Variability in Modified Estimators of VaR and ES

Thesis (Master's)--University of Washington, 2016-06

Bias and standard error for social reciprocity measurements

The directional consistency and skew-symmetry statistics have been proposed as global measurements of social reciprocity. Although both measures can be useful for quantifying social reciprocity, researchers need to know whether these estimators are biased in order to assess descriptive results properly. That is, if estimators are biased, researchers should compare actual values with expected values under the specified null hypothesis. Furthermore, standard errors are needed to enable suitable assessment of discrepancies between actual and expected values. This paper aims to derive some exact and approximate expressions in order to obtain bias and standard error values for both estimators for round-robin designs, although the results can also be extended to other reciprocal designs.

Adverse Selection, Credit, and Efficiency: the Case of the Missing Market

We analyze a standard environment of adverse selection in credit markets. In our envi- ronment, entrepreneurs who are privately informed about the quality of their projects need to borrow from banks. As is generally the case in economies with adverse selection, the competitive equilibrium of our economy is shown to be ine¢ cient. Under adverse selection, the choices made by one type of agents limit what can be o¤ered to other types in an incentive-compatible manner. This gives rise to an externality, which cannot be internalized in a competitive equilibrium. We show that, in this type of environment, the ine¢ ciency associated to adverse selection is the consequence of one implicit assumption: entrepreneurs can only borrow from banks. If an additional market is added (say, a .security market.), in which entrepreneurs can obtain funds beyond those o¤ered by banks, we show that the e¢ cient allocation is an equilibrium of the economy. In such an equilibrium, all entrepreneurs borrow at a pooling rate in the security market. When they apply to bank loans, though, only entrepreneurs with good projects pledge these additional funds as collateral. This equilibrium thus simultaneously entails cross- subsidization and separation between di¤erent types of entrepreneurs.

Adverse selection, credit, and efficiency: the case of the missing market

We analyze a standard environment of adverse selection in credit markets. In our environment, entrepreneurs who are privately informed about the quality of their projects need to borrow in order to invest. Conventional wisdom says that, in this class of economies, the competitive equilibrium is typically inefficient. We show that this conventional wisdom rests on one implicit assumption: entrepreneurs can only access monitored lending. If a new set of markets is added to provide entrepreneurs with additional funds, efficiency can be attained in equilibrium. An important characteristic of these additional markets is that lending in them must be unmonitored, in the sense that it does not condition total borrowing or investment by entrepreneurs. This makes it possible to attain efficiency by pooling all entrepreneurs in the new markets while separating them in the markets for monitored loans.

Comparison between standard radiography and spiral CT with 3D reconstruction in the evaluation, classification and management of tibial plateau fractures.

The aim of this study was to compare the diagnostic efficiency of plain film and spiral CT examinations with 3D reconstructions of 42 tibial plateau fractures and to assess the accuracy of these two techniques in the pre-operative surgical plan in 22 cases. Forty-two tibial plateau fractures were examined with plain film (anteroposterior, lateral, two obliques) and spiral CT with surface-shaded-display 3D reconstructions. The Swiss AO-ASIF classification system of bone fracture from Muller was used. In 22 cases the surgical plans and the sequence of reconstruction of the fragments were prospectively determined with both techniques, successively, and then correlated with the surgical reports and post-operative plain film. The fractures were underestimated with plain film in 18 of 42 cases (43%). Due to the spiral CT 3D reconstructions, and precise pre-operative information, the surgical plans based on plain film were modified and adjusted in 13 cases among 22 (59%). Spiral CT 3D reconstructions give a better and more accurate demonstration of the tibial plateau fracture and allows a more precise pre-operative surgical plan.

Adverse selection, credit and efficiency: The case of the missing market

We analyze a standard environment of adverse selection in credit markets. In our environment,entrepreneurs who are privately informed about the quality of their projects need toborrow from banks. Conventional wisdom says that, in this class of economies, the competitiveequilibrium is typically inefficient.We show that this conventional wisdom rests on one implicit assumption: entrepreneurscan only borrow from banks. If an additional market is added to provide entrepreneurs withadditional funds, efficiency can be attained in equilibrium. An important characteristic of thisadditional market is that it must be non-exclusive, in the sense that entrepreneurs must be ableto simultaneously borrow from many different lenders operating in it. This makes it possible toattain efficiency by pooling all entrepreneurs in the new market while separating them in themarket for bank loans.

Adverse selection, credit and efficiency: The case of the missing market

We analyze a standard environment of adverse selection in credit markets. In our environment,entrepreneurs who are privately informed about the quality of their projects needto borrow in order to invest. Conventional wisdom says that, in this class of economies, thecompetitive equilibrium is typically inefficient.We show that this conventional wisdom rests on one implicit assumption: entrepreneurscan only access monitored lending. If a new set of markets is added to provide entrepreneurswith additional funds, efficiency can be attained in equilibrium. An important characteristic ofthese additional markets is that lending in them must be unmonitored, in the sense that it doesnot condition total borrowing or investment by entrepreneurs. This makes it possible to attainefficiency by pooling all entrepreneurs in the new markets while separating them in the marketsfor monitored loans.

Random measurement error and regression dilution bias.

Summary points: - The bias introduced by random measurement error will be different depending on whether the error is in an exposure variable (risk factor) or outcome variable (disease) - Random measurement error in an exposure variable will bias the estimates of regression slope coefficients towards the null - Random measurement error in an outcome variable will instead increase the standard error of the estimates and widen the corresponding confidence intervals, making results less likely to be statistically significant - Increasing sample size will help minimise the impact of measurement error in an outcome variable but will only make estimates more precisely wrong when the error is in an exposure variable

Accuracy and efficiency evaluation of point-centered quarter method variations for vegetation sampling in an araucaria forest

In order to verify Point-Centered Quarter Method (PCQM) accuracy and efficiency, using different numbers of individuals by per sampled area, in 28 quarter points in an Araucaria forest, southern Paraná, Brazil. Three variations of the PCQM were used for comparison associated to the number of sampled individual trees: standard PCQM (SD-PCQM), with four sampled individuals by point (one in each quarter), second measured (VAR1-PCQM), with eight sampled individuals by point (two in each quarter), and third measuring (VAR2-PCQM), with 16 sampled individuals by points (four in each quarter). Thirty-one species of trees were recorded by the SD-PCQM method, 48 by VAR1-PCQM and 60 by VAR2-PCQM. The level of exhaustiveness of the vegetation census and diversity index showed an increasing number of individuals considered by quadrant, indicating that VAR2-PCQM was the most accurate and efficient method when compared with VAR1-PCQM and SD-PCQM.

Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency

We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility index (VIX) or the Black-Scholes implied volatility. The theoretical justification for the instrument-based estimator relies on a certain invariance property, which can be exploited when high frequency data is available. The price-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument, the price-only estimator is inefficient as the instrument-based estimator has a faster rate of convergence. We consider two empirical applications, in which we study the relationship between the leverage effect and the debt-to-equity ratio, credit risk, and illiquidity.

Natural resource windfalls and efficiency of local government expenditures: evidence from Peru

We study the role of natural resource windfalls in explaining the efficiency of public expenditures. Using a rich dataset of expenditures and public good provision for 1,836 municipalities in Peru for period 2001-2010, we estimate a non-monotonic relationship between the efficiency of public good provision and the level of natural resource transfers. Local governments that were extremely favored by the boom of mineral prices were more efficient in using fiscal windfalls whereas those benefited with modest transfers were more inefficient. These results can be explained by the increase in political competition associated with the boom. However, the fact that increases in efficiency were related to reductions in public good provision casts doubts about the beneficial effects of political competition in promoting efficiency.

High Incorrect Use of the Standard Error of the Mean (SEM) in Original Articles in Three Cardiovascular Journals Evaluated for 2012.

RATIONALE In biomedical journals authors sometimes use the standard error of the mean (SEM) for data description, which has been called inappropriate or incorrect. OBJECTIVE To assess the frequency of incorrect use of SEM in articles in three selected cardiovascular journals. METHODS AND RESULTS All original journal articles published in 2012 in Cardiovascular Research, Circulation: Heart Failure and Circulation Research were assessed by two assessors for inappropriate use of SEM when providing descriptive information of empirical data. We also assessed whether the authors state in the methods section that the SEM will be used for data description. Of 441 articles included in this survey, 64% (282 articles) contained at least one instance of incorrect use of the SEM, with two journals having a prevalence above 70% and "Circulation: Heart Failure" having the lowest value (27%). In 81% of articles with incorrect use of SEM, the authors had explicitly stated that they use the SEM for data description and in 89% SEM bars were also used instead of 95% confidence intervals. Basic science studies had a 7.4-fold higher level of inappropriate SEM use (74%) than clinical studies (10%). LIMITATIONS The selection of the three cardiovascular journals was based on a subjective initial impression of observing inappropriate SEM use. The observed results are not representative for all cardiovascular journals. CONCLUSION In three selected cardiovascular journals we found a high level of inappropriate SEM use and explicit methods statements to use it for data description, especially in basic science studies. To improve on this situation, these and other journals should provide clear instructions to authors on how to report descriptive information of empirical data.

Macroalgal responses to ocean acidification depend on nutrient and light levels

Ocean acidification may benefit algae that are able to capitalize on increased carbon availability for photosynthesis, but it is expected to have adverse effects on calcified algae through dissolution. Shifts in dominance between primary producers will have knock-on effects on marine ecosystems and will likely vary regionally, depending on factors such as irradiance (light vs. shade) and nutrient levels (oligotrophic vs. eutrophic). Thus experiments are needed to evaluate interactive effects of combined stressors in the field. In this study, we investigated the physiological responses of macroalgae near a CO2 seep in oligotrophic waters off Vulcano (Italy). The algae were incubated in situ at 0.2 m depth using a combination of three mean CO2 levels (500, 700-800 and 1200 µatm CO2), two light levels (100 and 70% of surface irradiance) and two nutrient levels of N, P, and K (enriched vs. non-enriched treatments) in the non-calcified macroalga Cystoseira compressa (Phaeophyceae, Fucales) and calcified Padina pavonica (Phaeophyceae, Dictyotales). A suite of biochemical assays and in vivo chlorophyll a fluorescence parameters showed that elevated CO2 levels benefitted both of these algae, although their responses varied depending on light and nutrient availability. In C. compressa, elevated CO2 treatments resulted in higher carbon content and antioxidant activity in shaded conditions both with and without nutrient enrichment-they had more Chla, phenols and fucoxanthin with nutrient enrichment and higher quantum yield (Fv/Fm) and photosynthetic efficiency (alpha ETR) without nutrient enrichment. In P. pavonica, elevated CO2 treatments had higher carbon content, Fv/Fm, alpha ETR, and Chla regardless of nutrient levels-they had higher concentrations of phenolic compounds in nutrient enriched, fully-lit conditions and more antioxidants in shaded, nutrient enriched conditions. Nitrogen content increased significantly in fertilized treatments, confirming that these algae were nutrient limited in this oligotrophic part of the Mediterranean. Our findings strengthen evidence that brown algae can be expected to proliferate as the oceans acidify where physicochemical conditions, such as nutrient levels and light, permit.

Functional consequences of prey acclimation to ocean acidification for the prey and its predator

Ocean acidification is the suite of chemical changes to the carbonate system of seawater as a consequence of anthropogenic carbon dioxide (CO2) emissions. Despite a growing body of evidences demonstrating the negative effects of ocean acidification on marine species, the consequences at the ecosystem level are still unclear. One factor limiting our ability to upscale from species to ecosystem is the poor mechanistic understanding of the functional consequences of the observed effects on organisms. This is particularly true in the context of species interactions. The aim of this work was to investigate the functional consequence of the exposure of a prey (the mussel Brachidontes pharaonis) to ocean acidification for both the prey and its predator (the crab Eriphia verrucosa). Mussels exposed to pH 7.5 for >4 weeks showed significant decreases in condition index and in mechanical properties (65% decrease in maximum breaking load) as compared with mussels acclimated to pH 8.0. This translated into negative consequences for the mussel in presence of the predator crab. The crab feeding efficiency increased through a significant 27% decrease in prey handling time when offered mussels acclimated to the lowest pH. The predator was also negatively impacted by the acclimation of the prey, probably as a consequence of a decreased food quality. When fed with prey acclimated under decreased pH for 3 months, crab assimilation efficiency significantly decreased by 30% and its growth rate was 5 times slower as compared with crab fed with mussels acclimated under high pH. Our results highlight the important to consider physiological endpoints in the context of species interactions.