On the Pricing of Performance Sensitive Debt

Performance sensitive debt (PSD) contracts link a loan's interest rate to a measure of the borrower's credit relevant performance, e.g., if the borrower becomes less credit worthy, the interest rate increases according to a predetermined schedule. We derive and empirically test a pricing model for PSD contracts and find that interest increasing contracts are priced reflecting a substantial risk of shocks to borrower credit quality. Borrowers using such contracts are of an overall higher credit quality compared to borrowers using interest decreasing contracts. These contracts are priced as if no risk of shocks to borrower credit quality is present.Performance sensitive debt; cash flow ratios; credit ratings

Teoretisk og numerisk prising av korrelasjonsavhengige kredittderivater

Denne utredningen tar sikte på å studere og sammenligne ulike teoretiske modeller for prising av kredittderivater der underliggende aktivum er en portefølje av aktiva. Historiske data viser oss at konkurser har en tendens til å opptre uregelmessig og i klynger. Prisingsmodellene vi bruker for å prise slike kontrakter må derfor ta hensyn til denne korrelasjonsproblematikken på en tilfredsstillende måte. Viktig for oss er det også å vise hvordan disse modellene kan implementeres i praksis. Vi gjør dette gjennom å bruke relativt enkle numeriske eksempler. Vi starter oppgaven med å gi en generell oversikt over hva begrepet kredittrisiko er, og hvordan denne risikoen måles i praksis. Vi gir så en oversikt over hvilke produkter som er sentrale i dagens kredittderivatmarked, og beskriver hvordan strukturen i disse produktene er bygd opp. Videre følger en mer teoretisk del, der vi først presenterer to hovedtyper av kredittrisikomodeller; strukturerte modeller og redusert form modeller. Disse modellene danner selve fundamentet for de mer spesifikke modellene vi studerer senere i oppgaven. Konkurskorrelasjoner er, sammen med individuelle konkurssannsynligheter og andel tilbakebetalt ved konkurs, den viktigste faktoren i prising av korrelasjonsavhengige kredittderivater. Etter en kort forklaring på hvordan de to første faktorene kan estimeres går vi videre med å beskrive hva korrelasjoner er og hvordan man kan estimere disse. Siste del av oppgaven blir viet til en studie av flere ulike modeller som hver har sine måter å løse korrelasjonsproblematikken på. Vi fokuserer i hovedsak på modeller med solide teoretiske fundament, men inkluderer også en praktisk tilnærming til problemet. Styrkene og svakhetene til de ulike modellene blir kommentert

Treatment and survival of patients with pancreatic ductal adenocarcinoma: 15-year national cohort

Background - Improvement in survival from pancreatic ductal adenocarcinoma (PDAC) has been reported in trial settings but is less explored in unselected cohorts. The aim of this study was to assess trends in provision of treatments and survival in Norway over a 15-year period following the implementation of hepato-pancreato-biliary (HPB) multidisciplinary teams, centralization of surgery, and implementation of modern chemotherapy (CTx) regimens. Methods - A population-based observational study was conducted by analysing all patients diagnosed with PDAC between 2004 and 2018 using coupled data from the Cancer Registry of Norway and the National Patient Registry. Results - A total of 10 630 patients were identified, of whom 1492 (14.0 per cent) underwent surgical resection. The resection rate, median age of those resected, and provision of perioperative CTx all increased over time. Median overall survival after resection improved from 16.0 months in the period 2004 to 2008 to 25.1 months in the period 2014 to 2018 (P  Conclusion - Survival after resection increased substantially, as did national resection rates. Little development in the provision of CTx or survival was observed for non-resected patients

Accurate population-based model for individual prediction of colon cancer recurrence

Background Prediction models are useful tools in the clinical management of colon cancer patients, particularly when estimating the recurrence rate and, thus, the need for adjuvant treatment. However, the most used models (MSKCC, ACCENT) are based on several decades-old patient series from clinical trials, likely overestimating the current risk of recurrence, especially in low-risk groups, as outcomes have improved over time. The aim was to develop and validate an updated model for the prediction of recurrence within 5 years after surgery using routinely collected clinicopathologic variables. Material and methods A population-based cohort from the Swedish Colorectal Cancer Registry of 16,134 stage I–III colon cancer cases was used. A multivariable model was constructed using Cox proportional hazards regression. Three-quarters of the cases were used for model development and one quarter for internal validation. External validation was performed using 12,769 stage II–III patients from the Norwegian Colorectal Cancer Registry. The model was compared to previous nomograms. Results The nomogram consisted of eight variables: sex, sidedness, pT-substages, number of positive and found lymph nodes, emergency surgery, lymphovascular and perineural invasion. The area under the curve (AUC) was 0.78 in the model, 0.76 in internal validation, and 0.70 in external validation. The model calibrated well, especially in low-risk patients, and performed better than existing nomograms in the Swedish registry data. The new nomogram’s AUC was equal to that of the MSKCC but the calibration was better. Conclusion The nomogram based on recently operated patients from a population registry predicts recurrence risk more accurately than previous nomograms. It performs best in the low-risk groups where the risk-benefit ratio of adjuvant treatment is debatable and the need for an accurate prediction model is the largest.publishedVersio

Cardiovascular outcomes after curative prostate cancer treatment: A population-based cohort study

Objective: To investigate differences in cardiovascular disease (CVD) morbidity and mortality after radical prostatectomy or definitive radiotherapy with or without androgen deprivation therapy (ADT). Materials and methods: We used population-based data from the Cancer Registry of Norway, the Norwegian Patient Registry and the Norwegian Cause of Death Registry including 19 289 men ≤80 years diagnosed with non-metastatic prostate cancer during 2010-2019. Patients were treated with radical prostatectomy or definitive radiotherapy. We used competing risk models to compare morbidity from overall CVD, acute myocardial infarction (AMI), cerebral infarction, thromboembolism, and CVD-specific mortality for the overall cohort and stratified by prognostic risk groups. Results: After a median follow-up time of 5.4 years (IQR 4.6 years), there were no differences in adjusted rates of AMI, cerebral infarction, and CVD-specific death between radical prostatectomy and definitive radiotherapy in any of the prognostic risk groups. Rates of overall CVD (0.82; 95% CI 0.76-0.89) and thromboembolism (0.30; 95% CI 0.20-0.44) were lower for definitive radiotherapy than radical prostatectomy during the first year of follow-up. After this overall CVD rates (1.19; 95% CI 1.11-1.28) were consistently higher across all risk groups in patients treated with definitive radiotherapy, but there were no differences regarding thromboembolism. Conclusions: During the first years after treatment, no differences were found in rates of AMI, cerebral infarction, and CVD-specific death between radiotherapy and radical prostatectomy in any of the prognostic risk groups. This suggests that ADT use in combination with radiotherapy may not increase the risks of these outcomes in a curative setting. The increased overall CVD rate for definitive radiotherapy after the first year indicates a possible relationship between definitive radiotherapy and other CVDs than AMI and cerebral infarction.publishedVersio

Relationship between intermittency and stratification

A formal analogy exists between 2D turbulence and 3D turbulence with stratification and rotation. Although the effect of the rotation, to the scale typical of the turbulence, is negligible in the atmosphere, we have found a relationship between the behavior of the intermittency and that of the atmospheric stratification. In order to do that, the intermittency has been characterized through the flatness of the PDFs of velocity increments, for the smallest possible scale, present in our measurements

Anxiety and depression symptoms, albuminuria and risk of acute myocardial infarction in the Norwegian HUNT cohort study

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Treatment and 30-day mortality after myocardial infarction in prostate cancer patients: A population-based study from Norway

Introduction: There is limited knowledge about the use of invasive treatment and mortality after acute myocardial infarction (AMI) in prostate cancer (PCa) patients. We therefore wanted to compare rates of invasive treatment and 30-day mortality between AMIs in patients with PCa and AMIs in the general Norwegian male population. Methods: Norwegian population-based registry data from 2013 to 2019 were used in this cohort study to identify AMIs in patients with a preceding PCa diagnosis. We compared invasive treatment rates and 30-day mortality in AMI patients with PCa to the same outcomes in all male AMI patients in Norway. Invasive treatment was defined as performed angiography with or without percutaneous coronary intervention or coronary artery bypass graft surgery. Standardized mortality (SMR) and incidence ratios, and logistic regression were used to evaluate the association between PCa risk groups and invasive treatment. Results: In 1,018 patients with PCa of all risk groups, the total rates of invasive treatment for AMIs were similar to the rates in the general AMI population. In patients with ST-segment elevation AMIs, rates were lower in metastatic PCa compared to localized PCa (OR 0.15, 95% CI: 0.04–0.49). For non-ST-segment elevation AMIs, there were no differences between PCa risk groups. The 30-day mortality after AMI was lower in PCa patients than in the total population of similarly aged AMI patients (SMR 0.77, 95% CI: 0.61–0.97). Conclusion: Except for patients with metastatic PCa experiencing an ST-segment elevation AMI, PCa patients were treated as frequent with invasive treatment for their AMI as the general AMI population. 30-day all-cause mortality was lower after AMI in PCa patients compared to the general AMI population.publishedVersio

Hva betyr tidligere hjerte- og karsykdom eller kreft for risiko for død etter påvist SARS-CoV-2?

BAKGRUNN Hjerte- og karsykdommer og kreft har vært beskrevet som mulige risikofaktorer for død av covid-19. Hensikten med studien er å undersøke om tidligere påvist hjerte- og karsykdom eller kreft har påvirket risiko for å dø etter påvist covid-19 i Norge. MATERIALE OG METODE Data fra Meldingssystem for smittsomme sykdommer, Nasjonalt register over hjerte- og karsykdommer og Kreftregisteret ble sammenstilt. Bi- og multivariable regresjonsmodeller ble brukt for å beregne både relativ og absolutt risiko. RESULTATER Første halvår 2020 fikk 8 809 personer påvist SARS-CoV-2 og 260 covid-19-assosierte dødsfall ble registrert. Økende alder, mannlig kjønn (relativ risiko (RR): 1,5; konfidensintervall (KI): 1,2 til 2,0), tidligere hjerneslag (RR: 1,5; KI: 1,0 til 2,1) og kreft med fjernspredning på diagnosetidspunktet (RR: 3,0; KI: 1,1 til 8,2) var uavhengige risikofaktorer for død etter påvist covid-19. Etter justering for alder og kjønn var hjerteinfarkt, atrieflimmer, hjertesvikt, hypertensjon og ikke-metastatisk kreft ikke lengre statistisk signifikante risikofaktorer for død. FORTOLKNING Den største risikofaktoren for død blant SARS-CoV-2-testpositive personer var alder. Mannlig kjønn, tidligere påvist hjerneslag og kreft med fjernspredning var også assosiert med forhøyet risiko for død etter påvist covid-19.publishedVersio

Is the presence of foraminal stenosis associated with outcome in lumbar spinal stenosis patients treated with posterior microsurgical decompression

Background We aim to investigate associations between preoperative radiological findings of lumbar foraminal stenosis with clinical outcomes after posterior microsurgical decompression in patients with predominantly central lumbar spinal stenosis (LSS). Methods The study was an additional analysis in the NORDSTEN Spinal Stenosis Trial. In total, 230 men and 207 women (mean age 66.8 (SD 8.3)) were included. All patients underwent an MRI including T1- and T2-weighted sequences. Grade of foraminal stenosis was dichotomized into none to moderate (0–1) and severe (2–3) category using Lee’s classification system. The Oswestry Disability Index (ODI), Zurich Claudication Questionnaire (ZCQ), and numeric rating scale (NRS) for back and leg pain were collected at baseline and at 2-year follow-up. Primary outcome was a reduction of 30% or more on the ODI score. Secondary outcomes included the mean improvement on the ODI, ZCQ, and NRS scores. We performed multivariable regression analyses with the radiological variates foraminal stenosis, Pfirrmann grade, Schizas score, dural sac cross-sectional area, and the possible plausible confounders: patients’ gender, age, smoking status, and BMI. Results The cohort of 437 patients presented a high degree of degenerative changes at baseline. Of 414 patients with adequate imaging of potential foraminal stenosis, 402 were labeled in the none to moderate category and 12 in the severe category. Of the patients with none to moderate foraminal stenosis, 71% achieved at least 30% improvement in ODI. Among the patients with severe foraminal stenosis, 36% achieved at least 30% improvement in ODI. A significant association between severe foraminal stenosis and less chance of reaching the target of 30% improvement in the ODI score after surgery was detected: OR 0.22 (95% CI 0.06, 0.83), p=0.03. When investigating outcome as continuous variables, a similar association between severe foraminal stenosis and less improved ODI with a mean difference of 9.28 points (95%CI 0.47, 18.09; p=0.04) was found. Significant association between severe foraminal stenosis and less improved NRS pain in the lumbar region was also detected with a mean difference of 1.89 (95% CI 0.30, 3.49; p=0.02). No significant association was suggested between severe foraminal stenosis and ZCQ or NRS leg pain. Conclusion In patients operated with posterior microsurgical decompression for LSS, a preoperative severe lumbar foraminal stenosis was associated with higher proportion of patients with less than 30% improvement in ODI.publishedVersio