Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments

Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, it can be challenging to compute WWR efficiently. We propose to split the relevant exposure profile into two parts: an independent part and a WWR-driven part. For the first part, already available exposures can be used where correlations between the funding spread and market risks are ignored. We express the second part of the exposure profile in terms of the stochastic drivers and approximate these by a common Gaussian stochastic factor. The proposed approximation is generic, is an add-on to the existing xVA calculations and provides an efficient and robust way to include WWR in FVA modelling. Furthermore, the approximation provides some intuition on WWR. Case studies are presented for an interest rate swap and a representative multi-currency portfolio of swaps. They illustrate that the approximation method is applicable in a practical setting due to its generic nature. We analyze the approximation error and illustrate how the approximation can be used to compute WWR sensitivities, which are needed for risk management

Medidas de fração de vazio em escoamentos bifásicos por transmissão e difusão de nêutrons

Foram obtidas curvas de calibração que fornecem valores médios de fração de vazio (a), para misturas bifásicas de agua-vapor, para os regimes de escoamento a bolhas, bolsões ("slug"), anular e anular inverso. As medidas foram realizadas em modelos simulados de lucite-ar, para escoamento estacionário, pelas técnicas da transmissão e difusão de nêutrons térrmicos. As curvas de calibração obtidas foram utilizadas para medidas de fração de vazio em um circuito contendo mistura bifásica de água-ar, em escoamento concorrente ascendente, para os regimes a bolsões (pmax =1,06 bar) e anular (Pmax =1.33 bar), pelas mesmas técnicas anteriores. Em ambos os sistemas, utilizou-se uma seção de testes constituída de tubulação de alumínio (99,9%), com diâmetro interno de 25,25 mm e 2,00 mm de espessura de parede. O feixe de nêutrons foi obtido de uma fonte isotópica do tipo Am-8e, de 5 Cl, termalizados em uma blindagem cilíndrica de parafina de 500 mm de diâmetro (com H/D=l), recoberta com folhas de cadmio de 2 mm, tendo em seu interior um paralelepípedo de polietileno de alta densidade com dimensões de 240 x 240 x 144mm. Os nêutrons escapavam através de um colimador quadrangular paralelo de 53,00 x 25,25 mm, com 273 mm de comprimento, cavado em uma peça de parafina borada (32X de H3BO3). As medidas experimentais apresentaram boa concordância com os modelos teóricos da literatura especializada

Routine versus on demand removal of the syndesmotic screw; a protocol for an international randomised controlled trial (RODEO-trial) (vol 19, 35, 2018)

Peer reviewe

Routine versus on demand removal of the syndesmotic screw; a protocol for an international randomised controlled trial (RODEO-trial)

Background: Syndesmotic injuries are common and their incidence is rising. In case of surgical fixation of the syndesmosis a metal syndesmotic screw is used most often. It is however unclear whether this screw needs to be removed routinely after the syndesmosis has healed. Traditionally the screw is removed after six to 12 weeks as it is thought to hamper ankle functional and to be a source of pain. Some studies however suggest this is only the case in a minority of patients. We therefore aim to investigate the effect of retaining the syndesmotic screw on functional outcome. Design: This is a pragmatic international multicentre randomised controlled trial in patients with an acute syndesmotic injury for which a metallic syndesmotic screw was placed. Patients will be randomised to either routine removal of the syndesmotic screw or removal on demand. Primary outcome is functional recovery at 12 months measured with the Olerud-Molander Score. Secondary outcomes are quality of life, pain and costs. In total 194 patients will be needed to demonstrate non-inferiority between the two interventions at 80% power and a significance level of 0.025 including 15% loss to follow-up. Discussion: If removal on demand of the syndesmotic screw is non-inferior to routine removal in terms of functional outcome, this will offer a strong argument to adopt this as standard practice of care. This means that patients will not have to undergo a secondary procedure, leading to less complications and subsequent lower costs.Peer reviewe

Routine versus on demand removal of the syndesmotic screw; A protocol for an international randomised controlled trial (RODEO-trial)

Background: Syndesmotic injuries are common and their incidence is rising. In case of surgical fixation of the syndesmosis a metal syndesmotic screw is used most often. It is however unclear whether this screw needs to be removed routinely after the syndesmosis has healed. Traditionally the screw is removed after six to 12 weeks as it is thought to hamper ankle functional and to be a source of pain. Some studies however suggest this is only the case in a minority of patients. We therefore aim to investigate the effect of retaining the syndesmotic screw on functional outcome. Design: This is a pragmatic international multicentre randomised controlled trial in patients with an acute syndesmotic injury for which a metallic syndesmotic screw was placed. Patients will be randomised to either routine removal of the syndesmotic screw or removal on demand. Primary outcome is functional recovery at 12 months measured with the Olerud-Molander Score. Secondary outcomes are quality of life, pain and costs. In total 194 patients will be needed to demonstrate non-inferiority between the two interventions at 80% power and a significance level of 0.025 including 15% loss to follow-up. Discussion: If removal on demand of the syndesmotic screw is non-inferior to routine removal in terms of functional outcome, this will offer a strong argument to adopt this as standard practice of care. This means that patients will not have to undergo a secondary procedure, leading to less complications and subsequent lower costs. Trial registration: This study was registered at the Netherlands Trial Register (NTR5965), Clinicaltrials.gov (NCT02896998) on July 15th 2016

Cross Adaptation - Heat and Cold Adaptation to Improve Physiological and Cellular Responses to Hypoxia

To prepare for extremes of heat, cold or low partial pressures of O2, humans can undertake a period of acclimation or acclimatization to induce environment specific adaptations e.g. heat acclimation (HA), cold acclimation (CA), or altitude training. Whilst these strategies are effective, they are not always feasible, due to logistical impracticalities. Cross adaptation is a term used to describe the phenomenon whereby alternative environmental interventions e.g. HA, or CA, may be a beneficial alternative to altitude interventions, providing physiological stress and inducing adaptations observable at altitude. HA can attenuate physiological strain at rest and during moderate intensity exercise at altitude via adaptations allied to improved oxygen delivery to metabolically active tissue, likely following increases in plasma volume and reductions in body temperature. CA appears to improve physiological responses to altitude by attenuating the autonomic response to altitude. While no cross acclimation-derived exercise performance/capacity data have been measured following CA, post-HA improvements in performance underpinned by aerobic metabolism, and therefore dependent on oxygen delivery at altitude, are likely. At a cellular level, heat shock protein responses to altitude are attenuated by prior HA suggesting that an attenuation of the cellular stress response and therefore a reduced disruption to homeostasis at altitude has occurred. This process is known as cross tolerance. The effects of CA on markers of cross tolerance is an area requiring further investigation. Because much of the evidence relating to cross adaptation to altitude has examined the benefits at moderate to high altitudes, future research examining responses at lower altitudes should be conducted given that these environments are more frequently visited by athletes and workers. Mechanistic work to identify the specific physiological and cellular pathways responsible for cross adaptation between heat and altitude, and between cold and altitude, is warranted, as is exploration of benefits across different populations and physical activity profiles