Scope for Credit Risk Diversification

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian risk factors and explore the potential for risk diversification. Where possible the results are generalised to non-Gaussian distributions. The theoretical results indicate that if the firm parameters are heterogeneous but come from a common distribution, for sufficiently large portfolios there is no scope for further risk reduction through active portfolio management. However, if the firm parameters come from different distributions, then further risk reduction is possible by changing the portfolio weights. In either case, neglecting parameter heterogeneity can lead to underestimation of expected losses. But, once expected losses are controlled for, neglecting parameter heterogeneity can lead to overestimation of risk, whether measured by unexpected loss or value-at-risk

Haptoglobin Phenotype, Preeclampsia Risk and the Efficacy of Vitamin C and E Supplementation to Prevent Preeclampsia in a Racially Diverse Population

Haptoglobin's (Hp) antioxidant and pro-angiogenic properties differ between the 1-1, 2-1, and 2-2 phenotypes. Hp phenotype affects cardiovascular disease risk and treatment response to antioxidant vitamins in some non-pregnant populations. We previously demonstrated that preeclampsia risk was doubled in white Hp 2-1 women, compared to Hp 1-1 women. Our objectives were to determine whether we could reproduce this finding in a larger cohort, and to determine whether Hp phenotype influences lack of efficacy of antioxidant vitamins in preventing preeclampsia and serious complications of pregnancy-associated hypertension (PAH). This is a secondary analysis of a randomized controlled trial in which 10,154 low-risk women received daily vitamin C and E, or placebo, from 9-16 weeks gestation until delivery. Hp phenotype was determined in the study prediction cohort (n = 2,393) and a case-control cohort (703 cases, 1,406 controls). The primary outcome was severe PAH, or mild or severe PAH with elevated liver enzymes, elevated serum creatinine, thrombocytopenia, eclampsia, fetal growth restriction, medically indicated preterm birth or perinatal death. Preeclampsia was a secondary outcome. Odds ratios were estimated by logistic regression. Sampling weights were used to reduce bias from an overrepresentation of women with preeclampsia or the primary outcome. There was no relationship between Hp phenotype and the primary outcome or preeclampsia in Hispanic, white/other or black women. Vitamin supplementation did not reduce the risk of the primary outcome or preeclampsia in women of any phenotype. Supplementation increased preeclampsia risk (odds ratio 3.30; 95% confidence interval 1.61-6.82, p<0.01) in Hispanic Hp 2-2 women. Hp phenotype does not influence preeclampsia risk, or identify a subset of women who may benefit from vitamin C and E supplementation to prevent preeclampsia

Compartment-directed physical examination of the knee can predict articular cartilage abnormalities disclosed by needle arthroscopy

Objective . To determine whether physical examination maneuvers that focus on each knee compartment and assess crepitus at several distinct sites can specifically disclose articular cartilage abnormalities in the compartment being assessed. Methods . Twenty patients with knee pain were examined before needle arthroscopy. Crepitus was sought from the patellofemoral compartment, medial tibiofemoral compartment, and lateral tibiofemoral compartment. Any crepitus felt in the distal tibia during a tibiofemoral stress maneuver was recorded as transmitted bony crepitus (TBC). Needle arthroscopy assessed articular cartilage (5 sites) and both menisci in each knee. Results . Crepitus by conventional assessment revealed patellar cartilage disruption (69% sensitive, 50% specific) and abnormalities of tibiofemoral cartilage (67% sensitive, 40% specific) but could not indicate their location. Tibiofemoral crepitus found cartilage disruption in the compartment at a sensitivity of 22% and a specificity of 100%, and with added tibiofemoral stress, a sensitivity of 65% and a specificity of 94% (the one “false positive” had bare bone in the other compartment). TBC was detected in 7 compartments, all of which had focal bare bone on tibial and femoral surfaces; 6 other compartments had tibial bare bone without TBC. Thus, TBC was 54% sensitive and 100% specific for tibial bare bone, and 88% sensitive and 100% specific for bone-on-bone. Conclusion . Compartment-directed physical examination of the painful knee can locate and assess the severity of certain articular cartilage abnormalities that are not reliably found by conventional methods. Transmitted bony crepitus is a specific finding for bone-on-bone in the compartment being assessed.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/37803/1/1780380707_ftp.pd

The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. We propose a model for exploring these dimensions of credit risk diversification: across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity matters a great deal for capturing differences in simulated credit loss distributions. Imposing homogeneity results in overly skewed and fat-tailed loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity greatly reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogeneous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity

Topological order and thermal equilibrium in polariton condensates

We report the observation of the Berezinskii-Kosterlitz-Thouless transition for a 2D gas of exciton-polaritons, and through the joint measurement of the first-order coherence both in space and time we bring compelling evidence of a thermodynamic equilibrium phase transition in an otherwise open driven/dissipative system. This is made possible thanks to long polariton lifetimes in high-quality samples with small disorder and in a reservoir-free region far away from the excitation spot, that allow topological ordering to prevail. The observed quasi-ordered phase, characteristic for an equilibrium 2D bosonic gas, with a decay of coherence in both spatial and temporal domains with the same algebraic exponent, is reproduced with numerical solutions of stochastic dynamics, proving that the mechanism of pairing of the topological defects (vortices) is responsible for the transition to the algebraic order. Finally, measurements in the weak-coupling regime confirm that polariton condensates are fundamentally different from photon lasers and constitute genuine quantum degenerate macroscopic states

Nitric Oxide: Perspectives and Emerging Studies of a Well Known Cytotoxin

The free radical nitric oxide (NO•) is known to play a dual role in human physiology and pathophysiology. At low levels, NO• can protect cells; however, at higher levels, NO• is a known cytotoxin, having been implicated in tumor angiogenesis and progression. While the majority of research devoted to understanding the role of NO• in cancer has to date been tissue-specific, we herein review underlying commonalities of NO• which may well exist among tumors arising from a variety of different sites. We also discuss the role of NO• in human physiology and pathophysiology, including the very important relationship between NO• and the glutathione-transferases, a class of protective enzymes involved in cellular protection. The emerging role of NO• in three main areas of epigenetics—DNA methylation, microRNAs, and histone modifications—is then discussed. Finally, we describe the recent development of a model cell line system in which human tumor cell lines were adapted to high NO• (HNO) levels. We anticipate that these HNO cell lines will serve as a useful tool in the ongoing efforts to better understand the role of NO• in cancer

STARD 2015: An Updated List of Essential Items for Reporting Diagnostic Accuracy Studies.

Incomplete reporting has been identified as a major source of avoidable waste in biomedical research. Essential information is often not provided in study reports, impeding the identification, critical appraisal, and replication of studies. To improve the quality of reporting of diagnostic accuracy studies, the Standards for Reporting of Diagnostic Accuracy Studies (STARD) statement was developed. Here we present STARD 2015, an updated list of 30 essential items that should be included in every report of a diagnostic accuracy study. This update incorporates recent evidence about sources of bias and variability in diagnostic accuracy and is intended to facilitate the use of STARD. As such, STARD 2015 may help to improve completeness and transparency in reporting of diagnostic accuracy studies

Significance testing as perverse probabilistic reasoning

Truth claims in the medical literature rely heavily on statistical significance testing. Unfortunately, most physicians misunderstand the underlying probabilistic logic of significance tests and consequently often misinterpret their results. This near-universal misunderstanding is highlighted by means of a simple quiz which we administered to 246 physicians at two major academic hospitals, on which the proportion of incorrect responses exceeded 90%. A solid understanding of the fundamental concepts of probability theory is becoming essential to the rational interpretation of medical information. This essay provides a technically sound review of these concepts that is accessible to a medical audience. We also briefly review the debate in the cognitive sciences regarding physicians' aptitude for probabilistic inference