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In many financial contracts (and in particular when trading OTC derivatives), participants are exposed to counterparty risk. The latter is typically rewarded by adjusting the "risk-free price" of derivatives; an adjustment known a...
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In many financial contracts (and in particular when trading OTC derivatives), participants are exposed to counterparty risk. The latter is typically rewarded by adjusting the "risk-free price" of derivatives; an adjustment known as credit value adjustment (CVA). A key driver of CVA is the dependency between exposure and counterparty risk, known as wrong-way risk (WWR). In practice however, correctly addressing WWR is very challenging and calls for heavy numerical techniques. This might explain why WWR is not explicitly handled in the Basel III regulatory framework in spite of its acknowledged importance. In this paper we propose a sound and tractable method to deal efficiently with WWR. Our approach consists in embedding the WWR effect in the drift of the exposure dynamics. Even though this calls for infinite changes of measures, we end up with an appealing compromise between tractability and mathematical rigor, preserving the level of accuracy typically required for CVA figures. The good performances of the method are discussed in a stochastic-intensity default setup based on extensive comparisons of expected positive exposure (EPE) profiles and CVA figures produced (i) by a full bivariate Monte Carlo implementation of the initial model with (ii) our drift-adjustment technique. (C) 2018 Elsevier B.V. All rights reserved.
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A female survival advantage after injury has been observed, and animal models of trauma have suggested either hormonal or genetic mechanisms as component causes. Our aim was to compare age and risk-adjusted sex-related mortality i...
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A female survival advantage after injury has been observed, and animal models of trauma have suggested either hormonal or genetic mechanisms as component causes. Our aim was to compare age and risk-adjusted sex-related mortality in hospital for the three most common mechanisms of injury in relation to hormonal effects as seen by age. All hospital admissions for injury in Sweden during the period 2001–2011 were retrieved from the National Patient Registry and linked to the Cause of Death Registry. The International Classification of Diseases Injury Severity Score (ICISS) was used to adjust for injury severity, and the Charlson Comorbidity Index to adjust for comorbidity. Age categories (0–14, 15–50, and?≥ 51?years) were used to represent pre-menarche, reproductive and post- menopausal women. Women had overall a survival benefit (OR 0.51; 95% CI 0.50 to 0.53) after adjustment for injury severity and comorbidity. A similar pattern was seen across the age categories (0–14?years OR 0.56 (95% CI 0.25 to 1.25), 15–50?years OR 0.70 (95% CI 0.57 to 0.87), and ≥ 51?years OR 0.49 (95% CI 0.48 to 0.51)). In this 11-year population-based study we found no support for an oestrogen-related mechanism to explain the survival advantage for females compared to males following hospitalisation for injury.
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Objective. To assess the reliability of risk-standardized readmission rates (RSRRs) for medical conditions and surgical procedures used in the Hospital Readmission Reduction Program (HRRP).
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In the recent past, risk and risk management in agriculture has risen on the agenda of farm managers. Amongst other things, the increased interest is inter alia attributed to the Capital Requirements Directives in the 'Basel II' a...
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In the recent past, risk and risk management in agriculture has risen on the agenda of farm managers. Amongst other things, the increased interest is inter alia attributed to the Capital Requirements Directives in the 'Basel II' agreement. In this article, we apply indicators of risk-adjusted returns, well known in the valuation of equity funds, to the context of pig production. Using a large data set of pig farm performance data, we demonstrate that different indicators of risk-adjusted returns do not necessarily lead to different results in the valuation of farms. We recommend using the Treynor Ratio in practical application. Our empirical analysis did not reveal a significant relationship between returns and risk.
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In the recent past, risk and risk management in agriculture has risen on the agenda of farm managers. Amongst other things, the increased interest is inter alia attributed to the Capital Requirements Directives in the 'Basel II' a...
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In the recent past, risk and risk management in agriculture has risen on the agenda of farm managers. Amongst other things, the increased interest is inter alia attributed to the Capital Requirements Directives in the 'Basel II' agreement. In this article, we apply indicators of risk-adjusted returns, well known in the valuation of equity funds, to the context of pig production. Using a large data set of pig farm performance data, we demonstrate that different indicators of risk-adjusted returns do not necessarily lead to different results in the valuation of farms. We recommend using the Treynor Ratio in practical application. Our empirical analysis did not reveal a significant relationship between returns and risk.
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The research aims to explore the risk adjusted performance of mutual funds in Pakistan. The research is based on inductive approach and secondary sources of data. The data has been collected for a total of 29 mutual funds from aut...
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The research aims to explore the risk adjusted performance of mutual funds in Pakistan. The research is based on inductive approach and secondary sources of data. The data has been collected for a total of 29 mutual funds from authentic sources such as the website of Mutual Fund Association of Pakistan and other online websites for Beta and Risk-Free Return. The tests are run on the data processed using Treynor Measure and Sharpe Ratio to reach at the conclusion if risk adjusted performance of measure mutual funds is up to the mark. It can be concluded that the risk adjusted performance of the mutual funds is lower than the absolute performance and the returns and risk also vary with respect to the time frame considered for the returns. First, the research utilizes the secondary sources of data only; the usage of primary sources of data can provide insights about internal operations of the mutual funds in Pakistan as they can provide reasons about fluctuations in the performance of mutual funds of same category. Second limitation is that the research has studied 29 income based funds only and the study of more fund categories could have expanded the scope of the research. Third limitation relates to the collected of quantitative data only as the backing by the qualitative data could have enriched the findings from the data collection. As the risk adjusted returns for majority of the income mutual funds are positive, the investors are recommended to invest in the mutual funds if they aim to get a desired risk adjusted return. The investors are recommended to consider wide range of mutual funds and should not limit their analysis to the income mutual funds based on their risk appetite and other factors to ensure that they get desired return within their risk appetite. The mutual fund companies are recommended to alter their portfolios in the cases when they are not able to generate positive risk adjusted returns. The mutual fund managers are recommended to perform periodical and in-depth analysis to reach at the desired portfolio based on the investment needs of the investors or the target population.
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The ability of entrepreneurs and other promoters of start-up businesses to exit through an initial public offering is an important component of a mature capital market. The returns on initial public offerings (IPOs) on the Shangha...
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The ability of entrepreneurs and other promoters of start-up businesses to exit through an initial public offering is an important component of a mature capital market. The returns on initial public offerings (IPOs) on the Shanghai and Bombay stock exchanges over a 14-year period to May 2007 are analysed in this paper. Consideration is given to the medium to longer-term returns accruing to the new listings. The focus is not on initial subscribers' gains or losses on listing but rather on the extent to which new listings continue and generate at least normal returns. The two emerging economies considered have differing political, legal and economic systems and exhibit significantly different return patterns.
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The COVID-19 pandemic has led to disruptions in healthcare utilization and spending. While some changes might persist (e.g. substitution of specialist visits by online consultations), others will be transitory (e.g. fewer surgical...
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The COVID-19 pandemic has led to disruptions in healthcare utilization and spending. While some changes might persist (e.g. substitution of specialist visits by online consultations), others will be transitory (e.g. fewer surgical procedures due to cancellation of treatments). This paper discusses the implications of transitory changes in healthcare utilization and spending for risk adjustment of health plan payment. In practice, risk adjustment methodologies typically consist of two steps: (1) calibration of payment weights for a given set of risk adjusters and (2) calculation of payments to insurers by combining the calibrated weights with enrollee characteristics. In this paper, we first introduce a simple conceptual framework for analyzing the (potential) distortions from the pandemic for both steps and then provide a hypothetical illustration of how these distortions can lead to under- or overpayment of insurers. The size of these under-/overpayments depends on (1) the impact of the pandemic on patterns in utilization and spending, (2) the distribution of risk types across insurers, (3) the extent to which insurers are disproportionately affected by the pandemic, and (4) features of the risk adjustment system.
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? 2023 Elsevier B.V.Background: Risk-standardized survival rates (RSSR) for in-hospital cardiac arrest (IHCA) have been widely used for hospital benchmarking and research. The novel coronavirus 2019 (COVID-19) pandemic has led to ...
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? 2023 Elsevier B.V.Background: Risk-standardized survival rates (RSSR) for in-hospital cardiac arrest (IHCA) have been widely used for hospital benchmarking and research. The novel coronavirus 2019 (COVID-19) pandemic has led to a substantial decline in IHCA survival as COVID-19 infection is associated with markedly lower survival. Therefore, there is a need to update the model for computing RSSRs for IHCA given the COVID-19 pandemic. Methods: Within Get With The Guidelines?-Resuscitation, we identified 53,922 adult patients with IHCA from March, 2020 to December, 2021 (the COVID-19 era). Using hierarchical logistic regression, we derived and validated an updated model for survival to hospital discharge and compared the performance of this updated RSSR model with the previous model. Results: The survival rate was 21.0% and 20.8% for the derivation and validation cohorts, respectively. The model had good discrimination (C-statistic 0.72) and excellent calibration. The updated parsimonious model comprised 13 variables—all 9 predictors in the original model as well as 4 additional predictors, including COVID-19 infection status. When applied to data from the pre-pandemic period of 2018–2019, there was a strong correlation (r = 0.993) between RSSRs obtained from the updated and the previous models. Conclusion: We have derived and validated an updated model to risk-standardize hospital rates of survival for IHCA. The updated model yielded RSSRs that were similar to the initial model for IHCAs in the pre-pandemic period and can be used for supporting ongoing efforts to benchmark hospitals and facilitate research that uses data from either before or after the emergence of COVID-19.
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In this paper we aim to comparatively analyze the performance of SMEs stocks portfolios, large-cap portfolios and the overall Romanian stock market as proxied by a self-constructed composite index. To perform this investigation, w...
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In this paper we aim to comparatively analyze the performance of SMEs stocks portfolios, large-cap portfolios and the overall Romanian stock market as proxied by a self-constructed composite index. To perform this investigation, we will firstly construct the three alternative portfolios (I.e. Large-Cap, SME and Market or RM) and subsequently compute different risk-adjusted performance measures for each of them. The two active portfolios will be constructed by equal weighting the component stocks; which are firstly ranked on both market capitalization or Size and P/BV ratio and split in three equal groups by using tertiles. From the intersection of these two groups of thirds emerge nine portfolios, among which we are interested in the two low P/BV portfolios with extreme market values, that is the Small Size-Low P/BV portfolio (called the SME portfolio) and the Big Size-Low P/BV portfolio (called Large-cap portfolio).We report there is positive value to active portfolio management on the Romanian stock market, that the size-effect is present (smaller stocks have higher returns) and that investing in stocks of SMEs (or similar companies) achieves the best stock market performance as indicated by all computed risk-adjusted performance measures.
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