Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

Impact of an intervention to control risk associated with patient transfer.

QUESTION UNDER STUDY: Hospitals transferring patients retain responsibility until admission to the new health care facility. We define safe transfer conditions, based on appropriate risk assessment, and evaluate the impact of this strategy as implemented at our institution. METHODS: An algorithm defining transfer categories according to destination, equipment monitoring, and medication was developed and tested prospectively over 6 months. Conformity with algorithm criteria was assessed for every transfer and transfer category. After introduction of a transfer coordination centre with transfer nurses, the algorithm was implemented and the same survey was carried out over 1 year. RESULTS: Over the whole study period, the number of transfers increased by 40%, chiefly by ambulance from the emergency department to other hospitals and private clinics. Transfers to rehabilitation centres and nursing homes were reassigned to conventional vehicles. The percentage of patients requiring equipment during transfer, such as an intravenous line, decreased from 34% to 15%, while oxygen or i.v. drug requirement remained stable. The percentage of transfers considered below theoretical safety decreased from 6% to 4%, while 20% of transfers were considered safer than necessary. A substantial number of planned transfers could be "downgraded" by mutual agreement to a lower degree of supervision, and the system was stable on a short-term basis. CONCLUSION: A coordinated transfer system based on an algorithm determining transfer categories, developed on the basis of simple but valid medical and nursing criteria, reduced unnecessary ambulance transfers and treatment during transfer, and increased adequate supervision.

Maps as risk mitigation tools. Adaptation of the Swiss hazard assessment and mapping methodology to a Moroccan site: Beni Mellal

Dans le contexte climatique actuel, les régions méditerranéennes connaissent une intensification des phénomènes hydrométéorologiques extrêmes. Au Maroc, le risque lié aux inondations est devenu problématique, les communautés étant vulnérables aux événements extrêmes. En effet, le développement économique et urbain rapide et mal maîtrisé augmente l'exposition aux phénomènes extrêmes. La Direction du Développement et de la Coopération suisse (DDC) s'implique activement dans la réduction des risques naturels au Maroc. La cartographie des dangers et son intégration dans l'aménagement du territoire représentent une méthode efficace afin de réduire la vulnérabilité spatiale. Ainsi, la DDC a mandaté ce projet d'adaptation de la méthode suisse de cartographie des dangers à un cas d'étude marocain (la ville de Beni Mellal, région de Tadla-Azilal, Maroc). La méthode suisse a été adaptée aux contraintes spécifiques du terrain (environnement semi-aride, morphologie de piémont) et au contexte de transfert de connaissances (caractéristiques socio-économiques et pratiques). Une carte des phénomènes d'inondations a été produite. Elle contient les témoins morphologiques et les éléments anthropiques pertinents pour le développement et l'aggravation des inondations. La modélisation de la relation pluie-débit pour des événements de référence, et le routage des hydrogrammes de crue ainsi obtenus ont permis d'estimer quantitativement l'aléa inondation. Des données obtenues sur le terrain (estimations de débit, extension de crues connues) ont permis de vérifier les résultats des modèles. Des cartes d'intensité et de probabilité ont été obtenues. Enfin, une carte indicative du danger d'inondation a été produite sur la base de la matrice suisse du danger qui croise l'intensité et la probabilité d'occurrence d'un événement pour obtenir des degrés de danger assignables au territoire étudié. En vue de l'implémentation des cartes de danger dans les documents de l'aménagement du territoire, nous nous intéressons au fonctionnement actuel de la gestion institutionnelle du risque à Beni Mellal, en étudiant le degré d'intégration de la gestion et la manière dont les connaissances sur les risques influencent le processus de gestion. L'analyse montre que la gestion est marquée par une logique de gestion hiérarchique et la priorité des mesures de protection par rapport aux mesures passives d'aménagement du territoire. Les connaissances sur le risque restent sectorielles, souvent déconnectées. L'innovation dans le domaine de la gestion du risque résulte de collaborations horizontales entre les acteurs ou avec des sources de connaissances externes (par exemple les universités). Des recommandations méthodologiques et institutionnelles issues de cette étude ont été adressées aux gestionnaires en vue de l'implémentation des cartes de danger. Plus que des outils de réduction du risque, les cartes de danger aident à transmettre des connaissances vers le public et contribuent ainsi à établir une culture du risque. - Severe rainfall events are thought to be occurring more frequently in semi-arid areas. In Morocco, flood hazard has become an important topic, notably as rapid economic development and high urbanization rates have increased the exposure of people and assets in hazard-prone areas. The Swiss Agency for Development and Cooperation (SADC) is active in natural hazard mitigation in Morocco. As hazard mapping for urban planning is thought to be a sound tool for vulnerability reduction, the SADC has financed a project aimed at adapting the Swiss approach for hazard assessment and mapping to the case of Morocco. In a knowledge transfer context, the Swiss method was adapted to the semi-arid environment, the specific piedmont morphology and to socio-economic constraints particular to the study site. Following the Swiss guidelines, a hydro-geomorphological map was established, containing all geomorphic elements related to known past floods. Next, rainfall / runoff modeling for reference events and hydraulic routing of the obtained hydrographs were carried out in order to assess hazard quantitatively. Field-collected discharge estimations and flood extent for known floods were used to verify the model results. Flood hazard intensity and probability maps were obtained. Finally, an indicative danger map as defined within the Swiss hazard assessment terminology was calculated using the Swiss hazard matrix that convolves flood intensity with its recurrence probability in order to assign flood danger degrees to the concerned territory. Danger maps become effective, as risk mitigation tools, when implemented in urban planning. We focus on how local authorities are involved in the risk management process and how knowledge about risk impacts the management. An institutional vulnerability "map" was established based on individual interviews held with the main institutional actors in flood management. Results show that flood hazard management is defined by uneven actions and relationships, it is based on top-down decision-making patterns, and focus is maintained on active mitigation measures. The institutional actors embody sectorial, often disconnected risk knowledge pools, whose relationships are dictated by the institutional hierarchy. Results show that innovation in the risk management process emerges when actors collaborate despite the established hierarchy or when they open to outer knowledge pools (e.g. the academia). Several methodological and institutional recommendations were addressed to risk management stakeholders in view of potential map implementation to planning. Hazard assessment and mapping is essential to an integrated risk management approach: more than a mitigation tool, danger maps represent tools that allow communicating on hazards and establishing a risk culture.

Area deprivation and mortality in the provincial capital cities of Andalusia and Catalonia (Spain)

Objective: To study the linkage between material deprivation and mortality from all causes, for men and women separately, in the capital cities of the provinces in Andalusia and Catalonia (Spain). Methods: A small-area ecological study was devised using the census section as the unit for analysis. 188 983 Deaths occurring in the capital cities of the Andalusian provinces and 109 478 deaths recorded in the Catalan capital cities were examined. Principal components factorial analysis was used to devise a material deprivation index comprising the percentage of manual labourers, unemployment and illiteracy. A hierarchical Bayesian model was used to study the relationship between mortality and area deprivation. Main results: In most cities, results show an increased male mortality risk in the most deprived areas in relation to the least depressed. In Andalusia, the relative risks between the highest and lowest deprivation decile ranged from 1.24 (Malaga) to 1.40 (Granada), with 95% credibility intervals showing a significant excess risk. In Catalonia, relative risks ranged between 1.08 (Girona) and 1.50 (Tarragona). No evidence was found for an excess of female mortality in most deprived areas in either of the autonomous communities. Conclusions: Within cities, gender-related differences were revealed when deprivation was correlated geographically with mortality rates. These differences were found from an ecological perspective. Further research is needed in order to validate these results from an individual approach. The idea to be analysed is to identify those factors that explain these differences at an individual level.

Anàlisi i redisseny de la xarxa de distribució d’ aigua potable a alta pressió de Santa Cristina d’ Aro.

En el present treball es realitza un estudi hidràulic i de qualitat de les aigües de la xarxa municipal per tal d’analitzar en primer lloc el seu estat actual i proposar posteriorment una sèrie d’actuacions de millora. Això s’ha desenvolupat amb l’ajuda d’un programa de simulació de xarxes hidràuliques i de qualitat, en ser l’estudi d’una elevada envergadura, que feia inviable l’estudi empíric de la instal•lació. El simulador utilitzat ha estat l’EPANET, el qual va estar elaborat per la NATIONAL RISK MANAGEMENT RESEARCH LABORATORY de Cincinatty, als Estats Units i traduït a l’espanyol pel grup REDHISP Inst. Ingenieria del agua y M.A. de la Universitat Politècnica de València

Análisis de la demanda turística en vuelos de bajo coste: Turista de negocios vs turista de ocio

L’estudi pretén establir si el turista de negocis es pot considerar un segment de mercat diferenciat del turista d’oci, ara que els vols de baix cost augmenten. Per això s’analitza una mostra de turistes estrangers en vols de baix cost a l’aeroport de Girona al 2005. Els resultats apunten a unes característiques diferencials en la demanada del turista de negocis, com són la durada de l’estança,i el tipus d’allotjament, però no s’aprecien diferències en la valoració del preu i de l’hora del vol, ni en la tipologia del bitllet

Aplicatiu de gestió de magatzem amb dispositiu mòbils de Materials Brecor

Disseny d’un projecte que controli la gestió d’ubicacions del magatzem d’una empresa del sector de materials de construcció, concretament de “Materials Brecor”, una empresa líder de la zona compresa entre la costa brava sud i el maresme nord. L’Objectiu principal és concebre un projecte que permeti controlar en temps real tant l’entrada com la sortida de mercaderies, a més a més de poder consultar la ubicació de cadascuna d’elles dins el magatzem. Aconseguint millorar els temps de resposta en el moment de localitzar l’article demanat i la seva posterior expedició al client

La Imatge gràfica de Platja d’Aro: anàlisi i evolució

Aquest treball té el seu origen en un projecte que la Comissió del Centenari de la Costa Brava encarregà a la Dra. Dolors Vidal i al Sr. Antoni Monturiol (conservador del Museu d’Art de Girona i especialista en cartellisme), amb la finalitat de recollir i analitzar documentació gràfica sobre la imatge turística dels diferents municipis que integren la Costa Brava, aprofitant aquesta celebració per tal de revitalitzar-la i projectar-la a nivell internacional

Critical review of cancer risk associated with angiotensin receptor blocker therapy.

The role of drugs in new cancer occurrence and cancer-related death is a major concern. Recently, a meta-analysis raised the possibility that angiotensin receptor blockers (ARBs) might have an adverse effect on patients. This generated a significant debate until the publication of two further meta-analyses, neither of which demonstrated an increased risk of new cancer occurrence or cancer-related death with the use of ARBs in patients with hypertension, heart failure, and/or nephropathy. This illustrates that the results of meta-analyses should be interpreted cautiously and critically as bias, such as selection bias, might lead to erroneous conclusions. Overall, the bulk of evidence today indicates that ARBs are not associated with increased cancer risk.

Stochastic optimal bid to electricity markets with environmental risk constraints

There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.

Pesca Turisme Cap de Creus

L'objectiu principal d'aquest treball és la implementació, gestió i organització d’un producte innovador a la Costa Brava nord, el Pesca Turisme Cap de Creus. Entre els objectius secundaris hi trobem, en primer lloc, els de diversificar la oferta turística a l’entorn, potenciant els recursos locals de forma sostenible i amb qualitat i conscienciant al visitant de la necessitat del respecte pel medi ambient i els motius pels quals cal conservar-lo i preservar-lo. En segon lloc potenciar el consum de peix de proximitat el qual s’ha perdut el costum de prendre’n i és molt saludable i també bo de gust. En tercer lloc, sensibilitzar sobre la pesca tradicional com a patrimoni intangible. Notan sols la pesca en sí, sinó també el vocabulari del mar, les arts que s’utilitzen, leseines, els noms dels peixos. En quart lloc, promoure les diferents activitats relacionades amb el mar i el patrimoni marítim que es realitzen en aquest espai. En cinquè lloc donar valor afegit tant a la zona com a l’activitat en sí, dins el context del Cap de Creus, un paratge únic arreu. En sisè lloc, crear sinèrgies amb altres sectors com és el privat per tal de promoure el producte i també perquè s’hi impliqui en el foment de consum de productes locals i de proximitat. I en setè i últim lloc, organitzar, en un futur, esdeveniments o activitats comunes amb altres poblacions de la zona de la Mar d’Amunt, la zona nord del Cap de Creus, relacionades amb el mar

Disaster Risk, Livelihoods and Natural Barriers, Strengthening Decision-Making Tools for Disaster Risk Reduction: A case study from northern Pakistan

The goal of this interdisciplinary study is to better understand the land use factors that increase vulnerability of mountain areas in northern Pakistan. The study will identify and analyse the damages and losses caused by the October 2005 earthquake in two areas of the same valley: one "low-risk" watershed with sound natural resources management, the other, "high-risk" in an ecologically degraded watershed. Secondly, the study will examine natural and man-made causes of secondary hazards in the study area, especially landslides; and third it will evaluate the cost of the earthquake damage in the study areas on the livelihoods of local communities and the sub-regional economy. There are few interdisciplinary studies to have correlated community land use practices, resources management, and disaster risk reduction in high-risk mountain areas. By better understanding these linkages, development- humanitarian- and donor agencies focused on disaster reduction can improve their risk reduction programs for mountainous regions.

Análise de Crédito e Avaliação de Riscos em Instituições Bancárias

É indubitável que o sistema financeiro é parte integrante de qualquer sociedade. Através da sua função de intermediação, as instituições financeiras recebem recursos dos agentes superavitários e emprestam aos agentes deficitários mediante promessa de pagamento futuro. Num banco, que tem intermediação financeira como sua principal actividade, o crédito consiste em disponibilizar ao cliente recursos em valores sob a forma de financiamento e ou empréstimo mediante uma promessa de pagamento numa data acordada entre as partes. A discussão e implementação dos acordos de BASILEIA, nomeadamente o Basileia II, veio dar uma nova forma a esse relacionamento sector bancário/clientes determinando as regras no que respeita a concessão de crédito e gestão de risco, estabelecendo os limites de crédito associado ao grau de risco das operações. Surge então, por parte das instituições uma maior preocupação em gerir o crédito e os riscos inerentes a cada operação, apostando em ferramentas e metodologias adequadas ao processo creditício. As instituições bancárias passam a criar departamentos de risco, colocando a gestão de crédito e de risco nas mãos de profissionais especializados, agindo sob regras e padrões internacionais uniformizados. There is no doubt that the financial system is an integral part of any society. Through their intermediary role, financial institutions receive funds from surplus agents and lend to deficit agents, with promises of future payment. Banks, with their primary activity being the financial intermediation, the credit is provided to customers in the form of funding or loans and a promise of payment on a date agreed between the parties. The discussion and implementation of the Basel Accord, Basel II in particular, has given a new form to that relationship banking/customer, setting out the rules regarding the granting of credit and risk management, establishing credit limits associated with the degree of risk of operations. Banking institutions got more and more concerned with credit and risk management, in all of their operations, using tools and methodologies that are designed to meet the needs of crediting processes. Banking institutions are creating departments of risk, putting the management of credit risk in the hands of trained professionals, acting under internationally uniform rules and standards

Patient safety management from the perspective of nurses

OBJECTIVE To evaluate the actions of patient safety management developed in hospitals, from the perspective of nurses. METHOD This is a cross-sectional, descriptive study of the survey type. Participants were seven hospitals, in which seven nurse managers and 49 sector coordinator nurses (n = 56) answered the instrument prepared by the author. RESULTS The results showed that 100% of hospitals have an adverse event reporting system, 71.4% have a Risk Management Committee and 80% have discussions about the events. There is agreement that these discussions lead to favorable changes for patient safety in the surveyed institutions. The employees' fear of punishment for their faults, and the underreporting of events were the aspects of greatest weakness found. CONCLUSION The institutions should develop organizational policies focused on stimulating event notification and on the implementation of measures directed to a non-punitive organizational culture.