Modelling Overnight and Daytime Returns Using a Multivariate GARCH-Copula Model

We introduce a multivariate GARCH-Copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The conditional mean and variance of individual overnight and daytime returns depend on their previous realizations through a variant of GARCH specification, and two Student’s t copulas describe joint distributions of both returns respectively. We employ both constant and time-varying correlation matrices for the t copulas and with the time-varying case the dependence structure of both returns depends on their previous dependence structures through a DCC specification. We estimate the model by a two-step procedure, where marginal distributions are estimated in the first step and copulas in the second. We apply our model to overnight and daytime returns of SPDR ETFs of nine major sectors and briefly illustrate its use in risk management and asset allocation. Our empirical results show higher mean, lower variance, fatter tails and lower correlations for overnight returns than daytime returns. Daytime returns are significantly negatively correlated with previous overnight returns. Moreover, daytime returns depend on previous overnight returns in both conditional variance and correlation matrix (through a DCC specification). Most of our empirical findings are consistent with the asymmetric information argument in the market microstructure literature. With respect to econometric modelling, our results show a DCC specification for correlation matrices of t copulas significantly improves the fit of data and enables the model to account for time-varying dependence structure.

Severe Loss Probabilities in Portfolio Credit Risk Models

We derive explicit sharp bounds on the distribution of the number of defaults from a pool of obligors with common probability of default and default correlation. These bounds are extremely wide, implying that default probabilities and default correlations only very loosely determine probabilities of severe portfolio losses. Our results quantify and thereby reinforce Gordy’s (2002) statement that “Capital decisions ... depend on higher moments”.Portfolio Credit Risk Models

Severe Loss Probabilities in Portfolio Credit Risk Models

We derive explicit sharp bounds on the distribution of the number of defaults from a pool of obligors with common probability of default and default correlation. These bounds are extremely wide, implying that default probabilities and default correlations only very loosely determine probabilities of severe portfolio losses. Our results quantify and thereby reinforce Gordy’s (2002) statement that “Capital decisions ... depend on higher moments”

Severe Loss Probabilities in Portfolio Credit Risk Models

We derive explicit sharp bounds on the distribution of the number of defaults from a pool of obligors with common probability of default and default correlation. These bounds are extremely wide, implying that default probabilities and default correlations only very loosely determine probabilities of severe portfolio losses. Our results quantify and thereby reinforce Gordy’s (2002) statement that “Capital decisions ... depend on higher moments”

Structural and non-coding variants increase the diagnostic yield of clinical whole genome sequencing for rare diseases

BACKGROUND: Whole genome sequencing is increasingly being used for the diagnosis of patients with rare diseases. However, the diagnostic yields of many studies, particularly those conducted in a healthcare setting, are often disappointingly low, at 25-30%. This is in part because although entire genomes are sequenced, analysis is often confined to in silico gene panels or coding regions of the genome.METHODS: We undertook WGS on a cohort of 122 unrelated rare disease patients and their relatives (300 genomes) who had been pre-screened by gene panels or arrays. Patients were recruited from a broad spectrum of clinical specialties. We applied a bioinformatics pipeline that would allow comprehensive analysis of all variant types. We combined established bioinformatics tools for phenotypic and genomic analysis with our novel algorithms (SVRare, ALTSPLICE and GREEN-DB) to detect and annotate structural, splice site and non-coding variants.RESULTS: Our diagnostic yield was 43/122 cases (35%), although 47/122 cases (39%) were considered solved when considering novel candidate genes with supporting functional data into account. Structural, splice site and deep intronic variants contributed to 20/47 (43%) of our solved cases. Five genes that are novel, or were novel at the time of discovery, were identified, whilst a further three genes are putative novel disease genes with evidence of causality. We identified variants of uncertain significance in a further fourteen candidate genes. The phenotypic spectrum associated with RMND1 was expanded to include polymicrogyria. Two patients with secondary findings in FBN1 and KCNQ1 were confirmed to have previously unidentified Marfan and long QT syndromes, respectively, and were referred for further clinical interventions. Clinical diagnoses were changed in six patients and treatment adjustments made for eight individuals, which for five patients was considered life-saving.CONCLUSIONS: Genome sequencing is increasingly being considered as a first-line genetic test in routine clinical settings and can make a substantial contribution to rapidly identifying a causal aetiology for many patients, shortening their diagnostic odyssey. We have demonstrated that structural, splice site and intronic variants make a significant contribution to diagnostic yield and that comprehensive analysis of the entire genome is essential to maximise the value of clinical genome sequencing.</p

Telomerecat: A ploidy-agnostic method for estimating telomere length from whole genome sequencing data.

Telomere length is a risk factor in disease and the dynamics of telomere length are crucial to our understanding of cell replication and vitality. The proliferation of whole genome sequencing represents an unprecedented opportunity to glean new insights into telomere biology on a previously unimaginable scale. To this end, a number of approaches for estimating telomere length from whole-genome sequencing data have been proposed. Here we present Telomerecat, a novel approach to the estimation of telomere length. Previous methods have been dependent on the number of telomeres present in a cell being known, which may be problematic when analysing aneuploid cancer data and non-human samples. Telomerecat is designed to be agnostic to the number of telomeres present, making it suited for the purpose of estimating telomere length in cancer studies. Telomerecat also accounts for interstitial telomeric reads and presents a novel approach to dealing with sequencing errors. We show that Telomerecat performs well at telomere length estimation when compared to leading experimental and computational methods. Furthermore, we show that it detects expected patterns in longitudinal data, repeated measurements, and cross-species comparisons. We also apply the method to a cancer cell data, uncovering an interesting relationship with the underlying telomerase genotype

Genetic determinants of risk in pulmonary arterial hypertension: international genome-wide association studies and meta-analysis

Background Rare genetic variants cause pulmonary arterial hypertension, but the contribution of common genetic variation to disease risk and natural history is poorly characterised. We tested for genome-wide association for pulmonary arterial hypertension in large international cohorts and assessed the contribution of associated regions to outcomes. Methods We did two separate genome-wide association studies (GWAS) and a meta-analysis of pulmonary arterial hypertension. These GWAS used data from four international case-control studies across 11744 individuals with European ancestry (including 2085 patients). One GWAS used genotypes from 5895 whole-genome sequences and the other GWAS used genotyping array data from an additional 5849 individuals. Cross-validation of loci reaching genome-wide significance was sought by meta-analysis. Conditional analysis corrected for the most significant variants at each locus was used to resolve signals for multiple associations. We functionally annotated associated variants and tested associations with duration of survival. All-cause mortality was the primary endpoint in survival analyses. Findings A locus near SOX17 (rs10103692, odds ratio 1·80 [95% CI 1·55–2·08], p=5·13×10– ¹⁵) and a second locus in HLA-DPA1 and HLA-DPB1 (collectively referred to as HLA-DPA1/DPB1 here; rs2856830, 1·56 [1·42–1·71], p=7·65×10– ²⁰) within the class II MHC region were associated with pulmonary arterial hypertension. The SOX17 locus had two independent signals associated with pulmonary arterial hypertension (rs13266183, 1·36 [1·25–1·48], p=1·69×10– ¹²; and rs10103692). Functional and epigenomic data indicate that the risk variants near SOX17 alter gene regulation via an enhancer active in endothelial cells. Pulmonary arterial hypertension risk variants determined haplotype-specific enhancer activity, and CRISPR-mediated inhibition of the enhancer reduced SOX17 expression. The HLA-DPA1/DPB1 rs2856830 genotype was strongly associated with survival. Median survival from diagnosis in patients with pulmonary arterial hypertension with the C/C homozygous genotype was double (13·50 years [95% CI 12·07 to >13·50]) that of those with the T/T genotype (6·97 years [6·02–8·05]), despite similar baseline disease severity. Interpretation This is the first study to report that common genetic variation at loci in an enhancer near SOX17 and in HLA-DPA1/DPB1 is associated with pulmonary arterial hypertension. Impairment of SOX17 function might be more common in pulmonary arterial hypertension than suggested by rare mutations in SOX17. Further studies are needed to confirm the association between HLA typing or rs2856830 genotyping and survival, and to determine whether HLA typing or rs2856830 genotyping improves risk stratification in clinical practice or trials. Funding UK NIHR, BHF, UK MRC, Dinosaur Trust, NIH/NHLBI, ERS, EMBO, Wellcome Trust, EU, AHA, ACClinPharm, Netherlands CVRI, Dutch Heart Foundation, Dutch Federation of UMC, Netherlands OHRD and RNAS, German DFG, German BMBF, APH Paris, INSERM, Université Paris-Sud, and French ANR

Publisher Correction: Telomerecat: A ploidy-agnostic method for estimating telomere length from whole genome sequencing data.

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GWAS meta-analysis of intrahepatic cholestasis of pregnancy implicates multiple hepatic genes and regulatory elements

Intrahepatic cholestasis of pregnancy (ICP) is a pregnancy-specific liver disorder affecting 0.5–2% of pregnancies. The majority of cases present in the third trimester with pruritus, elevated serum bile acids and abnormal serum liver tests. ICP is associated with an increased risk of adverse outcomes, including spontaneous preterm birth and stillbirth. Whilst rare mutations affecting hepatobiliary transporters contribute to the aetiology of ICP, the role of common genetic variation in ICP has not been systematically characterised to date. Here, we perform genome-wide association studies (GWAS) and meta-analyses for ICP across three studies including 1138 cases and 153,642 controls. Eleven loci achieve genome-wide significance and have been further investigated and fine-mapped using functional genomics approaches. Our results pinpoint common sequence variation in liver-enriched genes and liver-specific cis-regulatory elements as contributing mechanisms to ICP susceptibility

Conditional Gaussian models of the term structure of interest rates

We present a new family of yield curve models, termed "Conditional Gaussian". It provides both simplicity and extreme flexibility in constructing "market models". Almost any conditional co-variance structure - including features designed to capture volatility "skews" and/or dependence on past returns - can be used, and the model can be embedded into a continuous-time whole yield curve model consistent with general equilibrium. Conditionally Gaussian increments in log one-plus-interest-rates enable "vanilla" and path-dependent derivatives to be valued easily by Monte Carlo, whether or not their payoffs depend solely on the particular market rates being modelled directly.Interest rate models, market models, Conditional Gaussian