Premia for correlated default risk

Using data on corporate default experience in the U.S. and market rates of CDX index and tranche swaps of various maturities, we estimate reduced-form models of correlated default timing in the CDX High Yield and Investment Grade portfolios under actual and risk-neutral probabilities. The striking contrast between the estimated processes followed by the actual and risk-neutral arrival intensities of defaults, and between the parameters governing the actual and risk-neutral dynamics of the risk-neutral intensities, indicates the presence of substantial default risk premia in CDX swap market rates. The effects of risk premia on swap rates covary strongly across maturities, and depend on general stock market volatility and several measures of credit spreads. Large moves in the effects of these premia on swap rates have natural interpretations in terms of economic and financial market developments during the sample period, April 2004 to October 2007. Our results suggest that a large portion of the movements in CDX swap market rates observed during the sample period may be caused by changing attitudes toward correlated default risk rather than changes in the economic factors affecting the actual risk of clustered defaults, which ultimately governs swap payoffs.Correlated defaults Risk premium Measure change Maximum likelihood

Clinical evaluation of a fully electronic microfluidic white blood cell analyzer.

The White Blood Cell (WBC) count is one of the key parameters signaling the health of the immune system. Abnormal WBC counts often signal a systemic insult to the body such as an underlying infection or an adverse side effect to medication. Typically, the blood collected is sent to a central lab for testing, and results come back within hours, which is often inconvenient and may delay time-sensitive diagnosis or treatment. Here, we present the CytoTracker, a fully electronic, microfluidic based instant WBC analyzer with the potential to be used at point-of-care. The CytoTracker is a lightweight, portable, affordable platform capable of quantifying WBCs within minutes using only 50 μl of blood (approximately one drop of blood). In this study, we clinically evaluated the accuracy and performance of CytoTracker in measuring WBC and granulocyte counts. A total of 210 adult patients were recruited in the study. We validated the CytoTracker against a standard benchtop analyzer (Horiba Point of Care Hematology Analyzer, ABX Micros 60). Linear dynamic ranges of 2.5 k/μl- 35 k/μl and 0.6 k/μl- 26 k/μl were achieved for total WBC count and granulocyte count with correlation coefficients of 0.97 and 0.98. In addition, we verified CytoTracker's capability of identifying abnormal blood counts with above 90% sensitivity and specificity. The promising results of this clinical validation study demonstrate the potential for the use of the CytoTracker as a reliable and accurate point-of-care WBC analyzer

Clinical study data.

The White Blood Cell (WBC) count is one of the key parameters signaling the health of the immune system. Abnormal WBC counts often signal a systemic insult to the body such as an underlying infection or an adverse side effect to medication. Typically, the blood collected is sent to a central lab for testing, and results come back within hours, which is often inconvenient and may delay time-sensitive diagnosis or treatment. Here, we present the CytoTracker, a fully electronic, microfluidic based instant WBC analyzer with the potential to be used at point-of-care. The CytoTracker is a lightweight, portable, affordable platform capable of quantifying WBCs within minutes using only 50 μl of blood (approximately one drop of blood). In this study, we clinically evaluated the accuracy and performance of CytoTracker in measuring WBC and granulocyte counts. A total of 210 adult patients were recruited in the study. We validated the CytoTracker against a standard benchtop analyzer (Horiba Point of Care Hematology Analyzer, ABX Micros 60). Linear dynamic ranges of 2.5 k/μl– 35 k/μl and 0.6 k/μl– 26 k/μl were achieved for total WBC count and granulocyte count with correlation coefficients of 0.97 and 0.98. In addition, we verified CytoTracker’s capability of identifying abnormal blood counts with above 90% sensitivity and specificity. The promising results of this clinical validation study demonstrate the potential for the use of the CytoTracker as a reliable and accurate point-of-care WBC analyzer.</div

Confusion matrices of CytoTracker for predicting abnormal blood count cases.

(A) leukopenia, (B) leukocytosis, (C) agranulocytosis, and (D) granulocytosis. The true class is defined by the counts obtained by Horiba, and the predicted class is defined by the counts obtained by CytoTracker.</p

Performance of CytoTracker on identifying abnormal counts.

Performance of CytoTracker on identifying abnormal counts.</p

Passing-Bablok regression analyses and Bland-Altman plots.

Passing-Bablok regression analyses between Horiba results and CytoTracker results. (A) Total WBC count: slope: 1.05 (95% CI 1.02 to 1.08) intercept: 0.41 (95% CI 0.15 to 0.65) (B) granulocyte count: slope: 1.04 (95% CI 1.01 to 1.07) intercept: -0.15 (95% CI -0.30 to -0.04). The x-axis is the measured cell counts obtained using the Horiba hematology analyzer, while the y-axis is the measured cell counts obtained using the CytoTracker. The red dots represent samples flagged for abnormal counts outside of the normal range for WBC (4.5 k/μl—11 k/μl) and granulocytes (1.2 k/μl—6.8 k/μl). The solid blue line represents the regression line, the dashed red line represents the line of identity, and 95% confidence intervals are represented by the black dashed lines. Bland-Altman plots present level of agreement between CytoTracker and Horiba on WBC count (C) and granulocyte count (D), with the mean of the differences (blue solid line) and ± 1.96 SD limits (red dashed lines).</p

Study overview.

(A) Image of CytoTracker device prototype. (B) An image of the CytoTracker microfluidic impedance cytometer. (C) Schematic of sensing mechanism. (D) A diagram of the proposed user workflow. Drop of blood is obtained from patient, then placed into sample processing tube for lysis of red blood cells. After waiting for one minute, several drops of processed blood are squeezed into the test strip (plugged into device). After waiting for two minutes, the result is available for the user. (E) An overview of study workflow. 210 adult patients with symptoms were recruited. Nine patients were excluded due to the sample being improperly handled during shipment. As a result, the final analysis was obtained from 201 patients.</p