A comparison of extreme value theory approaches for determining value at risk

This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto distribution, and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared with those of standard nonparametric extreme value tail estimation approaches, with a small sample bias-corrected extreme value approach, and with those calculated from bootstrapping the unconditional density and bootstrapping from a GARCH(1,1) model. The results indicate that, for a holdout sample, the proposed semi-nonparametric extreme value approach yields superior results to other methods, but the small sample tail index technique is also accurate.

Out of the ivory tower: the impact of wider social contact on the values, religious beliefs and identities of Chinese postgraduate students in the UK

This article explores the impact of wider social contact on the experience of Chinese postgraduate students of adaptation to life in the UK. Focus group and individual interviews were conducted with a group of 11 Chinese students on an MA programme at a university in southern England and individual interviews with three representatives of a local volunteer group (LVG) offering support to the Chinese students. Although it was perceived that the students’ support needs were not adequately met by the University, the additional support offered outside the University was unanimously valued and considered as enriching their cultural and linguistic experiences and meeting their expectations. However, frequent social contact with the LVG, whose members were mostly Christians, also had an impact on their values, religious beliefs and identities. In a discussion framed within the sociological perspective of proselytization or religious conversion and the broad framework of international education and globalization, the different responses to this contact are described in terms of believers, doubters, empathisers and commentators. Implications are considered for universities, people involved in providing social support for international students, and sponsors of international students.

Impact of increasing resolution and a warmer climate on extreme weather from NH extra-tropical cyclones

The effect of a warmer climate on the properties of extra-tropical cyclones is investigated using simulations of the ECHAM5 global climate model at resolutions of T213 (60 km) and T319 (40 km). Two periods representative of the end of the 20th and 21st centuries are investigated using the IPCC A1B scenario. The focus of the paper is on precipitation for the NH summer and winter seasons, however results from vorticity and winds are also presented. Similar number of events are identified at both resolutions. There are, however, a greater number of extreme precipitation events in the higher reso- lution run. The difference between maximum intensity distributions are shown to be statistically significant using a Kolmogorov-Smirnov test. A Generalised Pareto Distribution is used to analyse changes in extreme precipitation and wind events. In both resolutions, there is an increase in the number of ex- treme precipitation events in a warmer climate for all seasons, together with a reduction in return period. This is not associated with any increased verti- cal velocity, or with any increase in wind intensity in the winter and spring. However, there is an increase in wind extremes in the summer and autumn associated with tropical cyclones migrating into the extra-tropics.