What is the value of value-at-risk after all?: A conditional approach using quantile regressions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

The new mobility paradigm: transformation of value chain and business models

We would like to thank Philipp Schwarz and Julia Gückel for their dedicated support in preparing this paper and our colleagues and students of the School of Engineering and the Business School for our fruitful discussions.

A foundation model for marxian theories of the breakdown of capitalism

Marx and the writers that followed him have produced a number of theories of the breakdown of capitalism. The majority of these theories were based on the historical tendencies: the rise in the composition of capital and the share of capital and the fall in the rate of profit. However these theories were never modeled with main stream rigour. This paper presents a constant wage model, with capital, labour and land as factors of production, which reproduces the historical tendencies and so can be used as a foundation for the various theories. The use of Chaplygins theorem in the proof of the main result also gives the paper a technical interest.

"Periodic crises": Clément Juglar between theories of crises and theories of business cycles

Business cycle theory is normally described as having evolved out of a previous tradition of writers focusing exclusively on crises. In this account, the turning point is seen as residing in Clément Juglar's contribution on commercial crises and their periodicity. It is well known that the champion of this view is Schumpeter, who propagated it on several occasions. The same author, however, pointed to a number of other writers who, before and at the same time as Juglar, stressed one or another of the aspects for which Juglar is credited primacy, including the recognition of periodicity and the identification of endogenous elements enabling the recognition of crises as a self-generating phenomenon. There is indeed a vast literature, both primary and secondary, relating to the debates on crises and fluctuations around the middle of the nineteenth century, from which it is apparent that Juglar's book Des Crises Commerciales et de leur Retour Périodique en France, en Angleterre et aux États-Unis (originally published in 1862 and very much revised and enlarged in 1889) did not come out of the blue but was one of the products of an intellectual climate inducing the thinking of crises not as unrelated events but as part of a more complex phenomenon consisting of recurring crises related to the development of the commercial world - an interpretation corroborated by the almost regular occurrence of crises at about 10-year intervals.

Paper money and national distress: William Huskisson and the early theories of credit, speculation and crises

This paper examines the explanation of commercial crises offered by William Huskisson in 1810 in the wake of the debate on the Bullion Report. Huskisson argued that the suspension of convertibility made it possible to extend issues of paper currency beyond its proper limits. Such an expansion, being in the interest of all parties concerned, would actually take place and stimulate excessive speculations, which would eventually prove unsustainable and bring generalized ruin and distress. Although some elements of this explanations were not new (having been anticipated by writers sucha as James Currie in 1793, William Roscoe in 1793, William Anderson in 1797 and an anonymous in 1796), Huskisson's explanation is more systematic and better organized, and his emphasis on the endogenous character of the crisis and on the instability of the dynamics of trade and credit makes it an interesting foreshadower of the theories of crises that were advanced half a century later.

Assessing multiple sclerosis activity: is the in vitro production of tumor necrosis factor-alpha, interleukins 2, 6, 4, and 10, and immunoglobulin G of value?

Tumor necrosis factor (TNF) alpha, interleukins (IL) 2, 4, 6, and 10, and IgG oligoclonal bands (IgG OB) in vitro production was assessed, after whole-blood stimulation with lipopolysaccharide or concanavalin A, in 61 patients presenting with relapsing-remitting, relapsing-progressive, or chronic progressive multiple sclerosis. Multiple sclerosis patients were receiving no treatment or azathioprine (AZA), cyclosporin, cyclophosphamide, subcutaneous interferon (IFN) beta 1 a, or corticosteroids (CST). Statistical correlations significantly showed that: (a) AZA lowers TNF-alpha (P = 0.002) and increases IL-4 production (P = 0.0024), and IFN-beta 1 a increases TNF-alpha and decreases IL-4 levels; (b) CST has a negative effect on TNF-alpha, IL-6, and IL-4 synthesis; and (c) AZA, IFN-beta 1 a, and CST diminish IgG OB synthesis (P = 0.001). Although our study of the dynamics of TNF-alpha, IL-2, IL-4, IL-6, and IL-10 in vitro production generally found no statistically significant correlations (partly explained by the limited number of values in the various groups), IL-6 was shown to drop during the periods surrounding relapse (P = 0.05) in the absence of treatment, while TNF-alpha (P = 0.04) and IL-6 (P < 0.05) dropped before exacerbation in the presence of AZA. In vitro production of TNF-alpha was closely and positively correlated with that of IL-6, independently of clinical features. The enhanced production of IL-10 detected before or at relapse with AZA and IFN-beta 1 a (trends) may interfere with initiation of the immune reaction and with the development of new CNS lesions. Some discrepancies with previously published results stress the difficulties in studying the state of stimulation of different populations of leukocytes by using a variety of in vitro stimuli and in establishing a correlation between mRNA studies and the amount of final or active protein produced.

Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

Understanding the development of the ESDP: Perspectives and insights from historical institutionalism and theories of learning

How can we best understand the emergence of the European Security and Defence Policy (ESDP)? This paper applies the theories of historical institutionalism and experiential learning to offer a dynamic conceptualisation of moves towards an ESDP which highlights some of the causal factors that a more temporally-restricted analysis would miss. It firstly shows how the institutional and functional expansion of European Political Cooperation (EPC) over the course of the 1970s and 80s gave rise to a context in which the development of a security and defence dimension came to be viewed as more logical and even necessary. It then goes on to analyse some of the external factors (in the form of actors, events and institutions) that further pushed in this direction and proved to influence the policy’s subsequent evolution. The paper is therefore intended to act as a first-step to understanding the ESDP’s development from this perspective.