For the past five years, genome-wide association studies (GWAS) have identified hundreds of common variants associated with human diseases and traits, including high-density lipoprotein cholesterol ...(HDL-C), low-density lipoprotein cholesterol (LDL-C), and triglyceride (TG) levels. Approximately 95 loci associated with lipid levels have been identified primarily among populations of European ancestry. The Population Architecture using Genomics and Epidemiology (PAGE) study was established in 2008 to characterize GWAS-identified variants in diverse population-based studies. We genotyped 49 GWAS-identified SNPs associated with one or more lipid traits in at least two PAGE studies and across six racial/ethnic groups. We performed a meta-analysis testing for SNP associations with fasting HDL-C, LDL-C, and ln(TG) levels in self-identified European American (~20,000), African American (~9,000), American Indian (~6,000), Mexican American/Hispanic (~2,500), Japanese/East Asian (~690), and Pacific Islander/Native Hawaiian (~175) adults, regardless of lipid-lowering medication use. We replicated 55 of 60 (92%) SNP associations tested in European Americans at p<0.05. Despite sufficient power, we were unable to replicate ABCA1 rs4149268 and rs1883025, CETP rs1864163, and TTC39B rs471364 previously associated with HDL-C and MAFB rs6102059 previously associated with LDL-C. Based on significance (p<0.05) and consistent direction of effect, a majority of replicated genotype-phentoype associations for HDL-C, LDL-C, and ln(TG) in European Americans generalized to African Americans (48%, 61%, and 57%), American Indians (45%, 64%, and 77%), and Mexican Americans/Hispanics (57%, 56%, and 86%). Overall, 16 associations generalized across all three populations. For the associations that did not generalize, differences in effect sizes, allele frequencies, and linkage disequilibrium offer clues to the next generation of association studies for these traits.
Using a phenome-wide association study (PheWAS) approach, we comprehensively tested genetic variants for association with phenotypes available for 70,061 study participants in the Population ...Architecture using Genomics and Epidemiology (PAGE) network. Our aim was to better characterize the genetic architecture of complex traits and identify novel pleiotropic relationships. This PheWAS drew on five population-based studies representing four major racial/ethnic groups (European Americans (EA), African Americans (AA), Hispanics/Mexican-Americans, and Asian/Pacific Islanders) in PAGE, each site with measurements for multiple traits, associated laboratory measures, and intermediate biomarkers. A total of 83 single nucleotide polymorphisms (SNPs) identified by genome-wide association studies (GWAS) were genotyped across two or more PAGE study sites. Comprehensive tests of association, stratified by race/ethnicity, were performed, encompassing 4,706 phenotypes mapped to 105 phenotype-classes, and association results were compared across study sites. A total of 111 PheWAS results had significant associations for two or more PAGE study sites with consistent direction of effect with a significance threshold of p<0.01 for the same racial/ethnic group, SNP, and phenotype-class. Among results identified for SNPs previously associated with phenotypes such as lipid traits, type 2 diabetes, and body mass index, 52 replicated previously published genotype-phenotype associations, 26 represented phenotypes closely related to previously known genotype-phenotype associations, and 33 represented potentially novel genotype-phenotype associations with pleiotropic effects. The majority of the potentially novel results were for single PheWAS phenotype-classes, for example, for CDKN2A/B rs1333049 (previously associated with type 2 diabetes in EA) a PheWAS association was identified for hemoglobin levels in AA. Of note, however, GALNT2 rs2144300 (previously associated with high-density lipoprotein cholesterol levels in EA) had multiple potentially novel PheWAS associations, with hypertension related phenotypes in AA and with serum calcium levels and coronary artery disease phenotypes in EA. PheWAS identifies associations for hypothesis generation and exploration of the genetic architecture of complex traits.
Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During the ongoing EMU debt crisis this purpose was questioned when Greek default was ...postponed continuously and actions of European public authorities gave rise to speculations that Greece could effectively default without CDS protection payment being triggered. In this article we examine whether this development in Greek case influenced CDS price of EMU member states in general, i.e. whether investors' trust in this instrument decreased. Our presumption is that if there are no uncertainties about the CDS contract conditions, market price of a CDS should be closely related to its modelled risk-neutral fair price. In the first part of the article we use adopted reduced form CDS valuation model to obtain model CDS price which is compared to market CDS price in the second part of the article using two methods: heteroskedasticity- and autocorrelation-robust estimates and Johansen cointegration test. The main finding of this article is that the relationship between market and model CDS price mostly weakened during the crisis. More interestingly, using the first method it weakened in case of all riskier countries such as Portugal, Italy, Ireland, Spain and Belgium and this trend is not confirmed in case of safer countries such as Finland, France, Netherlands and Austria. In both methods we take into account a role of counterparty and liquidity risk and conclude that whereas counterparty risk role increased during the crisis, liquidity risk does not seem to play an important role in CDS market price determination.
The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and ...subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
In longitudinal studies, observations are often obtained at continuous subject-specific sampling times. Frequently the availability of outcome data may be related to the outcome measure or other ...covariates that are related to the outcome measure. Under such biased sampling designs unadjusted regression analysis yield biased estimates. Of our major interest is a mean-response model where we examine the marginal effect of the covariates X at time t on the mean of response Y at time t. Building on the work of Lin & Ying (2001) that integrates counting processes techniques with longitudinal data settings we propose classes of estimators in generalized linear regression models that can handle biased sampling under continuous time. In general linear regression models and log-link models we additionally allow for an unspecified baseline function of time. We call the proposed estimators “inverse-intensity rate-ratio-weighted” estimators. We use a marginal rate model with covariates Z to model the sampling times. We leave stochastic structure of the response process to be completely unspecified. Both mean-response model covariate process and sampling-times model covariate process can contain lagged response or lagged covariates. Our estimation procedure is based on unbiased estimating equations. The proposed estimators are root n consistent and asymptotically normal. Estimators themselves and estimators of their variance are relatively simple and computationally feasible. We investigate the proposed estimators under finite samples with simulations. We illustrate our approach using data from a health service research randomized study on homeless people and the AIDS Clinical Trial Group 002 study.
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