On the coherence of Expected Shortfall

Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ES can get lost unless one took care of the details in its definition. We compare some of the definitions of Expected Shortfall, pointing out that there is one which is robust in the sense of yielding a coherent risk measure regardless of the underlying distributions. Moreover, this Expected Shortfall can be estimated effectively even in cases where the usual estimators for VaR fail. Key words: Expected Shortfall; Risk measure; worst conditional expectation; tail con-ditional expectation; value-at-risk (VaR); conditional value-at-risk (CVaR); tail mean; co-herence; quantile; sub-additivity.Comment: 18 pages, LaTeX + pdfLaTeX, appendix adde

Expected Shortfall: a natural coherent alternative to Value at Risk

We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes.Comment: to be published on "Wilmott Magazine" (http://www.wilmott.com

First operations of the LNS heavy ions facility

Abstract A heavy ion facility is now available at Laboratorio Nazionale del Sud (LNS) of Catania. It can deliver beams with an energy up to 100 MeV/amu. The facility is based on a 15MV HVEC tandem and a K = 800 superconducting cyclotron as booster. During the last year, the facility came into operation. A 58Ni beam delivered by the tandem has been radially injected in the SC and then has been accelerated and extracted at 30 MeV/amu. In this paper the status of the facility together with the experience gained during the commissioning will be extensively reported

Functional reconstitution of HBV-specific CD8 T cells by in vitro polyphenol treatment in chronic hepatitis B.

Background & aims In chronic HBV infection, mitochondrial functions and proteostasis are dysregulated in exhausted HBV-specific CD8 T cells. To better characterise the potential involvement of deregulated protein degradation mechanisms in T cell exhaustion, we analysed lysosome-mediated autophagy in HBV-specific CD8 T cells. Bioactive compounds able to simultaneously target both mitochondrial functions and proteostasis were tested to identify optimal combination strategies to reconstitute efficient antiviral CD8 T cell responses in patients with chronic HBV infection. Methods Lysosome-mediated degradation pathways were analysed by flow cytometry in virus-specific CD8 T cells from patients with chronic HBV infection. Mitochondrial function, intracellular proteostasis, and cytokine production were evaluated in HBV-peptide-stimulated T cell cultures, in the presence or absence of the polyphenols resveratrol (RSV) and oleuropein (OLE) and their metabolites, either alone or in combination with other bioactive compounds. Results HBV-specific CD8 T cells from patients with CHB showed impaired autophagic flux. RSV and OLE elicited a significant improvement in mitochondrial, proteostasis and antiviral functions in CD8 T cells. Cytokine production was also enhanced by synthetic metabolites, which correspond to those generated by RSV and OLE metabolism in vivo, suggesting that these polyphenols may also display an effect after transformation in vivo. Moreover, polyphenolic compounds improved the T cell revitalising effect of mitochondria-targeted antioxidants and of programmed cell death protein 1/programmed cell death ligand 1 blockade. Conclusions Simultaneously targeting multiple altered intracellular pathways with the combination of mitochondria-targeted antioxidants and natural polyphenols may represent a promising immune reconstitution strategy for the treatment of chronic HBV infection. Lay summary In chronic hepatitis B, antiviral T lymphocytes are deeply impaired, with many altered intracellular functions. In vitro exposure to polyphenols, such as resveratrol and oleuropein, can correct some of the deregulated intracellular pathways and improve antiviral T cell function. This effect can be further strengthened by the association of polyphenols with antioxidant compounds in a significant proportion of patients. Thus, the combination of antioxidants and natural polyphenols represents a promising strategy for chronic hepatitis B therapy

Conceptual Design of a Soft X‐ray SASE‐FEL Source

FELs based on SASE are believed to be powerful tools to explore the frontiers of basic sciences, from physics to chemistry to biology. Intense R&D programs have started in the USA and Europe in order to understand the SASE physics and to prove the feasibility of these sources. The allocation of considerable resources in the Italian National Research Plan (PNR) brought about the formation of a CNR‐ENEA‐INFN‐University of Roma "Tor Vergata" study group. A conceptual design study has been developed and possible schemes for linac sources have been investigated, bringing to the SPARX proposal. We report in this paper the results of a preliminary start to end simulation concerning one option we are considering based on an S‐band normal conducting linac with high brightness photoinjector integrated in a RF compressor