The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial...The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry.展开更多
Objective:To investigate the risk factors related to the development of pressure sores in critically ill surgical patients and to establish a basis for the formulation of effective precautions.Methods:A questionnaire ...Objective:To investigate the risk factors related to the development of pressure sores in critically ill surgical patients and to establish a basis for the formulation of effective precautions.Methods:A questionnaire regarding the factors for pressure sores in critically ill surgical patients was created using a case control study with reference to the pertinent literature.After being examined and validated by experts,the questionnaire was used to collect data about critically ill surgical patients in a grade A tertiary hospital.Among the 47 patients enrolled into the study,the 14 who developed nosocomial pressure sores were allocated to the pressure sore group,and the remaining33 patients who met the inclusion criteria and did not exhibit pressure sores were allocated to the control group.Univariate and multivariate logistic regression analyses were employed to examine the differences in22 indicators between the two groups in an attempt to identify the risk factors for pressure sores.Results:According to the univariate analyses,the maximum value of lactic acid in the arterial blood,the number of days of norepinephrine use,the number of days of mechanical ventilation,the number of days of blood purification,and the number of days of bowel incontinence were statistically greater in the pressure sore group than in the control group(P<0.05).The multivariate logistic regression analysis revealed that the number of days of norepinephrine use and the level of lactic acid in the arterial blood were high risk-factors for pressure sores(P<0.05).Conclusions:The best method for preventing and control pressure sores in surgical critically ill patients is to strongly emphasize the duration of the critical status and to give special attention to patients in a continuous state of shock.The adoption of measures specific to high-risk patient groups and risk factors,including the active control of primary diseases and the application of decompression measures during the treatment of the patients,are helpful for improving the quality of care in the prevention and control of pressure sores in critically ill patients.展开更多
In life insurance business, longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital...In life insurance business, longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital requirements (SCRs) needed to front the firm obligations. The credit crisis has shown that systemic risk as longevity risk is relevant and that for many insurers it is actually the dominant risk. With the adoption of the Solvency II directive, a new area for insurance in terms of solvency regulation has been opened up. The international guidelines prescribe a market consistent valuation of balance sheets, where the solvency capital requirements to be set aside are calculated according to a modular structure. By mapping the main risk affecting the insurance portfolio, the capital amount able to cover the liabilities corresponds to each measured risk. In Solvency II, the longevity risk is included into underwriting risk module. In particular, the rules propose that companies use a standard model for measuring the SCRs. Nevertheless, the legislation under consideration allows designing tailor-made internal models. As regards the longevity risk assessment, the regulatory standard model leads to noteworthy inconsistencies. In this paper, we propose a stochastic volatility model combined with a so-called coherent risk measure as the expected shortfall for measuring the SCRs according to more realistic assumptions on future evolution of longevity trend. Finally empirical evidence is provided.展开更多
BACKGROUND Fulminant myocarditis is the critical form of myocarditis that is often associated with heart failure, malignant arrhythmia, and circulatory failure. Patients with fulminant myocarditis who end up with seve...BACKGROUND Fulminant myocarditis is the critical form of myocarditis that is often associated with heart failure, malignant arrhythmia, and circulatory failure. Patients with fulminant myocarditis who end up with severe multiple organic failure and death are not rare.AIM To analyze the predictors of in-hospital major adverse cardiovascular events(MACE) in patients diagnosed with fulminant myocarditis.METHODS We included a cohort of adult patients diagnosed with fulminant myocarditis who were admitted to Beijing Anzhen Hospital from January 2007 to December2017. The primary endpoint was defined as in-hospital MACE, including death,cardiac arrest, cardiac shock, and ventricular fibrillation. Baseline demographics,clinical history, characteristics of electrocardiograph and ultrasonic cardiogram,laboratory examination, and treatment were recorded. Multivariable logistic regression was used to examine risk factors for in-hospital MACE, and the variables were subsequently assessed by the area under the receiver operating characteristic curve(AUC).RESULTS The rate of in-hospital MACE was 40%. Multivariable logistic regression analysis revealed that baseline QRS duration > 120 ms was the independent risk factor for in-hospital MACE(odds ratio = 4.57, 95%CI: 1.23-16.94, P = 0.023). The AUC of QRS duration > 120 ms for predicting in-hospital MACE was 0.683(95%CI: 0.532-0.833, P = 0.03).CONCLUSION Patients with fulminant myocarditis has a poor outcome. Baseline QRS duration is the independent risk factor for poor outcome in those patients.展开更多
文摘目的:探讨创伤出血性休克后急性呼吸窘迫综合征(acute respiratory distress syndrome,ARDS)的危险因素。方法:回顾性研究2012年12月至2021年8月期间共314名创伤出血性休克患者,其中男性患者152名,女性患者162名,年龄中位数为63.00(49.75~82.00)岁。记录患者住院期间的各项临床指标,根据入院7 d内是否发生ARDS将患者分为两组,即ARDS组(n=89)和非ARDS组(n=225),通过判定差异寻找ARDS的危险因素,并建立预测是否出现ARDS的回归模型。结果:创伤出血性休克后ARDS的发生率为28.34%,Logistic回归模型分析发现创伤出血性休克后ARDS的独立危险因素包括男性、冠状动脉粥样硬化性心脏病(简称冠心病)史、高急性生理与慢性健康评分Ⅱ(acute physiology and chronic health evaluationⅡ,APACHEⅡ)、受伤原因为车祸伤和肌钙蛋白Ⅰ升高,各独立危险因素的OR值及95%可信区间(confidence intervals,CI)分别为4.01(95%CI:1.75~9.20)、5.22(95%CI:1.29~21.08)、1.07(95%CI:1.02~1.57)、2.53(95%CI:1.21~5.28)和1.26(95%CI:1.02~1.57),P值分别为0.001、0.020、0.009、0.014和0.034。预测创伤出血性休克后ARDS的受试者工作特征(receiver operating characteristic,ROC)曲线下面积(area under curve,AUC)分别为:男性0.59(95%CI:0.51~0.68)、冠心病史0.55(95%CI:0.46~0.64)、APACHEⅡ评分0.65(95%CI:0.57~0.73)、受伤原因为车祸伤0.58(95%CI:0.50~0.67)、肌钙蛋白Ⅰ0.73(95%CI:0.66~0.80),总体预测值为0.81(95%CI:0.74~0.88)。结论:ARDS在创伤出血性休克患者中发生率较高,男性、冠心病史、高APACHEⅡ评分、受伤原因为车祸伤和肌钙蛋白Ⅰ升高是创伤出血性休克后ARDS的独立危险因素,及时监测这几项指标有利于早期识别和治疗创伤出血性休克后ARDS。
基金support from the IPAG Business School and from the Social Sciences and Humanities Research Council of Canada(SSHRC)—Grant No.435-2019-0078.
文摘The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry.
文摘Objective:To investigate the risk factors related to the development of pressure sores in critically ill surgical patients and to establish a basis for the formulation of effective precautions.Methods:A questionnaire regarding the factors for pressure sores in critically ill surgical patients was created using a case control study with reference to the pertinent literature.After being examined and validated by experts,the questionnaire was used to collect data about critically ill surgical patients in a grade A tertiary hospital.Among the 47 patients enrolled into the study,the 14 who developed nosocomial pressure sores were allocated to the pressure sore group,and the remaining33 patients who met the inclusion criteria and did not exhibit pressure sores were allocated to the control group.Univariate and multivariate logistic regression analyses were employed to examine the differences in22 indicators between the two groups in an attempt to identify the risk factors for pressure sores.Results:According to the univariate analyses,the maximum value of lactic acid in the arterial blood,the number of days of norepinephrine use,the number of days of mechanical ventilation,the number of days of blood purification,and the number of days of bowel incontinence were statistically greater in the pressure sore group than in the control group(P<0.05).The multivariate logistic regression analysis revealed that the number of days of norepinephrine use and the level of lactic acid in the arterial blood were high risk-factors for pressure sores(P<0.05).Conclusions:The best method for preventing and control pressure sores in surgical critically ill patients is to strongly emphasize the duration of the critical status and to give special attention to patients in a continuous state of shock.The adoption of measures specific to high-risk patient groups and risk factors,including the active control of primary diseases and the application of decompression measures during the treatment of the patients,are helpful for improving the quality of care in the prevention and control of pressure sores in critically ill patients.
文摘In life insurance business, longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital requirements (SCRs) needed to front the firm obligations. The credit crisis has shown that systemic risk as longevity risk is relevant and that for many insurers it is actually the dominant risk. With the adoption of the Solvency II directive, a new area for insurance in terms of solvency regulation has been opened up. The international guidelines prescribe a market consistent valuation of balance sheets, where the solvency capital requirements to be set aside are calculated according to a modular structure. By mapping the main risk affecting the insurance portfolio, the capital amount able to cover the liabilities corresponds to each measured risk. In Solvency II, the longevity risk is included into underwriting risk module. In particular, the rules propose that companies use a standard model for measuring the SCRs. Nevertheless, the legislation under consideration allows designing tailor-made internal models. As regards the longevity risk assessment, the regulatory standard model leads to noteworthy inconsistencies. In this paper, we propose a stochastic volatility model combined with a so-called coherent risk measure as the expected shortfall for measuring the SCRs according to more realistic assumptions on future evolution of longevity trend. Finally empirical evidence is provided.
基金Supported by Beijing Natural Science Foundation,No.7184205Beijing Talents Fund,No.2017000021469G224Foundation of Beijing Anzhen Hospital,Capital Medical University,No.2016Z07
文摘BACKGROUND Fulminant myocarditis is the critical form of myocarditis that is often associated with heart failure, malignant arrhythmia, and circulatory failure. Patients with fulminant myocarditis who end up with severe multiple organic failure and death are not rare.AIM To analyze the predictors of in-hospital major adverse cardiovascular events(MACE) in patients diagnosed with fulminant myocarditis.METHODS We included a cohort of adult patients diagnosed with fulminant myocarditis who were admitted to Beijing Anzhen Hospital from January 2007 to December2017. The primary endpoint was defined as in-hospital MACE, including death,cardiac arrest, cardiac shock, and ventricular fibrillation. Baseline demographics,clinical history, characteristics of electrocardiograph and ultrasonic cardiogram,laboratory examination, and treatment were recorded. Multivariable logistic regression was used to examine risk factors for in-hospital MACE, and the variables were subsequently assessed by the area under the receiver operating characteristic curve(AUC).RESULTS The rate of in-hospital MACE was 40%. Multivariable logistic regression analysis revealed that baseline QRS duration > 120 ms was the independent risk factor for in-hospital MACE(odds ratio = 4.57, 95%CI: 1.23-16.94, P = 0.023). The AUC of QRS duration > 120 ms for predicting in-hospital MACE was 0.683(95%CI: 0.532-0.833, P = 0.03).CONCLUSION Patients with fulminant myocarditis has a poor outcome. Baseline QRS duration is the independent risk factor for poor outcome in those patients.
