Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Managerial Risk-Taking and CEO Excess Compensation

This paper examines risk taking and CEO excess compensation problems in U.S firms to determine their impact on shareholders wealth. Literature suggests a positive effect of CEO incentive risk and strong corporate governance on CEO risk taking. Furthermore, the strong governance mitigates excess compensation problem. Controlling for governance quality and incentive risk, I provide empirical evidence of a significant association between risk taking and CEO excess compensation. When I also control for pay-performance sensitivity (delta) and feedback effects of incentive compensation on CEO risk taking, I find that higher use of incentive pay encourages risk taking, and due to a high exposure to risk CEOs draws excess compensation. Furthermore, I find that the excess compensation problem is more serious with CEOs taking high risk than with those taking low risk. Finally, I find that CEO risk taking also has structural impacts on CEO compensation

Investigating the role of potential genetic markers that can predict risk for steroid refractory inflammatory bowel disease

Contexte - La variation interindividuelle de la réponse aux corticostéroïdes (CS) est un problème important chez les patients atteints de maladies inflammatoires d’intestin. Ce problème est bien plus accentué chez les enfants avec la prévalence de la corticodépendance extrêmement (~40 %) élevée. La maladie réfractaire au CS a des répercussions sur le développement et le bien-être physique et psychologique des patients et impose des coûts médicaux élevés, particulièrement avec la maladie active comparativement à la maladie en rémission, le coût étant 2-3 fois plus élevé en ambulatoire et 20 fois plus élevé en hôpital. Il est ainsi primordial de déterminer les marqueurs prédictifs de la réponse aux CS. Les efforts précédents de découvrir les marqueurs cliniques et démographiques ont été équivoques, ce qui souligne davantage le besoin de marqueurs moléculaires. L'action des CS se base sur des processus complexes déterminés génétiquement. Deux gènes, le ABCB1, appartenant à la famille des transporteurs transmembraneaux, et le NR3C1, encodant le récepteur glucocorticoïde, sont des éléments importants des voies métaboliques. Nous avons postulé que les variations dans ces gènes ont un rôle dans la variabilité observée de la réponse aux CS et pourraient servir en tant que les marqueurs prédictifs. Objectifs - Nous avons visé à: (1) examiner le fardeau de la maladie réfractaire aux CS chez les enfants avec la maladie de Crohn (MC) et le rôle des caractéristiques cliniques et démographiques potentiellement liés à la réponse; (2) étudier l'association entre les variantes d'ADN de gène ABCB1 et la réponse aux CS; (3) étudier les associations entre les variantes d'ADN de gène NR3C1 et la réponse aux CS. Méthodes - Afin d’atteindre ces objectifs, nous avons mené une étude de cohorte des patients recrutés dans deux cliniques pédiatriques tertiaires de gastroentérologie à l’Ottawa (CHEO) et à Montréal (HSJ). Les patients avec la MC ont été diagnostiqués avant l'âge de 18 ans selon les critères standard radiologiques, endoscopiques et histopathologiques. La corticorésistance et la corticodépendance ont été définies en adaptant les critères reconnus. L’ADN, acquise soit du sang ou de la salive, était génotypée pour des variations à travers de gènes ABCB1 et NR3C1 sélectionnées à l’aide de la méthodologie de tag-SNP. La fréquence de la corticorésistance et la corticodépendance a été estimée assumant une distribution binomiale. Les associations entre les variables cliniques/démographiques et la réponse aux CS ont été examinées en utilisant la régression logistique en ajustant pour des variables potentielles de confusion. Les associations entre variantes génétiques de ABCB1 et NR3C1 et la réponse aux CS ont été examinées en utilisant la régression logistique assumant différents modèles de la transmission. Les associations multimarqueurs ont été examinées en utilisant l'analyse de haplotypes. Les variantes nongénotypées ont été imputées en utilisant les données de HAPMAP et les associations avec SNPs imputés ont été examinées en utilisant des méthodes standard. Résultats - Parmi 645 patients avec la MC, 364 (56.2%) ont reçu CS. La majorité de patients étaient des hommes (54.9 %); présentaient la maladie de l’iléocôlon (51.7%) ou la maladie inflammatoire (84.6%) au diagnostic et étaient les Caucasiens (95.6 %). Huit pourcents de patients étaient corticorésistants et 40.9% - corticodépendants. Le plus bas âge au diagnostic (OR=1.34, 95% CI: 1.03-3.01, p=0.040), la maladie cœxistante de la région digestive supérieure (OR=1.35, 95% CI: 95% CI: 1.06-3.07, p=0.031) et l’usage simultané des immunomodulateurs (OR=0.35, 95% CI: 0.16-0.75, p=0.007) ont été associés avec la corticodépendance. Un total de 27 marqueurs génotypés à travers de ABCB1 (n=14) et NR3C1 (n=13) ont été en l'Équilibre de Hardy-Weinberg, à l’exception d’un dans le gène NR3C1 (rs258751, exclu). Dans ABCB1, l'allèle rare de rs2032583 (OR=0.56, 95% CI: 0.34-0.95, p=0.029) et génotype hétérozygote (OR=0.52, 95% CI: 0.28-0.95 p=0.035) ont été négativement associes avec la dépendance de CS. Un haplotype à 3 marqueurs, comprenant le SNP fonctionnel rs1045642 a été associé avec la dépendance de CS (p empirique=0.004). 24 SNPs imputés introniques et six haplotypes ont été significativement associés avec la dépendance de CS. Aucune de ces associations n'a cependant maintenu la signification après des corrections pour des comparaisons multiples. Dans NR3C1, trois SNPs: rs10482682 (OR=1.43, 95% CI: 0.99-2.08, p=0.047), rs6196 (OR=0.55, 95% CI: 0.31-0.95, p=0.024), et rs2963155 (OR=0.64, 95% CI: 0.42-0.98, p=0.039), ont été associés sous un modèle additif, tandis que rs4912911 (OR=0.37, 95% CI: 0.13-1.00, p=0.03) et rs2963156 (OR=0.32, 95% CI: 0.07-1.12, p=0.047) - sous un modèle récessif. Deux haplotypes incluant ces 5 SNPs (AAACA et GGGCG) ont été significativement (p=0.006 et 0.01 empiriques) associés avec la corticodépendance. 19 SNPs imputés ont été associés avec la dépendance de CS. Deux haplotypes multimarqueurs (p=0.001), incluant les SNPs génotypés et imputés, ont été associés avec la dépendance de CS. Conclusion - Nos études suggèrent que le fardeau de la corticodépendance est élevé parmi les enfants avec le CD. Les enfants plus jeunes au diagnostic et ceux avec la maladie coexistante de la région supérieure ainsi que ceux avec des variations dans les gènes ABCB1 et NR3C1 étaient plus susceptibles de devenir corticodépendants.

Parental separation and child adjustment : longitudinal perspective and risk factors

Malgré de nombreuses études qui soutiennent l'idée que les enfants ayant vécu la rupture de leurs parents rencontrent un plus haut niveau de difficultés affectives et comportementales que les enfants de familles intactes, certaines questions restent à éclaircir. Notamment, les données empiriques existantes ne conduisent pas à des conclusions précises quant au moment exact de l’apparition de ces difficultés. De plus, ce n'est pas clair si ces difficultés sont associées à la séparation en soi, ou à bien d'autres facteurs liés à la séparation. Cette thèse est constituée de deux articles empiriques. Le premier examine l’adaptation de l’enfant avant et après la séparation en fonction du sexe et de l'âge au moment de la séparation. Le second article présente une étude qui a pour objectif de départager l’importance des facteurs parentaux et contextuels et celle de la séparation parentale pour expliquer l’adaptation de l’enfant. Les participants proviennent de l'Étude Longitudinale du Développement des Enfants du Québec (ÉLDEQ, 1998-2006). À chaque enquête de l'ÉLDEQ, une entrevue structurée réalisée auprès de la mère a permis d'évaluer les niveaux d’hyperactivité/impulsivité, d’anxiété et d’agressivité physique de l’enfant. Pendant cette entrevue, les mères ont également répondu à des questions sur la qualité de leurs pratiques parentales et sur le revenu du ménage. Finalement, un questionnaire auto-administré à la mère a permis d'évaluer ses propres symptômes de dépression et d'anxiété. La première étude inclus 143 enfants de familles séparées et 1705 enfants de familles intactes. Deux sous-groupes ont été créés selon que l’enfant ait vécu la séparation entre 2 et 4 ans, ou entre 4 et 6 ans. L’adaptation de l'enfant a été évaluée à un temps de mesure avant la séparation et à deux temps de mesure après la séparation. Les résultats de cette première étude démontrent qu’avant la séparation, les enfants de familles intactes et séparées ne se distinguent pas significativement quant à leurs niveaux d’hyperactivité/impulsivité et d’anxiété. Par contre, ces difficultés deviennent significativement plus élevées chez les enfants de familles séparées après la rupture des parents. D’autres parts, le niveau d’agressivité physique est plus élevé chez les enfants de la séparation indépendamment du temps de mesure. Finalement, les différences entre les deux groupes d’enfants ne dépendent pas du sexe ou de l’âge au moment de la séparation. La deuxième étude inclus 358 enfants de 8 ans qui ont vécu la séparation de leurs parents, et 1065 enfants du même âge provenant de familles intactes. Après avoir contrôlé pour le sexe de l’enfant, les résultats ont démontré que lorsqu’on tient compte de la contribution des symptômes maternels de dépression et d'anxiété, de la qualité des pratiques parentales et du revenu du ménage dans l’adaptation de l’enfant, la séparation parentale ne demeurent plus liée aux niveaux d’anxiété et d'agressivité physique de l’enfant. Par contre, la relation entre la séparation parentale et l’hyperactivité/impulsivité de l’enfant demeure significative. Les résultats présentés dans les articles sont discutés ainsi que leurs implications.

Real Estate Development In India And The Behavior of Investors to Invest In The Real Estate Market: An Empirical Investigation

This study examines the behavioral factors that influence the Indian Investors to invest in the Real Estate Market. Among the various factors that affect the tendency of investors to invest in the real market, certain factors are greatly influenced the investors at greatest extend while others at least level. From this study it is revealed that motivation from the real estate developers and brokers (mean value- 3.46) is most influencing factor and happening of uncertain events (mean value- 1.75) is the least factor that influences the investors’ investment behavior. In this study, the behavioral factor like over confidence and the hypotheses regarding education, religion were analyzed and found that religious factor influences the Indian investors to invest in the real estate

Heterogeneity and the formation of risk - sharing coalitions

We offer a new explanation of partial risk sharing based on coalition formation and segmentation of society in a risky environment, without assuming limited commitment and imperfect information. Heterogenous individuals in a society freely choose with whom they will share risk. A partition belonging to the core of the membership game obtains. Perfect risk sharing does not necessarily arise. Focusing on mutual insurance rule and assuming that individuals only differ with respect to risk, we show that the core partition is homophily-based. The distribution of risk affects the number and size of these coalitions. Individuals may pay a lower risk premium in riskier societies. A higher heterogeneity in risk leads to a lower degree of risk sharing. We discuss how the endogenous partition of society into risk-sharing coalitions may shed light on empirical evidence on partial risk sharing. The case of heterogenous risk aversion leads to similar results.

Official warnings on thromboembolism risk with oral contraceptives fail to inform users adequately

Following the 1995 “pill scare” relating to the risk of venous thrombosis from taking second- or third-generation oral contraceptives, the Committee on Safety of Medicines (CSM) withdrew their earlier recommended restrictions on the use of third-generation pills and published recommended wording to be used in patient information leaflets. However, the effectiveness of this wording has not been tested. An empirical study (with 186 pill users, past users, and non-users) was conducted to assess understanding, based on this wording, of the absolute and relative risk of thrombosis in pill users and in pregnancy. The results showed that less than 12% of women in the (higher education) group fully understood the absolute levels of risk from taking the pill and from being pregnant. Relative risk was also poorly understood, with less than 40% of participants showing full understanding, and 20% showing no understanding. We recommend that the CSM revisit the wording currently provided to millions of women in the UK.

Modelling risk perception and trust in food safety information within the theory of planned behaviour

This study suggests a statistical strategy for explaining how food purchasing intentions are influenced by different levels of risk perception and trust in food safety information. The modelling process is based on Ajzen's Theory of Planned Behaviour and includes trust and risk perception as additional explanatory factors. Interaction and endogeneity across these determinants is explored through a system of simultaneous equations, while the SPARTA equation is estimated through an ordered probit model. Furthermore, parameters are allowed to vary as a function of socio-demographic variables. The application explores chicken purchasing intentions both in a standard situation and conditional to an hypothetical salmonella scare. Data were collected through a nationally representative UK wide survey of 533 UK respondents in face-to-face, in-home interviews. Empirical findings show that interactions exist among the determinants of planned behaviour and socio-demographic variables improve the model's performance. Attitudes emerge as the key determinant of intention to purchase chicken, while trust in food safety information provided by media reduces the likelihood to purchase. (C) 2006 Elsevier Ltd. All rights reserved.

Risk taking from the participant's perspective: the case of driving and accident risk

Although perceived health risk plays a prominent role in theories of health behavior, its empirical role in risk taking is less clear. In Study 1 (N = 129), 2 measures of drivers' risk-taking behavior were found to be unrelated to self-estimates of accident concern but to be related to self-ratings of driving skill and the perceived thrill of driving. In Study 2 (N = 405), out of a wide range of potential influences, accident concern had the weakest relationship with risk taking. The authors concluded that although health risk is a key feature in many theories of health behavior and a central focus for researchers and policy makers, it may not be such a prominent factor for those actually taking the risk.

Interpretation of recommended risk terms: differences between doctors and lay people

Objectives: To examine doctors' (Experiment 1) and doctors' and lay people's (Experiment 2) interpretations of two sets of recommended verbal labels for conveying information about side effects incidence rates. Method: Both studies used a controlled empirical methodology in which participants were presented with a hypothetical, but realistic, scenario involving a prescribed medication that was said to be associated with either mild or severe side effects. The probability of each side effect was described using one of the five descriptors advocated by the European Union (Experiment 1) or one of the six descriptors advocated in Calman's risk scale (Experiment 2), and study participants were required to estimate (numerically) the probability of each side effect occurring. Key findings: Experiment 1 showed that the doctors significantly overestimated the risk of side effects occurring when interpreting the five EU descriptors, compared with the assigned probability ranges. Experiment 2 showed that both groups significantly overestimated risk when given the six Calman descriptors, although the degree of overestimation was not as great for the doctors as for the lay people. Conclusion: On the basis of our findings, we argue that we are still a long way from achieving a standardised language of risk for use by both professionals and the general public, although there might be more potential for use of standardised terms among professionals. In the meantime, the EU and other regulatory bodies and health professionals should be very cautious about advocating the use of particular verbal labels for describing medication side effects.

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.

The impact of news on measures of undiversifiable risk: evidence from the UK stock market

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

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.

The relationship between size, diversification and risk

Property portfolio diversification takes many forms, most of which can be associated with asset size. In other words larger property portfolios are assumed to have greater diversification potential than small portfolios. In addition, since greater diversification is generally associated with lower risk it is assumed that larger property portfolios will also have reduced return variability compared with smaller portfolios. If large property portfolios can simply be regarded as scaled-up, better-diversified versions of small property portfolios, then the greater a portfolio’s asset size, the lower its risk. This suggests a negative relationship between asset size and risk. However, if large property portfolios are not simply scaled-up versions of small portfolios, the relationship between asset size and risk may be unclear. For instance, if large portfolios hold riskier assets or pursue more volatile investment strategies, it may be that a positive relationship between asset size and risk would be observed, even if large property portfolios are more diversified. This paper tests the empirical relationship between property portfolio size, diversification and risk, in Institutional portfolios in the UK, during the period from 1989 to 1999 to determine which of these two characterisations is more appropriate.

The first five years of the EU Impact Assessment system: a risk economics perspective on gaps between rationale and practice

In 2003 the European Commission started using Impact Assessment (IA) as the main empirical basis for its major policy proposals. The aim was to systematically assess ex ante the economic, social and environmental impacts of EU policy proposals. In parallel, research proliferated in search for theoretical grounds for IAs and in an attempt to evaluate empirically the performance of the first sets of IAs produced by the European Commission. This paper combines conceptual and evaluative studies carried out in the first five years of EU IAs. It concludes that the great discrepancy between rationale and practice calls for a different theoretical focus and a higher emphasis on evaluating empirically crucial risk economics aspects of IAs, such as the value of statistical life, price of carbon, the integration of macroeconomic modelling and scenario analysis.