Search results for: risk adjusted returns

Authors: A. Badran, M. Hollocks, H. Markus

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Background: Common risk factors for cardiovascular disease are associated with age-related cognitive decline. There has been much interest in treating modifiable cardiovascular risk factors in the hope of reducing cognitive decline. However, there is currently no validated neuropsychological test to assess the subclinical cognitive effects of vascular risk. The Brief Memory and Executive Test (BMET) is a clinical screening tool, which was originally designed to be sensitive and specific to Vascular Cognitive Impairment (VCI), an impairment characterised by decline in frontally-mediated cognitive functions (e.g. Executive Function and Processing Speed). Objective: To cross-sectionally assess the validity of the BMET as a measure of the subclinical effects of vascular risk on cognition, in an otherwise healthy elderly cohort. Methods: Data from 346 participants (57 ± 10 years) without major neurological or psychiatric disorders were included in this study, gathered as part of a previous multicentre validation study for the BMET. Framingham Vascular Age was used as a surrogate measure of vascular risk, incorporating several established risk factors. Principal Components Analysis of the subtests was used to produce common constructs: an index for Memory and another for Executive Function/Processing Speed. Univariate General Linear models were used to relate Vascular Age to performance on Executive Function/Processing Speed and Memory subtests of the BMET, adjusting for Age, Premorbid Intelligence and Ethnicity. Results: Adverse vascular risk was associated with poorer performance on both the Memory and Executive Function/Processing Speed indices, adjusted for Age, Premorbid Intelligence and Ethnicity (p=0.011 and p<0.001, respectively). Conclusions: Performance on the BMET reflects the subclinical effects of vascular risk on cognition, in age-related cognitive decline. Vascular risk is associated with decline in both Executive Function/Processing Speed and Memory groups of subtests. Future studies are needed to explore whether treating vascular risk factors can effectively reduce age-related cognitive decline.

Keywords: age-related cognitive decline, vascular cognitive impairment, subclinical cerebrovascular disease, cognitive aging

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Authors: Pavak Vyas, Hiral Vyas

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Spin-offs commonly known as demergers in India, represents dismantling of conglomerates which is a common phenomenon in financial markets across the world. Demergers are carried out with different motives. A demerger generally refers to a corporate restructuring where, a large company divests its stake in in its subsidiary and distributes the shares of the subsidiary - demerged entity to the existing shareholders without any consideration. Demergers in Indian companies are over a decade old phenomena, with many companies opting for the same. This study examines the demerger regulations in Indian capital markets and the announcement period price reaction of demergers during year 2010-2015. We study total 97 demerger announcements by companies listed in India and try to establish that demergers results into abnormal returns for the shareholders of the parent company. Using event study methodology we have analyzed the security price performance of the announcement day effect 10 days prior to announcement to 10 days post demerger announcement. We find significant out-performance of the security over the benchmark index post demerger announcements. The cumulative average abnormal returns range from 3.71% on the day of announcement of a private demerger to 2.08% following 10 days surrounding the announcement, and cumulative average abnormal returns range from 5.67% on the day of announcement of a public demerger to 4.15% following10 days surrounding the announcement.

Keywords: demergers, event study, spin offs, stock returns

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Authors: Mokgadi Moletsane-Kekae, Robert Kananga Mukuna

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The study focuses on the analysis of the Adjusted Rorschach Comprehensive System’s responses. The purpose of the study is to analyse the participants’ rate responses of the Adjusted Rorschach Comprehensive System with regards to critical psychology approach. The use of critical psychology theory in this study was crucial because it responds to the current inadequate western theory or practice in the field of psychology. The participants were learners in previously disadvantaged school in the Western Cape, South Africa. The study adopted a qualitative approach and a case study design. The study was grounded on interpretivist paradigm. The sample size comprised six learners (three boys and three girls, aged of 14 years) from historically disadvantaged school. The Adjusted Rorschach Comprehensive System (ARCS) administration procedure, biographical information, semi-structured interviews, and observation were used to collect data. Data was analysed using thematic framework. The study found out that, factors that increased the response rates during the administration of ARCS were, language, seating arrangement, drawing, viewing, and describing. The study recommended that, psychological test designers take into consideration the philosophy or worldviews of the local people for whom the test is designed to minimize low response rates.

Keywords: adjusted rorschach comprehensive system, critical psychology, learners, responses

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Authors: Nurudeen O. Lasisi, Sirajo Abdulrahman, Abdulkareem A. Ibrahim

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Newcastle disease is an infection of domestic poultry and other bird species with the virulent Newcastle disease virus (NDV). In this paper, we study the dynamics of the modeling of the Newcastle disease virus (NDV) using a novel quarantine-adjusted incidence. The comparison of Vaccination, linear incident rate and novel quarantine-adjusted incident rate in the models are discussed. The dynamics of the models yield disease-free and endemic equilibrium states.The effective reproduction numbers of the models are computed in order to measure the relative impact of an individual bird or combined intervention for effective disease control. We showed the local and global stability of endemic equilibrium states of the models and we found that the stability of endemic equilibrium states of models are globally asymptotically stable if the effective reproduction numbers of the models equations are greater than a unit.

Keywords: effective reproduction number, Endemic state, Mathematical model, Newcastle disease virus, novel quarantine-adjusted incidence, stability analysis

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Authors: Iris W. A. Boot, Anke Wesselius, Maurice P. Zeegers

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Diet may play an essential role in the aetiology of bladder cancer (BC). Vitamin D is involved in various biological functions which have the potential to prevent BC development. Besides, vitamin D also influences the uptake of calcium and phosphorus , thereby possibly indirectly influencing the risk of BC. The aim of the present study was to investigate the relation between vitamin D intake and BC risk. Individual dietary data were pooled from three cohort studies. Food item intake was converted to daily intakes of vitamin D, calcium and phosphorus. Pooled multivariate hazard ratios (HRs), with corresponding 95% confidence intervals (CIs) were obtained using Cox-regression models. Analyses were adjusted for gender, age and smoking status (Model 1), and additionally for the food groups fruit, vegetables and meat (Model 2). Dose–response relationships (Model 1) were examined using a nonparametric test for trend. In total, 2,871 cases and 522,364 non-cases were included in the analyses. The present study showed an overall increased BC risk for high dietary vitamin D intake (HR: 1.14, 95% CI: 1.03-1.26). A similar increase BC risk with high vitamin D intake was observed among women and for the non-muscle invasive BC subtype, (HR: 1.41, 95% CI: 1.15-1.72, HR: 1.13, 95% CI: 1.01-1.27, respectively). High calcium intake decreased the BC risk among women (HR: 0.81, 95% CI: 0.67-0.97). A combined inverse effect on BC risk was observed for low vitamin D intake and high calcium intake (HR: 0.67, 95% CI: 0.48-0.93), while a positive effect was observed for high vitamin D intake in combination with low, moderate and high phosphorus (HR: 1.31, 95% CI: 1.09-1.59, HR: 1.17, 95% CI: 1.01-1.36, HR: 1.16, 95% CI: 1.03-1.31, respectively). Combining all nutrients showed a decreased BC risk for low vitamin D intake, high calcium and moderate phosphor intake (HR: 0.37, 95% CI: 0.18-0.75), and an increased BC risk for moderate intake of all the nutrients (HR: 1.18, 95% CI: 1.02-1.38), for high vitamin D and low calcium and phosphor intake (HR: 1.28, 95% CI: 1.01-1.62), and for moderate vitamin D and calcium and high phosphorus intake (HR: 1.27, 95% CI: 1.01-1.59). No significant dose-response analyses were observed. The findings of this study show an increased BC risk for high dietary vitamin D intake and a decreased risk for high calcium intake. Besides, the study highlights the importance of examining the effect of a nutrient in combination with complementary nutrients for risk assessment. Future research should focus on nutrients in a wider context and in nutritional patterns.

Keywords: bladder cancer, nutritional oncology, pooled cohort analysis, vitamin D

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Authors: Muhammad Fiaz, Muhammad Saqlain, Bernard M. Y. Cheung, S. M. Saqlan Naqvi, Ghazala Kaukab Raja

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Background: Association of C allele of rs662799 SNP of APOA5 gene with metabolic syndrome (MetS) has been reported in different populations around the world. A case control study was conducted to explore the relationship of rs662799 variants (T/C) with the MetS and the associated risk phenotypes in a population of Pakistani origin. Methods: MetS was defined according to the IDF criteria. Blood samples were collected from the Pakistan Institute of Medical Sciences, Islamabad, Pakistan for biochemical profiling and DNA extraction. Genotyping of rs662799 was performed using mass ARRAY, iPEX Gold technology. A total of 712 unrelated case and control subjects were genotyped. Data were analyzed using Plink software and SPSS 16.0. Results: The risk allele C of rs662799 showed highly significant association with MetS (OR=1.5, Ρ=0.002). Among risk phenotypes, dyslipidemia, and obesity showed strong association with SNP (OR=1.49, p=0.03; OR =1.46, p=0.01) respectively in models adjusted for age and gender. Conclusion: The rs662799C allele is a significant risk marker for MetS in the local Pakistani population studied. The effect of the SNP is more on dyslipidemia than the other components of the MetS.

Keywords: metabolic syndrome, APOA5, rs662799, dyslipidemia, obesity

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Authors: Christopher Godwin Udomboso, Angela Unna Chukwu, Isaac Kwame Dontwi

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In selecting a Statistical Neural Network model, the Network Information Criterion (NIC) has been observed to be sample biased, because it does not account for sample sizes. The selection of a model from a set of fitted candidate models requires objective data-driven criteria. In this paper, we derived and investigated the Adjusted Network Information Criterion (ANIC), based on Kullback’s symmetric divergence, which has been designed to be an asymptotically unbiased estimator of the expected Kullback-Leibler information of a fitted model. The analyses show that on a general note, the ANIC improves model selection in more sample sizes than does the NIC.

Keywords: statistical neural network, network information criterion, adjusted network, information criterion, transfer function

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Authors: M. V. Shivaani, P. K. Jain, Surendra S. Yadav

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Public Sector Undertakings (PSUs), being government-owned organizations have commitments for the economic and social wellbeing of the society; this commitment needs to be reflected in their risk-taking, decision-making and governance structures. Therefore, the primary objective of the study is to suggest measures that may lead to improvement in performance of PSUs. To achieve this objective two normative frameworks (one relating to risk levels and other relating to governance structure) are being put forth. The risk index is based on nine risks, such as, solvency risk, liquidity risk, accounting risk, etc. and each of the risks have been scored on a scale of 1 to 5. The governance index is based on eleven variables, such as, board independence, diversity, risk management committee, etc. Each of them are scored on a scale of 1 to five. The sample consists of 39 PSUs that featured in Nifty 500 index and, the study covers a 10 year period from April 1, 2005 to March, 31, 2015. Return on assets (ROA) and return on equity (ROE) have been used as proxies of firm performance. The control variables used in the model include, age of firm, growth rate of firm and size of firm. A dummy variable has also been used to factor in the effects of recession. Given the panel nature of data and possibility of endogeneity, dynamic panel data- generalized method of moments (Diff-GMM) regression has been used. It is worth noting that the corporate governance index is positively related to both ROA and ROE, indicating that with the improvement in governance structure, PSUs tend to perform better. Considering the components of CGI, it may be suggested that (i). PSUs ensure adequate representation of women on Board, (ii). appoint a Chief Risk Officer, and (iii). constitute a risk management committee. The results also indicate that there is a negative association between risk index and returns. These results not only validate the framework used to develop the risk index but also provide a yardstick to PSUs benchmark their risk-taking if they want to maximize their ROA and ROE. While constructing the CGI, certain non-compliances were observed, even in terms of mandatory requirements, such as, proportion of independent directors. Such infringements call for stringent penal provisions and better monitoring of PSUs. Further, if the Securities and Exchange Board of India (SEBI) and Ministry of Corporate Affairs (MCA) bring about such reforms in the PSUs and make mandatory the adherence to the normative frameworks put forth in the study, PSUs may have more effective and efficient decision-making, lower risks and hassle free management; all these ultimately leading to better ROA and ROE.

Keywords: PSU, risk governance, diff-GMM, firm performance, the risk index

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Authors: Nurudeen Oluwasola Lasisi, Abdulkareem Afolabi Ibrahim

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Newcastle disease is an infection of domestic poultry and other bird species with virulent Newcastle disease virus (NDV). In this paper, we study the dynamics of modeling the Newcastle disease virus (NDV) using a novel quarantine-adjusted incidence. We do a comparison of Vaccination, linear incident rate, and novel quarantine adjusted incident rate in the models. The dynamics of the models yield disease free and endemic equilibrium states. The effective reproduction numbers of the models are computed in order to measure the relative impact for the individual bird or combined intervention for effective disease control. We showed the local and global stability of endemic equilibrium states of the models, and we found that stability of endemic equilibrium states of models are globally asymptotically stable if the effective reproduction numbers of the models equations are greater than a unit.

Keywords: effective reproduction number, endemic state, mathematical model, Newcastle disease virus, novel quarantine-adjusted incidence, stability analysis

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Authors: Ruchi Agarwal, Jake Ansell

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Austerity impacts on all aspects of society. Companies into the future will have to be more capable of dealing with the risks they face. Enterprise Risk Management (ERM) has widely been accepted in recent years as an approach to manage risks within businesses. ERM attempts to tackle risk holistically with gains from opportunities in a managing risk and reduction in the risk of failure. The paper reviews merits and demerits of approaches to risk management in regard to antifragility. A qualitative study has investigated current practices and the problems with ERM implementation by interviewing over 25 chief risk officers and senior management. The findings indicate the gap in ERM description, understanding, and implementation. The paper suggests risk learning and expertise knowledge supports development of effective enterprise risk management by designing systems with inherent resilience.

Keywords: risk management, interviews, antifragility, failure

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Authors: Herng-Sheng Lee, Chi-Yi Chen, Wan-Ting Huang, Li-Jen Chang, Solomon Chih-Cheng Chen, Hsin-Yi Yang

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A variety of gastrointestinal disorders, such as Crohn’s disease, ulcerative colitis, and coeliac disease, are recognized as risk factors for osteoporosis and osteoporotic fractures. One recent study suggests that individuals with irritable bowel syndrome (IBS) might also be at increased risk of osteoporosis and osteoporotic fractures. Up to now, the association between IBS and the risk of fractures at different anatomic sites occurrences is not completely clear. We conducted a population-based cohort analysis to investigate the fracture risk of IBS in comparison with non-IBS group. We identified 29,505 adults aged ≥ 20 years with newly diagnosed IBS using the Taiwan National Health Insurance Research Database in 2000-2012. A comparison group was constructed of patients without IBS who were matched according to gender and age. The occurrence of fracture was monitored until the end of 2013. We analyzed the risk of fracture events to occur in IBS by using Cox proportional hazards regression models. Patients with IBS had a higher incidence of osteoporotic fractures compared with non-IBS group (12.34 versus 9.45 per 1,000 person-years) and an increased risk of osteoporotic fractures (adjusted hazard ratio [aHR] = 1.27, 95 % confidence interval [CI] = 1.20 – 1.35). Site specific analysis showed that the IBS group had a higher risk of fractures for spine, forearm, hip and hand than did the non-IBS group. With further stratification for gender and age, a higher aHR value for osteoporotic fractures in IBS group was seen across all age groups in males, but seen in elderly females. In addition, female, elderly, low income, hypertension, coronary artery disease, cerebrovascular disease, and depressive disorders as independent osteoporotic fracture risk factors in IBS patients. The IBS is considered as a risk factor for osteoporotic fractures, particularly in female individuals and fracture sites located at the spine, forearm, hip and hand.

Keywords: irritable bowel syndrome, fracture, gender difference, longitudinal health insurance database, public health

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Authors: Abdul Rauf, Xiaoxing Liu, Waqas Amin

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Stock markets are fascinating more and more conductive to each other due to liberalization and globalization trends in recent years. China Pakistan Economic Corridor (CPEC) has dragged Pakistan stock exchange to the new heights and global investors are making investments to reap its benefits. So, in investors and government perspective, the study focuses co-integration of Pakistan stock exchange with world’s five big economies i-e US, China, England, Japan, and France. The time period of study is seven years i-e 2010 to 2016 and daily values of major indices of corresponding stock exchanges collected. All variables of that particular study are stationary at first difference confirmed by unit root test. The study Johansen system co integration test for analysis of data along with Granger causality test is performed for result purpose. Co integration test asserted that Pakistan stock exchange integrated with Shanghai stock exchange (SSE) and NIKKEI stock exchange in short run. Granger causality test also proclaimed these results. But NASDAQ, FTSE, DAX not co integrated and Granger cause at a short run but long run these markets are bonded with Pakistan stock exchange (KSE). VECM also confirmed this liaison in short and long run. Investors, therefore, need to be updated regarding co-integration of world’s stock exchanges to ensure well diversified and risk adjusted high returns. Equally, governments also need updated status so that they could reduce co-integration through multiple steps and hence drag investors for diversified investment.

Keywords: CPEC, DAX, FTSE, liberalization, NASDAQ, NIKKEI, SSE, stock markets

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Authors: Wee Tong Liaw, Elaine Wong Yee Sing

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Since 2001, many companies in Singapore have voluntarily participated in the bi-annual Singapore HEALTH Award initiated by the Health Promotion Board of Singapore (HPB). The Singapore HEALTH Award (SHA), is an industry wide award and assessment process. SHA assesses and recognizes employers in Singapore for implementing a comprehensive and sustainable health promotion programme at their workplaces. The rationale for implementing a sustained health promoting workplace and participating in SHA is obvious when company management is convinced that healthier employees, business productivity, and profitability are positively correlated. However, performing research or empirical studies on the impact of a sustained health promoting workplace on stock returns are not likely to yield any interests in the absence of a systematic and independent assessment on the comprehensiveness and sustainability of a health promoting workplace in most developed economies. The principles of diversification and mean-variance efficient portfolio in Modern Portfolio Theory developed by Markowitz (1952) laid the foundation for the works of many financial economists and researchers, and among others, the development of the Capital Asset Pricing Model from the work of Sharpe (1964), Lintner (1965) and Mossin (1966), and the Fama-French Three-Factor Model of Fama and French (1992). This research seeks to support the rationale by studying whether there is a significant relationship or impact of a sustained health promoting workplace on the performance of companies listed on the SGX. The research shall form and test hypotheses pertaining to the impact of a sustained health promoting workplace on company’s performances, including stock returns, of companies that participated in the SHA and companies that did not participate in the SHA. In doing so, the research would be able to determine whether corporate and fund manager should consider the significance of a sustained health promoting workplace as a risk factor to explain the stock returns of companies listed on the SGX. With respect to Singapore’s stock market, this research will test the significance and relevance of a health promoting workplace using the Singapore Health Award as a proxy for non-diversifiable risk factor to explain stock returns. This study will examine the significance of a health promoting workplace on a company’s performance and study its impact on stock price performance and beta and examine if it has higher explanatory power than the traditional single factor asset pricing model CAPM (Capital Asset Pricing Model). To study the significance there are three key questions pertinent to the research study. I) Given a choice, would an investor be better off investing in a listed company with a sustained health promoting workplace i.e. a Singapore Health Award’s recipient? II) The Singapore Health Award has four levels of award starting from Bronze, Silver, Gold to Platinum. Would an investor be indifferent to the level of award when investing in a listed company who is a Singapore Health Award’s recipient? III) Would an asset pricing model combining FAMA-French Three Factor Model and ‘Singapore Health Award’ factor be more accurate than single factor Capital Asset Pricing Model and the Three Factor Model itself?

Keywords: asset pricing model, company's performance, stock prices, sustained health promoting workplace

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Authors: Hamed Rahmani, Wim Groot

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The term "youth not in employment, education or training (NEET)" refers to a combination of youth unemployment and school dropout. This study investigates the variables that increase the risk of becoming NEET in Iran. A selection bias-adjusted Probit model was employed using machine learning to identify these risk factors. We used cross-sectional data obtained from the Statistical Centre of Iran and the Ministry of Cooperatives Labour and Social Welfare that was taken from the labour force survey conducted in the spring of 2021. We look at years of education, work experience, housework, the number of children under the age of six in the home, family education, birthplace, and the amount of land owned by households. Results show that hours spent performing domestic chores enhance the likelihood of youth becoming NEET, and years of education and years of potential work experience decrease the chance of being NEET. The findings also show that female youth born in cities were less likely than those born in rural regions to become NEET.

Keywords: NEET youth, probit, CART, machine learning, unemployment

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Authors: Jacqueline Y. Thompson, Sam Watson, Lee Middleton, Karla Hemming

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Introduction: The odds ratio (estimated via logistic regression) is a well-established and common approach for estimating covariate-adjusted binary treatment effects when comparing a treatment and control group with dichotomous outcomes. Its popularity is primarily because of its stability and robustness to model misspecification. However, the situation is different for the relative risk and risk difference, which are arguably easier to interpret and better suited to specific designs such as non-inferiority studies. So far, there is no equivalent, widely acceptable approach to estimate an adjusted relative risk and risk difference when conducting clinical trials. This is partly due to the lack of a comprehensive evaluation of available candidate methods. Methods/Approach: A simulation study is designed to evaluate the performance of relevant candidate methods to estimate relative risks to represent conditional and marginal estimation approaches. We consider the log-binomial, generalised linear models (GLM) with iteratively weighted least-squares (IWLS) and model-based standard errors (SE); log-binomial GLM with convex optimisation and model-based SEs; log-binomial GLM with convex optimisation and permutation tests; modified-Poisson GLM IWLS and robust SEs; log-binomial generalised estimation equations (GEE) and robust SEs; marginal standardisation and delta method SEs; and marginal standardisation and permutation test SEs. Independent and identically distributed datasets are simulated from a randomised controlled trial to evaluate these candidate methods. Simulations are replicated 10000 times for each scenario across all possible combinations of sample sizes (200, 1000, and 5000), outcomes (10%, 50%, and 80%), and covariates (ranging from -0.05 to 0.7) representing weak, moderate or strong relationships. Treatment effects (ranging from 0, -0.5, 1; on the log-scale) will consider null (H0) and alternative (H1) hypotheses to evaluate coverage and power in realistic scenarios. Performance measures (bias, mean square error (MSE), relative efficiency, and convergence rates) are evaluated across scenarios covering a range of sample sizes, event rates, covariate prognostic strength, and model misspecifications. Potential Results, Relevance & Impact: There are several methods for estimating unadjusted and adjusted relative risks. However, it is unclear which method(s) is the most efficient, preserves type-I error rate, is robust to model misspecification, or is the most powerful when adjusting for non-prognostic and prognostic covariates. GEE estimations may be biased when the outcome distributions are not from marginal binary data. Also, it seems that marginal standardisation and convex optimisation may perform better than GLM IWLS log-binomial.

Keywords: binary outcomes, statistical methods, clinical trials, simulation study

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Authors: Lidia Sanchis-Marco, Antonio Rubia

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In this paper we analyze the state-dependent risk-spillover in different economic areas. To this end, we apply the quantile regression-based methodology developed in Adams, Füss and Gropp approach to examine the spillover in conditional tails of daily returns of indices of the banking industry in the US, BRICs, Peripheral EMU, Core EMU, Scandinavia, the UK and Emerging Markets. This methodology allow us to characterize size, direction and strength of financial contagion in a network of bilateral exposures to address cross-border vulnerabilities under different states of the economy. The general evidence shows as the spillover effects are higher and more significant in volatile periods than in tranquil ones. There is evidence of tail spillovers of which much is attributable to a spillover from the US on the rest of the analyzed regions, specially on European countries. In sharp contrast, the US banking system show more financial resilience against foreign shocks.

Keywords: spillover effects, Bank Contagion, SDSVaR, expected shortfall, VaR, expectiles

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Authors: Iyanujesu Adereti, Tajudeen Basiru, Ayodamola Olanipekun

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Background: Substance abuse among adolescents is of public health concern globally. Despite being the most abused by adolescents, there are limited studies on the prevalence of alcohol use and cigarette smoking among adolescents in Mauritius. Objectives: To determine the prevalence of cigarette smoking, alcohol use and associated correlates among school-going adolescents in Mauritius. Methodology: Data obtained from 2017 WHO Global School-based Student Health Survey (GSHS) survey of 3,012 school-going adolescents in Mauritius was analyzed using STATA. Descriptive statistics were used to obtain prevalence. Bivariate and multivariate logistic regression analysis was used to evaluate predictors of cigarette smoking and alcohol use. Results: Prevalence of alcohol consumption and cigarette smoking were 26.0% and 17.1%, respectively. Smoking and alcohol use was more prevalent among males, younger adolescents, and those in higher school grades (p-value <.000). In multivariable logistic regression, male gender was associated with a higher risk of cigarette smoking (adjusted Odds Ratio (aOR) [95%Confidence Interval (CI)]= 1.51[1.06-2.14]) but lower risk of alcohol use (aOR[95%CI]= 0.69[0.53-0.90]) while older age (mid and late adolescence) and parental smoking were found to be associated with increased risk of alcohol use (aOR[95%CI]= 1.94[1.34-2.99] and 1.36[1.05-1.78] respectively). Marijuana use, truancy, being in a fight and suicide ideation were associated with increased odds of alcohol use (aOR[95%CI]= 3.82[3.39-6.09]; 2.15[1.62-2.87]; 1.83[1.34-2.49] and 1.93[1.38-2.69] respectively) and cigarette smoking (aOR[95%CI]= 17.28[10.4 - 28.51]; 1.73[1.21-2. 49]; 1.67[1.14-2.45] and 2.17[1.43-3.28] respectively) while involvement in sexual activity was associated with reduced risk of alcohol use (aOR[95%CI]= 0.50[0.37-0.68]) and cigarette smoking (aOR[95%CI]= 0.47[0.33-0.69]). Parental support and parental monitoring were uniquely associated with lower risk of cigarette smoking (aOR[95%CI]= 0.69[0.47-0.99] and 0.62[0.43-0.91] respectively). Conclusion: The high prevalence of alcohol use and cigarette smoking in this study shows the need for the government of Mauritius to enhance policies that will help address this issue putting into accounts the various risk and protective factors.

Keywords: adolescent health, alcohol use, cigarette smoking, global school-based student health survey

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Authors: Elijah Cavan

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In Major League Sports (MLB, NBA, NHL, NFL), it is the Front Office Staff (FOS) who make decisions about who plays for their respective team. The FOS bear the brunt of the responsibility for acquiring players through drafting, trading and signing players in free agency while typically contesting with maximum roster salary constraints. The players themselves are volatile assets of these teams- their value fluctuates with age and performance. A simple comparison can be made when viewing players as assets. The problem here is similar to that of optimizing your investment portfolio. The The goal is ultimately to maximize your periodic returns while tolerating a fixed risk (degree of uncertainty/ potential loss). Each franchise may value assets differently, and some may only tolerate lower risk levels- these are examples of factors that introduce additional constraints into the model. In this talk, we will detail the mathematical formulation of this problem as a constrained optimization problem- which can be solved with classical machine learning methods but is also well posed as a problem to be solved on quantum computers

Keywords: optimization, financial mathematics, sports analytics, simulated annealing

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Authors: Najeebah Almahmeed

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Risk Management is an evolving subject among organizations that include corporations, governments, non-governmental organizations, and not-for-profit corporations. In order to enhance awareness around the importance of Risk Management and make sure everyone is using it in their day-to-day job, the Risk Culture topic has emerged and gained importance not only in the Finance Sector but also in the National Oil Companies in Kuwait. Risk Culture can be defined as the shared beliefs, attitudes, and behaviors within a company that guide its approach to managing risks. It acts as a connecting force that links policies, procedures, and individuals, influencing how risks are understood and tackled through activities. In this research, benefits of Risk Culture are shared, guidelines are presented to promote a risk aware culture, and fully embed and enforce Risk-based processes and procedures. Moreover, this research demonstrates methodologies of measuring the Risk Culture using specific dimensions and clusters.

Keywords: clusters, dimensions, national oil companies, risk culture, risk management

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Authors: Hamid Rostami Jaz, Kamran Ameri Siahooei

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Up to now different methods have been used to forecast the index returns and the index rate. Artificial intelligence and artificial neural networks have been one of the methods of index returns forecasting. This study attempts to carry out a comparative study on the performance of different Radial Base Neural Network and Feed-Forward Perceptron Neural Network to forecast investment returns on the index. To achieve this goal, the return on investment in Tehran Stock Exchange index is evaluated and the performance of Radial Base Neural Network and Feed-Forward Perceptron Neural Network are compared. Neural networks performance test is applied based on the least square error in two approaches of in-sample and out-of-sample. The research results show the superiority of the radial base neural network in the in-sample approach and the superiority of perceptron neural network in the out-of-sample approach.

Keywords: exchange index, forecasting, perceptron neural network, Tehran stock exchange

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Authors: Pui Yong Leo, Normy Maziah Mohd Said

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Change of global economy landscape and business environment has led to companies’ decision to go global and enter international markets. As the companies go beyond the comfort zone (i.e. investing in the home country), it is important to ensure a comprehensive risk assessment is carried out. This paper describes a standardized approach for international investment, ensuring identification of risk, risk appetite, risk rating, risk treatment and mitigation plans for respective international investment proposal. The standardized approach is divided into three (3) stages as follows: Stage 1 – Preliminary Risk profiling; with the objective to gauge exposure to countries and high level risk factors as first level assessment. Stage 2 – Risk Parameters; with the objective to define risk appetite for the international investment from the perspective of likelihood and impact. Stage 3 – Detailed Risk Assessments; with the objectives to assess in detail any triggered elements from Stage 1, and project specific risks. The final output will include the mitigation plans for the identified risks for the total investment. Example will be given in this paper to show how comprehensive risk assessment is carried out for an international investment in power energy sector.

Keywords: international investment, mitigation plans, risk appetite, risk assessment

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Authors: Nur Atiqah Adam, Mor Jack Ng, Bernard Chern, Kok Hian Tan

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Introduction: Gestational diabetes (GDM) is a common pregnancy complication with short and long-term health consequences for both mother and fetus. Factors such as family history of diabetes mellitus, maternal obesity, maternal age, ethnicity and parity have been reported to influence the risk of GDM. In a multi-racial country like Singapore, it is worthwhile to study the GDM prevalences of different ethnicities. We aim to investigate the influence of ethnicity on the racial prevalences of GDM in Singapore. This is important as it may help us to improve guidelines on GDM healthcare services according to significant risk factors unique to Singapore. Materials and Methods: Obstetric cohort data of 926 singleton deliveries in KK Women’s and Children’s Hospital (KKH) from 2011 to 2013 was obtained. Only patients aged 18 and above and without complicated pregnancies or chronic illnesses were targeted. Factors such as ethnicity, maternal age, parity and maternal body mass index (BMI) at booking visit were studied. A multivariable logistic regression model, adjusted for confounders, was used to determine which of these factors are significantly associated with an increased risk of GDM. Results: The overall GDM prevalence rate based on WHO 1999 criteria & at risk screening (race alone not a risk factor) was 8.86%. GDM rates were higher among women above 35 years old (15.96%), obese (15.15%) and multiparous women (10.12%). Indians had a higher GDM rate (13.0 %) compared to the Chinese (9.57%) and Malays (5.20%). However, using multiple logistic regression model, variables that are significantly related to GDM rates were maternal age (p < 0.001) and maternal BMI at booking visit (p = 0.006). Conclusion: Maternal age (p < 0.001) and maternal booking BMI (p = 0.006) are the strongest risk factors for GDM. Ethnicity per se does not seem to have a significant influence on the prevalence of GDM in Singapore (p = 0.064). Hence we should tailor guidelines on GDM healthcare services according to maternal age and booking BMI rather than ethnicity.

Keywords: ethnicity, gestational diabetes, healthcare, pregnancy

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Authors: Roohallah Fallah-Moshkani, Mohammad Ali Mohsenpour, Reza Ghiasvand, Hossein Khosravi-Boroujeni, Seyed Mehdi Ahmadi, Paula Brauer, Amin Salehi-Abargouei

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Purpose: Several investigations have proposed the protective association between dietary approaches to stop hypertension (DASH) style diet and risk of cancers; however, they have led to inconsistent results. The present study aimed to systematically review the prospective cohort studies conducted in this regard and, if possible, to quantify the overall effect of using meta-analysis. Methods: PubMed, EMBASE, Scopus, and Google Scholar were searched for cohort studies published up to December 2017. Relative risks (RRs) which were reported for fully adjusted models and their confidence intervals were extracted for meta-analysis. Random effects model was incorporated to combine the RRs. Results: Sixteen studies were eligible to be included in the systematic review from which 8 reports were conducted on the effect of DASH on the risk of mortality from all cancer types, four on the risk of colorectal cancer, and three on the risk of colon and rectal cancer. Four studies examined the association with other cancers (breast, hepatic, endometrial, and lung cancer). Meta-analysis showed that high concordance with DASH significantly decreases the risk of all cancer types (RR=0.83, 95% confidence interval (95%CI):0.80-0.85); furthermore participants who highly adhered to the DASH had lower risk of developing colorectal (RR=0.79, 95%CI: 0.75-0.83), colon (RR=0.81, 95%CI: 0.74-0.87) and rectal (RR=0.79, 95%CI: 0.63-0.98) cancer compared to those with the lowest adherence. Conclusions: DASH-style diet should be suggested as a healthy approach to protect from cancer in the community. Prospective studies exploring the effect on other cancer types and from regions other than the United States are highly recommended.

Keywords: cancer, DASH-style diet, dietary patterns, meta-analysis, systematic review

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Authors: Yegnanew A. Shiferaw

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Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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Authors: Baobao Li

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Operational risk covers all operations of commercial banks and has a close relationship with the bank’s internal control. But in the commercial banks' management practice, internal control is always separated from the operational risk measurement. With the increasing of operational risk events in recent years, operational risk is paid more and more attention by regulators and banks’ managements. The paper first discussed the relationship between internal control and operational risk management and used CVaR-POT model to measure operational risk, and then put forward a modified measurement method (to use operational risk assessment results to modify the measurement results of the CVaR-POT model). The paper also analyzed the necessity and rationality of this method. The method takes into consideration the influence of internal control, improves the accuracy and effectiveness of operational risk measurement and save the economic capital for commercial banks, avoiding the drawbacks of using some mainstream models one-sidedly.

Keywords: commercial banks, internal control, operational risk, risk measurement

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Authors: Rashid Masoud Ali Al-Mazrui, Ramadhani Mashaka Shabani

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Islamic banks and financial institutions are exposed to the same risks as conventional banking. These risks include the rate return risk, credit or market risk, liquidity risk, and operational risk among others. However, being a financial institution that operates Islamic banking and finance operations, there is additional risk associated with its operations different from conventional finance, such as displacing commercial risk. They face Shari'ah compliance risks because of their failure to follow Shari'ah principles. To have proper mitigation and risk management, banks should have proper risk management policies to mitigate risks. This paper aims to study the risk management taken by Islamic banks in comparison with conventional banks. Also, the study evaluates the provisions for risk management taken by selected Islamic banks and conventional banks. The study employs qualitative analysis using secondary data by applying a content analysis approach with a sample size of 4 Islamic banks and four conventional banks ranging from 2010 to 2020. We find that these banks all use the same technique, except for the associated risk. The extra ways are used, but only for additional risks that are available to Islamic banking and finance.

Keywords: emerging risk, risk management, Islamic banking, conventional bank

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Authors: Givi Kupatadze

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Backward economies are facing a challenge of achieving sustainable high economic growth rate. Dominant growth models represent a roadmap in framing economic development strategy. This paper examines a relevance of the dominant growth models for backward economies. Cobb-Douglas production function, the Harrod-Domar model of economic growth, the Solow growth model and general formula of gross domestic product are examined to undertake a comprehensive study of the dominant growth models. Deductive research method allows to uncover major weaknesses of the dominant growth models and to come up with practical implications for economic development strategy. The key finding of the paper shows, contrary to what used to be taught by textbooks of economics, that constant returns to scale property of the dominant growth models are a mere coincidence and its generalization over space and time can be regarded as one of the most unfortunate mistakes in the whole field of political economy. The major suggestion of the paper for backward economies is that understanding and considering taxonomy of economic activities based on increasing and diminishing returns to scale represent a cornerstone of successful economic development strategy.

Keywords: backward economies, constant returns to scale, dominant growth models, taxonomy of economic activities

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Authors: Jiashu Shen

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Background: The abortion rate has increased significantly, which is harmful especially to adolescents, making repeat induced abortion (RIA) among adolescents a social problem. This study aims to investigate the associations of family support with sexual behavior and repeat induced abortion among Chinese adolescents Methods: This study based on a national hospital-based sample with 945 girls aged 15-19 who underwent induced abortion in 43 hospitals. Multivariate logistic regressions were performed to estimated odds ratio for the risk factors. Results: Adolescences living with parents were less inclined to undergo RIA, especially if they were rural (adjusted odds ratio=0.48 95%CI 0.31-0.72) and local (adjusted odds ratio =0.39 95%=0.23-0.66). Those with parental financial support were likely to have less sexual partnersand take contraceptives more regularly. Those with higher self-perceived importance in family were more likely to take contraceptives during the first sexual intercourse in higher age, and with higher first abortion age and less sexual partners. Conclusion: In mainland China, living with parents, parental financial support, high self-perceived importance in family and adequate family sexuality communications may contribute to lower incidence of RIA.

Keywords: Chinese adolescent, family support, repeat induced abortion, sexual behavior

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Authors: Ghada Abo-Zaid

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The main objective of this study was to examine the association between the elevated level of CRP and incidence of hypertension before and after adjusting by age, BMI, gender, SES, smoking, diabetes, cholesterol LDL and cholesterol HDL and to determine whether the association were differ by race. Method: Cross sectional data for participations from age 17 to age 74 years who included in The National Health and Nutrition Examination Survey (NHANES) from 1999 to 2010 were analysed. CRP level was classified into three categories ( > 3mg/L, between 1mg/LL and 3mg/L, and < 3 mg/L). Blood pressure categorization was done using JNC 7 algorithm Hypertension defined as either systolic blood pressure (SBP) of 140 mmHg or more and disystolic blood pressure (DBP) of 90mmHg or greater, otherwise a self-reported prior diagnosis by a physician. Pre-hypertension was defined as (139 > SBP > 120 or 89 > DPB > 80). Multinominal regression model was undertaken to measure the association between CRP level and hypertension. Results: In univariable models, CRP concentrations > 3 mg/L were associated with a 73% greater risk of incident hypertension compared with CRP concentrations < 1 mg/L (Hypertension: odds ratio [OR] = 1.73; 95% confidence interval [CI], 1.50-1.99). Ethnic comparisons showed that American Mexican had the highest risk of incident hypertension (odds ratio [OR] = 2.39; 95% confidence interval [CI], 2.21-2.58).This risk was statistically insignificant, however, either after controlling by other variables (Hypertension: OR = 0.75; 95% CI, 0.52-1.08,), or categorized by race [American Mexican: odds ratio [OR] = 1.58; 95% confidence interval [CI], 0,58-4.26, Other Hispanic: odds ratio [OR] = 0.87; 95% confidence interval [CI], 0.19-4.42, Non-Hispanic white: odds ratio [OR] = 0.90; 95% confidence interval [CI], 0.50-1.59, Non-Hispanic Black: odds ratio [OR] = 0.44; 95% confidence interval [CI], 0.22-0,87]. The same results were found for pre-hypertension, and the Non-Hispanic black showed the highest significant risk for Pre-Hypertension (odds ratio [OR] = 1.60; 95% confidence interval [CI], 1.26-2.03). When CRP concentrations were between 1.0-3.0 mg/L, in an unadjusted models prehypertension was associated with higher likelihood of elevated CRP (OR = 1.37; 95% CI, 1.15-1.62). The same relationship was maintained in Non-Hispanic white, Non-Hispanic black, and other race (Non-Hispanic white: OR = 1.24; 95% CI, 1.03-1.48, Non-Hispanic black: OR = 1.60; 95% CI, 1.27-2.03, other race: OR = 2.50; 95% CI, 1.32-4.74) while the association was insignificant with American Mexican and other Hispanic. In the adjusted model, the relationship between CRP and prehypertension were no longer available. In contrary, Hypertension was not independently associated with elevated CRP, and the results were the same after grouped by race or adjusted by the confounder variables. The same results were obtained when SBP or DBP were on a continuous measure. Conclusions: This study confirmed the existence of an association between hypertension, prehypertension and elevated level of CRP, however this association was no longer available after adjusting by other variables. Ethic group differences were statistically significant at the univariable models, while it disappeared after controlling by other variables.

Keywords: CRP, hypertension, ethnicity, NHANES, blood pressure

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Authors: Cinzia Carrodano, Dimitri Konstantas

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Risk is part of our lives. In today’s society risk is connected to our safety and safety has become a major priority in our life. Each person lives his/her life based on the evaluation of the risk he/she is ready to accept and sustain, and the level of safety he/she wishes to reach, based on highly personal criteria. The assessment of risk a person takes in a complex environment and the impact of actions of other people’actions and events on our perception of risk are alements to be considered. The concept of Holistic Risk Assessment (HRA) aims in developing a methodology and a model that will allow us to take into account elements outside the direct influence of the individual, and provide a personalized risk assessment. The concept is based on the fact that in the near future, we will be able to gather and process extremely large amounts of data about an individual and his/her environment in real time. The interaction and correlation of these data is the key element of the holistic risk assessment. In this paper, we present the HRA concept and describe the most important elements and considerations.

Keywords: continuous data, dynamic risk, holistic risk assessment, risk concept

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