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)

Corrigendum: The impact, perceptions and needs of parents of children with epidermolysis bullosa

No abstract available

The impact, perceptions and needs of parents of children with epidermolysis bullosa

Background: Epidermolysis bullosa (EB) is a rare, incurable genodermatosis that presents with blistering and skin fragility. Complications can be localised or generalised, limited to the skin or have systemic effects resulting in death. Caring for a child with this painful condition can have a profound effect on the quality of life of parents and the family. There is currently no published research on the lived experience of parents caring for a child with EB in a resource-limited environment in Africa. Method: This qualitative research used interpretative phenomenological analysis with the aim of understanding the lived experiences of parents caring for children with EB. Semi-structured interviews were conducted with 13 participants between May 2022 and October 2023. Guba’s framework of trustworthiness was used to ensure rigour. Results: Seven experiential themes with associated sub-themes were identified. The themes were (1) grappling with understanding EB, (2) the psychological experience, (3) living with the responsibility, (4) barriers to feeling supported, (5) changing relational dynamics, (6) experience of healthcare professionals and (7) parental needs. Conclusion: Parents caring for children with EB face emotional, physical, psychosocial and financial challenges. Addressing parents’ needs and concerns will go a long way in decreasing this burden. A biopsychosocial approach with an awareness of cultural context is essential for family-centred holistic EB care. Contribution: This is the first study in Africa that focussed on the lived experiences of parents caring for a child with EB

Consensus statements for the biopsychosocial care of patients with epidermolysis bullosa South Africa: Part 2

Background: Epidermolysis bullosa (EB) is a rare, incurable inherited mucocutaneous blistering disorder that can lead to multisystemic complications. In Africa, there are no established consensus statements or clinical guidelines for the care of patients with EB. Aim: To develop comprehensive transdisciplinary consensus statements for the care of patients with EB. This article (Part 2) presents 24 consensus statements focused on the biopsychosocial aspects of EB care. Part 1 addressed diagnostic and clinical management and resulted in 16 consensus statements. Setting: This was a multicentre, multiprovincial study involving healthcare practitioners from Eastern Cape, Free State, Gauteng, KwaZulu-Natal and Western Cape. Methods: In collaboration with patients and families, the transdisciplinary team of experts developed consensus-based statements through a modified Delphi process. This iterative process involved three consensus rounds with an 80% agreement threshold for each action point to ensure validity and reliability. Results: In total, 24 consensus statements were endorsed. These included holistic patient and family care; cultural considerations; educational inclusion; paediatric and emergency care; psychosocial care; nutritional; gynaecological and ophthalmic support; occupational therapy; physiotherapy and orthopaedic; dental and podiatric management. Conclusion: Comprehensive transdisciplinary care is essential for addressing the holistic needs of patients with EB and their families, particularly in resource-limited and culturally diverse settings. Contribution: This is the first set of consensus statements for the care of EB in South Africa and the broader African continent, offering a culturally sensitive, patient-centred framework for multidisciplinary care

DU Undergraduate Showcase: Research, Scholarship, and Creative Works

DU Undergraduate Showcase: Research, Scholarship, and Creative Work

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 mixedeffects 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, p = 0.015), which in turn was associated with poorer outcomes, both in the sensorimotor domain (β = −0.28; 95% CI −0.41 to −0.15, p < 0.001) and across multiple domains of function (β = −0.14; 95% CI −0.22 to −0.06, p < 0.001). Brain age mediated 15% of the impact of lesion damage on sensorimotor performance (95% CI 3%–58%, p = 0.01). Greater brain resilience explained why people have better outcomes, given matched lesion damage (odds ratio 1.04, 95% CI 1.01–1.08, p = 0.004). 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

ISARIC-COVID-19 dataset: A Prospective, Standardized, Global Dataset of Patients Hospitalized with COVID-19

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