Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Interlinkages and forecasting made possible by the use of the DECOIN analytical tool kit

This technical report is a document prepared as a deliverable [D4.3 Report of the Interlinkages and forecasting prototype tool] of a EU project – DECOIN Project No. 044428 - FP6-2005-SSP-5A. The text is divided into 4 sections: (1) this short introductory section explains the purpose of the report; (2) the second section provides a general discussion of a systemic problem found in existing quantitative analysis of sustainability. It addresses the epistemological implications of complexity, which entails the need of dealing with the existence of Multiple-Scales and non-equivalent narratives (multiple dimensions/attributes) to be used to define sustainability issues. There is an unavoidable tension between a “steady-state view” (= the perception of what is going on now – reflecting a PAST --& PRESENT view of the reality) versus an “evolutionary view” (= the unknown transformation that we have to expect in the process of becoming of the observed reality and in the observer – reflecting a PRESENT --& FUTURE view of the reality). The section ends by listing the implications of these points on the choice of integrated packages of sustainability indicators; (3) the third section illustrates the potentiality of the DECOIN toolkit for the study of sustainability trade-offs and linkages across indicators using quantitative examples taken from cases study of another EU project (SMILE). In particular, this section starts by addressing the existence of internal constraints to sustainability (economic versus social aspects). The narrative chosen for this discussion focuses on the dark side of ageing and immigration on the economic viability of social systems. Then the section continues by exploring external constraints to sustainability (economic development vs the environment). The narrative chosen for this discussion focuses on the dark side of current strategy of economic development based on externalization and the “bubbles-disease”; (4) the last section presents a critical appraisal of the quality of energy data found in energy statistics. It starts with a discussion of the general goal of statistical accounting. Then it introduces the concept of multipurpose grammars. The second part uses the experience made in the activities of the DECOIN project to answer the question: how useful are EUROSTAT energy statistics? The answer starts with an analysis of basic epistemological problems associated with accounting of energy. This discussion leads to the acknowledgment of an important epistemological problem: the unavoidable bifurcations in the mechanism of accounting needed to generate energy statistics. By using numerical example the text deals with the following issues: (i) the pitfalls of the actual system of accounting in energy statistics; (ii) a critical appraisal of the actual system of accounting in BP statistics; (iii) a critical appraisal of the actual system of accounting in Eurostat statistics. The section ends by proposing an innovative method to represent energy statistics which can result more useful for those willing develop sustainability indicators.

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.

The feasibility of forecasting influenza epidemics in Cuba

A large influenza epidemic took place in Havana during the winter of 1988. The epidemiologic surveillance unit of the Pedro Kouri Institute of Tropical Medicine detected the begining of the epidemic wave. The Rvachev-Baroyan mathematical model of the geographic spread of an epidemic was used to forecast this epidemic under routine conditions of the public health system. The expected number of individuals who would attend outpatient services, because of influenza-like illness, was calculated and communicated to the health authorities within enough time to permit the introduction of available control measures. The approximate date of the epidemic peak, the daily expected number of individuals attending medical services, and the approximate time of the end of the epidemic wave were estimated. The prediction error was 12%. The model was sufficienty accurate to warrant its use as a pratical forecasting tool in the Cuban public health system.

Prevalence and determinants of QT interval prolongation in medical inpatients.

BACKGROUND: QT interval prolongation carries an increased risk of torsade de pointes and death. AIM: We sought to determine the prevalence of QT prolongation in medical inpatients and to identify determinants of this condition. METHODS: We enrolled consecutive patients who were admitted to the internal medicine ward and who had an electrocardiogram performed within 24 h of admission. We collected information on baseline patient characteristics and the use of QT-prolonging drugs. Two blinded readers manually measured the QT intervals. QT intervals were corrected for heart rate using the traditional Bazett formula and the linear regression-based Framingham formula. We used logistic regression to identify patient characteristics and drugs that were independently associated with QTc prolongation. RESULTS: Of 537 inpatients, 22.3% had a prolonged QTc based on the Bazett formula. The adjusted odds for QTc prolongation based on the Bazett correction were significantly higher in patients who had liver disease (OR 2.9, 95% CI: 1.5-5.6), hypokalaemia (OR 3.3, 95% CI: 1.9-5.6) and who were taking ≥1 QT-prolonging drug at admission (OR 1.7, 95% CI: 1.1-2.6). Overall, 50.8% of patients with QTc prolongation received additional QT-prolonging drugs during hospitalisation. CONCLUSIONS: The prevalence of QTc prolongation was high among medical inpatients but depended on the method used to correct for heart rate. The use of QT-prolonging drugs, hypokalaemia and liver disease increased the risk of QTc prolongation. Many patients with QTc prolongation received additional QT-prolonging drugs during hospitalisation, further increasing the risk of torsade de pointes and death.

Birth records from Swiss married couples analyzed over of the past 35 years reveal an aging of first-time mothers by 5.1 years while the interpregnancy interval has shortened

RésuméIntroduction : Le travail de thèse est un article publié dans le journal « Fertility & Sterility » s'intitulant « Birth records from Swiss married couples analyzed over the past 35 years reveal an aging of first-time mothers by 5.1 years while the interpregnancy interval has shortened ».Méthodes : Les données concernant l'âge auquel les femmes mariées donnaient naissance ont été obtenues de l'Office fédéral de la statistique. Nous avons examiné la période allant de 1969 à 2006. Cet intervalle de temps choisi nous a permis de prendre en considération un total de 2'716'370 naissances. L'âge moyen des parturientes à la naissance de leur 1er, 2ème et 3ème enfant a été calculé pour chaque année à l'aide du logiciel Excel. Grâce à ces données on a pu obtenir les intervalles inter-gestationnels théoriques entre le 1er et 2ème enfant, ainsi qu'entre le 2ème et 3ème enfant.Résultats : Nous pouvons constater que l'intervalle inter-gestationnel théorique entre la première et la deuxième grossesse était de 23.2 mois en 1969 et passait à 13.0 mois en 2006. L'intervalle compris entre la deuxième et la troisième grossesse passait de 22.4 mois en 1969 à 7.9 mois en 2006. Notre analyse suggère donc que c'est le facteur social qui exerce un effet plus important que le facteur biologique sur les intervalles inter-gestationnels, car ces intervalles diminuaient malgré l'augmentation de l'âge des mères à la naissance.

Substitution of (R,S)-methadone by (R)-methadone: Impact on QTc interval.

Methadone is administered as a chiral mixture of (R,S)-methadone. The opioid effect is mainly mediated by (R)-methadone, whereas (S)-methadone blocks the human ether-à-go-go-related gene (hERG) voltage-gated potassium channel more potently, which can cause drug-induced long QT syndrome, leading to potentially lethal ventricular tachyarrhythmias. To investigate whether substitution of (R,S)-methadone by (R)-methadone could reduce the corrected QT (QTc) interval, (R,S)-methadone was replaced by (R)-methadone (half-dose) in 39 opioid-dependent patients receiving maintenance treatment for 14 days. (R)-methadone was then replaced by the initial dose of (R,S)-methadone for 14 days (n = 29). Trough (R)-methadone and (S)-methadone plasma levels and electrocardiogram measurements were taken. The Fridericia-corrected QT (QTcF) interval decreased when (R,S)-methadone was replaced by a half-dose of (R)-methadone; the median (interquartile range [IQR]) values were 423 (398-440) milliseconds (ms) and 412 (395-431) ms (P = .06) at days 0 and 14, respectively. Using a univariate mixed-effect linear model, the QTcF value decreased by a mean of -3.9 ms (95% confidence interval [CI], -7.7 to -0.2) per week (P = .04). The QTcF value increased when (R)-methadone was replaced by the initial dose of (R,S)-methadone for 14 days; median (IQR) values were 424 (398-436) ms and 424 (412-443) ms (P = .01) at days 14 and 28, respectively. The univariate model showed that the QTcF value increased by a mean of 4.7 ms (95% CI, 1.3-8.1) per week (P = .006). Substitution of (R,S)-methadone by (R)-methadone reduces the QTc interval value. A safer cardiac profile of (R)-methadone is in agreement with previous in vitro and pharmacogenetic studies. If the present results are confirmed by larger studies, (R)-methadone should be prescribed instead of (R,S)-methadone to reduce the risk of cardiac toxic effects and sudden death.

Forecasting nano law: defining nano

Law and science have partnered together in the recent past to solve major public health issues, ranging from asbestos to averting the threat of a nuclear holocaust. This paper travels to a legal and health policy frontier where no one has gone before, examining the role of precautionary principles under international law as a matter of codified international jurisprudence by examining draft terminology from prominent sources including the Royal Commission on Environmental Pollution (UK), the Swiss Confederation, the USA (NIOSH) and the OECD. The research questions addressed are how can the benefits of nanotechnology be realized, while minimizing the risk of harm? What law, if any, applies to protect consumers (who comprise the general public, nanotechnology workers and their corporate social partners) and other stakeholders within civil society from liability? What law, if any, applies to prevent harm?

The sample processing time interval as an influential factor in flow cytometry analysis of lymphocyte subsets

The objective of this paper is to propose a protocol to analyze blood samples in yellow fever 17DD vaccinated which developed serious adverse events. We investigated whether or not the time between sample collection and sample processing could interfere in lymphocyte subset percentage, for it is often impossible to analyze blood samples immediately after collection due to transport delay from collection places to the flow cytometry facility. CD4+CD38+ T, CD8+CD38+ T, CD3+ T, CD19+ B lymphocyte subsets were analyzed by flow cytometry in nine healthy volunteers immediately after blood collection and after intervals of 24 and 48 h. The whole blood lysis method and gradient sedimentation by Histopaque were applied to isolate peripheral blood mononuclear cells for flow cytometry analyses. With the lysis method, there was no significant change in lymphocyte subset percentage between the two time intervals (24 and 48 h). In contrast, when blood samples were processed by Histopaque gradient sedimentation, time intervals for sample processing influenced the percentage in T lymphocyte subsets but not in B cells. From the results obtained, we could conclude that the whole blood lysis method is more appropriate than gradient sedimentation by Histopaque for immunophenotyping of blood samples collected after serious adverse events, due to less variation in the lymphocyte subset levels with respect to the time factor.

Birth records from Swiss married couples analyzed over the past 35 years reveal an aging of first-time mothers by 5.1 years while the interpregnancy interval has shortened.

Although the general trend for delaying childbearing is generally viewed as causing infertility, its consequences on the interpregnancy interval have been unknown. A study of birth records for Swiss married women from 1969 to 2006 revealed that the woman's age at first birth has increased from 25.0 to 30.1 years, whereas calculated theoretical interpregnancy intervals after the first and second child decreased from 23.2 to 13 and from 22.4 to 7.9 months, respectively.

Coherent forecasting of multiple-decrement life tables: a test using Japanese cause of death data

Planners in public and private institutions would like coherent forecasts of the components of age-specic mortality, such as causes of death. This has been di cult toachieve because the relative values of the forecast components often fail to behave ina way that is coherent with historical experience. In addition, when the group forecasts are combined the result is often incompatible with an all-groups forecast. It hasbeen shown that cause-specic mortality forecasts are pessimistic when compared withall-cause forecasts (Wilmoth, 1995). This paper abandons the conventional approachof using log mortality rates and forecasts the density of deaths in the life table. Sincethese values obey a unit sum constraint for both conventional single-decrement life tables (only one absorbing state) and multiple-decrement tables (more than one absorbingstate), they are intrinsically relative rather than absolute values across decrements aswell as ages. Using the methods of Compositional Data Analysis pioneered by Aitchison(1986), death densities are transformed into the real space so that the full range of multivariate statistics can be applied, then back-transformed to positive values so that theunit sum constraint is honoured. The structure of the best-known, single-decrementmortality-rate forecasting model, devised by Lee and Carter (1992), is expressed incompositional form and the results from the two models are compared. The compositional model is extended to a multiple-decrement form and used to forecast mortalityby cause of death for Japan

Forecasting changes in population genetic structure of alpine plants in response to global warming.

Species range shifts in response to climate and land use change are commonly forecasted with species distribution models based on species occurrence or abundance data. Although appealing, these models ignore the genetic structure of species, and the fact that different populations might respond in different ways because of adaptation to their environment. Here, we introduced ancestry distribution models, that is, statistical models of the spatial distribution of ancestry proportions, for forecasting intra-specific changes based on genetic admixture instead of species occurrence data. Using multi-locus genotypes and extensive geographic coverage of distribution data across the European Alps, we applied this approach to 20 alpine plant species considering a global increase in temperature from 0.25 to 4 °C. We forecasted the magnitudes of displacement of contact zones between plant populations potentially adapted to warmer environments and other populations. While a global trend of movement in a north-east direction was predicted, the magnitude of displacement was species-specific. For a temperature increase of 2 °C, contact zones were predicted to move by 92 km on average (minimum of 5 km, maximum of 212 km) and by 188 km for an increase of 4 °C (minimum of 11 km, maximum of 393 km). Intra-specific turnover-measuring the extent of change in global population genetic structure-was generally found to be moderate for 2 °C of temperature warming. For 4 °C of warming, however, the models indicated substantial intra-specific turnover for ten species. These results illustrate that, in spite of unavoidable simplifications, ancestry distribution models open new perspectives to forecast population genetic changes within species and complement more traditional distribution-based approaches.

Species distributions and interactions in a changing world : from understanding to forecasting

Les écosystèmes fournissent de nombreuses ressources et services écologiques qui sont utiles à la population humaine. La biodiversité est une composante essentielle des écosystèmes et maintient de nombreux services. Afin d'assurer la permanence des services écosystémiques, des mesures doivent être prises pour conserver la biodiversité. Dans ce but, l'acquisition d'informations détaillées sur la distribution de la biodiversité dans l'espace est essentielle. Les modèles de distribution d'espèces (SDMs) sont des modèles empiriques qui mettent en lien des observations de terrain (présences ou absences d'une espèce) avec des descripteurs de l'environnement, selon des courbes de réponses statistiques qui décrive la niche réalisée des espèces. Ces modèles fournissent des projections spatiales indiquant les lieux les plus favorables pour les espèces considérées. Le principal objectif de cette thèse est de fournir des projections plus réalistes de la distribution des espèces et des communautés en montagne pour le climat présent et futur en considérant non-seulement des variables abiotiques mais aussi biotiques. Les régions de montagne et l'écosystème alpin sont très sensibles aux changements globaux et en même temps assurent de nombreux services écosystémiques. Cette thèse est séparée en trois parties : (i) fournir une meilleure compréhension du rôle des interactions biotiques dans la distribution des espèces et l'assemblage des communautés en montagne (ouest des Alpes Suisses), (ii) permettre le développement d'une nouvelle approche pour modéliser la distribution spatiale de la biodiversité, (iii) fournir des projections plus réalistes de la distribution future des espèces ainsi que de la composition des communautés. En me focalisant sur les papillons, bourdons et plantes vasculaires, j'ai détecté des interactions biotiques importantes qui lient les espèces entre elles. J'ai également identifié la signature du filtre de l'environnement sur les communautés en haute altitude confirmant l'utilité des SDMs pour reproduire ce type de processus. A partir de ces études, j'ai contribué à l'amélioration méthodologique des SDMs dans le but de prédire les communautés en incluant les interactions biotiques et également les processus non-déterministes par une approche probabiliste. Cette approche permet de prédire non-seulement la distribution d'espèces individuelles, mais également celle de communautés dans leur entier en empilant les projections (S-SDMs). Finalement, j'ai utilisé cet outil pour prédire la distribution d'espèces et de communautés dans le passé et le futur. En particulier, j'ai modélisé la migration post-glaciaire de Trollius europaeus qui est à l'origine de la structure génétique intra-spécifique chez cette espèce et évalué les risques de perte face au changement climatique. Finalement, j'ai simulé la distribution des communautés de bourdons pour le 21e siècle afin d'évaluer les changements probables dans ce groupe important de pollinisateurs. La diversité fonctionnelle des bourdons va être altérée par la perte d'espèces spécialistes de haute altitude et ceci va influencer la pollinisation des plantes en haute altitude. - Ecosystems provide a multitude of resources and ecological services, which are useful to human. Biodiversity is an essential component of those ecosystems and guarantee many services. To assure the permanence of ecosystem services for future generation, measure should be applied to conserve biodiversity. For this purpose, the acquisition of detailed information on how biodiversity implicated in ecosystem function is distributed in space is essential. Species distribution models (SDMs) are empirical models relating field observations to environmental predictors based on statistically-derived response surfaces that fit the realized niche. These models result in spatial predictions indicating locations of the most suitable environment for the species and may potentially be applied to predict composition of communities and their functional properties. The main objective of this thesis was to provide more accurate projections of species and communities distribution under current and future climate in mountains by considering not solely abiotic but also biotic drivers of species distribution. Mountain areas and alpine ecosystems are considered as particularly sensitive to global changes and are also sources of essential ecosystem services. This thesis had three main goals: (i) a better ecological understanding of biotic interactions and how they shape the distribution of species and communities, (ii) the development of a novel approach to the spatial modeling of biodiversity, that can account for biotic interactions, and (iii) ecologically more realistic projections of future species distributions, of future composition and structure of communities. Focusing on butterfly and bumblebees in interaction with the vegetation, I detected important biotic interactions for species distribution and community composition of both plant and insects along environmental gradients. I identified the signature of environmental filtering processes at high elevation confirming the suitability of SDMs for reproducing patterns of filtering. Using those case-studies, I improved SDMs by incorporating biotic interaction and accounting for non-deterministic processes and uncertainty using a probabilistic based approach. I used improved modeling to forecast the distribution of species through the past and future climate changes. SDMs hindcasting allowed a better understanding of the spatial range dynamic of Trollius europaeus in Europe at the origin of the species intra-specific genetic diversity and identified the risk of loss of this genetic diversity caused by climate change. By simulating the future distribution of all bumblebee species in the western Swiss Alps under nine climate change scenarios for the 21st century, I found that the functional diversity of this pollinator guild will be largely affected by climate change through the loss of high elevation specialists. In turn, this will have important consequences on alpine plant pollination.