Search Results (101)

This paper studies the joint distribution of the default and prepayment losses for a large portfolio of loans, based on a bottom-up approach. The repayment behaviors of loans in the portfolio are determined by both systematic and idiosyncratic risk factors and are conditionally independent given the systematic factors. The joint two-dimensional limit distributions of the portfolio default and prepayment losses are obtained, including the strong law of large numbers and the central limit theorem. A numerical study for the portfolio losses is performed for some simplified models. Finally, we conduct the empirical analysis on the residential mortgage-backed security (RMBS) based on Freddie Mac’s dataset. The empirical results reveal the impacts of different factors on the default and prepayment behaviors, and the distributions of the portfolio losses are simulated based on empirical estimation results to show its difference with the log-normal distributions. Full article

Background and Aims: Ornidazole, a nitroimidazole antibiotic, is widely used for protozoal and anaerobic infections and is generally considered safe. However, ornidazole-induced liver injury (OILI) is an underrecognized yet potentially severe adverse reaction. This multicenter study aims to characterize the clinical features, histopathology, and outcomes of OILI to improve the awareness and management of this rare entity worldwide. Methods: We conducted a retrospective analysis of 101 patients with OILI from eight tertiary centers between 2006 and 2023. Cases were included based on liver enzyme elevations temporally linked to ornidazole and the exclusion of other causes. Causality was assessed using the Roussel Uclaf Causality Assessment Method (RUCAM) score. Clinical data, laboratory parameters, autoantibody profiles, histology, treatments, and outcomes were evaluated. Results: OILI was classified as highly probable in 42.6% of cases (n = 43), probable in 51.5% of cases (n = 52), and possible in 5.9% (n = 6) of cases. The predominant pattern was acute hepatocellular injury (83.2%) (n = 84). Autoimmune-like hepatitis occurred in 5% of cases (n = 5), with ANA positivity in 16.8% of cases (n = 17). Corticosteroids were used in 24.8% of cases (n = 25) and were associated with higher ANA positivity and a 20% (n = 5) relapse rate post-discontinuation. Recovery was achieved in 87.7% of cases (n = 88), while 7.9% of cases (n = 8) required liver transplantation and 4% (n = 4) died. Conclusions: Ornidazole can cause serious idiosyncratic liver injury, including autoimmune phenotypes, and should be considered in the differential diagnosis of acute hepatitis. Given the notable risk of liver failure and death, early recognition, drug discontinuation, and close monitoring are essential. In select cases, corticosteroids and plasmapheresis may be beneficial, though the evidence remains limited. Full article

The link between ESG and financial performance is still under debate. In this study, we explore which aspects of ESG specifically drive market valuations through both systematic and idiosyncratic risk channels. We analyze the impact of the three core ESG pillars, 10 subcategories, and associated controversies on market valuations in the energy sector. This analysis reveals that the environmental factor has a stronger impact (regression coefficient = 0.05) than the governance factor (regression coefficient = 0.003), emphasizing the need to prioritize environmental performance in ESG strategies. The positive coefficients for environmental resource use (0.005) and innovation (0.008) indicate that investments in efficiency and clean technologies are beneficial, while the negative coefficient for emissions (−0.004) underscores the risks associated with poor emissions management. These findings suggest that environmental risks currently outweigh governance risks for the energy sector, reinforcing the importance of aligning governance practices with environmental goals. To maximize ESG effectiveness, energy firms should focus on measurable improvements in resource efficiency, innovation, and emissions reduction and transparently communicate this progress to stakeholders. The evidence suggests that energy firms approach the ESG landscape differently, with sustainability leaders benefiting from higher valuations, particularly when ESG efforts are aligned with core competencies. However, many energy companies under-invest in value-creating environmental initiatives, focusing instead on emission management, which erodes value. While they excel in emission control, they lag in innovation, missing opportunities to enhance valuations. This underscores the potential for ESG risk analysis to improve portfolio performance, as sustainability can both create value and mitigate risks by factoring into valuation equations as both risks and opportunities. This study uniquely contributes to the ESG–financial performance literature by disentangling the specific ESG dimensions that drive market valuations in the energy sector, revealing that value is created not through emission control but through strategic alignment with eco-innovation, governance, and social responsibility. Full article

Background: Cephalosporins are considered safe antibiotics. However, serious hematological abnormalities may occur, although rarely, after their therapeutic use. Case Presentation: We present a case of pancytopenia in a 72-year-old female patient treated with ceftriaxone for a urinary tract infection. After five days of therapy, pancytopenia was observed. Other causes were excluded through extensive diagnostic evaluation, including immunological tests, viral serologies, bone marrow aspiration, and peripheral blood smear. The patient’s clinical condition significantly improved following the discontinuation of ceftriaxone and the administration of granulocyte colony-stimulating factor (G-CSF). Bone marrow findings revealed hypocellularity without malignant infiltration, and peripheral smear showed no dysplasia, blasts, or hemolysis. Conclusions: This case demonstrates that ceftriaxone, although widely regarded as a safe antibiotic, can induce rare but serious hematologic complications such as pancytopenia. A high index of suspicion is required when patients on antibiotic therapy develop unexplained cytopenias. Detailed medication history, exclusion of other causes, and prompt discontinuation of the suspected drug are essential. The patient’s favorable outcome supports the likelihood of an idiosyncratic, immune-mediated mechanism. Future research should explore pharmacogenomic screening in patients at increased risk, particularly involving HLA variants. Full article

Amid growing global concerns regarding sustainable governance, understanding the drivers of ESG disclosure is vital for promoting transparency and responsible corporate behavior. This study examines the peer effects of ESG disclosure among 32,187 observations from Chinese A-share listed firms between 2010 and 2021. This research employs an instrumental variable approach based on stock-specific idiosyncratic returns estimated via the Carhart four-factor model to address endogeneity concerns. The results confirm significant peer effects, suggesting that firms adjust ESG practices in response to their industry counterparts. These effects are significantly moderated by firm-level characteristics, including information asymmetry, corporate reputation, and market competition, as well as by external conditions such as economic policy uncertainty, business environment volatility, and institutional quality. This research defines peer groups by industry affiliation and conducts robustness tests using ESG risk clustering to address classification bias. This study contributes to the literature by strengthening causal inference and refining the understanding of peer-driven ESG behavior by integrating institutional theory, signaling theory, and information economics. The findings offer practical implications for policymakers, investors, and corporate managers seeking to promote ESG convergence through peer-driven incentives in diverse regulatory contexts. Full article

Background/Objectives: Child abuse is a devastating problem, and effective interventions are needed. Interventions incorporating social support have been found to be more effective in reducing parental abuse than those that do not. The resolutions approach (RA) emphasizes collaborating with the family’s social network. The present study aims to examine the role of social networks in RA. Methods: This report presents the cases of two families (children aged 8–18) who are alleged to have committed child abuse. A mixed-method study was conducted. Qualitative data based on in-depth interviews, and quantitative data obtained by repeated assessments following a single-case design were integrated. Incidents of child abuse were assessed before treatment, at the end of treatment, and at follow-up, using the Conflict Tactics Scales. An idiosyncratic measurement was administered every fortnight during the intervention. Results: In both families, members acknowledged the value of involving their social network and reported decreased incidents of child abuse. One family succeeded in involving the network, and in this family, aggressive behavior stopped soon after RA started. Results were maintained during follow-up. In the other family, aggression stopped after the baseline period, according to the parents, but not according to their youngest child. Conclusions: Although the involvement of social support is prescribed through the intervention protocol, several challenges hamper its realization. Recommendations are formulated for how to involve social network members in the context of family therapy when child safety is at risk. RA might be a valuable intervention to stop child abuse, but it needs further research. Full article

Drug-induced and idiosyncratic cytopenias, including anemia, neutropenia, and thrombocytopenia, present significant challenges in fields like immunohematology and internal medicine. These conditions are often unpredictable, multifactorial, and can arise from a complex interplay of drug reactions, immune abnormalities, and other poorly understood mechanisms. In many cases, the precise triggers and underlying factors remain unclear, making diagnosis and management difficult. However, advancements in artificial intelligence (AI) are offering new opportunities to address these challenges. With its ability to process vast amounts of clinical, genomic, and pharmacovigilance data, AI can identify patterns and risk factors that may be missed by traditional methods. Machine learning algorithms can refine predictive models, enabling earlier detection and more accurate risk assessments. Additionally, AI’s role in enhancing patient engagement—through tailored monitoring and personalized treatment strategies—ensures more effective follow-up and improved clinical outcomes for patients at risk of these potentially life-threatening conditions. Through these innovations, AI is paving the way for a more proactive and personalized approach to managing drug-induced cytopenias. Full article

This study provides the first evidence of the propensity of globally large industrial US and European firms to adopt enterprise risk management (ERM) processes in response to the recent challenges of systematic global risks associated with pandemics (COVID-19), increased geopolitical risks (e.g., the Ukraine–Russia conflict), increased cybersecurity threats and the challenges posed by climate change and biodiversity loss. Consistent with the predictions of standard risk management theory, it is predicted that there is a positive inter-relationship between the propensity to adopt ERM and total firm risk, after controlling for various firm-related financial characteristics, complexity and sources of idiosyncratic risk. The empirical research is based on an industry-matched sample of the 100 largest US and European firms globally. The empirical results are generally consistent with these predictions, but for European firms, total firm risk is not associated with ERM adoption. Furthermore, there is no statistically significant relationship between sample firms’ risk-adjusted performance and their ERM adoption propensity, and there are also significant cultural–institutional variations that explain the differences between the ERM adoption practices between US and European sub-sample firms. The findings raise new questions about the validity of ERM in addressing globally important risk challenges faced by the largest multinational firms. Full article

As crypto assets become more widely adopted, crypto asset markets and traditional financial markets may become increasingly interconnected. The close linkages between these markets have potentially important implications for price formation, contagion, risk management and regulatory frameworks. In this study, we assess the correlation between traditional financial markets and selected crypto assets, study factors that may impact the price of crypto assets and identify potentially significant events that may have an impact on Bitcoin and Ethereum price dynamics. For the latter analyses, we adopt a Bayesian model averaging approach to identify change points in the Bitcoin and Ethereum daily price time series. We then use the dates and probabilities of these change points to link them to specific events, finding that nearly all of the change points can be associated with known historical crypto asset-related events. The events can be classified into broader geopolitical developments, regulatory announcements and idiosyncratic events specific to either Bitcoin or Ethereum. Full article

This paper examines the relationship between a firm’s working capital policy and the volatility of its stock returns. We find that a firm with an aggressive working capital policy tends to exhibit a higher level of return volatility. This finding is robust across years and industries after controlling for factors such as financial stability and sales growth. Our results further indicate that aggressively managed working capital policy affects return volatility through idiosyncratic risk. A decrease in working capital results in the contemporaneous and subsequent increases of return volatility. Our evidence is consistent with the conjecture that there is an important link between a firm’s working capital policy and its stock return volatility. Thus, firm managers must incorporate the potential costs associated with higher stock return volatility into their working capital decision-making when adopting a tightened working capital policy. Full article

In this study, we investigate the pricing of two types of vulnerable foreign equity options using an intensity-based model. It is considered that the intensity process consists of both systematic and idiosyncratic components. In addition, we assume that the underlying asset processes follow a two-factor stochastic volatility model. Under the proposed model, we obtain the explicit pricing formulas of vulnerable foreign equity options. Finally, we provide some numerical examples to demonstrate how credit risk and stochastic volatility affect option prices. Full article

Acne vulgaris is a prevalent dermatological condition that is often treated with isotretinoin, a potent medication effective in moderate to severe cases. However, its use requires careful monitoring because of its potential hepatotoxic effects. Isotretinoin has been associated with transient elevations in liver enzyme levels, with mild abnormalities observed in up to 11% of cases. Severe elevations (grade ≥ 3), indicating potential liver dysfunction, occur infrequently, with an incidence of approximately 0.2% to 0.5%. The mechanisms underlying isotretinoin-induced liver injury involve oxidative stress and genetic susceptibility, primarily manifesting as idiosyncratic drug-induced liver injury. Most enzyme abnormalities occur within the initial months of treatment, and their clinical significance varies, with many cases resolving without intervention. A review of large cohort studies highlighted the incidence of abnormal liver function tests, including elevated alanine aminotransferase and aspartate aminotransferase levels. These abnormalities are often present within the first 3 months of therapy, particularly at higher cumulative doses. The role of routine liver function monitoring is debated, with recommendations favoring baseline and early follow-up tests and further testing guided by clinical indicators. Alanine aminotransferase may serve as a more specific marker for liver injury compared to other markers, such as aspartate aminotransferase. This review highlights the importance of evidence-based guidelines to balance effective acne treatment with the risk of isotretinoin-induced hepatotoxicity. Standardizing monitoring protocols and integrating genetic and oxidative stress markers may enhance safety and therapeutic outcomes. Further research is essential to refine these strategies and address gaps in long-term hepatotoxicity data. Full article

This paper examines Bitcoin’s viability as money through the lens of its risk profile, with a particular focus on its store of value function. We employ a suite of wavelet techniques, including Wavelet Transform (WT), Wavelet Transform Coherence (WTC), Multiple Wavelet Coherence (MWC), and Partial Wavelet Coherence (PWC), to decompose the risk structure of Bitcoin and analyze its relationship with various systematic risk factors. Our dataset spans from 13 August 2015 to 29 June 2024, and includes Bitcoin, major commodities, global and US equities, Shari’ah-compliant equities, Ethereum, and the Secured Overnight Financing Rate (SOFR). We find that Bitcoin’s risk profile is increasingly aligned with traditional financial assets, indicating growing market integration. While Bitcoin exhibits high volatility, a significant portion of this volatility can be attributed to systematic rather than idiosyncratic factors. This suggests that Bitcoin’s risk may be more diversifiable than previously thought. Our findings have important implications for monetary policy and financial regulation, challenging the notion that Bitcoin’s volatility precludes its use as money and suggesting that regulatory approaches should consider Bitcoin’s evolving risk characteristics and increasing integration with broader financial markets. Full article

This paper investigates the valuation of vulnerable exchange options with two underlying assets that follow a two-factor volatility model. We employ a reduced-form model incorporating a Poisson process with stochastic intensity. The proposed reduced-form model depends on a stochastic intensity process that is guaranteed to remain positive and includes both systemic and idiosyncratic risks. Using measure change techniques and characteristic functions, we obtain an explicit pricing formula for vulnerable exchange options within the proposed framework. We also provide numerical examples demonstrating the sensitivity of option prices to significant parameters. Full article

This study examines the impact of energy-related uncertainty on idiosyncratic volatility (IVOL) in Chinese firms, leveraging data from the Shanghai and Shenzhen stock exchanges between 2007 and 2022. Utilizing the Energy-Related Uncertainty Index (EUI) and the Fama–French five-factor model, we analyze a comprehensive dataset of 20,998 firm-year observations to understand how macroeconomic uncertainties specific to the energy sector influence firm-specific risk. Our findings reveal that a one-unit increase in the EUI is associated with a 5.1% rise in idiosyncratic volatility across all firms, underscoring the significant impact of energy-related uncertainty on firm-specific risks. The effect is more pronounced in energy-related firms, where a one-unit increase in the EUI leads to a 6.4% increase in IVOL, compared to a 3.7% increase in non-energy-related firms. By incorporating industry-wise, heterogeneity, and phase-based analyses, our findings reveal significant variations in the EUI’s impact across energy and non-energy sectors. State-owned enterprises, firms with high ownership concentration, and smaller firms are more vulnerable to energy uncertainties. Additionally, the effect of the EUI on IVOL is more pronounced during periods of high uncertainty. These insights have important implications for sustainable investment strategies, risk management, and policymaking, providing a deeper understanding of the intricate dynamics of energy markets in fostering sustainable economic growth and development. Full article