Tobacco—the importance of relevant information on risk

Summary. Although it has been widely accepted since the 1960s that smoking cigarettes carries a substantial health risk, worldwide mortality from tobacco-related diseases is increasing rapidly at the beginning of the 21st century. To provide the motivation to control this epidemic there is a continuing and pressing need for information on the risks of tobacco consumption that is accurate, up to date, locally relevant and imaginatively presented.     

Geographic distribution of cardiovascular comorbidities in South Africa: a national cross-sectional analysis

Objectives: We sought to estimate the spatial coexistence of hypertension, coronary heart disease (CHD), stroke and hypercholesterolaemia in South Africa. Design: Cross-sectional. Setting: Sub-Saharan Africa and South Africa. Participants: Data were from 13,827 adults (mean±SD age 39±18 years, 58.4% women) interviewed in the 1998 South African Health and Demographic Survey. Interventions: N/A. Primary and secondary outcome measures: We used multivariate spatial disease models to estimate district-level shared and disease-specific spatial risk components, controlling for known individual risk factors. Results: In univariate analysis, observed prevalence of hypertension and CHD is was high in the south-western parts, and low in the north east. Stroke and high blood cholesterol prevalence appeared to be evenly distributed across the country. In multivariate analysis (adjusting for age, gender, ethnicity, education, urban-dwelling, smoking, alcohol consumption and obesity), hypertension and stroke prevalence were highly concentrated in the south-western parts, whilst CHD and hypercholesterolaemia were highly prevalent in central and top north-eastern corridor, respectively. The shared component, which we took to represent nutrition and other lifestyle factors not accounted for in the model, had a larger effect on cardiovascular disease prevalence in the south-western areas of the country. It appeared to have greater effect on hypertension and CHD. Conclusion: This study suggests a clear geographic distribution of cardiovascular disease in South Africa, driven possibly by shared lifestyle behaviours. These findings might be useful for public health resource allocation in low-income settings.     

Combined survival analysis of cardiac patients by a Cox PH model and a Markov chain

The control and treatment of dyslipidemia is a major public health challenge, particularly for patients with coronary heart diseases. In this paper we propose a framework for survival analysis of patients who had a major cardiac event, focusing on assessment of the effect of changing LDL-cholesterol level and statins consumption on survival. This framework includes a Cox PH model and a Markov chain, and combines their results into reinforced conclusions regarding the factors that affect survival time. We prospectively studied 2,277 cardiac patients, and the results show high congruence between the Markov model and the PH model; both evidence that diabetes, history of stroke, peripheral vascular disease and smoking significantly increase hazard rate and reduce survival time. On the other hand, statin consumption is correlated with a lower hazard rate and longer survival time in both models. The role of such a framework in understanding the therapeutic behavior of patients and implementing effective secondary and primary prevention of heart diseases is discussed here.     

Evaluating subject-level incremental values of new markers for risk classification rule

Suppose that we need to classify a population of subjects into several well-defined ordered risk categories for disease prevention or management with their “baseline” risk factors/markers. In this article, we present a systematic approach to identify subjects using their conventional risk factors/markers who would benefit from a new set of risk markers for more accurate classification. Specifically for each subgroup of individuals with the same conventional risk estimate, we present inference procedures for the reclassification and the corresponding correct re-categorization rates with the new markers. We then apply these new tools to analyze the data from the Cardiovascular Health Study sponsored by the US National Heart, Lung, and Blood Institute. We used Framingham risk factors plus the information of baseline anti-hypertensive drug usage to identify adult American women who may benefit from the measurement of a new blood biomarker, CRP, for better risk classification in order to intensify prevention of coronary heart disease for the subsequent 10 years.     

Risk preference and employment contract type

Summary.  We explore the possibility that a systematic relationship exists between employment within a particular type of contract and risk preference. We exploit a set of proxies for risk preference, whereby some of the proxies capture risk loving behaviour (expenditure on gambling, smoking and alcohol) whereas others capture risk averse behaviour (expenditure on life and contents insurance, and unearned income). The empirical analysis, based on pooled cross-section data from the UK Family Expenditure Survey, 1997–2000, provides evidence of a systematic relationship between employment contract type and risk preference, with, for example, self-employed workers being more or less likely to engage in the consumption of 'risky' or financial security products respectively. The results are based on the ordered generalized extreme value model, a relatively infrequently used discrete choice model, which allows for ordering and correlation in the alternatives observed.     

金融机构尾部风险溢出效应———基于改进非对称CoVaR模型的研究

为准确度量我国金融机构对金融系统的尾部风险溢出,本文改进了基于CoVaR 方法的分位数回归模型。基于极值理论和ARMA-GARCH模型拟合收益率边缘分布,构建了改进的非对称CoVaR模型,从系统性金融风险贡献绝对值(△CoVaR)和相对值(%CoVaR)两方面详细考察了2002年7月1日至2018年12月28日我国42家上市金融机构的尾部风险溢出效应。结果表明:在q=0.01的情况下,不同类型金融机构对金融市场的系统性金融风险贡献有显著差异,银行类与保险类机构的系统性金融风险值得重点关注;金融机构的系统性金融风险贡献相对值与在险价值存在显著联系,自身风险最低的银行类机构具有最大的风险溢出强度,是我国系统性金融风险防范的核心对象,尤其是国有控股银行。研究结论对于有效防范我国系统性金融风险具有重要的理论价值和现实意义。     

Risk factors of coronary heart disease: a Bayesian model averaging approach

To analyse the risk factors of coronary heart disease (CHD), we apply the Bayesian model averaging approach that formalizes the model selection process and deals with model uncertainty in a discrete-time survival model to the data from the Framingham Heart Study. We also use the Alternating Conditional Expectation algorithm to transform the risk factors, such that their relationships with CHD are best described, overcoming the problem of coding such variables subjectively. For the Framingham Study, the Bayesian model averaging approach, which makes inferences about the effects of covariates on CHD based on an average of the posterior distributions of the set of identified models, outperforms the stepwise method in predictive performance. We also show that age, cholesterol, and smoking are nonlinearly associated with the occurrence of CHD and that P-values from models selected from stepwise methods tend to overestimate the evidence for the predictive value of a risk factor and ignore model uncertainty.     

信息挖掘还是噪声交易:债券特质风险如何影响信用利差?

特质风险向债券市场传递风险的方式,直接关系到债券定价逻辑和系统性金融风险防范。本文选取交易所公司债数据,从投资者信息挖掘行为和非理性交易行为出发,研究债券特质风险对信用利差的传导效应与传导机制,并从违约视角探索特质风险产生传导效应的原因,同时分析投资者对不同类型债券所做反应的异质性。研究结论表明:特质风险会通过信息挖掘机制和噪声交易机制影响 信用利差,且以噪声交易机制为主;违约事件引致了更多噪声交易,是特质风险产生传导效应的重要环境因素;发行人的股票上市或国企背景降低了投资者面临的信息不对称程度,并有效抑制了噪声交易机 制的作用,而债券的低评级或短期限特征则会引发投资者的抛售行为,进而放大了噪声交易机制的作用。     

The spokane heart study: weibull regression and coronary artery disease

Coronary artery calcium is a marker of coronary artery disease and measures the progression of atherosclerosis. It is measured by electron beam computed tomography, and the measured amount of coronary artery calcium is highly skewed to the right and left censored. The distribution of coronary artery calcium appears to be Weibull. We propose a Weibull regression model and we analyze the data using these techniques. Our analysis is based on data from the Spokane Heart Study, which is a cohort of about a thousand subjects that are assessed every two years for coronary artery calcium and risk factors of coronary artery disease. The major focus of the heart study is to determine the natural history of atherosclerosis in its early phase, and we analyze the data as a cross-sectional study with 859 subjects. We would also like to highlight the use of Weibull regression techniques in situations like this, where we have extreme right skewed data. Our main emphasis will be on examining the effect of the traditional risk factors of age, gender, lipid profile (cholesterol and HDL), patient history of lipid abnormality, hypertension, and smoking, and other family history risks on coronary artery calcium. We found that the most important factors influencing the disease were age, sex, and patient history of smoking and lipid abnormality.     

基于周内多重分形波动率的基金投资风格漂移风险测度研究

基金发生投资风格漂移是把双刃剑，在获得短期超额收益时，也隐藏着巨大的风格漂移风险。本文首先以我国79只开放式股票型基金为样本，在量化投资风格漂移的基础上，分析发现其收益序列存在多重分形特征，据此构建周内多重分形波动率测度来刻画投资风格漂移收益的复杂波动特征，并与传统的GARCH族波动率计量模型的测度能力进行比较分析，实证结果发现本文构建的周内多重分形波动率测度更加精确，能更好刻画序列的复杂波动特征；然后，进一步构建MFVW VaR模型对基金投资风格漂移风险进行量化测度，发现该模型比传统的参数与非参数VaR模型能更好地对风格漂移风险进行有效测度，基金普遍存在较大的风格漂移风险；最后，对我国开放式股票型基金的产品创新策略与投资风格漂移监管策略进行了一些有益探讨。     

Human immunodeficiency virus risk: is it possible to dissuade people from having unsafe sex?

Summary. The cumulative number of human immunodeficiency virus (HIV) infections worldwide has reached 60 million in little over 30 years. HIV continues to spread despite a detailed understanding of the manner in which it spreads and measures which can prevent spread. Some governments have been highly successful in containing the spread of HIV through blood products and from mother to child and among injecting drug users. Lack of political will, lack of resources or challenges to widely accepted scientific evidence have held back similar interventions in other countries. It has proved much more difficult to reduce the sexual transmission of HIV in both high and low income countries. A wide range of strategies has been identified but it remains unclear which strategies deserve priority and what methods of promoting them have the greatest effect. There is ample evidence that awareness of HIV and changes in sexual behaviour have occurred widely but the penetration of information remains poor in some vulnerable groups especially adolescents and women in poorer countries. Further obstacles face those who have information about the risk. The subordinate position of women and a desire for large families are important obstacles to condom negotiation and use. Urbanization, poverty, conflict and declining public services all exacerbate unsafe sexual behaviour. We argue that so-called 'structural' interventions directed at these wider contexts of unsafe behaviour merit greater attention. Such approaches have the added benefit of being less susceptible to 'risk compensation' which has the potential to undermine strategies directed at reducing the transmission efficiency of HIV.     

在岸离岸人民币利率极端风险溢出研究

本文采用递归MVMQ-CAViaR模型,对境内外人民币利率极端风险溢出效应进行实证检验。结果表明：境内外人民币利率存在极端风险溢出效应,短期品种表现出显著的双向极端风险溢出,而长期品种以在岸利率对离岸利率单向极端风险溢出为主。在极端风险层面在岸市场仍然处于利率信息的中心地位,且暂时没有旁落离岸市场的担忧。一旦离岸人民币利率发生极端变动,央行会及时进行干预并引导市场参与者预期,降低在岸利率未来的极端风险水平;但面对小的离岸市场冲击,央行更倾向于让在岸利率进行自我调节,离岸冲击会提高在岸利率未来的极端风险水平。本文构建的模型具有较好的预测能力,有助于金融监管部门对离岸利率极端风险进行动态准确地管理。     

资本监管约束下银行行为调整的动态特征分析

本文考虑巴塞尔协议Ⅲ对银行行为调整的影响,选用国内40家资本充足率达标的商业银行作为研究样本,以2007—2015年为样本期,建立联立方程组检验资本监管硬约束对银行资本、风险和绩效调整的短期效果。实证结果表明：资本监管要求的提高未能降低银行的实际风险,当面对资本监管压力时银行的主要应对策略是增加资本而非降低资产风险,资本充足的银行有更强的风险承担激励。超额贷款损失准备记入二级资本导致资本充足率和核心资本充足率表现出不同的调整特征。经济下行期货币政策的逆周期调控有助于银行通过增加“分母”平缓信贷风险的顺周期波动,但同时也增加了银行资本调整的难度。     

Statistics for weighing benefits and harms in a proposed genetic substudy of a randomized cancer prevention trial

Summary.  When evaluating potential interventions for cancer prevention, it is necessary to compare benefits and harms. With new study designs, new statistical approaches may be needed to facilitate this comparison. A case in point arose in a proposed genetic substudy of a randomized trial of tamoxifen versus placebo in asymptomatic women who were at high risk for breast cancer. Although the randomized trial showed that tamoxifen substantially reduced the risk of breast cancer, the harms from tamoxifen were serious and some were life threaten-ing. In hopes of finding a subset of women with inherited risk genes who derive greater bene-fits from tamoxifen, we proposed a nested case–control study to test some trial subjects for various genes and new statistical methods to extrapolate benefits and harms to the general population. An important design question is whether or not the study should target common low penetrance genes. Our calculations show that useful results are only likely with rare high penetrance genes.     

The role of tobacco taxes in starting and quitting smoking: Duration analysis of British data

The annual 5% increase in tobacco taxes in real terms proposed in the recent White Paper on smoking has reaffirmed the commitment of successive UK Governments to above-inflation increases in tobacco taxation to encourage people to stop smoking. This paper presents evidence on the determinants of starting and quitting smoking by using data from the British Health and Lifestyle Survey and is the first to identify tax elasticities for starting and quitting smoking using British data. Self-reported individual smoking histories are coupled with a long time series for the tax rate on cigarettes to construct a longitudinal data set. Estimates are obtained for the effect of above-inflation tax rises on the age of starting smoking and the number of years of smoking. The estimates of the tax elasticity of the age of starting smoking are 0.16 for men and 0.08 for women. The estimates of the tax elasticity of quitting are −0.60 for men and −0.46 for women. These are robust to different specifications.     

Tobacco: public perceptions and the role of the industry

Summary. The paper briefly examines the substantial risks of smoking, and how people's perception of them may be influenced by tobacco control policy and by the activities of the tobacco industry. The comparative lack of effectiveness of the self-regulation system of implementing tobacco control policy is noted, illustrated by the example of cigarette pack health warnings, from the first examples under the voluntary system to the significantly more robust and effective pictorial warnings system pioneered by Canada and implemented by legislation, similar to measures recently approved by the European Union. Other aspects of tobacco control policy are discussed, including health education, restricting the promotion of tobacco and changing the social acceptability of smoking. Three areas of success in the UK—taxation, the leadership of doctors and sustained media advocacy—are described; and the paper concludes by looking at prospects for the future, with the forthcoming ban on most forms of tobacco promotion and the challenge of responding to growing demands to protect non-smokers from exposure to other people's tobacco smoke in the workplace and in public places.     

资产配置模型的选择:回报、风险抑或二者兼具

近年来以风险平价为代表的基于风险的配置模型广为流行。这些模型的一大特点是放弃回报信息。而以均值方差模型代表的基于回报的配置模型则认为回报很重要而且默认对回报的预测是准确的。这两种做法都有问题。考虑到回报的可预测性得到了大量经验研究的支持,那么对于基于风险的配置模型而言,完全放弃回报则意味着有关回报的有用信息得不到充分利用。对于基于回报的配置模型而言,不考虑参数估计误差而且对输入参数敏感的缺点也大大抵消了它们利用回报信息带来的好处。那么,回报是否重要以及应该如何使用回报成了资产配置研究所面临的一个重大问题。为此,本文提出以风险平价为配置基准,以贝叶斯VAR回报预测为主观观点的Black-Litterman(贝叶斯BL)模型回答这一命题。利用1952-2016年的美国股票和债券季度数据,本文将贝叶斯BL模型与现有配置模型进行比较研究。实证结果表明,相比基于回报的配置模型,贝叶斯BL模型降低了组合风险;相比基于风险的配置模型,贝叶斯BL模型增强了组合回报。这些特性来自于它既能利用回报可预测性带来的有用信息,又能够发挥基于风险的配置模型在控制风险方面的优势。因此该模型表现出增强回报和控制风险兼具的特点,是一条具有潜力的资产配置新方案。     

基于经济金融关联网络的我国系统性风险防范研究

如何防范化解系统性风险一直以来都是社会各界普遍关注的热点问题,但系统性风险的源头究竟在哪?传导机制又如何？目前还没有定论。现有对系统性风险的研究成果大多关注于金融行业内部,忽略了实体经济在系统性风险传递过程中扮演的角色。防范系统性风险真的仅限于金融行业吗？本文从经济金融关联网络视角出发,以我国整体经济领域中各行业为研究对象,运用系统性风险度量新方法——TENET构建2002-2017年我国行业间系统性风险溢出网络,在此基础上对行业间的风险溢出水平以及传导结构特征进行全面地考察分析,并为科学防范系统性风险提供有效建议。研究发现：（1）我国行业间系统性风险溢出的总体水平在金融危机或市场过热期间显著增强,同时各行业系统性风险输出与输入水平的时序特征存在明显差异,输出水平大幅波动而输入水平呈平稳状态;（2）信息技术、房地产和材料行业不仅是主要的系统性风险源头,而且容易受到其他行业风险外溢的影响,是整个经济金融关联网络中最具系统重要性的三个行业,同时各行业的系统重要性具有明显的时变特征;（3）虽然金融行业在整个经济金融关联网络中的系统性重要性仅排在第四位,但是金融与房地产和能源两个行业具有长期较强的双向风险溢出关系,而且金融与房地产之间的双向风险溢出强度在系统性风险溢出网络中居首位。本文研究结论的政策启示在于提醒监管部门防范系统性风险要立足全局视角,正视金融在其中扮演的角色,不能过度高估金融行业的系统性风险地位,同时要找准风险源头行业并对其做好前瞻性调控,尽可能避免风险的产生,并在风险传递初期切断风险溢出的路径避免风险大规模蔓延。     

An example of a two-part latent growth curve model for semicontinuous outcomes in the health sciences

A new method of modeling coronary artery calcium (CAC) is needed in order to properly understand the probability of onset and growth of CAC. CAC remains a controversial indicator of cardiovascular disease (CVD) risk, but this may be due to ill-equipped methods of specifying CAC during the analysis phase of studies reporting an analysis where CAC is the primary outcome. The modern method of two-part latent growth modeling may represent a strong alternative to the myriad of existing methods for modeling CAC. We provide a brief overview of existing methods of analysis used for CAC before introducing the general latent growth curve model, how it extends into a two-part (semicontinuous) growth model, and how the ubiquitous problem of missing data can be effectively handled. We then present an example of how to model CAC using this framework. We demonstrate that utilizing this type of modeling strategy can result in traditional predictors of CAC (e.g. age, gender, and high-density lipoprotein cholesterol), exerting a different impact on the two different, yet simultaneous, operationalizations of CAC. This method of analyzing CAC could inform future analyses of CAC and inform subsequent discussions about the nature of its potential to inform long-term CVD risk and heart events.     

Identifying radon-prone building typologies by marginal modelling

Radon is a naturally occurring decay product of uranium known to be the main contributor to natural background radiation exposure. It has been established that the health risk related to radon exposure is lung cancer. In fact, radon is considered to be a major leading cause of lung cancer, second only to smoking. In this paper, we identified building typologies that affect the probability of detecting indoor radon concentration above reference values, using the data collected within two monitoring campaigns recently conducted in Northern Italy. This information is fundamental both in prevention, i.e. when the construction of a new building is planned and in mitigation, i.e. when a high concentration detected inside buildings has to be reduced. A spatial regression approach for binary data was adopted for this goal where some relevant covariates on the soil were retrieved by linking external spatial databases.