Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25% during the same period. --Banking crisis,bank default,option pricing theory,compound option,liability structure

Optimal age for retirement

This thesis studies the Czech retirement system and determines the best time of the retirement age in order to receive the highest amount of benefits in expectation. Firstly, we describe the retirement system in general. We summa- rize the upsides and downsides of the early and the late retirement. We study life tables and how to use the mortality rates in order to forecast the life ex- pectancy. In the practical part, we determine the optimal age for retirement that maximizes the expected value of future cash flows. We also define the worst retirement age and the difference between the expected best and worst pension benefits. The last section compares the Czech pension system with the US and UK pension systems. 1Tato práce se zabývá důchodovým systém a stanovením nejvhodnějšího věku pro odchod do penze s ohledem na maximální ziskovost. Nejprve je představen český důchodový systém obecně, přičemž jsou osvětleny klady a zápory dřívější a pozdější iniciace. Je vysvětleno, co vlastně budeme rozumět souhrnnou výší důchodu, kterou se budeme snažit maximalizovat. Další část sez- namuje s úmrtnostními tabulkami a jak jejich data využijeme, abychom vymod- elovali odhad budoucího vývoje mortality. V početní části určíme optimální věk odchodu do důchodu, který bude maximalizovat střední hodnotu očekávaných příspěvků v několika modelových situacích. Určíme i finanční rozdíl oproti ne- jhoršímu věku pro odchod do důchodu. V poslední sekci jsou představeny a následně porovnány další dva důchodové systémy vybraných zemí, a to USA a Velké Británie. 1Department of Probability and Mathematical StatisticsKatedra pravděpodobnosti a matematické statistikyMatematicko-fyzikální fakultaFaculty of Mathematics and Physic

Currency crisis prediction using ADR market data: an options-based approach,”

Abstract During capital control episodes, large price deviations between American Depositary Receipts (ADR) and their underlying stocks signal that a currency crisis is about to occur. We interpret this price spread as the price of a call option. Using option pricing theory we derive detailed information about both the probability of a currency crisis and the expected magnitude of devaluation. Analyzing daily ADR market data preceding the Venezuelan crisis (1996), our approach predicts crisis probabilities of almost 100% and forecasts the exchange rate after floating quite accurately. During the Argentine crisis (2002), the estimated exchange rates are similar to the actual ones

Currency crisis prediction using ADR market data: an options-based approach,”

Abstract During capital control episodes, large price deviations between American Depositary Receipts (ADR) and their underlying stocks signal that a currency crisis is about to occur. We interpret this price spread as the price of a call option. Using option pricing theory we derive detailed information about both the probability of a currency crisis and the expected magnitude of devaluation. Analyzing daily ADR market data preceding the Venezuelan crisis (1996), our approach predicts crisis probabilities of almost 100% and forecasts the exchange rate after floating quite accurately. During the Argentine crisis (2002), the estimated exchange rates are similar to the actual ones

Currency crisis prediction using ADR market data: an options-based approach,”

Abstract During capital control episodes, large price deviations between American Depositary Receipts (ADR) and their underlying stocks signal that a currency crisis is about to occur. We interpret this price spread as the price of a call option. Using option pricing theory we derive detailed information about both the probability of a currency crisis and the expected magnitude of devaluation. Analyzing daily ADR market data preceding the Venezuelan crisis (1996), our approach predicts crisis probabilities of almost 100% and forecasts the exchange rate after floating quite accurately. During the Argentine crisis (2002), the estimated exchange rates are similar to the actual ones

Cost-utility analysis of total shoulder arthroplasty : a prospective health economic study using real-world data

Background: With increasing health care expenditures, knowledge about the benefit and costs of surgical interventions such as total shoulder arthroplasty (TSA) becomes important for orthopedic surgeons, social insurances and health policy decision makers. We examined the impact of TSA on quality of life (QOL), direct medical costs and productivity losses, and evaluated the cost-utility ratio of TSA compared to ongoing nonoperative management using real-world data. Methods: Patients with shoulder osteoarthritis and/or rotator cuff tear arthropathy indicated for anatomical or reverse TSA were included in this prospective study. Quality of life (EQ-5D-5L) and shoulder function (Constant Score, Shoulder Pain and Disability Index, short version of the Disabilities of the Arm, Shoulder and Hand questionnaire, Subjective Shoulder Value) were assessed before (preop) and up to 2 years after surgery (postop). Health insurance companies provided all-diagnoses direct medical costs for 2018 in Swiss francs (CHF), where 1 CHF was equivalent to 1.02 USD. Indirect costs were assessed using the work productivity and activity impairment questionnaire. Baseline data at recruitment and the total costs of the preop year served as a proxy for nonoperative management. The incremental cost-effectiveness ratio (ICER) was calculated as the total costs to gain one extra quality-adjusted life year (QALY) based on both the health care system and societal perspective. The relationship between QOL and shoulder function was assessed by regression analysis. Results: The mean preOP EQ-5D-5L utility index of 0.68 for a total of 150 patients (mean age 71 years; 21% working; 58% female) increased to 0.89 and 0.87 at 1 and 2 years postop, respectively. Mean direct medical costs were 11,771 CHF (preop), 34,176 CHF (1 year postop) and 11,763 CHF (2 years postop). The ICER was 63,299 CHF/QALY (95% confidence interval [CI]: 44,391; 82,206). Mean productivity losses for 30 working patients decreased from 40,574 CHF per patient (preop) to 26,114 CHF at 1 year postop and 10,310 CHF at 2 years postop. When considering these productivity losses, the ICER was 35,549 CHF/QALY (95% CI: 12,076; 59,016). Quality of life was significantly associated with shoulder function (p < 0.001). Conclusion: Using real-world direct medical cost data, we calculated a cost-utility ratio of 63,299 CHF/QALY for TSA in Switzerland, which clearly falls below the often suggested 100,000 CHF/QALY threshold for acceptable cost-effectiveness. In view of productivity losses, TSA becomes highly cost-effective with an ICER of 35,546 CHF/QALY

Membrane-Based Scanning Force Microscopy

We report the development of a scanning force microscope based on an ultrasensitive silicon nitride membrane optomechanical transducer. Our development is made possible by inverting the standard microscope geometry - in our instrument, the substrate is vibrating and the scanning tip is at rest. We present topography images of samples placed on the membrane surface. Our measurements demonstrate that the membrane retains an excellent force sensitivity when loaded with samples and in the presence of a scanning tip. We discuss the prospects and limitations of our instrument as a quantum-limited force sensor and imaging tool.</p

Immune spleen cells attenuate the inflammatory profile of the mesenteric perivascular adipose tissue in obese mice

The perivascular adipose tissue (PVAT) differs from other fat depots and exerts a paracrine action on the vasculature. The spleen has an important role in the immune response, and it was observed to have either a protective role or a contribution to obesity-related diseases. However, the relation between spleen and PVAT is elusive in obesity. We investigated the role of spleen in the inflammatory profile of the mesenteric PVAT (mPVAT) from mice fed a high-fat diet (HFD) for 16 weeks. Male C57Bl/6 mice were sham-operated or splenectomized (SPX) and fed a HFD for 16 weeks. mPVAT morphology was evaluated by hematoxylin and eosin staining, infiltrated immune cells were evaluated by flow cytometry, inflammatory cytokines were evaluated by ELISA and the splenic cell chemotaxis mediated by mPVAT was evaluated using a transwell assay. In SPX mice, HFD induced adipocyte hypertrophy and increased immune cell infiltration and proinflammatory cytokine levels in mPVAT. However, none of these effects were observed in mPVAT from sham-operated mice. Spleen from HFD fed mice presented reduced total leukocytes and increased inflammatory markers when compared to the spleen from control mice. Chemotaxis of spleen cells mediated by mPVAT of HFD fed mice was reduced in relation to standard diet fed mice. The spleen protects mPVAT against the effects of 16-week HFD. This information was missing, and it is important because PVAT is different from other fat depots and data cannot be extrapolated from any type of adipose tissue to PVAT