Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets

Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper we derive a consistent and general framework to measure the riskiness of a bank which is subject to correlated interest rate and credit risk. The framework accounts for all sources of credit risk, interest rate risk and their combined impact As we model the whole balance sheet of a bank the framework not only enables us to assess the impact of credit and interest rate risk on the bank's economic value but also on its future earnings and capital adequacy. We apply our framework to a hypothetical bank in normal and stressed conditions. The simulation highlights that it is fundamental to measure the impact of correlated interest rate and credit risk jointly on the whole portfolio of banks, including assets, liabilities and off-balance sheet itemsIntegration of credit risk & interest rate risk, asset & liability management of banks, economic value, stress testing

Interpreting equity price movements since the start of the financial crisis

Equity markets have experienced large price movements since the financial crisis began in mid-2007. Understanding the factors that drive equity prices is important for policymakers as they may contain information about the future course of the economy. This article uses a simple model to decompose recent equity price movements into changes in earnings expectations, the risk-free rate and the equity risk premium. Indicative evidence suggests that changes in earnings expectations can account for some, but by no means all, of the shifts in equity prices since mid-2007. Policy actions by central banks and governments are likely to have supported equity prices, for example by lowering government bond yields and reducing the likelihood of more severe downside risks to the economy materialising. The latter may also have contributed to a fall in the implied level of the equity risk premium, which had increased sharply during the financial crisis.

Alternative Applications of Trans-Oral Robotic Surgery (TORS): A Systematic Review

The role of robotic surgery in the field of oncology has been widely described, in particular for the tumours of the oropharynx and larynx, but its efficacy for benign pathology is inconsistent

Common variants in Alzheimer’s disease and risk stratification by polygenic risk scores

Funder: Funder: Fundación bancaria ‘La Caixa’ Number: LCF/PR/PR16/51110003 Funder: Grifols SA Number: LCF/PR/PR16/51110003 Funder: European Union/EFPIA Innovative Medicines Initiative Joint Number: 115975 Funder: JPco-fuND FP-829-029 Number: 733051061Genetic discoveries of Alzheimer's disease are the drivers of our understanding, and together with polygenetic risk stratification can contribute towards planning of feasible and efficient preventive and curative clinical trials. We first perform a large genetic association study by merging all available case-control datasets and by-proxy study results (discovery n = 409,435 and validation size n = 58,190). Here, we add six variants associated with Alzheimer's disease risk (near APP, CHRNE, PRKD3/NDUFAF7, PLCG2 and two exonic variants in the SHARPIN gene). Assessment of the polygenic risk score and stratifying by APOE reveal a 4 to 5.5 years difference in median age at onset of Alzheimer's disease patients in APOE ɛ4 carriers. Because of this study, the underlying mechanisms of APP can be studied to refine the amyloid cascade and the polygenic risk score provides a tool to select individuals at high risk of Alzheimer's disease

Common variants in Alzheimer's disease and risk stratification by polygenic risk scores.

Funder: Funder: Fundación bancaria ‘La Caixa’ Number: LCF/PR/PR16/51110003 Funder: Grifols SA Number: LCF/PR/PR16/51110003 Funder: European Union/EFPIA Innovative Medicines Initiative Joint Number: 115975 Funder: JPco-fuND FP-829-029 Number: 733051061Genetic discoveries of Alzheimer's disease are the drivers of our understanding, and together with polygenetic risk stratification can contribute towards planning of feasible and efficient preventive and curative clinical trials. We first perform a large genetic association study by merging all available case-control datasets and by-proxy study results (discovery n = 409,435 and validation size n = 58,190). Here, we add six variants associated with Alzheimer's disease risk (near APP, CHRNE, PRKD3/NDUFAF7, PLCG2 and two exonic variants in the SHARPIN gene). Assessment of the polygenic risk score and stratifying by APOE reveal a 4 to 5.5 years difference in median age at onset of Alzheimer's disease patients in APOE ɛ4 carriers. Because of this study, the underlying mechanisms of APP can be studied to refine the amyloid cascade and the polygenic risk score provides a tool to select individuals at high risk of Alzheimer's disease

Inter-industry contagion between UK life insurers and UK banks: an event study

Understanding interlinkages in a financial system is an integral part of the assessment of its stability. This paper employs an event study technique to assess the significance of interlinkages from the UK life insurance sector to the UK banking system in times of stress. The paper uses a thorough methodology to enhance standard event study techniques by adjusting for autocorrelation and heteroskedasticity when calculating the abnormal returns’ forecast errors and for the offsetting effects in cumulative abnormal returns. We take an original approach by introducing the use of trading volumes to detect significant reactions not captured by the use of equity prices. The paper shows evidence of interlinkages from the UK life insurance to the UK banking sector, and concludes that contagion is driven by banks’ ownership of life insurance assets and only occurs during events that have hit the life insurance sector as a whole.