Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Health-protective behaviours and risk of fall-related hip fractures: a population-based case-control study

Background: fall-related hip fractures are one of the most common causes of disability and mortality in older age. The study aimed to quantify the relationship between lifestyle behaviours and the risk of fall-related hip fracture in community-dwelling older people. The purpose was to contribute evidence for the promotion of healthy ageing as a population-based intervention for falls injury prevention. Methods: a case-control study was conducted with 387 participants, with a case-control ratio of 1:2. Incident cases of fall-related hip fracture in people aged 65 and over were recruited from six hospital sites in Brisbane, Australia, in 2003-04. Community-based controls, matched by age, sex and postcode, were recruited via electoral roll sampling. A questionnaire designed to assess lifestyle risk factors, identified as determinants of healthy ageing, was administered at face-to-face interviews. Results: behavioural factors which had a significant independent protective effect on the risk of hip fracture included never smoking [adjusted odds ratio (AOR): 0.33 (0.12-0.88)], moderate alcohol consumption in mid- and older age [AOR: 0.49 (0.25-0.95)], not losing weight between mid- and older age [AOR: 0.36 (0.20-0.65)], playing sport in older age [AOR: 0.49 (0.29-0.83)] and practising a greater number of preventive medical care [AOR: 0.54 (0.32-0.94)] and self-health behaviours [AOR: 0.56 (0.33-0.94)]. Conclusion: with universal exposures, clear associations and modifiable behavioural factors, this study has contributed evidence to reduce the major public health burden of fall-related hip fractures using readily implemented population-based healthy ageing strategies.

Global and regional burden of disease and risk factors, 2001: systematic analysis of population health data

Background Our aim was to calculate the global burden of disease and risk factors for 2001, to examine regional trends from 1990 to 2001, and to provide a starting point for the analysis of the Disease Control Priorities Project (DCPP). Methods We calculated mortality, incidence, prevalence, and disability adjusted life years (DALYs) for 136 diseases and injuries, for seven income/geographic country groups. To assess trends, we re-estimated all-cause mortality for 1990 with the same methods as for 2001. We estimated mortality and disease burden attributable to 19 risk factors. Findings About 56 million people died in 2001. Of these, 10.6 million were children, 99% of whom lived in low-and-middle-income countries. More than half of child deaths in 2001 were attributable to acute respiratory infections, measles, diarrhoea, malaria, and HIV/AIDS. The ten leading diseases for global disease burden were perinatal conditions, lower respiratory infections, ischaemic heart disease, cerebrovascular disease, HIV/AIDS, diarrhoeal diseases, unipolar major depression, malaria, chronic obstructive pulmonary disease, and tuberculosis. There was a 20% reduction in global disease burden per head due to communicable, maternal, perinatal, and nutritional conditions between 1990 and 2001. Almost half the disease burden in low-and-middle-income countries is now from non-communicable diseases (disease burden per head in Sub-Saharan Africa and the low-and-middle-income countries of Europe and Central Asia increased between 1990 and 2001). Undernutrition remains the leading risk factor for health loss. An estimated 45% of global mortality and 36% of global disease burden are attributable to the joint hazardous effects of the 19 risk factors studied. Uncertainty in all-cause mortality estimates ranged from around 1% in high-income countries to 15-20% in Sub-Saharan Africa. Uncertainty was larger for mortality from specific diseases, and for incidence and prevalence of non-fatal outcomes. Interpretation Despite uncertainties about mortality and burden of disease estimates, our findings suggest that substantial gains in health have been achieved in most populations, countered by the HIV/AIDS epidemic in Sub-Saharan Africa and setbacks in adult mortality in countries of the former Soviet Union. our results on major disease, injury, and risk factor causes of loss of health, together with information on the cost-effectiveness of interventions, can assist in accelerating progress towards better health and reducing the persistent differentials in health between poor and rich countries.

Is modern medicine at risk of losing the plot?

Contemporary medicine has much to its credit, but has created an insatiable demand for new technologies and more health services, fed by commercial promotion, professional advocacy and sociopolitical pressure. Total health expenditure at the national level is now almost 10% of gross domestic product and is expected to top 16% by 2020. After recent inquiries into the failings of its public health system, the Queensland Government has committed itself to a 25% increase in expenditure on health over the next 5 years. But will it lead to better population health, and is it sustainable? The return-on-investment curve for modern health care may be flattening out, in an environment of growing numbers of older patients with chronic illnesses, maldistribution of services and hospital overcrowding. A change in thinking is required if current medical practice is to avoid imploding when confronted with the next major economic downturn. Health policy, service funding and clinical training must focus on critical appraisal of the effectiveness of health care technologies and the structure and financing of health care systems. Practising clinicians will be obliged to provide leadership in determining value for money in the choice of health care for specific patient populations and how that care is delivered.

Double-heater-wire circuits and heat-and-moisture exchangers and the risk of ventilator-associated pneumonia

Objective: To compare the incidence of ventilator-associated pneumonia (VAP) in patients ventilated in intensive care by means of circuits humidified with a hygroscopic heat-and-moisture exchanger with a bacterial viral filter (HME) or hot-water humidification with a heater wire in both inspiratory and expiratory circuit limbs (DHW) or the inspiratory limb only (SHW). Design: A prospective, randomized trial. Setting: A metropolitan teaching hospital's general intensive care unit. Patients: Three hundred eighty-one patients requiring a minimum period of mechanical ventilation of 48 hrs. Interventions: Patients were randomized to humidification with use of an HME (n = 190), SHW (n = 94), or DHW (n = 97). Measurements and Main Results. Study end points were VAP diagnosed on the basis of Clinical Pulmonary Infection Score (CPIS) (1), HME resistance after 24 hrs of use, endotracheal tube resistance, and HME use per patient. VAP occurred with similar frequency in all groups (13%, HME; 14%, DHW; 10%, SHW; p = 0.61) and was predicted only by current smoking (adjusted odds ratio [AOR], 2.1; 95% confidence interval [CI], 1.1-3.9; p =.03) and ventilation days (AOR, 1.05; 95% Cl, 1.0-1.2; p =.001); VAP was less likely for patients with an admission diagnosis of pneumonia (AOR, 0.40; 95% Cl, 0.4-0.2; p =.04). HME resistance after 24 hrs of use measured at a gas flow of 50 L/min was 0.9 cm H2O (0.4-2.9). Endotracheal tube resistance was similar for all three groups (16-19 cm H2O min/L; p =.2), as were suction frequency, secretion thickness, and blood on suctioning (p =.32, p =.06, and p =.34, respectively). The HME use per patient per day was 1.13. Conclusions: Humidification technique does not influence either VAP incidence or secretion characteristics, but HMEs may have air-flow resistance higher than manufacturer specifications after 24 hrs of use.

Reduced variability of postural strategy prevents normalization of motor changes induced by back pain: A risk factor for chronic trouble?

Variability is fundamental to biological systems and is important in posturomotor learning and control. Pain induces a protective postural strategy, although variability is normally preserved. If variability is lost, does the normal postural strategy return when pain stops? Sixteen subjects performed arm movements during control trials, when the movement evoked back pain and then when it did not. Variability in the postural strategy of the abdominal muscles and pain-related cognitions were evaluated. Only those subjects for whom pain induced a reduction in variability of the postural strategy failed to return to a normal strategy when pain stopped. They were also characterized by their pain-related cognitions. Ongoing perception of threat to the back may exert tighter evaluative control over variability of the postural strategy.

Premature cardiovascular events and mortality in south Asians with type 2 diabetes in the United Kingdom Asian Diabetes Study - effect of ethnicity on risk

Background/Aim - People of south Asian origin have an excessive risk of morbidity and mortality from cardiovascular disease. We examined the effect of ethnicity on known risk factors and analysed the risk of cardiovascular events and mortality in UK south Asian and white Europeans patients with type 2 diabetes over a 2 year period. Methods - A total of 1486 south Asian (SA) and 492 white European (WE) subjects with type 2 diabetes were recruited from 25 general practices in Coventry and Birmingham, UK. Baseline data included clinical history, anthropometry and measurements of traditional risk factors – blood pressure, total cholesterol, HbA1c. Multiple linear regression models were used to examine ethnicity differences in individual risk factors. Ten-year cardiovascular risk was estimated using the Framingham and UKPDS equations. All subjects were followed up for 2 years. Cardiovascular events (CVD) and mortality between the two groups were compared. Findings - Significant differences were noted in risk profiles between both groups. After adjustment for clustering and confounding a significant ethnicity effect remained only for higher HbA1c (0.50 [0.22 to 0.77]; P?=?0.0004) and lower HDL (-0.09 [-0.17 to -0.01]; P?=?0.0266). Baseline CVD history was predictive of CVD events during follow-up for SA (P?

Comparative risk of microalbuminuria and proteinuria in UK residents of south Asian and white European ethnic background with type 2 diabetes:a report from UKADS

Objective - This study investigated and compared the prevalence of microalbuminuria and overt proteinuria and their determinants in a cohort of UK resident patients of white European or south Asian ethnicity with type 2 diabetes mellitus. Research design and methods - A total of 1978 patients, comprising 1486 of south Asian and 492 of white European ethnicity, in 25 general practices in Coventry and Birmingham inner city areas in England were studied in a cross-sectional study. Demographic and risk factor data were collected and presence of microalbuminuria and overt proteinuria assessed. Main outcome measures - Prevalences of microalbuminuria and overt proteinuria. Results - Urinary albumin:creatinine measurements were available for 1852 (94%) patients. The south Asian group had a lower prevalence of microalbuminuria, 19% vs. 23% and a higher prevalence of overt proteinuria, 8% vs. 3%, X2?=?15.85, 2df, P?=?0.0004. In multiple logistic regression models, adjusted for confounding factors, significantly increased risk for the south Asian vs. white European patients for overt proteinuria was shown; OR (95% CI) 2.17 (1.05, 4.49), P?=?0.0365. For microalbuminuria, an interaction effect for ethnicity and duration of diabetes suggested that risk for south Asian patients was lower in early years following diagnosis; OR for SA vs. WH at durations 0 and 1 year were 0.56 (0.37, 0.86) and 0.59 (0.39, 0.89) respectively. After 20 years’ duration, OR?=?1.40 (0.63, 3.08). Limitations - Comparability of ethnicity defined groups; statistical methods controlled for differences between groups, but residual confounding may remain. Analyses are based on a single measure of albumin:creatinine ratio. Conclusions - There were significant differences between ethnicity groups in risk factor profiles and microalbuminuria and overt proteinuria outcomes. Whilst south Asian patients had no excess risk of microalbuminuria, the risk of overt proteinuria was elevated significantly, which might be explained by faster progression of renal dysfunction in patients of south Asian ethnicity.

Risk and structural instability in US house prices

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in the mean and variance indicate structural instability across the data range. Multiple breaks are identified across all cities, particularly for the early 1990s and during the post-2007 financial crisis as housing has become an increasingly risky asset. Estimating the models over the individual sub-samples suggests that over the last 20 years the financial sector has increasingly failed to account for the levels of risk associated with real estate markets. This result has possible implications for the way in which financial institutions should be regulated in the future.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Risk factors for childhood myopia:findings from the NICER study

PURPOSE. We explored risk factors for myopia in 12- to 13-year-old children in Northern Ireland (NI). METHODS. Stratified random sampling was performed to obtain representation of schools and children. Cycloplegia was achieved using cyclopentolate hydrochloride 1%. Distance autorefraction was measured using the Shin-Nippon SRW-5000 device. Height and weight were measured. Parents and children completed a questionnaire, including questions on parental history of myopia, sociodemographic factors, childhood levels of near vision, and physical activity to identify potential risk factors for myopia. Myopia was defined as spherical equivalent ≤0.50 diopters (D) in either eye. RESULTS. Data from 661 white children aged 12-to 13-years showed that regular physical activity was associated with a lower estimated prevalence of myopia compared to sedentary lifestyles (odds ratio [OR] = 0.46 adjusted for age, sex, deprivation score, family size, school type, urbanicity; 95% confidence interval [CI], 0.23–0.90; P for trend = 0.027). The odds of myopia were more than 2.5 times higher among children attending academically-selective schools (adjusted OR = 2.66; 95% CI, 1.48–4.78) compared to nonacademically-selective schools. There was no evidence of an effect of urban versus nonurban environment on the odds of myopia. Compared to children with no myopic parents, children with one or both parents being myopic were 2.91 times (95% CI, 1.54–5.52) and 7.79 times (95% CI, 2.93– 20.67) more likely to have myopia, respectively. CONCLUSIONS. In NI children, parental history of myopia and type of schooling are important determinants of myopia. The association between myopia and an environmental factor, such as physical activity levels, may provide insight into preventive strategies.

Solvency risk minimizing guaranteed returns in life insurance

Return guarantee constitutes a key ingredient of classical life insurance premium calculation. In the current low interest rate environment insurers face increasingly strong financial incentives to reduce guaranteed returns embedded in life insurance contracts. However, return guarantee lowering efforts are restrained by associated demand effects, since a higher guaranteed return makes the net price of the insurance cover lower. This tradeoff between possibly higher future insurance obligations and the possibility of a larger demand for life insurance products can theoretically also be considered when determining optimal guaranteed returns. In this paper, optimality of return guarantee levels is analyzed from a solvency point of view. Availability and some other properties of optimal solutions for guaranteed returns are explored and compared in a simple model for two measures of solvency risk (company-level and contract-level VaR). The paper concludes that a solvency risk minimizing optimal guaranteed return may theoretically exist, although its practical availability can be impeded by economic and regulatory constraints.

Estimation of global systematic risk for securities listed in multiple markets

The market model is the most frequently estimated model in financial economics and has proven extremely useful in the estimation of systematic risk. In this era of rapid globalization of financial markets there has been a substantial increase in cross listings of stocks in foreign and regional capital markets. As many as a third to a half of the stocks in some major exchanges are foreign listed. The multiple listings of stocks has major implications for the estimation of systematic risk. The traditiona1 method of estimating the market model by using data from only one market will lead to misleading estimates of beta. This study demonstrates that the estimator for systematic risk and the methodology itself changes when stocks are listed in multiple markets. General expressions are developed to obtain the estimator of global beta under a variety of assumptions about the error terms of the market models for different capital markets. The assumptions pertain both to the volatilities of the abnormal returns in each market, and to the relationship between the markets. ^ Explicit expressions are derived for the estimation of global systematic risk beta when the returns are homoscedastic and also under different heteroscedastic conditions both within and/or between markets. These results for the estimation of global beta are further extended when return generating process follows an autoregressive scheme.^

Glycemic control: Risk factors, quality of life, workforce participation, and mortality among US adults with type 2 diabetes

Despite research showing the benefits of glycemic control, it remains suboptimal among adults with diabetes in the United States. Possible reasons include unaddressed risk factors as well as lack of awareness of its immediate and long term consequences. The objectives of this study were to, using cross-sectional data, (1) ascertain the association between suboptimal (Hemoglobin A1c (HbA1c) .7%), borderline (HbA1c 7-8.9%), and poor (HbA1c .9%) glycemic control and potentially new risk factors (e.g. work characteristics), and (2) assess whether aspects of poor health and well-being such as poor health related quality of life (HRQOL), unemployment, and missed-work are associated with glycemic control; and (3) using prospective data, assess the relationship between mortality risk and glycemic control in US adults with type 2 diabetes. Data from the 1988-1994 and 1999-2004 National Health and Nutrition Examination Surveys were used. HbA1c values were used to create dichotomous glycemic control indicators. Binary logistic regression models were used to assess relationships between risk factors, employment status and glycemic control. Multinomial logistic regression analyses were conducted to assess relationships between glycemic control and HRQOL variables. Zero-inflated Poisson regression models were used to assess relationships between missed work days and glycemic control. Cox-proportional hazard models were used to assess effects of glycemic control on mortality risk. Using STATA software, analyses were weighted to account for complex survey design and non-response. Multivariable models adjusted for socio-demographics, body mass index, among other variables. Results revealed that being a farm worker and working over 40 hours/week were risk factors for suboptimal glycemic control. Having greater days of poor mental was associated with suboptimal, borderline, and poor glycemic control. Having greater days of inactivity was associated with poor glycemic control while having greater days of poor physical health was associated with borderline glycemic control. There were no statistically significant relationships between glycemic control, self-reported general health, employment, and missed work. Finally, having an HbA1c value less than 6.5% was protective against mortality. The findings suggest that work-related factors are important in a person’s ability to reach optimal diabetes management levels. Poor glycemic control appears to have significant detrimental effects on HRQOL.^