Predictive ability of Value-at-Risk methods: evidence from the Karachi Stock Exchange-100 Index

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR is popular among researchers, practitioners and regulators of financial institutions. VaR has been extensively used for to measure systematic risk exposure in developed markets like of the US, Europe and Asia. In this paper we analyze the accuracy of VaR measure for Pakistan’s emerging stock market using daily data from the Karachi Stock Exchange-100 index January 1992 to June 2008. We computed VaR by employing data on annual basis as well as for the whole 17 year period. Overall we found that VaR measures are more accurate when KSE index return volatility is estimated by GARCH (1,1) model especially at 95% confidence level. In this case the actual loss of KSE-100 index exceeds VaR in only two years 1998 and 2006. At 99% confidence level no method generally gives accurate VaR estimates. In this case ‘equally weighted moving average’, ‘exponentially weighted moving average’ and ‘GARCH’ based methods yield accurate VaR estimates in nearly half of the number of years. On average for the whole period 95% VaR is estimated to be about 2.5% of the value of KSE-100 index. That is on average in one out of 20 days KSE-100 index loses at least 2.5% of its value. We also investigate the asset pricing implication of downside risk measured by VaR and expected returns for docile portfolios sorted according to VaR of each stock. We found that portfolios with higher VaR have higher average returns. Therefore VaR as a measure of downside risk is associated with higher returns.Downside risk; Emerging Markets; Value-at-Risk

Predictive Ability of Value-at-Risk Methods: Evidence from the Karachi Stock Exchange-100 Index

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan’s emerging stock market using daily data from the Karachi Stock Exchange-100 index January 1992 to June 2008. We computed VaR by employing data on annual basis as well as for the whole 17 year period. Overall we found that VaR measures are more accurate when KSE index return volatility is estimated by GARCH (1,1) model especially at 95% confidence level. In this case the actual loss of KSE-100 index exceeds VaR in only two years 1998 and 2006. At 99% confidence level no method generally gives accurate VaR estimates. In this case ‘equally weighted moving average’, ‘exponentially weighted moving average’ and ‘GARCH’ based methods yield accurate VaR estimates in nearly half of the number of years. On average for the whole period 95% VaR is estimated to be about 2.5% of the value of KSE-100 index. That is on average in one out of 20 days KSE-100 index loses at least 2.5% of its value. We also investigate the asset pricing implication of downside risk measured by VaR and expected returns for decile portfolios sorted according to VaR of each stock. We found that portfolios with higher VaR have higher average returns. Therefore VaR as a measure of downside risk is associated with higher returns.Downside risk; Emerging Markets; Value-at-Risk.

Herpes simplex keratitis: Challenges in diagnosis and clinical management

Herpes simplex virus is responsible for numerous ocular diseases, the most common of which is herpetic stromal keratitis. This is a recurrent infection of the cornea that typically begins with a subclinical infection of the cornea that establishes a latent infection of sensory ganglia, most often the trigeminal ganglia. Recurring infections occur when the virus is reactivated from latency and travels back to the cornea, where it restimulates an inflammatory response. This inflammatory response can lead to decreased corneal sensation, scarring, and blindness. The diagnosis of these lesions as the result of a recurrent herpes simplex virus infection can at times be problematic. Currently, herpetic stromal keratitis is diagnosed by its clinical presentation on the slit-lamp examination, but the literature does not always support the accuracy of these clinical findings. Other diagnostic tests such as polymerase chain reaction assay, enzyme-linked immunosorbent assay, immunofluorescent antibody, and viral cultures have provided more definitive diagnosis, but also have some limitations. That said, accurate diagnosis is necessary for proper treatment, in order to prevent serious consequences. Current treatment reduces the severity of lesions and controls further viral spread, but does not provide a cure

Impacts of fish sanctuaries on the production and diversity of plankton on beels of haor region in Bangladesh

The experiment was carried out to study the impacts of fish sanctuaries on the production and diversity of plankton in beels of haor region at Mithamain Upazila of Kishoreganj district in Bangladesh during July 2004 to June 2005. A total of 75 (60 phyto and 15 zooplankton) and 74 (59 phyto and 15 zooplankton) genera of plankton were recorded in T-1 and T-2 (with sanctuary) respectively while only 50 (39 phyto and 11 zooplankton) genera were obtained in T-3 (control). Chlorophyceae and Copepoda were the most dominant group of phytoplankton and zooplankton respectively in all the treatments. The total phytoplankton numbers were found to range from 5472 to 35,833 cells/l and 5250 to 40,472 cells/l and total zooplankton from 667 to 1722 cells/l and 611 to 1667 cells/l in T-1 and T-2 respectively in sanctuary sites whereas the ranges of phytoplankton and zooplankton in the control site were 1778 to 29,333 cells/l and 56 to 1056 cells/l respectively. The maximum phytoplankton and zooplankton were recorded during winter season in all the treatments. The ranges of total plankton were 6194 to 37,500 cells/l, 6028 to 41,806 cells/l and 1889 to 29,444 cells/l in T-1, T-2 and T-3 respectively. The phytoplankton, zooplankton and total plankton recorded in treatments with sanctuary were significantly higher (p<0.5) than the treatment without sanctuary (control) indicating positive impacts of sanctuaries on the production of plankton. Between two treatments of fish sanctuaries the total plankton populations were comparatively higher in T-2 than T-1

Best multiple non-linear model factors for knock engine (SI) by using ANFIS

Knock Prediction in vehicles is an ideal problem for non-linear regression to deal with, which use many of the factors of information to predict another factor. Training data were collected through a test engine for the Malaysian Proton company and in various states of speed.Selected six influential factors on the knocking(Throttle Position Sensor(TPS),Temperature(TEMP),Revolution Per Minute(RPM),(TORQUE),Ignition Timing( IGN),Acceleration Position(AC_POS)), has been taking data for this study and then applied to a single cylinder,output factor (output variable) to be prediction factor is a knock.We compare the performance of resultant ANFIS and Linear regression to obtain results shows effectiveness ANFIS, as well as three factors were selected from six non-linear factors to get the best model by using Adaptive Neuro-Fuzzy Inference System (ANFIS).Experiments demonstrate that although soft computing methods are somewhat of tolerant of inaccurate inputs, cleaned data results in more robust models for practical problems

The impact of routine open nonsuction drainage on fluid accumulation after thyroid surgery: a prospective randomised clinical trial.

Background: Thyroid drains following thyroid surgery are routinely used despite minimal supportive evidence. Our aim in this study is to determine the impact of routine open drainage of the thyroid bed postoperatively on ultrasound-determined fluid accumulation at 24 hours. Methods: We conducted a prospective randomised clinical trial on patients undergoing thyroid surgery. Patients were randomly assigned to a drain group (n = 49) or a no-drain group (n = 44) immediately prior to wound closure. Patients underwent a neck ultrasound on day 1 and day 2 postoperatively. After surgery, we evaluated visual analogue scale pain scores, postoperative analgesic requirements, self-reported scar satisfaction at 6 weeks and complications. Results: There was significantly less mean fluid accumulated in the drain group on both day 1, 16.4 versus 25.1 ml (P-value = 0.005), and day 2, 18.4 versus 25.7 ml (P-value = 0.026), following surgery. We found no significant differences between the groups with regard to length of stay, scar satisfaction, visual analogue scale pain score and analgesic requirements. There were four versus one wound infections in the drain versus no-drain groups. This finding was not statistically significant (P = 0.154). No life-threatening bleeds occurred in either group. Conclusions: Fluid accumulation after thyroid surgery was significantly lessened by drainage. However, this study did not show any clinical benefit associated with this finding in the non-emergent setting. Drains themselves showed a trend indicating that they may augment infection rates. The results of this study suggest that the frequency of acute life-threatening bleeds remains extremely low following abandoning drains. We advocate abandoning routine use of thyroid drains. Trial registration: ISRCTN94715414

The Conditional Relationship between Risk and Return: Evidence from an Emerging Market

This paper examine whether the conditional relationship between betaand return proposed by Pettengill et al. (1995) exist in an emergingstock market namely Pakistan. We applied this approach to KarachiStock Exchange (KSE-100) returns data over the period of 1992-2008,and found that there is a flat unconditional relationship between betaand return which is consistent with previous research. And when wesplit our sample into up market and down market return months, ourresult supported the conditional relationship

Gender Representation in Pakistani and British English Fiction: A Corpus Based Study

The present study aims at the comparative stylistic analysis of gender presentation in terms of status and attitude in Pakistani and British English Fiction. The data are based on the instances of ‘he is’ and ‘she is’ in relation to the complements following them. The methodology adopted for the research is corpus based and deals with the data both qualitatively and quantitatively, however, with a major inclination towards qualitative analysis. The instances of ‘He is’ and ‘She is’ along with the  concordance words are derived from PEF and BEF corpora consisted of one million words for each through Antconc 3.2.2. The data are further manually analyzed in MS Excel and then categorized in relation to Status and attitude linked with ‘he’ and ‘she’ in both PEF and BEF. It is found that the gender representation is quite typical of the culture it relates to. The presentation of ‘he is’ and ‘she is’ in BEF is of positive and balanced nature where as that of in PEF is based on the superiority and inferiority of men and women respectively. The research is a contribution in the better understanding and interpretation of Pakistani English fiction and British English fiction