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Objectives To assess preferences of health care workers (HCWs) and parents of term and preterm infants to adverse health outcomes, and how perceived surgical mortality influences decision-making. Study design A total of 536 participants (157 HCWs, 201 parents of term infants, and 178 parents of preterm infants) were recruited to take part in a structured interview. Preferences related to treatment of a critically ill preterm infant with necrotizing enterocolitis were measured by health state rank permutation analysis and pivotal risk analysis. Between-group and subgroup comparisons were performed. Results HCWs rank adverse health states less favorably than parents of preterm infants, consistently ranking 2 of the most adverse health states worse than death. Pivotal risk values of HCWs for all health states were consistently the lowest of the 3 groups. High operative mortality was associated uniformly with reduction in pivotal risks for all groups both in favorable and adverse health states. Subgroup analyses revealed significant discrepancies in preferences between fathers and mothers as well as doctors and nurses. Regular religious practice was significantly associated with increased pivotal risks in parental subgroups. Conclusions As discrepancies in health state preferences existed between subgroups (ie, doctors vs nurses, mothers vs fathers) and perceived operative mortality consistently biased parental and HCW health state preferences, we recommend that HCWs should first identify differences regarding patient management before interviewing the parents together. HCWs should be aware of inadvertently biasing parents when discussing the risks and outcomes of surgery in conjunction with the overall long-term prognosis of the underlying condition.

The Basel II Accord is a financial risk management standard recently adopted by many financial institutions and regulators around the world. The general spirit of the accord is to develop a systematic approach to evaluating and controlling risks based on timely data and their analysis and interpretation. The interface between statistical modeling and the financial application is of pivotal importance in the development of the internal ratings-based (IRB) approach recommended by the Basel II Accord. This article reviews the IRB requirements and develops new empirical Bayes models for modeling probability of default and loss given default, which are the key ingredients in the IRB approach to credit risk analysis of retail exposures. AMS 2000 subject classifications: Primary 62P05; secondary 62J12, 62M05.

Financial crises cause losses in many portfolios. The measures of value at risk quantify the severity of the consequential negative impacts and are therefore used as the capital buffers prepared for financial risks. Basel II Accord classifies financial risks into the following three categories: Market risk: the loss caused by price fluctuations. Credit risk: the loss triggered by default events. Operational risk: the loss resulted from factors other than those in 1 and 2. The credit value at risk plays a pivotal role in the reserve capital assignment because credit risk is the most contributing component among the three factors listed. In this survey, we describe the definition and computation of the credit value at risk and give some guidelines for stress testing. Some implementation details of credit value at risk are also presented. Keywords: credit value at risk; copulas; factor models

During the last several years, assessing the probability of default (PD) and loss give default (LGD) on credit assets have become a high priority task in the internal credit risk systems of the financial institutions. Such an intense surge of interest is caused by the following factors: A historic high in the frequency and severity of bankruptcy at the turn of the century have attracted much media attention. Basel Accord on credit risk capital adequacy—the so-called Basel II Accord; see Basel Commission on Banking Supervision—for banks and financial institutions to qualify for the advanced internal rating based (IRB) approach, they need to develop better assessment of PD and LGD. To address the enormous need of PD and LGD evaluations, various quantitative techniques have been employed not only by financial institutions, but also regulatory bodies and the rating agencies. In this chapter, a brief review of the techniques of credit scoring in estimating PD is presented. For LGD computations, one can refer to Chapter 15 of Altman and Hotchkiss. Keywords: probability of default; multiple discriminant analysis; financial ratios; logistic regression; probit regression

Background: Newborn infants with intra-abdominal inflammation/sepsis often present with nonspecific signs in the early stages of the disease, but can rapidly develop life-threatening complications. A reliable ‘early’ biomarker would be invaluable. Objective: To evaluate the effectiveness of neutrophil CD64 as an ‘early’ biomarker of intra-abdominal inflammation/sepsis. Methods: Blood was collected from newborns with suspected intra-abdominal pathology for neutrophil CD64 and C-reactive protein (CRP) determination at the onset of clinical presentation and 24 h later. They were classified into three groups: intra-abdominal inflammation/sepsis (group 1), extra-abdominal sepsis (group 2) and nonsepsis (group 3). Between-group comparisons were made by Kruskal-Wallis and χ2 tests. Receiver-operating characteristic curves and diagnostic utilities for single and combination of tests were determined. Results: 310 infants were recruited (102, 34 and 174 in groups 1, 2 and 3, respectively). CD64 (conventional cutoff = 6,010 antibody-PE molecules bound/cell) had substantially better sensitivity (0.81 vs. 0.56) and negative predictive value (0.90 vs. 0.79) for diagnosing intra-abdominal sepsis than CRP, at presentation. Pairing CD64 with routine abdominal radiograph (AXR) substantially increased the sensitivity and negative predictive value for group 1 to 0.99 and 0.99, respectively. By adjusting the CD64 cutoff to 12,500 units, a substantial improvement in specificity could be achieved (0.62 to 0.80) without significantly compromising sensitivity (0.99 to 0.97). Conclusions: CD64 is a sensitive and ‘early’ biomarker for diagnosing intra-abdominal inflammation/sepsis. Intra-abdominal catastrophes, including necrotizing enterocolitis, intestinal necrosis, perforation and peritonitis can confidently be excluded using CD64 and AXR early in the course of the disease.

OBJECTIVES. To assess (1) the differences in attitudes toward disabilities of 3 groups of subjects involved in neonatal care decision-making: health care workers, mothers of term infants, and parents of preterm infants, and (2) the impact of subject characteristics on these attitudes including parental education level, religion, and severity of disability. METHODS. Five hundred seventy-eight subjects were interviewed, of whom 135 were health care workers, 155 were mothers of term infants, and 288 were parents of preterm infants. We assessed between-group differences of the (1) health state ranking permutations, (2) proportion of subjects willing to save the infant at all costs, (3) pivotal risks of each group to the 5 health states comprising varying combinations of mental, physical, and social disabilities, and (4) impact of personal characteristics on decision-making. RESULTS. Most health care workers ranked the most severe disability health state as worse than death, whereas most parents of preterm infants ranked death as the worst outcome. Significantly more parents of preterm infants chose to save the infant at all costs, compared with mothers of term infants and health care workers, and the pivotal risks of the parents of preterm infants group were highest for all health states. Religious worship was associated with increased probability of saving at all costs and pivotal risks. Increased severity of neonatal complications was associated with decreased probability of saving at all costs and pivotal risks in parents of preterm infants. CONCLUSIONS. Our findings suggest that parents of preterm infants as a group were most likely to save the infant at all costs and prepared to tolerate more severe disability health states. However, personal characteristics, in particular religious belief and severity of neonatal complications, have overriding influence on these attitudes. We suggest inclusion of experienced parents of preterm infants for more effective counseling of parents in making life-and-death decisions.

During the last several years, assessing the probability of default (PD) and loss give default (LGD) on credit assets have become a high priority task in the internal credit risk systems of the financial institutions. Such an intense surge of interest is caused by the following factors: A historic high in the frequency and severity of bankruptcy at the turn of the century have attracted much media attention. Basel Accord on credit risk capital adequacy—the so-called Basel II Accord; see Basel Commission on Banking Supervision—for banks and financial institutions to qualify for the advanced internal rating based (IRB) approach, they need to develop better assessment of PD and LGD. To address the enormous need of PD and LGD evaluations, various quantitative techniques have been employed not only by financial institutions, but also regulatory bodies and the rating agencies. In this chapter, a brief review of the techniques of credit scoring in estimating PD is presented. For LGD computations, one can refer to Chapter 15 of Altman and Hotchkiss. Keywords: probability of default; multiple discriminant analysis; financial ratios; logistic regression; probit regression

This paper studies the optimal expected gain/loss of a portfolio at a given risk level when the initial investment is zero and the number of stocks [Formula: see text] grows with the sample size [Formula: see text]. A new estimator of the optimal expected gain/loss of such a portfolio is proposed after examining the behavior of the sample mean vector and the sample covariance matrix based on conditional expectations. It is found that the effect of the sample mean vector is additive and the effect of the sample covariance matrix is multiplicative, both of which over-predict the optimal expected gain/loss. By virtue of a shrinkage method, a new estimate is proposed when the sample covariance matrix is not invertible. The superiority of the proposed estimator is demonstrated by matrix inequalities and simulation studies.

Background: High-dose systemic dexamethasone is effective in facilitating extubation of ventilated infants with bronchopulmonary dysplasia. Although the suppression and recovery of pituitary-adrenal response had been assessed after corticosteroid treatment in very low birth weight infants, its effect on hypothalamic function has not been longitudinally monitored. Aims: This study was designed to assess the longitudinal hypothalamic response before, during and 4 weeks after a 3-week dose-tapering course of systemic dexamethasone treatment. Patients and Methods: Twenty very low birth weight infants had blood collected for corticotropin-releasing hormone, ACTH and cortisol measurements immediately before starting dexamethasone (week 0), after receiving the maximum dose of treatment (week 1), at the end of the 3-week course (week 3) and 4 weeks after stopping corticosteroids (week 7). Results: All circulating hormone concentrations were significantly suppressed during the treatment period at week 1 and week 3 compared with pretreatment concentrations at week 0 (p < 0.001). The recovery of pituitary function started early soon after week 1, whereas that of hypothalamus and adrenal functions started after the end of the dexamethasone course. Plasma ACTH concentration at week 7 had returned to the pretreatment level, but plasma corticotropin-releasing hormone (p < 0.05) and serum cortisol (p < 0.001) concentrations remained significantly suppressed. Partial recovery of hypothalamic and adrenal function was observed at week 7 (62 vs. 36% of their pretreatment levels, respectively). Conclusion: Our findings suggest that the hypothalamic function is suppressed during systemic corticosteroid treatment but partial recovery occurs 4 weeks after stopping therapy. Even in preterm infants, the hypothalamic-pituitary-adrenal axis behaves in a similar manner as in adult subjects and the pituitary function recovers earlier than that of hypothalamus and adrenals.

This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression. Applications to American option pricing and the Canadian lynx data are given to illustrate this approach., Comment: Published at http://dx.doi.org/10.1214/074921706000001049 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)

PURPOSE. To establish a normative range of intraocular pressure (IOP) in preterm infants and to identify important perinatal factors that could affect the IOP during the early weeks of neonatal life. METHODS. The IOP of 104 preterm infants, with a median (interquartile range) gestational age of 29.8 (28.7-30.9) weeks and birth weight of 1208 (1049-1370) g, were assessed in a university-affiliated tertiary neonatal center. These infants had IOP measured by a handheld tonometer at 1, 4, 6, 8, and 10 weeks of postnatal age. The mixed-effects models were used to evaluate the longitudinal IOP measurements and to identify critical perinatal factors that would significantly affect the ocular pressure. RESULTS. A percentile chart of IOP in preterm infants was constructed, and the median (10th-90th percentile) IOP ranged from 16.9 (12.3-21.5) to 14.6 (10.1-19.2) mm Hg at 26.1 and 46.4 weeks of postconceptional age, respectively. The IOP was significantly and negatively associated with postconceptional age (P < 0.001), mean blood pressure (P = 0.01), Apgar score at 1 minute (P = 0.04), and use of inhaled corticosteroids (P = 0.03), but was positively correlated with the commencement of high-frequency oscillatory ventilation (P = 0.01). CONCLUSIONS. A quantitative statistical model has been developed and a percentile chart of IOP constructed for preterm infants that could be used for future reference. Pediatric ophthalmologists and neonatal clinicians can compare the IOP of preterm infants against this chart and make relevant quantitative adjustments for critical perinatal factors so that the IOP may be properly evaluated, both in healthy and ill infants.