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RISS 인기검색어
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- 저자 : Thomas S. Y. Ho (검색결과 3 건)
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A Unified Model : Arbitrage-free Term Structure Movements of Flow Risks
Thomas S. Y. Ho,Sang Bin Lee 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09
This paper first dichotomizes risk drivers into “stock” or “flow” attributes. Stock risk drivers are prices of tradable securities and flow risk drivers are rates represented by the stochastic movements of a term structure of securities. This paper then shows that the Black Scholes model is the relative valuation model for the stock risk drivers while the proposed unified model is for the flow risk drivers. The unified model can be described in the Ho-Lee model framework. We apply this model to five different flow risk drivers: interest rate, credit risk, liquidity risk, energy risk, and inflation risk. We then show that the unified model provides an analytical framework for securities that are subjected to several of these flow risk drivers, offering many applications. For example, the 2008 financial crisis clearly shows the importance of the use of a unified model in enterprise risk management. The crisis demonstrates that risk management should not take a silo approach to manage each flow risk driver, such as interest rate risk and credit risk. We propose an integrated approach to manage risks using the unified model.
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Ma, R. C. W.,Hu, C.,Tam, C. H.,Zhang, R.,Kwan, P.,Leung, T. F.,Thomas, G. N.,Go, M. J.,Hara, K.,Sim, X.,Ho, J. S. K.,Wang, C.,Li, H.,Lu, L.,Wang, Y.,Li, J. W.,Wang, Y.,Lam, V. K. L.,Wang, J.,Yu, W.,Ki Springer-Verlag 2013 Diabetologia Vol.56 No.6
<P><B>Aims/hypothesis</B></P><P>Most genetic variants identified for type 2 diabetes have been discovered in European populations. We performed genome-wide association studies (GWAS) in a Chinese population with the aim of identifying novel variants for type 2 diabetes in Asians.</P><P><B>Methods</B></P><P>We performed a meta-analysis of three GWAS comprising 684 patients with type 2 diabetes and 955 controls of Southern Han Chinese descent. We followed up the top signals in two independent Southern Han Chinese cohorts (totalling 10,383 cases and 6,974 controls), and performed in silico replication in multiple populations.</P><P><B>Results</B></P><P>We identified <I>CDKN2A/B</I> and four novel type 2 diabetes association signals with <I>p</I> < 1 × 10<SUP>−5</SUP> from the meta-analysis. Thirteen variants within these four loci were followed up in two independent Chinese cohorts, and rs10229583 at 7q32 was found to be associated with type 2 diabetes in a combined analysis of 11,067 cases and 7,929 controls (<I>p</I><SUB>meta</SUB> = 2.6 × 10<SUP>−8</SUP>; OR [95% CI] 1.18 [1.11, 1.25]). In silico replication revealed consistent associations across multiethnic groups, including five East Asian populations (<I>p</I><SUB>meta</SUB> = 2.3 × 10<SUP>−10</SUP>) and a population of European descent (<I>p</I> = 8.6 × 10<SUP>−3</SUP>). The rs10229583 risk variant was associated with elevated fasting plasma glucose, impaired beta cell function in controls, and an earlier age at diagnosis for the cases. The novel variant lies within an islet-selective cluster of open regulatory elements. There was significant heterogeneity of effect between Han Chinese and individuals of European descent, Malaysians and Indians.</P><P><B>Conclusions/interpretation</B></P><P>Our study identifies rs10229583 near <I>PAX4</I> as a novel locus for type 2 diabetes in Chinese and other populations and provides new insights into the pathogenesis of type 2 diabetes.</P><P><B>Electronic supplementary material</B></P><P>The online version of this article (doi:10.1007/s00125-013-2874-4) contains peer-reviewed but unedited supplementary material, which is available to authorised users.</P>
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