New Marker of Glomerular Filtration Rate

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Impact of different endurance races on the heart: the point of view of the biologist

peer reviewedObjective The aim of this study was to investigate the impact of intense exercise, represented by different endurance races, in relationship with oxidative stress and cardiac markers. In a second time, we tried to demonstrate if oxidative stress induced by physical activity is a physiological or pathological process, and to establish some issues to diagnose the risk of sudden death in athletes. Methods Four populations were compared, a control group of 16 participants “sedentary” (37 ± 4,39 years old), a group of 24 semi-marathon runners (41 years ± 8,76 years old), a group of 28 marathon runners (44,1 ± 8,37 years old) and a group of 33 ultra-trail runners (45,8 ± 8,7 years old). Three blood tests were drowned, one just before, one just after, and the last three hours after the end of the race.Different oxidative and stress and cardiac biomarkers were measured. The ultra-trail runners will be subject to an echocardiography and an ECG pre- and post-race. For statistical analysis, STATISTICA 10 software was used. We performed a non-parametric test of Kruskal-Wallis for independent sample and a Friedman ANOVA for paired samples. Results Myeloperoxydase increased during exercise, but the release is less important according to the level of training of the runners. GSH/GSSG ratio seems to remain stable during the race but it could increase during the 24 hours post-race. There is a decrease in lipidic peroxidation during exercise. But, we note an increase of creatine kinase, isoform MB, myoglobin and C-reactive protein during the race. We observe an increase of troponin T and natriuretic peptide but with a different kinetic than the kinetic obtained for a myocardial infarction. Medical imaging in ultra-trail runners present cardiac adaptations to endurance training, as left ventricular hypertrophy (LVH) and incomplete right bundle branch block (IRBBB). A decrease of systolic and diastolic volumes of the left ventricle and a decrease of longitudinal strain were observed by echocardiography at the end of the race. Conclusion Endurance races induce the income of oxidative stress objectified by different biomarkers increase, but a cell necrosis is not specially observed. In fact, the increase of the cardiac markers during endurance races but may be explained by a transient modification of myocyte permeability, with a release of pool cytosolic. These races may induce micro-muscle damages causing the appearance of an inflammatory process explaining our observations of markers of inflammation. For the medical imaging, it was observed a myocardial adaptation to training and a transient impairment of ventricular function due to dehydration

Analytical Verification of the IDS-iSYS Intact Amino-terminal Propeptide of Type 1 Procollagen (P1NP)

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