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.

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.

An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system.

Intelligent agents enabling negotiated control of pervasive environments

One of the important goals of the intelligent buildings especially in commercial applications is not only to minimize the energy consumption but also to enhance the occupant’s comfort. However, most of current development in the intelligent buildings focuses on an implementation of the automatic building control systems that can support energy efficiency approach. The consideration of occupants’ preferences is not adequate. To improve occupant’s wellbeing and energy efficiency in intelligent environments, we develop four types of agent combined together to form a multi-agent system to control the intelligent buildings. Users’ preferential conflicts are discussed. Furthermore, a negotiation mechanism for conflict resolution, has been proposed in order to reach an agreement, and has been represented in syntax directed translation schemes for future implementation and testing. Keywords: conflict resolution, intelligent buildings, multi-agent systems (MAS), negotiation strategy, syntax directed translation schemes (SDTS).

Geoarchaeology and taphonomy of plant remains in early urban environments in the Ancient Near East

A number of recent articles emphasize the fundamental importance of taphonomy and formation processes to interpretation of plant remains assemblages, as well as the value of interdisciplinary approaches to studies of environmental change and ecological and social practices. This paper examines ways in which micromorphology can contribute to integrating geoarchaeology and archaeobotany in analysis of the taphonomy and context of plant remains and ecological and social practices. Micromorphology enables simultaneous in situ study of diverse plant materials and thereby traces of a range of depositional pathways and histories. In addition to charred plant remains, also often preserved in semi-arid environments are plant impressions, phytoliths and calcitic ashes. These diverse plant remains are often routinely separated and extracted from their depositional context or lost using other analytical techniques, thereby losing crucial evidence on taphonomy, formation processes and contextual associations, which are fundamental to all subsequent interpretations. Although micromorphological samples are small in comparison to bulk flotation samples of charred plant remains, their size is similar to phytolith and pollen samples. In this paper, key taphonomic issues are examined in the study of: fuel; animal dung, animal management and penning; building materials; and specific activities, including food storage and preparation and ritual, using selected case-studies from early urban settlements in the Ancient Near East. Microarchaeological residues and experimental archaeology are also briefly examined.