Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Flexibility and firm value: the role of inventories

In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

A fuzzy risk attitude classification based on prospect theory

Traditional methods do not actually measure peoples’ risk attitude naturally and precisely. Therefore, a fuzzy risk attitude classification method is developed. Since the prospect theory is usually considered as an effective model of decision making, the personalized parameters in prospect theory are firstly fuzzified to distinguish people with different risk attitudes, and then a fuzzy classification database schema is applied to calculate the exact value of risk value attitude and risk be- havior attitude. Finally, by applying a two-hierarchical clas- sification model, the precise value of synthetical risk attitude can be acquired.

Temporal variability of damage potential on roads as a conceptual contribution towards a short-term avalanche risk simulation

The fatality risk caused by avalanches on road networks can be analysed using a long-term approach, resulting in a mean value of risk, and with emphasis on short-term fluctuations due to the temporal variability of both, the hazard potential and the damage potential. In this study, the approach for analysing the long-term fatality risk has been adapted by modelling the highly variable short-term risk. The emphasis was on the temporal variability of the damage potential and the related risk peaks. For defined hazard scenarios resulting from classified amounts of snow accumulation, the fatality risk was calculated by modelling the hazard potential and observing the traffic volume. The avalanche occurrence probability was calculated using a statistical relationship between new snow height and observed avalanche releases. The number of persons at risk was determined from the recorded traffic density. The method resulted in a value for the fatality risk within the observed time frame for the studied road segment. The long-term fatality risk due to snow avalanches as well as the short-term fatality risk was compared to the average fatality risk due to traffic accidents. The application of the method had shown that the long-term avalanche risk is lower than the fatality risk due to traffic accidents. The analyses of short-term avalanche-induced fatality risk provided risk peaks that were 50 times higher than the statistical accident risk. Apart from situations with high hazard level and high traffic density, risk peaks result from both, a high hazard level combined with a low traffic density and a high traffic density combined with a low hazard level. This provided evidence for the importance of the temporal variability of the damage potential for risk simulations on road networks. The assumed dependence of the risk calculation on the sum of precipitation within three days is a simplified model. Thus, further research is needed for an improved determination of the diurnal avalanche probability. Nevertheless, the presented approach may contribute as a conceptual step towards a risk-based decision-making in risk management.

Elicitable distortion risk measures: A concise proof

Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an elicitable distortion risk measure is either a Value-at-Risk or the mean. We give a concise alternative proof of this result, and discuss the conflict between comonotonic additivity and elicitability.

A Methodological model to assist the optimization and risk management of mining investment decisions

Identifying, quantifying, and minimizing technical risks associated with investment decisions is a key challenge for mineral industry decision makers and investors. However, risk analysis in most bankable mine feasibility studies are based on the stochastic modelling of project “Net Present Value” (NPV)which, in most cases, fails to provide decision makers with a truly comprehensive analysis of risks associated with technical and management uncertainty and, as a result, are of little use for risk management and project optimization. This paper presents a value-chain risk management approach where project risk is evaluated for each step of the project lifecycle, from exploration to mine closure, and risk management is performed as a part of a stepwise value-added optimization process.

Aplicação de métodos computacionais multidisciplinares de engenharia para otimização de carteiras de investimentos.

Este trabalho apresenta uma nova metodologia para otimizar carteiras de ativos financeiros. A metodologia proposta, baseada em interpoladores universais tais quais as Redes Neurais Artificiais e a Krigagem, permite aproximar a superfície de risco e consequentemente a solução do problema de otimização associado a ela de forma generalizada e aplicável a qualquer medida de risco disponível na literatura. Além disto, a metodologia sugerida permite que sejam relaxadas hipóteses restritivas inerentes às metodologias existentes, simplificando o problema de otimização e permitindo que sejam estimados os erros na aproximação da superfície de risco. Ilustrativamente, aplica-se a metodologia proposta ao problema de composição de carteiras com a Variância (controle), o Valor-em-Risco (VaR) e o Valor-em-Risco Condicional (CVaR) como funções objetivo. Os resultados são comparados àqueles obtidos pelos modelos de Markowitz e Rockafellar, respectivamente.

Myocardial Perfusion Imaging Is a Strong Predictor of Death in Women

OBJECTIVES We sought to assess the prognostic value and risk classification improvement using contemporary single-photon emission computed tomography myocardial perfusion imaging (SPECT-MPI) to predict all-cause mortality. BACKGROUND Myocardial perfusion is a strong estimator of prognosis. Evidence published to date has not established the added prognostic value of SPECT-MPI nor defined an approach to detect improve classification of risk in women from a developing nation. METHODS A total of 2,225 women referred for SPECT-MPI were followed by a mean period of 3.7 +/- 1.4 years. SPECT-MPI results were classified as abnormal on the presence of any perfusion defect. Abnormal scans were further classified as with mild/moderate reversible, severe reversible, partial reversible, or fixed perfusion defects. Risk estimates for incident mortality were categorized as <1%/year, 1% to 2%/year, and >2%/year using Cox proportional hazard models. Risk-adjusted models incorporated clinical risk factors, left ventricular ejection fraction (LVEF), and perfusion variables. RESULTS All-cause death occurred in 139 patients. SPECT-MPI significantly risk stratified the population; patients with abnormal scans had significantly higher death rates compared with patients with normal scans, 13.1% versus 4.0%, respectively (p < 0.001). Cox analysis demonstrated that after adjusting for clinical risk factors and LVEF, SPECT-MPI improved the model discrimination (integrated discrimination index = 0.009; p = 0.02), added significant incremental prognostic information (global chi-square increased from 87.7 to 127.1; p < 0.0001), and improved risk prediction (net reclassification improvement = 0.12; p = 0.005). CONCLUSIONS SPECT-MPI added significant incremental prognostic information to clinical and left ventricular functional variables while enhancing the ability to classify this Brazilian female population into low-and high-risk categories of all-cause mortality. (J Am Coll Cardiol Img 2011;4:880-8) (C) 2011 by the American College of Cardiology Foundation

Evaluation of risks at MANTEM

International statistics show that the problem of the accidents at work is far away to be solved (ILO estimates that every year about 270 million work accidents and 160 million occupational diseases resulting in the death of more than 2 million workers occurs in the world). That's why the EU global goal concerning the community' strategy for occupational health and safety for 2007-2012 is to reduce in 25% the incidence rate of occupational accidents and diseases. In this prospect it is presented a case study which justify the need to develop studies in Safety, Hygiene and Health at Work area as a way to encourage the managers to implement preventive actions and strategies, besides meeting the legal requirements, in order to reduce the occurrence of work accidents, improve the work conditions and therefore obtain benefits in added values and reinforced competition. The general objective of this study is to describe the work situations, identify the dangers and associate the potential risks and consequences; evaluate and value the risk. The study uses the Failure Table methodology and, in the business area of an organization which will be from now on designated as MANTEM that works in the electromechanical maintenance area. The results were, amongst others, some actions to be implemented to eliminate/minimize risks.

Fisiopatologia da microcirculação coronária e perfusão do miorcárdio : ecocardiografia de contraste do miocárdio e doppler transtorácico

RESUMO: Este trabalho tentou contribuir para a caracterização da fisiopatologia da microcirculação coronária em diferentes formas de patologia com o auxílio da ecocardiografia transtorácica. Com a aplicação da ecocardiografia Doppler transtorácica foi efectuado o estudo da reserva coronária da artéria descendente anterior e com a ecocardiografia de contraste do miocárdio foram analisados parâmetros de perfusão do miocárdio como a velocidade da microcirculação coronária, o volume de sangue miocárdico e a reserva de fluxo miocárdico. Estas técnicas foram utilizadas em diferentes situações fisiopatológicas com particular interesse na hipertrofia ventricular esquerda de diferentes etiologias como a hipertensão arterial, estenose aórtica e cardiomiopatia hipertrófica. Também na diabetes mellitus tipo 2 e na doença coronária aterosclerótica, estudámos as alterações da microcirculação coronária. Com a mesma técnica de ecocardiografia de contraste do miocárdio foi analisada a perfusão do miocárdio num modelo experimental animal sujeito a uma dieta aterogénica. Além das conclusões específicas em relação a cada um dos trabalhos efectuados há a referir como conclusões gerais a sua fácil aplicabilidade e exequibilidade em âmbito clínico, a sua reprodutibilidade e precisão. Quando comparadas com técnicas consideradas de referência mostraram resultados com significativa correlação estatística. Em todos os doentes e nos grupos controle foi possível comprovar e quantificar o gradiente de perfusão transmural em repouso e durante a acção de stress vasodilatador, relevando a importância da perfusão sub-endocárdica na função do ventrículo esquerdo. O estudo da microcirculação coronária no grupo de doentes com hipertrofia ventricular esquerda revelou que no grupo com hipertensão arterial existe disfunção da microcirculação coronária ainda antes de se observar aumento de massa do ventrículo esquerdo, e que esta disfunção é diferente em função da geometria ventricular. Nos doentes com estenose aórtica foi demonstrado que além da disfunção da microcirculação coronária, explicada pelo fenómeno de hipertrofia, existe outro componente extrínseco que depois de corrigido através de cirurgia de substituição valvular, conduziu a uma parcial normalização dos valores de reserva coronária. Na cardiomiopatia hipertrófica observou-se uma grande heterogeneidade de perfusão transmural e foi documentado, em imagens de ecocardiografia de contraste do miocárdio e após análise paramétrica, a ausência de perfusão do miocárdio na região sub-endocárdica durante o stress vasodilatador de reserva coronária diminuídos em fases precoces de evolução da doença. Foi demonstrado que a reserva coronária na DM2 em fases mais avançadas estava significativamente diminuída. Descrevemos também em doentes com DM2 e sem doença coronária angiográfica a existência de disfunção da microcirculação coronária. Durante o stress vasodilatador, observámos e documentámos neste grupo de doentes, a existência de defeitos de perfusão transitórios ou de diminuição da velocidade da microcirculação coronária. No grupo de doentes com doença coronária confirmámos o interesse da avaliação da reserva coronária após intervenção percutânea na definição de prognóstico pós EAM, em termos de recuperação funcional do ventrículo esquerdo. Em doentes com BCRE e de difícil estratificação de risco, foi possível calcular o valor de reserva coronária e estratificar o risco de doença coronária. Num modelo experimental animal demonstrámos a exequibilidade da técnica de ECM, e verificámos que nessas condições experimentais, uma sobrecarga aterogénica na dieta, ao fim de 6 semanas, comprometia severamente a reserva coronária. Estes resultados foram parcialmente reversíveis quando à dieta foi adicionada uma estatina. Estas técnicas pela sua não invasibilidade, fácil acesso, repetibilidade e inocuidade perspectivam-se de grande utilidade na caracterização de doentes com disfunção da microcirculação coronária, nas diferentes áreas de diagnóstico, terapêutica e prevenção. A possibilidade de adaptar a técnica em modelos experimentais animais também nos parece poder vir a ter grande utilidade em investigação.----------------ABSTRACT: This work is intended to be a contribution to the study of coronary microcirculation applying new echocardiographic techniques as transthoracic Doppler echocardiography of coronary arteries and myocardial contrast echocardiography. Coronary flow reserve may be assessed by transthoracic Doppler echocardiography, and important functional microcirculation parameters as microcirculation flow velocity, myocardial blood volume and myocardial flow reserve may be evaluated through myocardial contrast echocardiography. Microcirculation was analysed in different pathophysiological settings. We addressed situations with increased left ventricular mass as systemic arterial hypertension, aortic stenosis and hypertrophic cardiomyopathy. Also coronary microcirculation was studied in type 2 Diabetes and in different clinical forms of atherosclerotic coronary artery disease. Specific and detailed conclusions were withdrawn from each experimental work. In the overall it was concluded that these two techniques were important tools to easily assess specific pathophysiological information about coronary microcirculation at bed side which would be difficult to get through other techniques. When compared with gold standard techniques, similar sensibility and specificity was found. Because of their better temporal and spatial resolution it was possible to analyse the importance of transmural perfusion gradients, both in basal and during vasodilatation, and their relation to ischemia, and mechanical wall kinetics, as wall thickening and motion. Coronary microcirculation dysfunction was found in systemic arterial hypertension early evolution stages, also related to different left ventricular geometric patterns. Different etiopathogenical explanations for aortic stenosis coronary microcirculation dysfunction were analysed and compared after aortic valve replacement. Transmural myocardial perfusion heterogeneity pattern was observed in hypertrophic cardiomyopathy which was aggravated during adenosine challenge. Coronary microcirculation dysfunction was diagnosed in type 2 diabetes both with coronary artery disease and with normal angiographic coronary arteries. Dynamic transitory subendocardial perfusion defects with adenosine vasodilatation were visualized in these patients.In patients with left branch block, transthoracic Doppler echocardiography was able to suggest a coronary reserve cut-off value for risk stratification. Also it was possible with this technique to calculate coronary flow reserve and predict restenosis after PTCA Again, in an experimental animal model, applying myocardial contrast echocardiography technique it was possible to study the consequences of an atherogenic diet and statins action on the coronary microcirculation function. Because these techniques are easily performed at bed side, are harmless, use no ionizing radiation and because of their repeatability, reproducibility and accuracythey are promissory tools to assess coronary microcirculation. Both in clinic and research areas these techniques will probably have a role in clinical diagnosis, prevention and therapeutically decision.

Relationship between Neutrophil-To-Lymphocyte Ratio and Electrocardiographic Ischemia Grade in STEMI

Background: Neutrophil-to-lymphocyte ratio (NLR) has been found to be a good predictor of future adverse cardiovascular outcomes in patients with ST-segment elevation myocardial infarction (STEMI). Changes in the QRS terminal portion have also been associated with adverse outcomes following STEMI. Objective: To investigate the relationship between ECG ischemia grade and NLR in patients presenting with STEMI, in order to determine additional conventional risk factors for early risk stratification. Methods: Patients with STEMI were investigated. The grade of ischemia was analyzed from the ECG performed on admission. White blood cells and subtypes were measured as part of the automated complete blood count (CBC) analysis. Patients were classified into two groups according to the ischemia grade presented on the admission ECG, as grade 2 ischemia (G2I) and grade 3 ischemia (G3I). Results: Patients with G3I had significantly lower mean left ventricular ejection fraction than those in G2I (44.58 ± 7.23 vs. 48.44 ± 7.61, p = 0.001). As expected, in-hospital mortality rate increased proportionally with the increase in ischemia grade (p = 0.036). There were significant differences in percentage of lymphocytes (p = 0.010) and percentage of neutrophils (p = 0.004), and therefore, NLR was significantly different between G2I and G3I patients (p < 0.001). Multivariate logistic regression analysis revealed that only NLR was the independent variable with a significant effect on ECG ischemia grade (odds ratio = 1.254, 95% confidence interval 1.120–1.403, p < 0.001). Conclusion: We found an association between G3I and elevated NLR in patients with STEMI. We believe that such an association might provide an additional prognostic value for risk stratification in patients with STEMI when combined with standardized risk scores.

A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

In this paper we propose a subsampling estimator for the distribution ofstatistics diverging at either known rates when the underlying timeseries in strictly stationary abd strong mixing. Based on our results weprovide a detailed discussion how to estimate extreme order statisticswith dependent data and present two applications to assessing financialmarket risk. Our method performs well in estimating Value at Risk andprovides a superior alternative to Hill's estimator in operationalizingSafety First portofolio selection.

Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Preventing invasive candida infections. Where could we do better?

Invasive candidiasis is associated with high mortality rates, ranging from 35% to 60%, in the range reported for septic shock. The epidemiology and pathogenesis of invasive candidiasis differ according to the patient's immune status; the majority of cases in immunocompromised hosts are candidaemia, whereas non-candidaemic systemic candidiasis accounts for the majority of cases in critically ill patients. In contrast to candidaemia, non-candidaemic systemic candidiasis is difficult to prove, especially in critically ill patients. Up to 80% of these patients are colonized, but only 5-30% develop invasive infection. The differentiation of colonization and proven infection is challenging, and evolution from the former to the latter requires seven to 10 days. This continuum from colonization of mucosal surfaces to local invasion and then invasive infection makes it difficult to identify those critically ill patients likely to benefit most from antifungal prophylaxis or early empirical antifungal treatment. Early empirical treatment of non-candidaemic systemic candidiasis currently relies on the positive predictive value of risk assessment strategies, such as the colonization index, candida score, and predictive rules based on combinations of risk factors such as candida colonization, broad-spectrum antibiotics, and abdominal surgery. Although guidelines recently scored these strategies as being supported by limited evidence, they are widely used at bedside and have substantially decreased the incidence of invasive candidiasis.