Calculating incremental risk charges: The effect of the liquidity horizon

The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books to be computed as the sum of the market risk capi- tal and the incremental risk charge for credit risk. In contrast to Basel II models for the banking book no model is prescribed and banks can use internal models for calculating the incremental risk charge. In the calculation of incremental risk charges a key compo- nent is the choice of the liquidity horizon for traded credits. In this paper we explore the e¤ect of the liquidity horizon on the incremental risk charge. Speci�cally we consider a sample of 28 bonds with di¤erent rating and liquidity horizons to evaluate the impact of the choice of the liquidity horizon for a certain rating class of credits. We �find that choosing the liquidity horizon for a particular credit there are two important effects that needs to be considered. Firstly, for bonds with short liquidity horizons there is a miti- gation effect of preventing the bond from further downgrades by trading it frequently. Secondly, there is the possibility of multiple defaults. Of these two effects the multiple default effect will generally be more pronounced for non investment grade credits as the probability of default is severe even for short liquidity periods. For medium investment grade credits these two effects will in general o¤set and the incremental risk charge will be approximately the same across liquidity horizons. For high quality investment grade credits the effect of the multiple defaults is low for short liquidity horizons as the frequent trading effectively prevents severe downgrades.credit risk; incremental risk charge; liquidity horizon; Basel III

On Strong Secrecy for Multiple Access Channel with States and Causal CSI

Strong secrecy communication over a discrete memoryless state-dependent multiple access channel (SD-MAC) with an external eavesdropper is investigated. The channel is governed by discrete memoryless and i.i.d. channel states and the channel state information (CSI) is revealed to the encoders in a causal manner. An inner bound of the capacity is provided. To establish the inner bound, we investigate coding schemes incorporating wiretap coding and secret key agreement between the sender and the legitimate receiver. Two kinds of block Markov coding schemes are studied. The first one uses backward decoding and Wyner-Ziv coding and the secret key is constructed from a lossy reproduction of the CSI. The other one is an extended version of the existing coding scheme for point-to-point wiretap channels with causal CSI. We further investigate some capacity-achieving cases for state-dependent multiple access wiretap channels (SD-MAWCs) with degraded message sets. It turns out that the two coding schemes are both optimal in these cases.Comment: Accepted for presentation at ISIT202

Attention-deficit/hyperactivity disorder and risk for substance use disorders in relatives

BACKGROUND: Previous research indicates that attention-deficit/hyperactivity disorder (ADHD) is highly associated with substance use disorders (SUD). However, these studies have failed to clarify the nature of the overlap. The main aim of this study was to explore whether the overlap between ADHD and SUD could be explained by shared genetic and environmental factors or by harmful effects of ADHD medication. METHODS: We employed a matched cohort design across different levels of family relatedness recorded from 1973-2009. By linking longitudinal Swedish national registers, 62,015 ADHD probands and first-degree and second-degree relatives were identified and matched 1:10 with control subjects without ADHD and their corresponding relatives. Any record of SUD was defined by discharge diagnoses of the International Classification of Diseases or a purchase of any drug used in the treatment of SUD. RESULTS: First-degree relatives of ADHD probands were at elevated risk for SUD (odds ratios 2.2 and 1.8) compared with relatives of control subjects. The corresponding relative risk in second-degree relatives was substantially lower (odd ratios 1.4 and 1.4). The familial aggregation patterns remained similar for first-degree and second-degree relatives after excluding individuals with coexisting disorders such as schizophrenia, bipolar disorder, depression, and conduct disorder. CONCLUSIONS: Our findings suggest that the co-occurrence of ADHD and SUD is due to genetic factors shared between the two disorders, rather than to a general propensity for psychiatric disorders or harmful effects of ADHD medication.The Regional Agreement On Medical Training And Clinical Research (ALF) between Stockholm County Council and Karolinska InstitutetThe Swedish Research CouncilThe Swedish Initiative for Research on Microdata in the Social And Medical Sciences (SIMSAM)Accepte

Familial confounding of the association between maternal smoking during pregnancy and ADHD in offspring

Background: Maternal Smoking During Pregnancy (SDP) has consistently been associated with increased risk of attention-deficit/hyperactivity disorder (ADHD) in offspring, but recent studies indicate that this association might be due to unmeasured familial confounding. Methods: A total of 813,030 individuals born in Sweden between 1992 and 2000 were included in this nationwide population-based cohort study. Data on maternal SDP and ADHD diagnosis were obtained from national registers and patients were followed up from the age of 3 to the end of 2009. Hazard Ratios (HRs) were estimated using stratified Cox regression models. Cousin and sibling data were used to control for unmeasured familial confounding. Results: At the population level maternal SDP predicted ADHD in offspring (HRModerateSDP = 1.89; HRHighSDP = 2.50). This estimate gradually attenuated toward the null when adjusting for measured confounders (HRModerateSDP = 1.62; HRHighSDP = 2.04), unmeasured confounders shared within the extended family (i.e., cousin comparison) (HRModerateSDP = 1.45; HRHighSDP = 1.69), and unmeasured confounders within the nuclear family (i.e., sibling comparison) (HRModerateSDP = 0.88; HRHighSDP = 0.84). Conclusions: Our results suggest that the association between maternal SDP and offspring ADHD are due to unmeasured familial confounding.ForteVetenskapsrådetNational Insitute of Child Health and Human Develoment, NICHDAccepte

Calculating incremental risk charges: The effect of the liquidity horizon

The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books to be computed as the sum of the market risk capi- tal and the incremental risk charge for credit risk. In contrast to Basel II models for the banking book no model is prescribed and banks can use internal models for calculating the incremental risk charge. In the calculation of incremental risk charges a key compo- nent is the choice of the liquidity horizon for traded credits. In this paper we explore the e¤ect of the liquidity horizon on the incremental risk charge. Speci�cally we consider a sample of 28 bonds with di¤erent rating and liquidity horizons to evaluate the impact of the choice of the liquidity horizon for a certain rating class of credits. We �find that choosing the liquidity horizon for a particular credit there are two important effects that needs to be considered. Firstly, for bonds with short liquidity horizons there is a miti- gation effect of preventing the bond from further downgrades by trading it frequently. Secondly, there is the possibility of multiple defaults. Of these two effects the multiple default effect will generally be more pronounced for non investment grade credits as the probability of default is severe even for short liquidity periods. For medium investment grade credits these two effects will in general o¤set and the incremental risk charge will be approximately the same across liquidity horizons. For high quality investment grade credits the effect of the multiple defaults is low for short liquidity horizons as the frequent trading effectively prevents severe downgrades

Calculating incremental risk charges: The effect of the liquidity horizon

The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books to be computed as the sum of the market risk capi- tal and the incremental risk charge for credit risk. In contrast to Basel II models for the banking book no model is prescribed and banks can use internal models for calculating the incremental risk charge. In the calculation of incremental risk charges a key compo- nent is the choice of the liquidity horizon for traded credits. In this paper we explore the e¤ect of the liquidity horizon on the incremental risk charge. Speci�cally we consider a sample of 28 bonds with di¤erent rating and liquidity horizons to evaluate the impact of the choice of the liquidity horizon for a certain rating class of credits. We �find that choosing the liquidity horizon for a particular credit there are two important effects that needs to be considered. Firstly, for bonds with short liquidity horizons there is a miti- gation effect of preventing the bond from further downgrades by trading it frequently. Secondly, there is the possibility of multiple defaults. Of these two effects the multiple default effect will generally be more pronounced for non investment grade credits as the probability of default is severe even for short liquidity periods. For medium investment grade credits these two effects will in general o¤set and the incremental risk charge will be approximately the same across liquidity horizons. For high quality investment grade credits the effect of the multiple defaults is low for short liquidity horizons as the frequent trading effectively prevents severe downgrades

TGFBR1 variants TGFBR1*6A and Int7G24A are not associated with an increased familial colorectal cancer risk

Variants of the transforming growth factor-beta receptor type 1 (TGFBR1) gene, TGFBR1*6A and Int7G24A, have been suggested to act as low-penetrance tumour susceptibility alleles with TGFBR1*6A being causally responsible for some cases of familial colorectal cancer (CRC). We performed a case–control study of 262 unrelated familial CRC cases; 83 hereditary non-polyposis colorectal cancer (HNPCC) and 179 non-HNPCC. Patients were genotyped for TGFBR1*6A and Int7G24A and compared with 856 controls. Further, we screened the coding region of TGFBR1 in affected members of a large family with CRC linked to 9q22.32-31.1. TGFBR1*6A allelic frequency was not significantly different in all of the familial cases compared with controls (0.107 and 0.106, respectively; P=0.915). In a subgroup analysis allele frequencies were, however, different between HNPCC and non-HNPCC familial cases (0.157 and 0.084, respectively; P=0.013). TGFBR1*6A genotype did not influence age of onset. Int7G24A allele frequencies were similar in cases and controls. No germ-line mutation was identified in the family with CRC linked to this chromosomal region. Our study provides no substantial support for the hypothesis that the polymorphic variants TGFBR1*6A or Int7G24A contribute to familial CRC risk. We cannot, however, exclude the possibility that TGFBR1 variants have a modifying effect on inherited risk per se

The Int7G24A variant of transforming growth factor-beta receptor type I is a risk factor for colorectal cancer in the male Spanish population: a case-control study

Background: The Int7G24A variant of transforming growth factor-beta receptor type I (TGFBR1) has been shown to increase the risk for kidney, ovarian, bladder, lung and breast cancers. Its role in colorectal cancer (CRC) has not been established. The aims of this study were to assess the association of TGFBR1*Int7G24A variant with CRC occurrence, patient age, gender, tumour location and stage. Methods: We performed a case-control study with 504 cases of sporadic CRC; and 504 non-cancerous age, gender and ethnically matched controls. Genotyping analysis was performed using allelic discrimination assay by real time PCR. Results: The Int7G24A variant was associated with increased CRC incidence in an additive model of inheritance (P for trend = 0.005). No significant differences were found between Int7G24A genotypes and tumour location or stage. Interestingly, the association of the Int7G24A variant with CRC risk was significant in men (odds ratio 4.10 with 95% confidence intervals 1.41-11.85 for homozygous individuals; P for trend = 0.00023), but not in women. We also observed an increase in susceptibility to CRC for individuals aged less than 70 years. Conclusion: Our data suggest that the Int7G24A variant represents a risk factor for CRC in the male Spanish population.Research supported in part by grants from the Generalitat Valenciana in Spain (AP106/06) and the Biomedical Research Foundation from the Hospital of Elche, Spain (FIBElx-02/2007). T.M-B is recipient of a fellowship from the Spanish Society of Medical Oncology (SEOM)

No association between germline allele-specific expression of TGFBR1 and colorectal cancer risk in Caucasian and Ashkenazi populations

Background: germline allele-specific expression (ASE) of the TGFBR1 gene has been reported as a strong risk factor for colorectal cancer (CRC) with an odds ratio close to 9. Considering the potential implications of the finding, we undertook the task of validating the initial results in this study. Methods: allele-specific expression was measured using the highly quantitative and robust technique of pyrosequencing. Individuals from two different populations were studied, one Caucasian-dominated and the other of Ashkenazi Jewish descent, with different sources of non-tumoral genetic material in each. Results: our results showed no statistically significant differences in the degree of ASE between CRC patients and controls, considering ASE as either a quantitative or a binary trait. Using defined cutoff values to categorise ASE, 1.0% of blood lymphocytes from informative Israeli cases (total n=96) were ASE positive (median 1.00; range 0.76-1.31) and 2.2% of informative matched controls (total n=90) were ASE positive (median 1.00; range 0.76-1.87). Likewise, normal mucosae from Spanish patients (median 1.03; range: 0.68-1.43; n=75) did not show significant differences in the degree of ASE when compared with the Israeli patients or controls. Conclusions: taken together, these results suggest that ASE of TGFBR1 does not confer an increased risk of CRC