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.

Condicions socioecològiques de la riera d'Arbúcies pel retorn de la llúdriga (Lutra lutra)

La llúdriga (Lutra lutra) va desaparèixer de la conca de la Tordera a causa de la pressió humana sobre ella i el seu hàbitat. Recentment les seves poblacions s’estan recuperant a las conques nord de Catalunya. En aquest context es presenta els resultats dels anàlisis dels requeriments socioecològics de la llúdriga en l’afluent del riu Tordera de la riera d’Arbúcies: qualitat del bosc de ribera, valoració de la contaminació de l’aigua i l’anàlisi de les poblacions d’ictiofauna, a més de l’estimació de l’espècie més abundant. L’evolució de l’ús i cobertes del sòl del sòl mostren que existeix una tendència augment en las masses forestals, zones urbanitzades i infraestructures; també una disminució del camps de cultiu, fruiters i vinyes. La qualitat del bosc de ribera es va valorar a partir del l’índex QBR, obtenint que la màxima qualitat es localitza en el tram alt, disminuint a mesura que s’apropa a la desembocadura al Tordera. La contaminació de l’aigua a estat valorada, per una banda analitzant la qualitat biològica a partir dels índexs IPS i BMWPC, obtenint que la qualitat de l’aigua disminueix a mesura que transcorre riu avall, segons l’IPS. Amb el BMWPC es troba que existeix una recuperació de la qualitat de l’aigua en l’últim tram. Per altra banda s’han analitzat el compostos químics que afecten a la llúdriga, obtenint que les concentracions d’aquest no són rellevants a l’aigua. S’ha analitzat l’estructura de la població d’ictiofauna present, trobant que el Barbus meridionalis és l’espècie més abundant en tots el trams, a més d’augmentar en captures a mesura que l’aigua s’apropa al aiguabarreig amb la Tordera. S’ha estimat la biomassa present d’aquesta espècie, concloent que es suficient per mantenir una població no gaire densa de llúdrigues, inferior a 0,15 individus per kilòmetre de riu.

Development of a cyanobacterial biolarvicide

Results of studies on a larvicidal cyanobacterium that expresses a Bti cryIVD gene fusion are reported. Genetically altered Agmenellum quadruplicatum PR-6 is shown to be toxic to larvae of three major genera of disease-bearing mosquitos. Factors affecting expression of Bti genes in cyanobacteria are discussed.

Desarrollo de una colección de Líneas Casi Isogénicas (NIL) para el estudio de caracteres de interés agronómico en especies del género Fragaria

Fragaria vesca posee varias características que la hacen interesante como especie modelo en la familia Rosaceae. Además, su naturaleza diploide permite sortear la complejidad genética de la fresa cultivada. Considerando que los genomas de las especies diploides y octoploides de Fragaria mantienen una relación de sintenia y colinearidad, estamos desarrollando una colección de Líneas Casi Isogénicas (NIL) en Fragaria diploide, usando Fragaria bucharica, una variedad asiática, como donante de introgresiones y Fragaria vesca var. Reine des Vallées, una variedad francesa comúnmente cultivada en España para usos industriales, como parental recurrente. Para obtener introgresiones de F. bucharica en un fondo genético homogéneo de F. vesca, se desarrolló un retrocruzamiento y se obtuvo una población BC1 que fue analizada para la presencia de alelos de F. bucharica a lo largo de los 7 grupos de ligamiento (LG) del mapa de referencia de Fragaria. Los individuos con bajo número de introgresiones de gran tamaño, que en conjunto abarcaron todo el genoma de F. bucharica, fueron seleccionados y retrocruzados con el parental recurrente. La descendencia fue analizada para los loci segregantes y los individuos BC2 con 1 ó 2 introgresiones fueron seleccionados como líneas donadoras de introgresiones de las NIL. Hasta el momento se han descrito tres fenotipos dominantes diferentes bajo condiciones de invernadero en varias NIL heterozigóticas: Las plantas con introgresiones en LG2 presentan estolones. Las plantas con introgresiones en LG1 y LG3 presentan floración temprana. Las plantas con introgresiones en LG6 presentan floración estacional. Actualmente se está trabajando en la selección y caracterización de introgresiones de pequeño tamaño mediante la autofecundación de las líneas seleccionadas. La caracterización fenotípica de los recombinantes seleccionados permitirá localizar y estimar los patrones de herencia de los genes implicados en los caracteres descritos, además de la identificación de nuevos caracteres recesivos que aparecerán en homozigosis.

Loss risk through fraud in car insurance

Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to analyse the effect of failing to detect fraudulent claims after investigation. We have chosen VAR as the risk measure with a non-parametric estimation of the loss risk involved in the detection or non-detection of fraudulent claims. The most relevant conclusion is that auditing claims reduces loss risk in the insurance company.

Fiscal foresight and the effects of government spending

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be consistently estimated by means of a VAR. Government spending raises both consumption and investment, with no evidence of crowding out. The impact multiplier is 1.7 and the long run multiplier is 0.6.

Fiscal policy, foresight and the trade balance in the U.S.

This paper investigates the effects of fiscal policy on the trade balance using a structural factor model. A fiscal policy shock worsens the trade balance and produces an appreciation of the domestic currency but the effects are quantitatively small. The findings match the theoretical predictions of the standard Mundell-Fleming model, although fiscal policy should not be considered one of the main causes of the large US external deficit. My conclusions differ from those reached using VAR models since the fiscal shock, possibly due to fiscal foresight, is nonfundamental for the variables typically used in open economy VARs.

Approche biochimique et morphologique des espèces du genre Trichia (Helicidae, Gastropoda) de Suisse occidentale

The highly polymorphic so called "Trichia hispida group" is taxonomically problematic. According to different authors, one to about one hundred species are recognized in this group. Some recent publications admit 8 species for Central Euorpe. The present study gives arguments from biochemical data (12 enzymatic loci are electrophoretically analysed) for regrouping 5 morphological types into 2 species : Trichia sericea (Müller) var. sericea, plebeia, montana and striolata, and T.hispida(L.). A multivariate analysis of morphological measurments, and patterns of coexistence seem to corroborate this interpretation. T. sericea presents a wider ecological and morphological range, and both species need further investigations on their ecological and taxonomical relationship.

Testing for sufficient information in structural VARs

We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. Moreover, we show how to amend the VAR if informational sufficiency is rejected. We apply our procedure to a VAR including TFP, unemployment and per-capita hours worked. We find that the three variables are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically.

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

Some Aspects of the Development of Lobatostoma jungwirthi Kritscher, 1974 (Aspidogastrea) in Snails and Cichlid Fishes from Buenos Aires, Argentina

The molluscs Heleobia castellanosae and Ampullaria canaliculata and cichlid fishes were collected from an artificial pond at Tres de Febrero Park (Buenos Aires city), between June 1994 and May 1995. One hundred and eighty of 2,467 H. castellanosae examined were infected with pre-adults of Lobatostoma jungwirthi, 112 of them in concurrent infections with digeneans. L. jungwirthi was significantly more prevalent in larger snails, especially those infected with larval digeneans, but the prevalence of infection did not fluctuate significantly throughout the year. A. canaliculata and cichlids smaller than 10 cm were not infected, but larger Cichlasoma facetum harboured adults of L. jungwirthi in their intestines. Experimental infections of C. facetum and Gymnogeophagus meridionalis with pre-adult aspidogastreans obtained from H. castellanosae were successful. The development of L. jungwirthi in the snail host involves five arbitrary growth phases. Its life-cycle is heteroxenous, similar to that described for L. manteri, with H. castellanosae as the intermediate host and cichlid fishes as the definitive host in this pond.

Resultats a llarg termini del tractament quirúrgic de les fractures d’húmer proximal intervingudes mitjançant sutures aïllades o associades a claus d’Ender modificats

Valorem els resultats funcionals i de qualitat de vida a mig i a llarg termini de 38 fractures de l’húmer proximal, tractades en 17 casos amb fixació amb sutures transòssies i en 21 associant claus d’Ender modificats. Els pacients intervinguts amb sutures transòssies obtingueren millors resultats funcionals amb diferències significatives. Les fractures en 3 parts en valg obtingueren millors resultats funcionals que les desplaçades en var No s’observaren diferències de qualitat de vida segons tècnica quirúrgica i tipus de fractura. La fixació amb sutures associades o no a claus d’Ender modificats és una tècnica, útil, segura i amb baix índex de complicacions.

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

Oviposition Attractancy of Bacterial Culture Filtrates: response of Culex quinquefasciatus

Oviposition attractants could be used for monitoring as well as controlling mosquitoes by attracting them to lay eggs at chosen sites. In the present study, culture filtrates of seven bacterial species were tested for their attractancy against gravid females of Culex quinquefasciatus. When their oviposition active indices (OAI) were studied, the culture filtrates of Bacillus cereus and Pseudomonas fluorescens exhibited oviposition attractancy (OAI = >0.3) at 100 ppm and the OAI were respectively 0.70 and 0.47. Culture filtrates of B. thuringiensis var. israelensis (wild type), B. t. var. israelensis (mutant) and B. sphaericus showed attractancy at 2000 ppm with OAI of respectively 0.71, 0.59 and 0.68. However, the OAI of B. megaterium as well as Azospirillum brasilense was 0.13 (at 2000 ppm), which was less than 0.3 required to be considered them as attractants. When the oviposition attractancy of the bacterial culture filtrates were compared with that of a known oviposition attractant, p-cresol (at 10 ppm), the culture filtrates of B. t. var. israelensis (wild type) and B. cereus were found to be more active than p-cresol, respectively with 64.2 and 54.3% oviposition.

Morphological and polymerase chain reaction-restriction fragment lenght polymorphism characterization of Biomphalaria kuhniana and Biomphalaria amazonica from Colombia

In Colombia, five Biomphalaria planorbid species are known: B. kuhniana, B. straminea, B. peregrina, B. canonica and B. oligoza(var. B. philippiana). Among them, B. straminea is intermediate host of Schistosoma mansoni and B. peregrina has been found to be experimentally susceptible to this parasite. B. straminea is commonly confused with B. kuhniana and they have been clustered together with B. intermedia in the complex named B. straminea. The difficulties involved in the specific identification, based on morphological data, have motivated the use of new techniques as auxiliary tools in cases of inconclusive morphological identification of such planorbid. In the present study, five Biomphalaria populations from the Colombian Amazon region and from Interandian Valleys were morphologically identified and characterized by polymerase chain reaction-restriction fragment lenght polymorphism directed at the internal transcribed spacer region of the rRNA gene, followed by digestion of the generated fragment with restriction enzymes (DdeI, AluI, RsaI, MvaI and HaeIII). Known profiles of the Brazilian species B. straminea, B. peregrina, B. kuhniana, B. intermedia and B. amazonica, besides B. kuhniana from Colombia, were used for comparison. The five populations under study were morphologically and molecularly identified as B. kuhniana and B. amazonica.