Capital allocation for credit portfolios with kernel estimators

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.Comment: 22 pages, 12 tables, 1 figure, some amendment

Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II (and III). Here L describes the loss amount of the present risk profile and S describes the loss amount caused by an additional loss factor. We obtain different types of results according to the relative magnitudes of the thicknesses of the tails of L and S. In particular, if the tail of S is sufficiently thinner than the tail of L, then the difference between prior and posterior risk amounts VaR(L+S) - VaR(L) is asymptotically equivalent to the expectation (expected loss) of S.Comment: 21 pages, 1 figure, 4 tables, forthcoming in International Journal of Theoretical and Applied Finance (IJTAF

The impact of O/Si ratio and hydrogen content on ArF excimer laser ablation of fused silica

The impact of stoichiometry and hydrogen content on the ArF excimer laser ablation characteristics of fused silica is investigated. Nearsurface substoichiometic SiOx with x < 2 diminishes the ablation threshold as a result of increased absorption. The ablation rate is raised by an elevated hydrogen content. As confirmed by mass spectrometric analysis, the laser-induced formation of substoichiometric near-surface layers within the ablation spot sustains absorption and ablation for consecutive laser pulses

Importance Sampling and Stratification for Copula Models

An importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at least one of its components is large. Such problems often arise from dependence models in finance and insurance. The importance sampling framework we propose is particularly easy to implement for Archimedean copulas. We also show how the proposal distribution of our algorithm can be optimized by making a connection with stratified sampling. In a case study inspired by a typical insurance application, we obtain variance reduction factors sometimes larger than 1000 in comparison to standard Monte Carlo estimators when both importance sampling and quasi-Monte Carlo methods are used.NSERC, Grant 238959 NSERC, Grant 501

Inhaled sodium cromoglycate for asthma in children

Background Sodium cromoglycate has been recommended as maintenance treatment for childhood asthma for many years. Its use has decreased since 1990, when inhaled corticosteroids became popular, but it is still used in many countries. Objectives To determine the efficacy of sodium cromoglycate compared to placebo in the prophylactic treatment of children with asthma. Search strategy We searched the Cochrane Airways Group Trials Register (October 2007), the Cochrane Central Register of Controlled Trials (CENTRAL) (The Cochrane Library Issue 3, 2007), MEDLINE (January 1966 to November 2007), EMBASE (January 1985 to November 2007) and reference lists of articles. We also contacted the pharmaceutical company manufacturing sodium cromoglycate. In 2007 we updated the review. Selection criteria All double-blind, placebo-controlled randomised trials, which addressed the effectiveness of inhaled sodium cromoglycate as maintenance therapy, studying children aged 0 up to 18 years with asthma. Data collection and analysis Two authors independently assessed trial quality and extracted data. We pooled study results. Main results Of 3500 titles retrieved from the literature, 24 papers reporting on 23 studies could be included in the review. The studies were published between 1970 and 1997 and together included 1026 participants. Most were cross-over studies. Few studies provided sufficient information to judge the concealment of allocation. Four studies provided results for the percentage of symptom-free days. Pooling the results did not reveal a statistically significant difference between sodium cromoglycate and placebo. For the other pooled outcomes, most of the symptom-related outcomes and bronchodilator use showed statistically significant results, but treatment effects were small. Considering the confidence intervals of the outcome measures, a clinically relevant effect of sodium cromoglycate cannot be excluded. The funnel plot showed an under-representation of small studies with negative results, suggesting publication bias. Authors' conclusions There is insufficient evidence to be sure about the efficacy of sodium cromoglycate over placebo. Publication bias is likely to have overestimated the beneficial effects of sodium cromoglycate as maintenance therapy in childhood asthma

Do decision support systems influence variation in prescription?

<p>Abstract</p> <p>Background</p> <p>Translating scientific evidence into daily practice is problematic. All kinds of intervention strategies, using educational and/or directive strategies, aimed at modifying behavior, have evolved, but have been found only partially successful. In this article the focus is on (computerized) decision support systems (DSSs). DSSs intervene in physicians' daily routine, as opposed to interventions that aim at influencing knowledge in order to change behavior. We examined whether general practitioners (GPs) are prescribing in accordance with the advice given by the DSS and whether there is less variation in prescription when the DSS is used.</p> <p>Methods</p> <p>Data were used from the Second Dutch National Survey of General Practice (DNSGP2), collected in 2001. A total of 82 diagnoses, 749811 contacts, 133 physicians, and 85 practices was included in the analyses. GPs using the DSS daily were compared to GPs who do not use the DSS. Multilevel analyses were used to analyse the data. Two outcome measures were chosen: whether prescription was in accordance with the advice of the DSS or not, and a measure of concentration, the Herfindahl-Hirschman Index (HHI).</p> <p>Results</p> <p>GPs who use the DSS daily prescribe more according to the advice given in the DSS than GPs who do not use the DSS. Contradictory to our expectation there was no significant difference between the HHIs for both groups: variation in prescription was comparable.</p> <p>Conclusion</p> <p>We studied the use of a DSS for drug prescribing in general practice in the Netherlands. The DSS is based on guidelines developed by the Dutch College of General Practitioners and implemented in the Electronic Medical Systems of the GPs. GPs using the DSS more often prescribe in accordance with the advice given in the DSS compared to GPs not using the DSS. This finding, however, did not mean that variation is lower; variation is the same for GPs using and for GPs not using a DSS. Implications of the study are that DSSs can be used to implement guidelines, but that it should not be expected that variation is limited.</p