Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation

This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical Simulation, EVT and conditional EVT methods. Special emphasis is paid on two methodologies related to the Extreme Value Theory (EVT): The Peaks over Threshold (POT) and the Block Maxima (BM). Both estimation techniques are based on limits results for the excess distribution over high thresholds and block maxima, respectively. We apply both unconditional and conditional EVT models to management of extreme market risks in stock markets. They are applied on daily returns of the Tunisian stock exchange (BVMT) and CAC 40 indexes with the intension to compare the performance of various estimation methods on markets with different capitalization and trading practices. The sample extends over the period July 29, 1994 to December 30, 2005. We use a rolling windows of approximately four years (n= 1000 days). The sub-period from July, 1998 for BVMT (from August 4, 1998 for CAC 40) has been reserved for backtesting purposes. The results we report demonstrate that conditional POT-EVT method produces the most accurate forecasts of extreme losses both for standard and more extreme VaR quantiles. The conditional block maxima EVT method is less accurate

Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation

This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical Simulation, EVT and conditional EVT methods. Special emphasis is paid on two methodologies related to the Extreme Value Theory (EVT): The Peaks over Threshold (POT) and the Block Maxima (BM). Both estimation techniques are based on limits results for the excess distribution over high thresholds and block maxima, respectively. We apply both unconditional and conditional EVT models to management of extreme market risks in stock markets. They are applied on daily returns of the Tunisian stock exchange (BVMT) and CAC 40 indexes with the intension to compare the performance of various estimation methods on markets with different capitalization and trading practices. The sample extends over the period July 29, 1994 to December 30, 2005. We use a rolling windows of approximately four years (n= 1000 days). The sub-period from July, 1998 for BVMT (from August 4, 1998 for CAC 40) has been reserved for backtesting purposes. The results we report demonstrate that conditional POT-EVT method produces the most accurate forecasts of extreme losses both for standard and more extreme VaR quantiles. The conditional block maxima EVT method is less accurate

Comparative Analysis of WRKY Genes Potentially Involved in Salt Stress Responses in Triticum turgidum L. ssp. durum

WRKY transcription factors are involved in multiple aspects of plant growth, development and responses to biotic stresses. Although they have been found to play roles in regulating plant responses to environmental stresses, these roles still need to be explored, especially those pertaining to crops. Durum wheat is the second most widely produced cereal in the world. Complex, large and unsequenced genomes, in addition to a lack of genomic resources, hinder the molecular characterization of tolerance mechanisms. This paper describes the isolation and characterization of five TdWRKY genes from durum wheat(TriticumturgidumL.ssp.durum).APCR-based screening of aT.turgidum BAC genomic library using primers within the conserved region of WRKY genes resulted in the isolation of five BAC clones. Following sequencing fully the five BACs, fine annotation through Triannot pipeline revealed 74.6% of the entire sequences as transposable elements and a 3.2% gene content with genes organized as islands with in oceans of TEs. Each BAC clone harbored a TdWRKY gene .The study showed a very extensive conservation of genomic structure between TdWRKYs and their orthologs from Brachypodium, barley, and T. aestivum. The structural features of TdWRKY proteins suggested that they are novel members of the WRKY family in durum wheat. TdWRKY1/2/4 , TdWRKY3, and TdWRKY5 belong to the group Ia, IIa, andIIc, respectively. Enrichmentofcis- regulatory elements related to stress responses in the promoters of some TdWRKY genes indicated their potential roles inmediating plant responses to a wide variety of environmental stresses. TdWRKY genes displayed different expression patterns in response to salt stress that distinguishes two durum wheat genotypes with contrasting salt stress tolerance phenotypes. TdWRKY genes tended to react earlier with a down-regulation in sensitive genotype leaves and with an up-regulation intolerant genotype leaves. The TdWRKY transcripts levels in roots increased intolerant genotype compared to sensitive genotype. The present results indicate that these genes might play some functional role in the salt tolerance in durum wheat

TdERF1, an ethylene response factor associated with dehydration responses in durum wheat (Triticum turgidum L. subsp. durum)

Water deficit and increasing salinization reduce productivity of wheat, the leading crop for human diet. While the complete genome sequence of this crop has not been deciphered, a BAC library screening allowed the isolation of TdERF1, the first ethylene response factor gene from durum wheat. This gene is putatively involved in mediating salt stress tolerance and its characterization provides clues towards understanding the mechanisms underlyning the adaptation/tolerance of durum wheat to suboptimal growth conditions. TdERF1 expression is differentially induced by high salt treatment in two durum wheat varieties, the salt-tolerant Grecale (GR) and the salt-sensitive Om Rabiaa (OR). To further extend these findings, we show here that the expression of this ERF is correlated with physiological parameters, such as the accumulation of osmo-regulators and membrane integrity, that discriminate between the two contrasted wheat genotypes. The data confirm that GR and OR are two contrasted wheat genotypes with regard to salt-stress and show that TdERF1 is also induced by water stress with an expression pattern clearly discriminating between the twogenotypes. These findings suggest that TdERF1 might be involved in responses to salt and water stress providing a potential genetic marker discriminating between tolerant and sensitive wheat varieties

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

This paper conducts a comparative evaluation of the predictive performance of various Value-at-Risk (VaR) models. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and the Block Maxima (BM). We apply both unconditional and conditional EVT models to management of extreme market risks in stock markets. They are applied on daily returns of the BVMT and CAC 40 indices with the intention to compare the performance of various estimation methods on markets with different capitalisation and trading practices. The results we report demonstrate that conditional POT EVT method produces the most accurate forecasts of extreme losses both for standard and more extreme VaR quantiles. The conditional block maxima EVT method is less accurate.financial risk management; value-at-risk; VaR estimation; extreme value theory; EVT; conditional EVT; backtesting; peaks over threshold; block maxima; market risks; stock markets; extreme losses; forecasting.