Janine Mukuddem-Petersen

Effects of a high walnut and high cashew nut diet on selected markers of the metabolic syndrome: a controlled feeding trial.

We investigated the effects of a high walnut diet and a high unsalted cashew nut diet on selected markers of the metabolic syndrome. In a randomized, parallel, controlled study design, sixty-four subjects having the metabolic syndrome (twenty-nine men, thirty-five women) with a mean age of 45 (sd 10) years and who met the selection criteria were all fed a 3-week run-in control diet. Hereafter, participants were grouped according to gender and age and then randomized into three groups receiving a controlled feeding diet including walnuts, or unsalted cashew nuts or no nuts for 8 weeks. Subjects were required to have lunch at the metabolic ward of the Nutrition Department of the North-West University (Potchefstroom Campus). Both the walnut and the unsalted cashew nut intervention diets had no significant effect on the HDL-cholesterol, TAG, total cholesterol, LDL-cholesterol, serum fructosamine, serum high-sensitivity C-reactive protein, blood pressure and serum uric acid concentrations when compared to the control diet. Low baseline LDL-cholesterol concentrations in the cashew nut group may have masked a possible nut-related benefit. Plasma glucose concentrations increased significantly (P = 0.04) in the cashew nut group compared to the control group. By contrast, serum fructosamine was unchanged in the cashew nut group while the control group had significantly increased (P = 0.04) concentrations of this short-term marker of glycaemic control. Subjects displayed no improvement in the markers of the metabolic syndrome after following a walnut diet or a cashew nut diet compared to a control diet while maintaining body weight.

Bank management via stochastic optimal control

This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize market and capital adequacy risk that involves the safety of the securities held and the stability of sources of funds, respectively. In this regard, we suggest an optimal portfolio choice and rate of bank capital inflow that will keep the loan level as close as possible to an actuarially determined reference process. This set-up leads to a nonlinear stochastic optimal control problem whose solution may be determined by means of the dynamic programming algorithm. The above analysis is reliant on the construction of continuous-time stochastic models for bank behaviour upon which a spread method for loan capitalization is imposed.

Dynamic modelling of bank profits

A topical issue in financial economics is the development of a stochastic dynamic model for bank behaviour. Under the assumption that the loan market is imperfectly competitive, we investigate the evolution of banking items such as loans, provisions for loan losses and deposit withdrawals, Treasuries and deposits and their relationship with profit. A motivation for studying this type of problem is the need to generalize the more traditional discrete-time models that are being used in the majority of studies that analyse banks and their operational idiosyncracies. An important outcome of our research is an explicit model for bank profit based solely on the stochastic dynamics of bank assets (loans, Treasuries and reserves) and liabilities (deposits). By way of conclusion, we provide a brief discussion of some of the economic aspects of the dynamic bank modelling undertaken in the main body of the article.

Stochastic behaviour of risk-weighted bank assets under the Basel II capital accord

The primary objective of this paper is to add to the growing debate about the impact of the Basel II Capital Accord (see Base II, June 2004) on the functioning of internationally active banks. A technical contribution is made to this discussion by constructing a stochastic continuous-time model for the dynamics of the total risk-weighted assets (RWAs) of such a bank. RWAs exhibit random behaviour because they partly depend on the uncertain rates of return of bank investments. Also, such assets are weighted by considering the main risks that banks have to bare, viz., credit, operational and market risk. Here the credit risk capital requirement is viewed from the perspective of the internal ratings-based (IRB) approach, operational risk capital is considered within the framework of the standardized approach and a Value-at-Risk (VaR) model describes the capital charge for market risk. Total RWAs (TRWAs) are used to calculate the capital adequacy ratio that is regarded as the most important component of bank supervision and risk management. In particular, according to Basel II, the capital adequacy of banks is determined by the ratio of eligible regulatory capital to TRWAs.

Did Bank Capital Regulation Exacerbate the Subprime Mortgage Crisis

This contribution is the second in a series of papers on discrete-time modeling of bank capital regulation and its connection with the subprime mortgage crisis (SMC). The latter was caused by, amongst other things, the downturn in the U.S. housing market, risky lending and borrowing practices, inaccurate credit ratings, credit default swap contracts as well as excessive individual and corporate debt levels. The Basel II Capital Accords primary tenet is that banks should be given more freedom to decide how much risk exposure to permit; a practice brought into question by the SMC. For instance, institutions worldwide have badly misjudged the risk related to investments ranging from subprime mortgage loans to mortgage-backed securities (MBSs). Also, analysts are now questioning whether Basel II has failed by allowing these institutions to provision less capital for subprime mortgage loan losses from highly rated debt, including MBSs. Other unintended consequences of Basel II include the procyclicality of credit ratings and changes in bank lending behavior. Our main objective is to model the dependence of bank credit and capital on the level of macroeconomic activity under Basel I and Basel II as well as its connection with banking behavior for the period before and during the SMC.

Maximizing Banking Profit on a Random Time Interval

We study the stochastic dynamics of banking items such as assets, capital, liabilities and profit. A consideration of these items leads to the formulation of a maximization problem that involves endogenous variables such as depository consumption, the value of the banks investment in loans, and provisions for loan losses as control variates. A solution to the aforementioned problem enables us to maximize the expected utility of discounted depository consumption over a random time interval, [ t , τ ] , and profit at terminal time τ . Here, the term depository consumption refers to the consumption of the banks profits by the taking and holding of deposits. In particular, we determine an analytic solution for the associated Hamilton-Jacobi-Bellman (HJB) equation in the case where the utility functions are either of power, logarithmic, or exponential type. Furthermore, we analyze certain aspects of the banking model and optimization against the regulatory backdrop offered by the latest banking regulation in the form of the Basel II capital accord. In keeping with the main theme of our contribution, we simulate the financial indices return on equity and return on assets that are two measures of bank profitability.

Clustering of haemostatic variables and the effect of high cashew and walnut diets on these variables in metabolic syndrome patients.

We investigated the effect of a high walnut and cashew diet on haemostatic variables in people with the metabolic syndrome. Factor analysis was used to determine how the haemostatic variables cluster with other components of the metabolic syndrome and multiple regression to determine possible predictors. This randomized, control, parallel, controlled-feeding trial included 68 subjects who complied with the Third National Cholesterol Education Program Expert Panel on Detection, Evaluation, and Treatment of High Blood Cholesterol criteria. After a 3-week run-in following the control diet, subjects were divided into three groups receiving either walnuts or cashews (20 energy%) or a control diet for 8 weeks. The nut intervention had no significant effect on von Willebrand factor antigen, fibrinogen, factor VII coagulant activity, plasminogen activator inhibitor 1 activity, tissue plasminogen activator activity or thrombin activatable fibrinolysis inhibitor. Statistically, fibrinogen clustered with the body-mass-correlates and acute phase response factors, and factor VII coagulant activity clustered with high-density lipoprotein cholesterol (HDL-C). Tissue plasminogen activator activity, plasminogen activator inhibitor 1 activity and von Willebrand factor antigen clustered into a separate endothelial function factor. HDL-C and markers of obesity were the strongest predictors of the haemostatic variables. We conclude that high walnut and cashew diets did not influence haemostatic factors in this group of metabolic syndrome subjects. The HDL-C increase and weight loss may be the main focus of dietary intervention for the metabolic syndrome. Furthermore, diet composition may have only limited effects if weight loss is not achieved.

Bank Valuation and Its Connections with the Subprime Mortgage Crisis and Basel II Capital Accord

The ongoing subprime mortgage crisis (SMC) and implementation of Basel II Capital Accord regulation have resulted in issues related to bank valuation and profitability becoming more topical. Profit is a major indicator of financial crises for households, companies, and financial institutions. An SMC-related example of this is the U.S. bank, Wachovia Corp., which reported major losses in the first quarter of 2007 and eventually was bought by Citigroup in September 2008. A first objective of this paper is to value a bank subject to Basel II based on premiums for market, credit, and operational risk. In this case, we investigate the discrete-time dynamics of banking assets, capital, and profit when loan losses and macroeconomic conditions are explicitly considered. These models enable us to formulate an optimal bank valuation problem subject to cash flow, loan demand, financing, and balance sheet constraints. The main achievement of this paper is bank value maximization via optimal choices of loan rate and supply which leads to maximal deposits, provisions for deposit withdrawals, and bank profitability. The aforementioned loan rates and capital provide connections with the SMC. Finally, OECD data confirms that loan loss provisioning and profitability are strongly correlated with the business cycle.

A note on the subprime mortgage crisis: dynamic modelling of bank leverage profit under loan securitization

In this brief research article, we consider the financial modelling of the process of mortgage loan securitization that has been a root cause of the ongoing Subprime Mortgage Crisis (SMC). In particular, we suggest a Lévy process-driven model of bank leverage profit that arises from the securitization of a pool of subprime mortgage loans. To achieve this, we develop stochastic models for mortgage loans, mortgage loan losses, credit ratings and mortgage loan guarantees in a subprime context. These models incorporate some of the most important issues related to the SMC and its causes. Finally, we provide a brief analysis of the models developed earlier in our contribution and its relationship with the SMC.

Minimizing Banking Risk in a Lévy Process Setting

The primary functions of a bank are to obtain funds through deposits from external sources and to use the said funds to issue loans. Moreover, risk management practices related to the withdrawal of these bank deposits have always been of considerable interest. In this spirit, we construct Levy process-driven models of banking reserves in order to address the problem of hedging deposit withdrawals from such institutions by means of reserves. Here reserves are related to outstanding debt and acts as a proxy for the assets held by the bank. The aforementioned modeling enables us to formulate a stochastic optimal control problem related to the minimization of reserve, depository, and intrinsic risk that are associated with the reserve process, the net cash flows from depository activity, and cumulative costs of the banks provisioning strategy, respectively. A discussion of the main risk management issues arising from the optimization problem mentioned earlier forms an integral part of our paper. This includes the presentation of a numerical example involving a simulation of the provisions made for deposit withdrawals via treasuries and reserves.