Measuring Tail Risks at High Frequency

I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads. Market makers embed tail risk information into spreads because (1) they lose to arbitrageurs when changes to asset values exceed the cost of liquidity and (2) underlying price movements and potential costs are linear in factor loadings. Using this insight, simple cross-sectional regressions relating spreads and trading volume to factor betas can recover tail risks in real time for priced or non-priced return factors. The methodology disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with Federal Open Market Committee announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash. The recovered time series of implied market risks also aligns closely with both realized market jumps and the VIX.

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.

Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence

Thesis (Ph.D.)--University of Washington, 2016-06

Willingness to trial functional foods and vitamin supplements: the role of attitudes, subjective norms, and dread of risks

Australian non-users of vitamin supplements (N = 162) and functional foods (N = 226) responded to a questionnaire examining their attitudes, subjective norms, and perceived behavioural control from the Theory of Planned Behaviour (TPB), risk dread and risk familiarity, and willingness to engage in free product trials. The impact of participants’ gender and age was also examined. Attitude and subjective norms were significant determinants of non-users willingness to trial each of the health products. Participants’ dread of the risk associated with the product was also a determinant of willingness to use functional foods. The overall models predicted between 25% and 30% of the variance in people’s willingness to trial the products. The findings provided some support for the TPB in predicting people’s willingness to trial functional foods and vitamin supplements and suggested, for willingness to trial functional foods, that non-users are also influenced by their dread of the risk associated with product use.

The future of cognitive and behavioral therapies in the prevention and early management of psychosis : opportunities and risks

Behavioral and cognitive interventions for people with psychosis have a long and distinguished history, although the evidence for their application to young people remains limited. We anticipate that the next decades will show substantial research into psychological intervention for this population. Important targets will include the management of environmental stressors, reduction of substance misuse, and promotion of early treatment. Psychological management of positive symptoms, depression, and suicidal behavior will continue to be critical objectives. Important secondary prevention goals will be the retention of cognitive functioning, vocational options, social skills, and social network support, including appropriate family support. We expect primary prevention to include both universal programs and interventions for adolescents at particularly high risk. Technical innovations will include increasing use of Internet-based intervention and behavior cueing devices. Pressures for intervention brevity will continue, as will problems with the systematic delivery of effective procedures.

15 year old volens to BMX riding risks

The Queensland Court of Appeal recently heard a case that raised the defence of volenti on fit injuria. By a majority of 2:1 the court held in Leyden v Caboolture Shire Council [2007] QCA 134 (20 April 2007) that the defence of volenti was established and defeated the action in negligence for damages for personal injury. The facts of the case were quite simple. The plaintiff was 15 years old when he was injured at the Bluebell Park which was controlled and managed by the Caboolture Shire Council (the defendant). The park had a BMX track – built and maintained by the defendant. At trial it was held that although the defendant owed a duty of care to entrants, a duty was not owed to the plaintiff. The judge found that the plaintiff was different to other entrants who used facilities provided by a council in a public park. The plaintiff was not relying upon the defendant to provide a BMX track with jumps that were reasonably safe as the evidence was that the track was regularly altered by third parties and the plaintiff knew that. Therefore it was reasoned that the plaintiff was relying upon the ability of the third parties who modified the jump and his own ability to use it, not the ability of the defendant to provide a reasonably safe track (at [10]). The trial judge also held that if a duty was owed, the defence of volenti applied so as to defeat the claim for damages. This was based upon the evidence that the plaintiff knew of the modification of the jump by third parties and knew of the risk. It was held that the plaintiff ‘had the appropriate subjective appreciation of the risk’ (at [11]).

Validity of the Waterlow screening tool and risks for pressure injury in acute care

Objectives: To assess the validity of the Waterlow screening tool in a cohort of internal medicine patients and to identify factors contributing to pressure injury. Design: Longitudinal cohort study Setting: A tertiary hospital in Brisbane, Australia Participants: 274 patients admitted through the Emergency Department or outpatient clinics and expected to remain in hospital for at least three days were included in the study. The mean age was 65.3 years. Interventions: Patients were screened on admission using the Waterlow screening tool. Every second day, their pressure ulcer status was monitored and recorded. Main outcome measures: Pressure ulcer incidence Results: Fifteen participants (5.5%) had an existing pressure ulcer and a further 12 (4.4%) developed a pressure ulcer during their hospital stay. Sensitivity of the Waterlow scale was 0.67, (95% CI: 0.35 to 0.88); specificity 0.79, (95% CI: 0.73 to 0.85); PPV 0.13, (95% CI: 0.07 to 0.24); NPV 0.98, (95% CI: 0.94 to 0.99). Conclusion: This study provides further evidence of the poor predictive validity of the Waterlow scale. A suitably powered randomised controlled trial is urgently needed to provide definitive evidence about the usefulness of the Waterlow scale compared with other screening tools and with clinical judgement.