From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

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Liquidity-free implied volatilities:an approach using conic finance

We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not require restrictive assumptions. Our methodology also allows to jointly calculate the implied liquidity of the market. The idea outlined in this paper can be applied to calculate other implied parameters from bid and ask security prices as soon as their theoretical risk-neutral counterparts are strictly increasing with respect to the former

Passive drag in young swimmers: Effects of body composition, morphology and gliding position

The passive drag (Dp) during swimming is affected by the swimmer’s morphology, body density and body position. We evaluated the relative contribution of morphology, body composition, and body position adjustments in the prediction of a swimmer’s Dp. This observational study examined a sample of 60 competitive swimmers (31 male and 29 female) with a mean (±SD) age of 15.4 ± 3.1 years. The swimmer’s Dp was measured using an electro-mechanical towing device and the body composition was assessed using a bioelectrical impedance analyser. Body lengths and circumferences were measured in both the standing position and the simulated streamlined position. Partial correlation analysis with age as a control variable showed that Dp was largely correlated (p < 0.05) with body mass, biacromial-and bi-iliac-breadth, streamline chest circumference and breadth. Body mass, Body Mass Index, chest circumference and streamline chest circumference showed a significant and moderate to strong effect (η2 > 0.55) on Dp. Body mass was the best predictor of Dp explaining 69% of the variability. These results indicate that swimmers with lower Dp values were: (i) slimmer, with lower fat and fat-free mass; (ii) thinner, with lower shoulder breadth, chest circumference, and streamline trunk diameters (iii), shorter, with lower streamline height. These findings can be used for talent identification in swimming, with particular reference to the gliding performance

Impact of DEL22q11, trisomy 21, and other genetic syndromes on surgical outcome of conotruncal heart defects

ObjectiveGenetic syndromes occur in more than 20% of patients with conotruncal heart defects. We investigated the impact of genetic syndromes on the surgical outcome of conotruncal anomalies in infancy.MethodsThis retrospective study reviews the outcome of 787 patients (median age 6.3 months) who underwent primary (598) or staged (189) repair of a conotruncal defect between 1992 and 2007.ResultsProven genetic syndrome was diagnosed in 211 patients (26.8%), including del22q11 (91 patients), trisomy 21 (29 patients), VACTERL (18 patients), and other syndromes (73 patients). Primary repair was accomplished in 80.9% of nonsyndromic patients and 74.4% of syndromic patients (P = .18) Fifteen-year cumulative survival was 84.3% ± 2.3% in nonsyndromic patients and 73.2% ± 4.2% in syndromic patients (P < .001). Primary and staged repair allowed similar 15-year survival (81.4% ± 4.5% vs 79.1% ± 5.1%, P = .8). Freedom from noncardiac cause of death was significantly lower in syndromic patients (P = .0056). Fifteen-year Kaplan–Meier survival was 87.6% ± 3.9% for del22q11, 95.8% ± 4.1% for trisomy 21, 56.8% ± 6.3% for VACTERL, and 62.3% ± 12.7% for patients with other syndromes (P = .022). Total intensive care unit stay was 10.8 ± 4.9 days in syndromic patients and 5.1 ± 1.7 days in nonsyndromic patients (P < .001). Freedom from reintervention 15 years after repair was 79.6% ± 4.9% in nonsyndromic patients and 62.4% ± 7.4% in syndromic patients (P = .007).ConclusionDel22q11 and trisomy 21 do not represent risk factors for mortality after repair of conotruncal anomalies, whereas other syndromes adversely affect the surgical outcome for predominant noncardiac attrition. Higher morbidity and lower mid-term freedom from reintervention can be predicted in syndromic patients

In-hospital interstage improves interstage survival after the Norwood stage 1 operation.

OBJECTIVES: The interstage mortality rate after a Norwood stage 1 operation remains 12-20% in current series. In-hospital interstage facilitates escalation of care, possibly improving outcome. METHODS: A retrospective study was designed for hypoplastic left heart syndrome (HLHS) and HLHS variants, offering an in-hospital stay after the Norwood operation until the completion of stage 2. Daily and weekly examinations were conducted systematically, including two-dimensional and speckle-tracking echocardiography. Primary end points included aggregate survival until the completion of stage 2 and interstage freedom from escalation of care. Moreover, we calculated the sensitivity and specificity of speckle-tracking echocardiographic myocardial deformation in predicting death/transplant after the Norwood procedure. RESULTS: Between 2015 and 2019, 33 neonates with HLHS (24) or HLHS variants (9) underwent Norwood stage 1 (31) or hybrid palliation followed by a comprehensive stage 2 operation (2). Stage 1 Norwood-Sano was preferred in 18 (54.5%) neonates; the classic Norwood with Blalock-Taussig shunt was performed in 13 (39.4%) neonates. The Norwood stage 1 30-day mortality rate was 6.2%. The in-hospital interstage strategy was implemented after Norwood stage 1 with a 3.4% interstage mortality rate. The aggregate Norwood stage 1 and interstage Kaplan-Meier survival rate was 90.6 ± 5.2%. Escalation of care was necessary for 5 (17.2%) patients at 2.5 ± 1.2 months during the interstage for compromising atrial arrhythmias (2), Sano-shunt stenosis (1) and pneumonia requiring a high-frequency oscillator (2); there were no deaths. A bidirectional Glenn (25) or a comprehensive-Norwood stage 2 (2) was completed in 27 patients at 4.7 ± 1.2 months with a 92.6% survival rate. The overall Kaplan-Meier survival rate is 80.9 ± 7.0% at 4.3 years (mean 25.3 ± 15.7 months). An 8.7% Δ longitudinal strain 30 days after Norwood stage 1 had 100% sensitivity and 81% specificity for death/transplant. CONCLUSIONS: In-hospital interstage facilitates escalation of care, which seems efficacious in reducing interstage Norwood deaths. A significant reduction of longitudinal strain after Norwood stage 1 is a strong predictor of poor outcome

The fate of children with microdeletion 22q11.2 syndrome and congenital heart defect: clinical course and cardiac outcome

BACKGROUND: This study aimed to evaluate the cardiac outcome for children with microdeletion 22q11.2 and congenital heart defect (CHD). METHODS: A total of 49 consecutive children with 22q11.2 and CHD were retrospectively identified. The CHD consisted of tetralogy of Fallot and variances (n = 22), interrupted aortic arch (n = 10), ventricular septal defect (n = 8), truncus arteriosus (n = 6), and double aortic arch (n = 1). Extracardiac anomalies were present in 46 of 47 children. RESULTS: The median follow-up time was 8.5 years (range, 3 months to 23.5 years). Cardiac surgical repair was performed for 35 children, whereas 5 had palliative surgery, and 9 never underwent cardiac surgery. The median age at repair was 7.5 months (range, 2 days to 5 years). The mean hospital stay was 35 days (range, 7-204 days), and the intensive care unit stay was 15 days (range, 3-194 days). Significant postoperative complications occurred for 26 children (74%), and surgery for extracardiac malformations was required for 21 patients (43%). The overall mortality rate was 22% (11/49), with 1-year survival for 86% and 5-year survival for 80% of the patients. A total of 27 cardiac reinterventions were performed for 16 patients (46%) including 15 reoperations and 12 interventional catheterizations. Residual cardiac findings were present in 25 patients (71%) at the end of the follow-up period. CONCLUSIONS: Children with microdeletion 22q11.2 and CHD are at high risk for mortality and morbidity, as determined by both the severity of the cardiac lesions and the extracardiac anomalies associated with the microdeletion

Proxying credit curves via Wasserstein distances

Credit risk plays a key role in financial modeling, and financial institutions are required to incorporate it in their pricing, as well as in capital requirement calculations. A common manner to extract credit worthiness information for existing and potential counterparties is based on the Credit Default Swap (CDS) market. Nonetheless, not all counterparties of a financial institution have (liquid) CDSs traded in the market. In this case, financial institutions shall employ a proxy methodology to estimate the default probabilities of these counterparties. Starting from the intersection methodology for credit curves, in this article we investigate whether it is possible to construct proxy credit curves from CDS quotes by means of (weighted) Wasserstein barycenters. We show how, under simple and common assumptions, this revised methodology leads to elementary and intuitive formulae to calculate distances between CDS-implied default probability distributions. Further, we illustrate how to use this information to construct proxy CDS quotes