An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds

The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente (2016), which rely in solving dual minimization problems of Cressie Read discrepancy functions in spaces of probability measures. Due to the recently documented robustness of the Hellinger estimator (Kitamura et al., 2013), we adopt within the Cressie Read family, this specific discrepancy as loss function. From this choice, we derive a minimum Hellinger risk-neutral measure that correctly prices an observed panel of hedge fund returns. The estimated risk-neutral measure is used to construct our tail risk measure by pricing synthetic out-of-the-money put options on hedge fund returns of ten specific categories. We provide a detailed description of our methodology, extract the aggregate Tail risk hedge fund factor for Brazilian funds, and as a by product, a set of individual Tail risk factors for each specific hedge fund category.

Concentrations of perfluorinated carboxylic acids (PFCAs) and sulfonic acids (PFSAs) in liver samples of different marine mammals (1984-2009)

Temporal variations in concentrations of perfluorinated carboxylic acids (PFCAs) and sulfonic acids (PFSAs), including perfluorooctane sulfonate (PFOS) and perfluorooctanoate (PFOA) structural isomers, were examined in livers of pilot whale (Globicephala melas), ringed seal (Phoca hispida), minke whale (Balaenoptera acutorostrata), harbor porpoise (Phocoena phocoena), hooded seal (Cystophora cristata), Atlantic white-sided dolphin (Lagenorhynchus acutus) and in muscle tissue of fin whales (Balaenoptera physalus). The sampling spanned over 20 years (1984-2009) and covered a large geographical area of the North Atlantic and West Greenland. Liver and muscle samples were homogenized, extracted with acetonitrile, cleaned up using hexane and solid phase extraction (SPE), and analyzed by liquid chromatography with negative electrospray tandem mass spectrometry (LC-MS/MS). In general, the levels of the long-chained PFCAs (C9-C12) increased whereas the levels of PFOS remained steady over the studied period. The PFOS isomer pattern in pilot whale liver was relatively constant over the sampling years. However, in ringed seals there seemed to be a decrease in linear PFOS (L-PFOS) with time, going from 91% in 1984 to 83% in 2006.

Data compilation of ESOP

The work in this sub-project of ESOP focuses on the advective and convective transforma-tion of water masses in the Greenland Sea and its neighbouring areas. It includes observational work on the sub-mesoscale and analysis of hydrographic data up to the gyre-scale. Observations of active convective plumes were made with a towed chain equipped with up to 80 CTD sensors, giving a horizontal and vertical resolution of the hydrographic fields of a few metres. The observed scales of the penetrative convective plumes compare well with those given by theory. On the mesoscale the structure of homogeneous eddies formed as a result of deep convection was observed and the associated mixing and renewal of the intermediate layers quantified. The relative importance and efficiency of thermal and haline penetrative convection in relation to the surface boundary conditions (heat and salt fluxes and ice cover) and the ambient stratification are studied using the multi year time series of hydro-graphic data in the central Greenland Sea. The modification of the water column of the Greenland Sea gyre through advection from and mixing with water at its rim is assessed on longer time scales. The relative contributions are quantified using modern water mass analysis methods based on inverse techniques. Likewise the convective renewal and the spreading of the Arctic Intermediate Water from its formation area is quantified. The aim is to budget the heat and salt content of the water column, in particular of the low salinity surface layer, and to relate its seasonal and interannual variability to the lateral fluxes and the fluxes at the air-sea-ice interface. This will allow to estimate residence times for the different layers of the Greenland Sea gyre, a quantity important for the description of the Polar Ocean carbon cycle.

(Table 1) Concentrations of the main organochlorine pesticides in liver and plasma samples of ringed seals (Phoca hispida)

The present study investigates the concentrations and patterns of organochlorine pesticides (OCPs) and their metabolites in liver and plasma of two ringed seal populations (Phoca hispida): lower contaminated Svalbard population and more contaminated Baltic Sea population. Among OCPs, p,p'-DDE and sum-chlordanes were the highest in concentration. With increasing hepatic contaminant concentrations and activities of xenobiotic-metabolizing enzymes, the concentrations of 3-methylsulfonyl-p,p'-DDE and the concentration ratios of pentachlorophenol/hexachlorobenzene increased, and the toxaphene pattern shifted more towards persistent Parlar-26 and -50 and less towards more biodegradable Parlar-44. Relative concentrations of the chlordane metabolites, oxychlordane and -heptachlorepoxide, to sum-chlordanes were higher in the seals from Svalbard compared to the seals from the Baltic, while the trend was opposite for cis- and trans-nonachlor. The observed differences in the OCP patterns in the seals from the two populations are probably related to the catalytic activity of xenobiotic-metabolizing enzymes, and also to differences in dietary exposure.

(Table 1) Age determination of sediment core SO147_106KL

Here we present a high-resolution marine sediment record from the El Niño region off the coast of Peru spanning the last 20,000 years. Sea surface temperature, photosynthetic pigments, and a lithic proxy for El Niño flood events on the continent are used as paleo-El Niño-Southern Oscillation proxy data. The onset of stronger El Niño activity in Peru started around 17,000 calibrated years before the present, which is later than modeling experiments show but contemporaneous with the Heinrich event 1. Maximum El Niño activity occurred during the early and late Holocene, especially during the second and third millennium B.P. The recurrence period of very strong El Niño events is 60-80 years. El Niño events were weak before and during the beginning of the Younger Dryas, during the middle of the Holocene, and during medieval times. The strength of El Niño flood events during the last millennium has positive and negative relationships to global and Northern Hemisphere temperature reconstructions.

(Table 1) Sea surface temperature reconstruction for eastern equatorial Pacific surface sediment samples

Significant uncertainties persist in the reconstruction of past sea surface temperatures in the eastern equatorial Pacific, especially regarding the amplitude of the glacial cooling and the details of the post-glacial warming. Here we present the first regional calibration of alkenone unsaturation in surface sediments versus mean annual sea surface temperatures (maSST). Based on 81 new and 48 previously published data points, it is shown that open ocean samples conform to established global regressions of Uk'37 versus maSST and that there is no systematic bias from seasonality in the production or export of alkenones, or from surface ocean nutrient concentrations or salinity. The flattening of the regression at the highest maSSTs is found to be statistically insignificant. For the near-coastal Peru upwelling zone between 11-15°S and 76-79°W, however, we corroborate earlier observations that Uk'37 SST estimates significantly over-estimate maSSTs at many sites. We posit that this is caused either by uncertainties in the determination of maSSTs in this highly dynamic environment, or by biasing of the alkenone paleothermometer toward El Niño events as postulated by Rein et al. (2005).

1948 University of Michigan Men's Golf Team

Back Row: David Barclay, Roger Kessler, Charles MacCallum, Douglas Beath, Tom Messinger

Front Row: Ed Scahlon, coach Bert Katzenmeyer, ?, Morton Cohn

UM Women's Track Team, 1984

Front row (L to R): Sue Schroeder, Sylvia Qualls, Dawn Rich, Judy Yuhn, Kelli Bert, Jennifer Rioux, Cathie Bridges.

Second row: Liz Watch, Melissa Thompson, Debbie Spierling, Laurel Park, Debbie Long, Cathy Schmidt, Martha Gray, Dedra Bradley.

Back row: Assistant coach James Henry, Angie Hafner, Darlene Fortman, Laurette Mallard, Melody Middlleton, Joyce Wilson and Coach Francie Goodridge.

UM Women's Track Team, 1985

Top Row (L-R): Joyce Wilson, Laurette Mallard

Second Row: Judy Yuhn, Debbie Spierling, Lara Steinmetz, Dawn McGinnis, Mary Wyckoff, Angie Hafner, Linda Kielty

Third Row: Asst. Coach Jeff Watray, Bridget Gleason, Chris Landeryou, Debbie Duncan, Anita Gleason, Heidi Helf, Stacie Williams, Dedra Bradley, Cross Country Coach Sue Parks

Fourth Row: Laura Knutson, Isabel Venier, Sandy Glasko, Stephanie Robertson, Kim Klinke, Melissa Thompson, Chris Tuerk, Cathy Bridges

Fifth Row: Roberta McKean, Cheri Sly, Bonnie McDonald, Julie Jerkins, Kelli Bert, Cathy Schmidt, Sue Schroeder, Head Coach James Henry

UM Women's Track Team, 1983

Front Row: Lisa Larsen, Brenda Kazinec, Carol Lamb, Sue Foster, Patti Shanahan, Kari Manns, Lisa Sims, Lynn Fisher

Middle Row: Sue Schroeder, Cathy Smith, Melanie Weaver, Judy Yuhn, Kelly Bert, Melody Middleton, Maureen Miner, Maria Andos, Dawn Rich

Back Row: assistant coach James Henry, Hope Weisman, Darlene Fortman, Martha Gray, Joanna Bullard, Joyce Wilson, ?, Angie Hafner, head coach Francie Goodridge

Missing: Dana Loesche, Bonnie McDonald, Lorie Thornton

Recessed reflective markers feasibility study. Final report.

Federal Highway Administration, Washington, D.C.

A case study of hazardous wastes in Class I landfills /

Mode of access: Internet.

Bacterial nutrition; material for a comparative physiology of bacteria,

At head of title: ...Privy council. Medical research council.