Estimating the Statistics of Operational Loss Through the Analyzation of a Time Series

In the world of finance, appropriately understanding risk is key to success or failure because it is a fundamental driver for institutional behavior. Here we focus on risk as it relates to the operations of financial institutions, namely operational risk. Quantifying operational risk begins with data in the form of a time series of realized losses, which can occur for a number of reasons, can vary over different time intervals, and can pose a challenge that is exacerbated by having to account for both frequency and severity of losses. We introduce a stochastic point process model for the frequency distribution that has two important parameters (average frequency and time scale). The advantages of this model are that the parameters, which we systematically vary to demonstrate accuracy, can be fitted with sufficient data but are also intuitive enough to rely on expert judgment when data is insufficient. Furthermore, we address how to estimate the risk of losses on an arbitrary time scale for a specific frequency model where mathematical techniques can be feasibly applied to analytically calculate the mean, variance, and covariances that are accurate compared to more time-consuming Monte Carlo simulations. Additionally, the auto- and vi cross-correlation functions become mathematically tractable, enabling analytic calculations of cumulative loss statistics over larger time horizons that would otherwise be intractable due to temporal correlations of losses for long time windows. Finally, we demonstrate the strengths and shortcomings of our new approach by using combined data from a consortium of institutions, comparing this data to our model and correlation calculations, and showing that different time horizons can lead to a large range of loss statistics that can significantly affect calculations of capital requirements

Estimating the correlation between operational risk loss categories over different time horizons

Operational risk is challenging to quantify because of the broad range of categories (fraud, technological issues, natural disasters) and the heavy-tailed nature of realized losses. Operational risk modeling requires quantifying how these broad loss categories are related. We focus on the issue of loss frequencies having different time scales (e.g., daily, yearly, monthly basis), specifically on estimating the statistics of losses on arbitrary time horizons. We present a frequency model where mathematical techniques can be feasibly applied to analytically calculate the mean, variance, and co-variances that are accurate compared to more time-consuming Monte Carlo simulations. We show that the analytic calculations of cumulative loss statistics in an arbitrary time window are feasible here and would otherwise be intractable due to temporal correlations. Our work has potential value because these statistics are crucial for approximating correlations of losses via copulas. We systematically vary all model parameters to demonstrate the accuracy of our methods for calculating all first and second order statistics of aggregate loss distributions. Finally, using combined data from a consortium of institutions, we show that different time horizons can lead to a large range of loss statistics that can significantly affect calculations of capital requirements.Comment: 27 pages, 11 figures, 6 table

The [O II] lambda 3727 Luminosity Function at z ~ 1

We measure the evolution of the [OII]lambda 3727 luminosity function at 0.75<z<1.45 using high-resolution spectroscopy of ~14,000 galaxies observed by the DEEP2 galaxy redshift survey. We find that brighter than L_{OII}=10^{42} erg s^(-1) the luminosity function is well-represented by a power law dN/dL ~ L^{\alpha} with slope \alpha ~ -3. The number density of [OII] emitting galaxies above this luminosity declines by a factor of >~2.5 between z ~ 1.35 and z ~ 0.84. In the limit of no number-density evolution, the characteristic [OII] luminosity, L^*_[OII], defined as the luminosity where the space density equals 10^{-3.5} dex^{-1} Mpc^{-3}, declines by a factor of ~1.8 over the same redshift interval. Assuming that L_[OII] is proportional to the star-formation rate (SFR), and negligible change in the typical dust attenuation in galaxies at fixed [OII] luminosity, the measured decline in L^*_[OII] implies a ~25% per Gyr decrease in the amount of star formation in galaxies during this epoch. Adopting a faint-end power-law slope of -1.3\pm0.2, we derive the comoving SFR density in four redshift bins centered around z~1 by integrating the observed [OII] luminosity function using a local, empirical calibration between L_[OII] and SFR, which statistically accounts for variations in dust attenuation and metallicity among galaxies. We find that our estimate of the SFR density at z~1 is consistent with previous measurements based on a variety of independent SFR indicators.Comment: 10 pages, 6 figures, 2 tables, resubmitted to ApJ, in emulateapj style. Comparison with narrow-band observations added. Wavelength coverage included into complete function, little effects. The data is available on http://bias.cosmo.fas.nyu.edu/galevolution

The Royal College of Ophthalmologists' National Ophthalmology Database study of cataract surgery: Report 7, immediate sequential bilateral cataract surgery in the UK: Current practice and patient selection.

BACKGROUND: Cataract extraction is the most frequently performed surgical intervention in the world and demand is rising due to an ageing demography. One option to address this challenge is to offer selected patients immediate sequential bilateral cataract surgery (ISBCS). This study aims to investigate patient and operative characteristics for ISBCS and delayed bilateral cataract surgery (DSCS) in the UK. METHODS: Data were analysed from the Royal College of Ophthalmologists' National Ophthalmology Database Audit (NOD) of cataract surgery. Eligible patients were those undergoing bilateral cataract extraction from centres with a record of at least one ISBCS operation between 01/04/2010 and 31/08/2018. Variable frequency comparison was undertaken with chi-square tests. RESULTS: During the study period, 1073 patients had ISBCS and 248,341 DSCS from 73 centres. A higher proportion of ISBCS patients were unable to lie flat (11.3% vs. 1.8%; p < 0.001), unable to cooperate (9.7% vs. 2.7%; p < 0.001); underwent general anaesthesia (58.7% vs. 6.6% (p < 0.001)); had brunescent/white/mature cataracts (odds ratio (OR) 5.118); no fundal view/vitreous opacities (OR 8.381); had worse pre-operative acuity 0.60 LogMAR ISBCS vs. 0.50 (first) and 0.40 (second eye) DSCS and were younger (mean ages, 71.5 vs. 75.6 years; p < 0.001). Posterior capsular rupture (PCR) rates adjusted for case complexity were comparable (0.98% ISBCS and 0.78% DSCS). CONCLUSIONS: ISBCS was performed on younger patients, with difficulty cooperating and lying flat, worse pre-operative vision, higher rates of known PCR risk factors and more frequent use of general anaesthesia than DSCS in centres recorded on NOD

Chemostat culture systems support diverse bacteriophage communities from human feces

BACKGROUND: Most human microbiota studies focus on bacteria inhabiting body surfaces, but these surfaces also are home to large populations of viruses. Many are bacteriophages, and their role in driving bacterial diversity is difficult to decipher without the use of in vitro ecosystems that can reproduce human microbial communities. RESULTS: We used chemostat culture systems known to harbor diverse fecal bacteria to decipher whether these cultures also are home to phage communities. We found that there are vast viral communities inhabiting these ecosystems, with estimated concentrations similar to those found in human feces. The viral communities are composed entirely of bacteriophages and likely contain both temperate and lytic phages based on their similarities to other known phages. We examined the cultured phage communities at five separate time points over 24 days and found that they were highly individual-specific, suggesting that much of the subject-specificity found in human viromes also is captured by this culture-based system. A high proportion of the community membership is conserved over time, but the cultured communities maintain more similarity with other intra-subject cultures than they do to human feces. In four of the five subjects, estimated viral diversity between fecal and cultured communities was highly similar. CONCLUSIONS: Because the diversity of phages in these cultured fecal communities have similarities to those found in humans, we believe these communities can serve as valuable ecosystems to help uncover the role of phages in human microbial communities

Very Strong Emission-Line Galaxies in the WISP Survey and Implications for High-Redshift Galaxies

The WFC3 Infrared Spectroscopic Parallel Survey (WISP) uses the Hubble Space Telescope (HST) infrared grism capabilities to obtain slitless spectra of thousands of galaxies over a wide redshift range including the peak of star formation history of the Universe. We select a population of very strong emission-line galaxies with rest-frame equivalent widths higher than 200 A. A total of 176 objects are found over the redshift range 0.35 < z < 2.3 in the 180 arcmin^2 area we analyzed so far. After estimating the AGN fraction in the sample, we show that this population consists of young and low-mass starbursts with higher specific star formation rates than normal star-forming galaxies at any redshift. After spectroscopic follow-up of one of these galaxies with Keck/LRIS, we report the detection at z = 0.7 of an extremely metal-poor galaxy with 12+Log(O/H)= 7.47 +- 0.11. The nebular emission-lines can substantially affect the broadband flux density with a median brightening of 0.3 mag, with examples producing brightening of up to 1 mag. The presence of strong emission lines in low-z galaxies can mimic the color-selection criteria used in the z ~ 8 dropout surveys. In order to effectively remove low redshift interlopers, deep optical imaging is needed, at least 1 mag deeper than the bands in which the objects are detected. Finally, we empirically demonstrate that strong nebular lines can lead to an overestimation of the mass and the age of galaxies derived from fitting of their SED. Without removing emission lines, the age and the stellar mass estimates are overestimated by a factor of 2 on average and up to a factor of 10 for the high-EW galaxies. Therefore the contribution of emission lines should be systematically taken into account in SED fitting of star-forming galaxies at all redshifts.Comment: Accepted for publication in the Astrophysical Journal. 15 pages, 13 figure

Targeted prevention of common mental health disorders in university students: randomised controlled trial of a transdiagnostic trait-focused web-based intervention

Background: A large proportion of university students show symptoms of common mental disorders, such as depression, anxiety, substance use disorders and eating disorders. Novel interventions are required that target underlying factors of multiple disorders.&lt;p&gt;&lt;/p&gt; Aims: To evaluate the efficacy of a transdiagnostic trait-focused web-based intervention aimed at reducing symptoms of common mental disorders in university students.&lt;p&gt;&lt;/p&gt; Method: Students were recruited online (n = 1047, age: M = 21.8, SD = 4.2) and categorised into being at high or low risk for mental disorders based on their personality traits. Participants were allocated to a cognitive-behavioural trait-focused (n = 519) or a control intervention (n = 528) using computerised simple randomisation. Both interventions were fully automated and delivered online (trial registration: ISRCTN14342225). Participants were blinded and outcomes were self-assessed at baseline, at 6 weeks and at 12 weeks after registration. Primary outcomes were current depression and anxiety, assessed on the Patient Health Questionnaire (PHQ9) and Generalised Anxiety Disorder Scale (GAD7). Secondary outcome measures focused on alcohol use, disordered eating, and other outcomes.&lt;p&gt;&lt;/p&gt; Results: Students at high risk were successfully identified using personality indicators and reported poorer mental health. A total of 520 students completed the 6-week follow-up and 401 students completed the 12-week follow-up. Attrition was high across intervention groups, but comparable to other web-based interventions. Mixed effects analyses revealed that at 12-week follow up the trait-focused intervention reduced depression scores by 3.58 (p&#60;.001, 95%CI [5.19, 1.98]) and anxiety scores by 2.87 (p = .018, 95%CI [1.31, 4.43]) in students at high risk. In high-risk students, between group effect sizes were 0.58 (depression) and 0.42 (anxiety). In addition, self-esteem was improved. No changes were observed regarding the use of alcohol or disordered eating.&lt;p&gt;&lt;/p&gt; Conclusions This study suggests that a transdiagnostic web-based intervention for university students targeting underlying personality risk factors may be a promising way of preventing common mental disorders with a low-intensity intervention

Screening and brief intervention for obesity in primary care:cost-effectiveness analysis in the BWeL trial

This paper is closed access until 31 July 2019.Background: The Brief Intervention for Weight Loss Trial enrolled 1882 consecutively attending primary care patients who were obese and participants were randomised to physicians opportunistically endorsing, offering, and facilitating a referral to a weight loss programme (support) or recommending weight loss (advice). After one year, the support group lost 1.4 kg more (95%CI 0.9 to 2.0): 2.4 kg versus 1.0 kg. We use a cohort simulation to predict effects on disease incidence, quality of life, and healthcare costs over 20 years. Methods: Randomly sampling from the trial population, we created a virtual cohort of 20 million adults and assigned baseline morbidity. We applied the weight loss observed in the trial and assumed weight regain over four years. Using epidemiological data, we assigned the incidence of 12 weight-related diseases depending on baseline disease status, age, gender, body mass index. From a healthcare perspective, we calculated the quality adjusted life years (QALYs) accruing and calculated the incremental difference between trial arms in costs expended in delivering the intervention and healthcare costs accruing. We discounted future costs and benefits at 1.5% over 20 years. Results: Compared with advice, the support intervention reduced the cumulative incidence of weight-related disease by 722/100,000 people, 0.33% of all weight-related disease. The incremental cost of support over advice was £2.01million/100,000. However, the support intervention reduced health service costs by £5.86 million/100,000 leading to a net saving of £3.85 million/100,000. The support intervention produced 992 QALYs/100,000 people relative to advice. Conclusions: A brief intervention in which physicians opportunistically endorse, offer, and facilitate a referral to a behavioural weight management service to patients with a BMI of at least 30 kg/m2 reduces healthcare costs and improves health more than advising weight loss