Risk Measures Research Articles

Health risk assessment using Monte-Carlo simulations due to arsenic contamination in groundwater in Punjab

ABSTRACT Groundwater contamination is a major environmental concern in many regions of India, including several districts of Punjab. In this study, a comparison is carried out between the deterministic and probabilistic approaches for calculating health hazard parameters due to arsenic contamination in groundwater in India. The probabilistic calculations are carried out through Monte-Carlo simulations to quantify the hazard index (HI) and carcinogenic risk. Sensitivity analysis is carried out to determine the contribution of input variables to the HI. From the deterministic and probabilistic approach, a HI greater than one is obtained in adults for all districts except Moga, whereas, for children, the HI is greater than 1 in all districts. This suggests a higher probability of risks, such as developmental problems and cardiovascular disorders. Excess lifetime cancer risk, a measure of carcinogenic risk, is found above the US Environmental Protection Agency's recommended range of 1 × 10–6–1 × 10–4 in all districts. These values clearly indicate the long-term carcinogenic danger associated with arsenic exposure since they are far above the tolerable risk threshold of 1 × 10–4. Thus, necessary mitigation measures should be taken, and routine groundwater monitoring should be performed.

Social vulnerability is associated with advanced breast cancer presentation and all-cause mortality: a retrospective cohort study

BackgroundDisparities in breast cancer mortality persist despite improvements in screening and therapeutic options. Understanding the impact of social determinants of health on disparate breast cancer outcomes is challenging due to heterogeneity of prior assessments. We examined the association between social vulnerability and breast cancer stage at diagnosis and mortality using a standardized measure of population risk for external stressors on health.MethodsUsing institutional cancer registry data, female patients aged 18 or older diagnosed with breast cancer between 2012 and 2019 were assigned a 2018 Social Vulnerability Index (SVI) rank based upon home address census tract. We used multinomial logistic regression and Cox proportional hazards model to examine the relationships between SVI and breast cancer stage at diagnosis and all-cause mortality. Covariates included age and, when assessing mortality, cancer stage, comorbidities, body mass index, insurance type, and treatment regimen.ResultsA total of 3,499 women with a median age of 59 (IQR 48–69) were included. 60% were White and 31% were Black. Median SVI was 0.36 (IQR 0.14–0.68) and median follow-up was 58 months (IQR 37.3–83.9). On adjusted analyses, each decile increase in SVI resulted in an 11% (OR 1.11, 95% CI 1.06–1.16, p < .001) and 15% (OR 1.15, 95% CI 1.09–1.21, p < .001) greater odds of presenting with Stage III or IV breast cancer, respectively, compared to DCIS. For patients who underwent surgery (N = 2916), each decile increase in SVI was associated with a 6% increase in all-cause mortality risk (HR 1.06, 95% CI 1.01–1.12, p = .01). Mortality risk was 1.5 times (HR 1.52, 95% CI 1.02–2.26, p = .04) greater for those in the most vulnerable quartile compared to the least vulnerable quartile.ConclusionsWomen living in socially vulnerable communities presented with more advanced breast cancers and suffered worse survival. The SVI can be used to identify patients at risk for delayed cancer presentation and increased mortality. This tool can inform geographically targeted resource allocation and interventions aimed at reducing breast cancer care disparities.

Longitudinal analysis of lifestyle risk factors, nutrition status, and drivers of food choice among urban migrants in Ulaanbaatar, Mongolia and Almaty, Kazakhstan: a formative study.

To quantify and compare concurrent within-person trends in lifestyle risks, nutrition status, and drivers of food choice among urban migrants in Central Asia. We collected panel data on household structure, drivers of food choice, nutrition knowledge, and diverse measures of nutrition status and lifestyle risk from urban migrants at 0, 3, 6, and 9 months using harmonized methodology in two cities. Trends were analyzed using mixed-effects models and qualitatively compared within and between cities. Ulaanbaatar, Mongolia and Almaty, Kazakhstan. 200 adults (22-55 years) who migrated to these cities within the past 2 years. Adjusting for age and sex, each month since migration was positively associated with fasting triglycerides in Almaty (0.55 mg/dL; 95%CI: 0.13-0.94) and BMI (0.04 kg/m2; 95%CI: 0.01-0.07), body-fat (0.14%; 95%CI: 0.01-0.26), and fasting glucose (0.04 mmol/L; 95%CI: 0.02-0.05) and lipids in Ulaanbaatar (p<0.05). In Almaty, nutrition knowledge (measured using an objective 20-point scale) declined despite improvements in diet quality (measured by Prime Diet Quality Score). Influence of food availability, price, and taste on food choice increased in Almaty (p<0.05). Upon multivariable-adjustment, nutrition knowledge was positively associated with diet quality in Almaty and adherence to "Acculturated" diet patterns in both cities (p<0.05). Different trends in smoking, sleep quality, and generalized anxiety were observed between cities. Findings indicate heterogenous shifts in nutrition, lifestyles, and drivers of food choice among urban migrants in Central Asia and provide an evidence base for focused research and advocacy to promote healthy diets and enable nutrition-sensitive food environments.

Assessing the role of ESG evaluation in market risk management for sovereign bond investments

ABSTRACT With the growing emphasis on responsible investing, the role of environmental, social, and governance (ESG) factors in risk management has become significant, extending to the field of sovereign bonds. This study examines the role of ESG evaluations in the risk management of sovereign bond investments. Across fifty countries, including developed and emerging countries, our findings indicate that, even after controlling each country's yield levels and fiscal conditions, nations with lower ESG scores tend to face higher market risks, notably regarding tail risk measures. This pattern is especially pronounced in the bonds of emerging countries. The research highlights that ESG evaluation of sovereign bonds can provide insight into the likelihood of unforeseen events, such as political turmoil and natural disasters, often not reflected in sovereign bond yields.

Randomized controlled trial of a pilot PrEP linkage intervention for individuals leaving incarceration in a southern state: Design and baseline characteristics.

We report baseline characteristics of a pilot intervention, PrEP-Link, which uses a community health worker (CHW) model to provide navigation to PrEP, the daily HIV preventative medication, and other medical and social services upon release from incarceration. This pilot study uses a randomized controlled trial design. The control group receives enhanced standard of care, and the intervention receives enhanced standard of care plus personalized navigation services from the CHW for up to one year. PrEP-Link is modeled after the Transitions Clinic Program, where a CHW who has lived experience of incarceration builds close relationships with individuals and community partners. After COVID-19 restrictions prevented recruitment within local jails, recruitment for this study took place in local reentry centers which house individuals as they near completion of their jail or prison sentence. Data are collected at baseline, 6 months, and 12 months. Planning and reporting was guided by the CONSORT 2010 checklist. We enrolled 80 participants between September 2021 and April 2023. Thirty-nine participants were assigned to the control group and forty-one to the intervention group. Data collected at baseline included measures of PrEP usage, HIV risk, drug and alcohol use, healthcare usage, and history of incarceration. Analysis of baseline characteristics show comparability of both demographic and HIV-related risk factors between the two arms. At baseline, participants had high clinical indication for potential PrEP benefit, particularly with respect to self-reported intravenous drug use and condomless sex. Participants responded with high PrEP acceptability within both study arms. Participants reported low preventative healthcare utilization at baseline. Barriers to accessing PrEP among the study population are significant. Results of this pilot RTC will help inform CHW lead PrEP-linkage interventions for people leaving incarceration.

The influence of uncertainty on commodity futures returns and trading behaviour

We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.

From Chain to Capital: Supply Chain Risks and Working Capital Management

This study empirically examines the influence of supply chain risks on working capital management. By employing a text-based measure of firm-specific supply chain risks and a large sample of US listed firms, this study uncovers a strong positive correlation between supply chain risk exposure and net working capital, with an increase of approximately 6% annually. Firms strategically adjust by increasing inventory and accounts receivable while reducing accounts payable to buffer against disruptions. This adaptive response is particularly evident in firms facing financial constraints, higher international exposure, and those in high-risk sectors, offering critical insights into enhancing resilience and operational efficiency.

Time-varying stock return correlation, news shocks, and business cycles

The cross-sectional average of the pairwise correlations between U.S. stock returns is considered as a measure of risk to aggregate wealth priced by the stock market. We show that this measure predicts future U.S. output growth at a horizon of one to four years. A stronger average correlation of stock returns foreshadows significantly lower future output growth, even when controlling for some other widely used financial predictors. An innovation to average correlation gives rise to macroeconomic dynamics that resemble negative news about future total factor productivity (TFP) in a vector autoregression. TFP news shocks thus appear to be a key source of aggregate risk priced into stocks.

Downside Risk and Hedge Fund Returns

This study compares the predictive power of downside risk for hedge funds and fund of hedge funds returns. We find a positive relationship between downside risk and return for hedge funds but not for funds of hedge funds. This result is robust to the downside risk measure employed and additional control variables. Furthermore, we find that funds of hedge funds perform significantly worse than hedge funds during adverse equity market regimes, exhibiting an inverse (negative) risk–return relationship. Finally, we form realistic portfolios to determine whether an investor can construct a portfolio that outperforms the average fund of hedge funds. These portfolios display superior risk-adjusted performance and rank among the top performers of funds of hedge funds in our sample.

Are boys more vulnerable to stunting? Examining risk factors, differential sensitivity, and measurement issues in Zambian infants and young children

BackgroundStunting remains a considerable public health problem globally, and sex differences in prevalence have been documented. While many risk factors for stunting have been identified, few studies examine how these factors may contribute to sex differences. We test whether: (1) boys and girls are differentially exposed to stunting risk factors, (2) boys and girls respond differently to similar exposures, and (3) these associations are sensitive to the growth measures used.MethodsData comes from 7486 Zambian infants, aged 0–23 months, participating in the SUN (Scaling Up Nutrition) 2.0 Program baseline survey. Surveys and dietary recalls were collected from primary caregivers, and anthropometry was collected for caregivers and children. Stunting was defined as height-for-age z-score (HAZ) <-2. Descriptive statistics and adjusted multilevel logistic regression models controlling for age and province were used to identify sex differences in exposures and risk factors for stunting, respectively. Interaction terms between exposure and infant sex were added to test for sex differences in response. Sensitivity testing with alternate measures of infant size, including height-for-age difference (HAD), was conducted.ResultsBoys were more likely to be stunted than girls (34.5% vs. 25.7%, respectively). Numerous maternal, care giving, diet, and household characteristics were associated with the risk of stunting, but few sex differences were seen in exposure to these factors. Only one risk factor—maternal marital status—showed evidence of moderation by sex at the p < 0.05 level, while a limited number of risk factors did so at the p < 0.10 level. At all ages, boys were longer than girls, and there were no sex-specific differences in the patterns of HAZ or HAD with age. Results were robust to alternate specifications.ConclusionsOur results show that Zambian boys have lower mean HAZ scores than girls and a greater prevalence of stunting throughout the first two years We do not find strong evidence that infant feeding practices, environmental exposures, or care giving differ consistently between boys and girls or that boys and girls respond differently to these exposures. Our results instead indicate that further investigation of prenatal factors and/or measurement issues is needed.

Intraoperative Frontal EEG Alpha Power is Associated with Post-Operative Mortality and Other Adverse Outcomes.

With estimated global post-operative mortality rates at 1-4% leading to approximately 3-12 million deaths per year, an urgent need exists for reliable measures of perioperative risk. Existing approaches suffer from poor performance, place a high burden on clinicians to gather data, or do not incorporate intraoperative data. Prior work demonstrated that intraoperative anesthetics induce prefrontal EEG oscillations in the alpha band (8-12Hz) that correlate with post-operative cognitive outcomes. We analyzed a retrospective cohort of 1,081 patients undergoing surgery with general anesthesia at Massachusetts General Hospital with intraoperative EEG recordings. The association between EEG alpha power and adverse outcomes were characterized using statistical models that were fitted on propensity weighted data. Our primary outcome was post-operative mortality, measured from date of surgery to date of death or last follow-up. Secondary outcomes included mortality within pre-specified time windows (30-days, 90-days, 180-days, and 1-year), hospital and PACU lengths of stay, discharge to long-term care, and 30-day hospital readmission. Alpha power was associated with mortality risk (HR = 0.92, 95% CI:[ 0.85, 0.99], p=0.039). Within specified time windows, alpha power was associated with 30-day mortality (OR = 0.81, 95% CI: [0.66, 0.95], p=0.010), 90-day mortality (OR = 0.68, 95% CI: [0.55, 0.79], p<0.001), 180-day mortality (OR = 0.75, 95% CI: [0.66, 0.83], p<0.001), and 1-year mortality (OR = 0.85, 95% CI: [0.79, 0.91], p<0.001). Additionally, alpha power was associated with discharge to long-term care (OR = 0.91, 95% CI: [0.86, 0.96], p<0.001). We did not find significant associations among alpha power and 30-day readmission and hospital or PACU lengths of stay. Intraoperative EEG alpha power is independently associated with post-operative mortality and adverse outcomes, suggesting it could represent a broad measure of post-operative physical resilience and provide clinicians with a low-burden, personalized measure of post-operative risk.

TS-GRU: A Stock Gated Recurrent Unit Model Driven via Neuro-Inspired Computation

Existing risk measurement methods often fail to fully consider the impact of climatic conditions on stock market risk, making it difficult to capture dynamic patterns and long-term dependencies. To address these issues, we propose the TS-GRU method: this approach utilizes a temporal convolutional network (TCN) to extract underlying features from historical data, capturing key characteristics of time series data. Subsequently, a gated recurrent unit (GRU) model is employed to capture dynamic patterns and long-term dependencies within the stock market. Finally, the TS-GRU model is optimized using the Sparrow algorithm based on collective behavior, iteratively evaluating and refining model parameters to obtain improved solutions. Experimental results demonstrate the effectiveness of the TS-GRU method in providing accurate risk assessment and forecasting. This comprehensive approach takes into account carbon finance, climate change, and environmental factors, offering valuable insights to investors to help them to understand and manage investment risks in the ever-changing stock market.

Evaluating the Impact of Geopolitical Risk on the Financial Distress of Indian Hospitality Firms

The study investigates the effect of geopolitical risk (GPR) on the financial distress of tourism &amp; hospitality firms in India. Using two-step GMM, this study evaluates the impact of GPR, GPR Threat, GPR Action and GPR India on financial distress using Altman score for emerging markets as proxy for financial distress. Further, robustness is checked using Żmijewski score and financial distress ratio as proxies for financial distress. The study is extended by examining the impact of GPR specifically on firm life cycle (age) and firm size and on private and public firms. Our empirical investigation demonstrates that all measures of geopolitical risk increase the chances of financial distress of hospitality firms and our findings are robust to alternative measures of financial distress. By considering GPR as an alternate measure of uncertainty in the hospitality industry, this study contributes to the emerging literature on the factors influencing financial distress of hospitality firms. The study also identifies three accounting measures for proxies of financial distress. Policymakers, regulators and management can pre-empt the impact of uncertain external factors by formulating suitable plans and measures as also for post recovery measures to safeguard firms against bankruptcy. Firms can plan their financing decisions and cash management proactively to reduce financial risk.

Cumulative interpersonal risk and suicide ideation/attempts among Chinese early adolescents: Does self-esteem play a moderating role?

Suicide among adolescents is a serious global health concern. Previous research has highlighted that interpersonal factors are vital determinants of suicidality. However, little is known about the cumulative effects of interpersonal risks and the protective factors that buffer individuals from developing suicidal tendencies. The present study examined whether linear or nonlinear models best account for the relationship between cumulative interpersonal risk and suicidal ideation and attempts among early adolescents and the protective value of self-esteem in these associations. A sample of 605 seventh-grade students from in Hunan, China was tracked over a 6month interval. Measures of interpersonal risk, suicidal ideation, suicide attempts, and self-esteem were obtained from adolescents' self-reports. The findings indicated both concurrent and longitudinal linear associations between cumulative interpersonal risk and adolescent suicidal ideation. Cumulative interpersonal risk was only associated with concurrent adolescent suicide attempts, showing a nonlinear relationship. Self-esteem moderates the association between cumulative interpersonal risk and subsequent suicidal ideation. The results also showed that identifying interpersonal risk early and simultaneously reducing multiple interpersonal risks would benefit high-suicide-risk youths. Adolescents who face more than three interpersonal risks are particularly at risk for suicide attempts. Self-esteem is insufficient to counteract the cumulative impact of interpersonal risk completely. Study analyzing whether personal worth plays a moderating role in the suicidal ideation and attempts of early Chinese adolescents. While suicide among adolescents is a serious global health concern, little is known about the cumulative effects of interpersonal risks and the protective factors that buffer individuals from developing suicidal tendencies. As such, we followed 605 seventh graders over six months to investigate the combined influence of various interpersonal stressors such as low teacher support, limited classmates' support, ineffective communication with parents, and experiences of social ostracism on suicidality. In addition, we explored whether a good sense of personal worth (self-esteem) made a difference. Our findings showed that, as interpersonal risks accumulate, the likelihood of an adolescent experiencing suicidal thoughts increases. Although self-esteem offers some protection, it does not fully counteract the detrimental effects of combined interpersonal problems. In particular, when an adolescent faces three or more interpersonal stressors, the risk of suicide attempts increases. Based on our findings, we believe that interventions aimed at reducing these interpersonal risks and bolstering adolescent self-esteem could be pivotal for suicide prevention.

Gender-affirming hormone therapy: effects on cardiovascular risk and vascular function.

Gender-affirming hormone therapy (GAHT) is used in individuals with gender identity dysphoria to align an individual's secondary sexual characteristics with their affirmed gender. We conducted a systematic review of the literature to explore the mechanisms regarding the effects of GAHT on the vasculature. A literature search using PUBMED, Embase, Scopus and Lilacs was performed using search terms for GAHT, cardiovascular disease (CVD) risk and transgender. Studies were screened by two independent reviewers. Comparison to a cohort of transgender individuals naïve or prior to GAHT or a cisgender population was required. Quality assessment was done using the relevant Critical Skills Appraisal Programme checklists. Out of 2,564 potentially eligible studies, 69 studies met the inclusion criteria. Studies provided evidence of beneficial changes in CVD risk profile including reduced haemoglobin and pro-inflammatory markers, and atheroprotective changes in lipids in transgender women. In transgender men there was evidence of negative changes in CVD risk profile including atherogenic changes in lipids and increased haemoglobin, arterial stiffness, and pro-inflammatory markers. There is a paucity of research across non-traditional measures of CVD risk which in combination with heterogeneous study design, loss of follow-up, low sample sizes and lack of diversity in age and ethnicity requires the results to be interpreted with caution. More evidence is required to elucidate the mechanisms behind the increased risk of CVD in the transgender population and determine if GAHT is a contributing factor.

Air travel-induced COVID-19 risk and mortality across US counties

This study investigates the impact of air travel-induced COVID-19 importation risk on COVID-related mortality across US counties from January 2020 to December 2021. We construct a novel measure of relative risk of COVID-19 importation for each destination county, based on passenger flows from origin counties, the severity of local outbreaks, and the presence of active cases. Using county-level data on COVID-19 mortality, vaccination rates, demographic characteristics, and socioeconomic factors, we find a significant association between higher importation risk and increased COVID-19 mortality. The results suggest that air travel plays a crucial role in shaping the spatial distribution of COVID-19 mortality, underlining the need for targeted public health interventions in high-risk areas. Moreover, we conduct robustness checks using an alternative measure of mortality, confirming the consistency of these results.

Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model

The Regional Comprehensive Economic Partnership (RCEP) has brought both opportunities and new challenges to the Asia-Pacific financial markets. To analyze the spillover effects of stock market risk among RCEP countries, this paper constructs a comprehensive framework for systemic risk management encompassing three aspects: risk measurement, connectivity analysis and identification of influential factors. Specifically, we apply the CoES as a risk measurement metric to construct a tail risk network. Based on risk decomposition in sliding windows, we examine the hierarchical propagation pathways, intensities and evolution mechanisms of systemic risk in RCEP stock markets across four levels (system, group, country and institution). Subsequently, we use a tail-event driven dynamic network quantile regression (TEDNQR) model to explore the influence of network topology, node heterogeneity, and common factors on stock price changes across different quantile levels. Finally, we employ robustness analysis based on goodness-of-fit and DM test to validate the reliability of our methodology and conclusions. The empirical results indicate that both the risk performance and the influential factors of RCEP stock markets exhibit time-varying and tail characteristics. Overall, simultaneous network effects significantly and positively impact stock movements, playing a dominant role among all factors.

Estimating the impact of airport wildlife hazards management on realized wildlife strike risk

Collisions between wildlife and aircraft, commonly referred to as wildlife strikes or bird strikes, are rare events that pose considerable safety and economic risks to the aviation industry. Given the potentially dramatic consequences of such events, airports scheduled for passenger service are required to conduct wildlife hazard assessments and implement wildlife hazard management plans for the purpose of mitigating wildlife strike risk. The evaluation of such management, however, is complicated by imperfect reporting that mediates the relationship between realized wildlife strike risk and wildlife strike metrics. In this paper, we shed light on such phenomena by investigating the staggered adoption of a federal wildlife hazards management program at joint-use airports across the contiguous United States. This research design allowed us to exploit variation in both management presence across airports, over time as well as variation in the quality of wildlife strike reporting within airports. As hypothesized, we found that wildlife hazards management intervention has a significant impact on the quality of reporting, as evidenced by a substantial increase in the number of civil strikes reported over the management period. Where pre-existing reporting mechanisms were more robust, however, we found that wildlife hazards management had a significant impact on realized wildlife strike risk as evidenced by a decrease in strike-induced economic damages among military aircraft. Overall, we found that the estimated economic benefits of the studied airport wildlife hazards management program were 7 times greater than the costs over the management period. Our results have important implications for the measurement of wildlife strike risk and the management of wildlife hazards at airports, as well as important insights pertaining to the use of observational data for causal inference, particularly in the context of risk management.

Cross-sectional interactions in cryptocurrency returns

We investigate interaction effects in cryptocurrency markets by constructing and evaluating double-sorted portfolios based on 40 different characteristics. Using a dataset of over 500 major coins and tokens from 2017 to 2023, we identify numerous significant interactions. The most pronounced effects arise from the interplay of liquidity, risk, and past return measures. An out-of-sample long-short strategy that selects the top and bottom interactions achieves a Sharpe ratio exceeding 1. However, network graph analysis and additional tests reveal that low liquidity, which raises transaction costs, can dampen trading activity and contribute to the persistence of these anomalies.

Bank Financial Distress and Stock Price Crashes: A Quasi‐Experimental Approach

ABSTRACTUsing 118,292 US bank‐month observations, we examine the effects of short‐term changes in bank's financial distress on stock price crash risk. There is a significant positive association between short‐term changes in distress on stock price crash risk. The results remain consistent across alternative measures of distress and crash risk. We confirm robustness by employing additional tests for reverse causality and propensity score matching. We find opacity, proxied by discretionary loan‐loss provisions to be a potential channel through which increase in distress affects future crash risk. Our study underscores the critical association between increasing financial distress, loan‐loss reporting, and crash risk.