Value-at-Risk and expected shortfall for rare events

We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The alleged incentive suggested by the New Basel Capital Accord (Basel II), amely decreasing minimum capital requirements by allowing for less than perfect correlation, may not necessarily be attainable

Operational–risk Dependencies and the Determination of Risk Capital

With the advent of Basel II, risk–capital provisions need to also account for operational risk. The specification of dependence structures and the assessment of their effects on aggregate risk–capital are still open issues in modeling operational risk. In this paper, we investigate the potential consequences of adopting the restrictive Basel’s Loss Distribution Approach (LDA), as compared to strategies that take dependencies explicitly into account. Drawing on a real–world database, we fit alternative dependence structures, using parametric copulas and nonparametric tail–dependence coefficients, and discuss the implications on the estimation of aggregate risk capital. We find that risk–capital estimates may increase relative to that derived for the LDA when accounting explicitly for the presence of dependencies. This phenomenon is not only be due to the (fitted) characteristics of the data, but also arise from the specific Monte Carlo setup in simulation–based risk–capital analysis.Copula, Nonparametric Tail Dependence, Basel II, Loss Distribution Approach, Value–at–Risk, Subadditivity

Reducing the environmental impact of surgery on a global scale: systematic review and co-prioritization with healthcare workers in 132 countries

Abstract Background Healthcare cannot achieve net-zero carbon without addressing operating theatres. The aim of this study was to prioritize feasible interventions to reduce the environmental impact of operating theatres. Methods This study adopted a four-phase Delphi consensus co-prioritization methodology. In phase 1, a systematic review of published interventions and global consultation of perioperative healthcare professionals were used to longlist interventions. In phase 2, iterative thematic analysis consolidated comparable interventions into a shortlist. In phase 3, the shortlist was co-prioritized based on patient and clinician views on acceptability, feasibility, and safety. In phase 4, ranked lists of interventions were presented by their relevance to high-income countries and low–middle-income countries. Results In phase 1, 43 interventions were identified, which had low uptake in practice according to 3042 professionals globally. In phase 2, a shortlist of 15 intervention domains was generated. In phase 3, interventions were deemed acceptable for more than 90 per cent of patients except for reducing general anaesthesia (84 per cent) and re-sterilization of ‘single-use’ consumables (86 per cent). In phase 4, the top three shortlisted interventions for high-income countries were: introducing recycling; reducing use of anaesthetic gases; and appropriate clinical waste processing. In phase 4, the top three shortlisted interventions for low–middle-income countries were: introducing reusable surgical devices; reducing use of consumables; and reducing the use of general anaesthesia. Conclusion This is a step toward environmentally sustainable operating environments with actionable interventions applicable to both high– and low–middle–income countries

Age-dependent and sex-dependent disparity in mortality in patients with adrenal incidentalomas and autonomous cortisol secretion: an international, retrospective, cohort study.

BACKGROUND The association between cortisol secretion and mortality in patients with adrenal incidentalomas is controversial. We aimed to assess all-cause mortality, prevalence of comorbidities, and occurrence of cardiovascular events in uniformly stratified patients with adrenal incidentalomas and cortisol autonomy (defined as non-suppressible serum cortisol on dexamethasone suppression testing). METHODS We conducted an international, retrospective, cohort study (NAPACA Outcome) at 30 centres in 16 countries. Eligible patients were aged 18 years or older with an adrenal incidentaloma (diameter ≥1 cm) detected between Jan 1, 1996, and Dec 31, 2015, and availability of a 1 mg dexamethasone suppression test result from the time of the initial diagnosis. Patients with clinically apparent hormone excess, active malignancy, or follow-up of less than 36 months were excluded. Patients were stratified according to the 0800-0900 h serum cortisol values after an overnight 1 mg dexamethasone suppression test; less than 50 nmol/L was classed as non-functioning adenoma, 50-138 nmol/L as possible autonomous cortisol secretion, and greater than 138 nmol/L as autonomous cortisol secretion. The primary endpoint was all-cause mortality. Secondary endpoints were the prevalence of cardiometabolic comorbidities, cardiovascular events, and cause-specific mortality. The primary and secondary endpoints were assessed in all study participants. FINDINGS Of 4374 potentially eligible patients, 3656 (2089 [57·1%] with non-functioning adenoma, 1320 [36·1%] with possible autonomous cortisol secretion, and 247 [6·8%] with autonomous cortisol secretion) were included in the study cohort for mortality analysis (2350 [64·3%] women and 1306 [35·7%] men; median age 61 years [IQR 53-68]; median follow-up 7·0 years [IQR 4·7-10·2]). During follow-up, 352 (9·6%) patients died. All-cause mortality (adjusted for age, sex, comorbidities, and previous cardiovascular events) was significantly increased in patients with possible autonomous cortisol secretion (HR 1·52, 95% CI 1·19-1·94) and autonomous cortisol secretion (1·77, 1·20-2·62) compared with patients with non-functioning adenoma. In women younger than 65 years, autonomous cortisol secretion was associated with higher all-cause mortality than non-functioning adenoma (HR 4·39, 95% CI 1·93-9·96), although this was not observed in men. Cardiometabolic comorbidities were significantly less frequent with non-functioning adenoma than with possible autonomous cortisol secretion and autonomous cortisol secretion (hypertension occurred in 1186 [58·6%] of 2024 patients with non-functioning adenoma, 944 [74·0%] of 1275 with possible autonomous cortisol secretion, and 179 [75·2%] of 238 with autonomous cortisol secretion; dyslipidaemia occurred in 724 [36·2%] of 1999 patients, 547 [43·8%] of 1250, and 123 [51·9%] of 237; and any diabetes occurred in 365 [18·2%] of 2002, 288 [23·0%] of 1250, and 62 [26·7%] of 232; all p values <0·001). INTERPRETATION Cortisol autonomy is associated with increased all-cause mortality, particularly in women younger than 65 years. However, until results from randomised interventional trials are available, a conservative therapeutic approach seems to be justified in most patients with adrenal incidentaloma. FUNDING Deutsche Forschungsgemeinschaft, Associazione Italiana per la Ricerca sul Cancro, Università di Torino