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ÖMG Conference 2019
(2019)
Stress testing is part of today’s bank risk management and often required by the governing regulatory authority. Performing such a stress test with stress scenarios derived from a distribution, instead of pre-defined expert scenarios, results in a systematic approach in which new severe scenarios can be discovered. The required scenario distribution is obtained from historical time series via a Vector-Autoregressive time series model. The worst-case search, i.e. finding the scenario yielding the most severe situation for the bank, can be stated as an optimization problem. The problem itself is a constrained optimization problem in a high-dimensional search space. The constraints are the box constraints on the scenario variables and the plausibility of a scenario.
The latter is expressed by an elliptic constraint. As the evaluation of the stress scenarios is performed with a simulation tool, the optimization problem can be seen as black-box optimization problem. Evolution Strategy, a well-known optimizer for black-box problems, is applied here. The necessary adaptations to the algorithm are explained and a set of different algorithm design choices are investigated. It is shown that a simple box constraint handling method, i.e. setting variables which violate a box constraint to the respective boundary of the feasible domain, in combination with a repair of implausible scenarios provides good results.
Adult muscle carnitine palmitoyltransferase (CPT) II deficiency is a rare autosomal recessive disorder of long-chain fatty acid metabolism. It is typically associated with recurrent episodes of exercise-induced rhabdomyolysis and myoglobinuria, in most cases caused by a c.338C > T mutation in the CPT2 gene. Here we present the pedigree of one of the largest family studies of CPT II deficiency caused by the c.338C > T mutation, documented so far. The pedigree comprises 24 blood relatives
of the index patient, a 32 year old female with genetically proven CPT II deficiency. In total, the mutation was detected in 20 family members, among them five homozygotes and 15 heterozygotes. Among all homozygotes, first symptoms of CPT II deficiency occurred during childhood. Additionally, two already deceased relatives of the index patient were carriers of at least one copy of the genetic variant, revealing a remarkably high prevalence of the c.338C > T mutation within the tested family. Beside the index patient, only one individual had been diagnosed with CPT II deficiency prior to this study and three cases of CPT II deficiency were newly detected by this family study, pointing
to a general underdiagnosis of the disease. Therefore, this study emphasizes the need to raise awareness of CPT II deficiency for correct diagnosis and accurate management of the disease.