SIMs Scholarly Articles

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Impacts of pension reforms on the Kenyan pension industry
(2014-08) Masinde, Victoria; Olukuru, John
The emergence of full-fledged reforms in Kenya from the introduction of the Retirement Benefits Authority in1997 has rekindled hopes among the ageing population in Kenya. These reforms are geared towards creating good social welfare conditions for Kenyans. The Kenyan Pension industry remains a significant growth area which needs structural changes in management and governance in order to meet the ever changing scheme member needs. This is what forms the basis of the NSSF Act 2013. In this study the effect of the NSSF Act contribution rate has been examined through use a Contribution rate model. Additionally, Kenyans’ perception towards the yet to be implemented NSSF Act has been observed by use of questionnaire analysis. These reforms are directly linked to the general economic growth of the country. The study asserts that the set 6% contribution is sufficient to meet the welfare conditions of Kenyans. This has been supported by majority of the stakeholders (scheme members, administrators and fund managers among others) however; good implementation strategies need to be put in place in order for the public to realize the good effects of the same. This study therefore seeks to identify the main social welfare reforms put in place, as well as find out the effects and challenges towards implementation of these reforms on the performance of the industry with a critical theoretical look at the NSSF Act 2013.
Fitting a dynamic yield macro model in a frontier market: evidence from Kenya
(Social Science Research Network, 2014-12-28) Akoth, Mercy; Othieno, Ferdinand O.
We examine the dynamic interaction between macroeconomic factors and the unobserved yield curve factors in Kenya between 1 March 2011 and 31 March 2014. First we parametarise the yields only Term Structure Model using a Dynamic Nelson Siegel approach. We then characterise the dynamic interaction between the extracted unobserved yield curve latent factors and the observed macroeconomic factors, (inflation and CBR) using a Vector Autoregressive approach. We find that yield curve own dynamics account for the greatest percentage variation in the forecast error variance of the latent factors with the level factor accounting for a highly significant percentage of the one month forecast variance in its own dynamics and that of the slope and curvature factors, (100, 84 and 87 per cent respectively). The macro factors chosen on the other hand do not account for any of the variation in latent factors earlier during the forecast horizon though increases in their significance as the forecast horizon increases. We conclude that a large amount of idiosyncratic variation relate to the yield curve that is unrelated to observed macroeconomic factors in the short term with the observed macro factors becoming more influential as the forecast horizon increases.
Evaluation of methods for gene selection in melanoma cell lines
(Life science Global, 2016) Chaba, Linda
A major objective in microarray experiments is to identify a panel of genes that are associated with a disease outcome or trait. Many statistical methods have been proposed for gene selection within the last fifteen years. While the comparison of some of these methods has been done, most of them concentrated on finding gene signatures based on two groups. This study evaluates four gene selection methods when the outcome of interested is continuous in nature. We provide a comparative review of four methods: the Statistical Analysis of Microarrays (SAM), the Linear Models for Microarray Analysis (LIMMA), the Lassoed Principal Components (LPC), and the Quantitative Trait Analysis (QTA). Comparison is based on the power to identify differentially expressed genes, the predictive ability of the genelists for a continuous outcome (G2 checkpoint function), and the prognostic properties of the genelists for distant metastasis-free survival. A simulated dataset and a publicly available melanoma cell lines dataset are used for simulations and validation, respectively. A primary melanoma dataset is used for assessment of prognosis. No common genes were found among the genelists from the four methods. While the SAM was generally the best in terms of power, the QTA genelist performed the best in the prediction of the G2 checkpoint function. Identification of genelists depends on the choice of the gene selection method. The QTA method would be preferred over the other approaches in predicting a quantitative outcome in melanoma research. We recommend the development of more robust statistical methods for differential gene expression analysis.
Field evaluation of BD FACSPrest for haemoglobin and CD4 measurement
(Scientific and Academic Publishing Co., 2017) Chaba, Linda; Kingwara, Leonard; Muriungi, Henry
Background:Measurements of CD4 and haemoglobin are used to determine the immunological state and information about disease progression for HIV-infected patients. Use of BD FACS Presto™ point of care (POC) device for CD4 and haemoglobin (Hb) determination can significantly improve access, uptake and coverage of laboratory services and hence management of HIV-infected patients in resource-limited settings. This study evaluated the relative bias in CD4 and Hb measurements using BD FACSPresto™ system compared to BD FACSCalibur™ CD4 analyser and Mindray BC-5380 haematology analyser respectively based on venous and capillary blood samples in a clinical hospital setting. Methods:Venous and capillary blood samples were used to determine CD4 counts and Hb levels among HIV-1 infected patients. The samples were analysed on the BD FACSPresto™ and results compared against BD FACSCalibur™ and Mindray BC-5380 for CD4 and haematology analyser respectively. Results: Results for absolute CD4 counts in both venous and capillary blood showed a high correlation (R2 = 0.922, P< 0.001) when they were analysed on BD FACSPresto™ and BD FACSCalibur™ machines. Overall, the mean difference in absolute CD4 count was 77.16 cells/mL (95%CI: 49.89, 104.42, p<0.01) when analysed on two platforms. The BD FACSCalibur™ gave a higher mean of absolute CD4 count (834.38 cells/ml) compared to BD FACSPresto™ (757.23 cells/ml) when venous sample type is used. There was a significant mean difference of Hb levels at 0.31 (P <0.001) between the two sample types when analysed on BD FACSPresto™ and Mindray BC-5380 haematology analyser. In addition, there was a high correlation (R2 = 0.920, P< 0.001) of Hb level measurements between the BD FACSPresto™ and Mindray BC-5380 haematology analyser.Conclusion: The BD FACSPresto performed satisfactorily in comparison to the conventional reference standard technologies. Venous and capillary blood sample types showed a high correlation when analysed for absolute CD4 count and Hb using BD FACSPresto™, BD FACSCalibur™ and Mindray BC-5380 haematology analyser. BD FACSPresto capillary platform can be used interchangeably with BD FACSCalibur™ venous platform for CD4 and Mindray BC-5380 for Hb measurement in resource limited settings to increase access and uptake of laboratory services.
Using copulas to select prognostic genes in melanoma patients
(Life science Global, 2017) Chaba, Linda; Odhiambo, John; Omolo, Bernard
Melanoma of the skin is the fifth and seventh most commonly diagnosed carcinoma in men and women, respectively, in the USA. So far, gene signatures prognostic for overall and distant metastasis-free survival, for example, have been promising in the identification of therapeutic targets for primary and metastatic melanoma. But most of these gene signatures have been selected using statistics that depend entirely on the parametric distributions of the data (e.g. t-statistics). In this study, we assessed the impact of relaxing the parametric assumptions on the power of the models used for gene selection. We developed a semi-parametric model for feature selection that does not depend on the distributions of the covariates. This copula-based model only assumed that the marginal distributions of the covariates are continuous. Simulations indicated that the copula-based model had reasonable power at various levels of the false discovery rate (FDR). These results were validated in a publicly-available melanoma dataset. Relaxing parametric assumptions on microarray data may yield procedures that have good power for differential gene expression analysis.
Return volatility and the pricing of equities at the Nairobi Securities Exchange
Chege, Theuri; Othieno, Ferdinand; Kodongo, Odongo
The study is an empirical test of asset pricing theory, which postulates that volatility is priced if a positive relationship exists between asset returns and their volatility. The asset under study is the Nairobi Securities Exchange 20-Share Index (NSE-20), which is assumed to be a welldiversified portfolio. Data from daily values of the NSE-20 were collected over a 15 year period from January 1999 to December 2013, and from these data, monthly returns were computed. Two models of the Auto-Regressive Conditional Heteroscedasticity-in-Mean (ARCH-M) family allowed the study to specify volatility conditionally. The study finds that monthly NSE-20 returns are not normally distributed and exhibit volatility clustering. A positive and significant relationship between risk and returns is found; indicating that volatility is priced. The study hopes to be useful to portfolio managers when carrying out a forward-looking valuation of a well-diversified portfolio of Kenyan stocks as well as other similar stocks based on market characteristics.
Why do UK banks securitize?
(Social science research network, ) Olukuru L. John,; Crosby , John; Cerrato, Mario; Choudhry, Moorad
The eight years from 2000 to 2008 saw a rapid growth in the use of securitization by UK banks. We aim to identify the reasons that contributed to this rapid growth. The time period (2000 to 2010) covered by our study is noteworthy as it covers the pre-financial crisis credit- boom, the peak of the financial crisis and its aftermath. In the wake of the financial crisis, many governments, regulators and political commentators have pointed an accusing finger at the securitization market - even in the absence of a detailed statistical and economic analysis. We contribute to the extant literature by performing such an analysis on UK banks, fo- cussing principally on whether it is the need for liquidity (i.e. the funding of their balance sheets), or the desire to engage in regulatory capital arbitrage or the need for credit risk trans- fer that has led to UK banks securitizing their assets. We show that securitization has been significantly driven by liquidity reasons. In addition, we observe a positive link between securitization and banks credit risk. We interpret these latter findings as evidence that UK banks which engaged in securitization did so, in part, to transfer credit risk and that, in comparison to UK banks which did not use securitization, they had more credit risk to transfer in the sense that they originated lower quality loans and held lower quality assets. We show that banks which issued more asset-backed securities before the financial crisis suffered more defaults after the financial crisis.
Using reflective questions : a feed forward process in peer support of teaching observation
Omingo Mary Odinga,
It is essential that lecturers reflect on their teaching practice in order to enhance students learning. This can be facilitated through teaching observation where colleagues act as helpers, though some lecturers consider it as intrusive and challenging their academic freedom. However, where it is appropriately conducted, in terms of pre- and post- meetings, observation in class, it can be a useful tool for both professional and personal growth. Strathmore University in Kenya initiated teaching observation as a lecturers’ learning process in 2007. The objectives of the peer support review as spelt out in the university’s teaching philosophy include: to offer lecturers the opportunity to reflect on the teaching and learning process and to promote dialogue focused on professionalism in teaching. Although the university’s policy is that a lecturer should be observed at least once per year, this is at the lecturers’ discretion to invite the peers for the task, though for new lecturers, teaching observation is used for developmental purposes. However, the bone of contention has been the post-observation meetings’ discussions where in some instances they have had a negative impact on the observed. The study informing this paper sought to analyze the use of reflective questions as a feed forward process in the post observation discussions. The study was qualitative in nature and it was carried out by the author as the observer. The teaching observation exercise was a follow up on ‘student focused approach’ training that new lecturers to the university had attended three months prior to the observations. Ten lecturers were observed over a period of one month. Data were collected through class observations whereby the field notes that were taken during the observations were later on converted into questions and sent to the lecturers (observed). The lecturers were given two to three days to reflect on the questions, answer, and send the responses to the observer. Post observation meetings were then held between the lecturers and the observer. The reflective questions for each observation and lecturers’ responses to the questions were tabulated, coded and themes extracted. The major findings were that the use of reflective questions enabled the observed to participate actively in the post-observation meeting discussions, experience deep learning and fuse theory to practice. Additionally, both the observer and observed learned from the reflective questions. One of the conclusions from the study was that the use of reflective questions as a formative (feed- forward) learning process is quite an important learning tool. This is because lecturers have good ideas on students’ learning, in most cases, save that they do not get an opportunity of reflecting on how to improve their teaching effectiveness. The observer’s role therefore, is to assist the observed to reflect further and deeper.
Semi-Markov credit risk modeling for a portfolio of consumer loans in the Kenyan banking industry
Othieno, Ferdinand; Wagacha, Anthony
Based on simulations of implied values for credit worthiness over a period of 5 years for 1000 consumers, we establish a case for the semi-markov models as a proxy for internal credit risk models for a portfolio of consumer loans. With ample calibration, we prove the robustness of the semi-markov models in forecasting probabilities of default and loss given default. With a view of credit risk as a reliability problem, we generate credit risk indicators as qualifications of adequacy of a loan portfolio. This informs prospective holding of capital based on forecast delinquencies as opposed to the current retrospective practice that relies on the trigger event of default. We use Monte-Carlo simulation techniques to generate consumer ratings and adopt this to the Merton model to derive the initial probability transition matrix. Initial consumer rating is in accordance with industry practice using a credit score sheet backed by the logit model. The banking credit function could espouse the study results to fulfill regulatory credit risk capital requirements for consumer loans in line with the Central Bank of Kenya Prudential Risk Guidelines or banks in other jurisdictions compliant with the Basel banking framework.
Examining international parity relations between Kenya and Uganda
(Canadian Center of Science and Education, ) Othieno, Ferdinand
This paper analyses empirically the purchasing power parity, the uncovered interest parity and the real interest parity (Fisher parity) between Kenya and Uganda. The paper first tests the three parity relations using stationarity tests. Afterwards the study jointly models international parity conditions, namely PPP, RIP and UIP using a Cointegrated Vector Autoregressive approach. From the analysis of the individual parities, there is no evidence that the individual parities hold between the two countries except for RIP. On the other hand the joint VAR model establishes that the Kenya-Uganda inflation rates, interest rates, and the real exchange rate have followed a long-run equilibrium-correcting behavior. The joint Cointegrated VAR analysis reveals that all the endogenous variables explain more than 99.95% of the VAR model. This indicates a fast correction towards the long run equilibrium of the parity relations. Hence when the three parity relations are jointly modeled, it can be argued that Uganda has shown a tendency to converge to Kenya both in both nominal and real terms
Return volatility and equity pricing: a frontier market perspective
(Social science research network, ) Othieno, Ferdinand; Chege, Theuri; Kodongo, Odongo
Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya’s fledgling equity market – the Nairobi Securities Exchange. Both the GARCH-in-mean and E-GARCH models yield positive and significant conditional variance parameters. We also find that shocks to equity returns of conditional volatility are highly persistent. Our results also indicate that conditional variance is driven more by the past conditional variance than it is driven by new disturbances. Finally, we find evidence of volatility clustering in the stock markets around major world and domestic economic episodes. Results are consistent with the inference that investors require larger risk premia on equities if they anticipate greater price volatility in future.
Longevity risk and the econometric analysis of mortality trends and volatility
(Social science research network, ) Njenga, Carolyn; Sherris, Michael
Longevity risk and the modeling of trends and volatility for mortality improvement has attracted increased attention driven by ageing populations around the world and the expected financial implications. The original Lee-Carter model that was used for longevity risk assessment included a single improvement factor with differential impacts by age. Financial models that allow for risk pricing and risk management have attracted increasing attention along with multiple factor models. This paper investigates trends, including common trends through co-integration, and the factors driving the volatility of mortality using principal components analysis for a number of developed countries including Australia, England, Japan, Norway and USA. The results demonstrate the need for multiple factors for modeling mortality rates across all these countries. The basic structure of the Lee-Carter model can not adequately model the random variation and the full risk structure of mortality changes. Trends by country are found to be stochastic. Common trends and co-integrating relationships are found across ages highlighting the benefi ts from modeling mortality rates as a system in a Vector-Autoregressive (VAR) model and capturing long run equilibrium relationships in a Vector Error-Correction Model (VECM) framework.
Lecturers’ facilitation of students’ learning; not a just technique
Omingo Mary Odinga,
Evidence suggests that majority of students tend to adopt surface approaches while studying at university. And over time the students’ motivation level tends to decrease. Therefore the onus to ensure that students consistently adopt deep approaches is on lecturers. The studies informing this paper, sought to analyze lecturers’ accounts on facilitation of students learning and to determine the enabler(s) in lecturers’ facilitation of students’ learning through students’ participation. The first study was exploratory targeting twenty lecturers in four private universities in Kenya who had adopted student-focused approach. The second study targeted fourteen lecturers who had just been trained on student focused approach. Data were collected through semi-structured interviews and teaching observations. The findings showed that lecturers play the roles of facilitator, communicator and role model when facilitating students’ learning. Dispositions such as values, emotions and attitude acted as enablers in the lecturers becoming what they are to facilitate students’ learning. In conclusion, lecturers need to make their educational values explicit to effectively facilitate students’ learning though the values are bound to change over time as they are influenced by socio-cultural circumstances.

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