Extreme Value at Risk and Expected Shortfall during Financial Crisis

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is stronger using the historical VaR approach than when using the extreme values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for predicting the asset risk losses. Banks have no interest in using it because the Basel II agreement penalizes banks using accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper.Market risk; Value at Risk; EVT; GARCH; Financial crisis; Basel requirements

What we learned from the Dust Bowl: lessons in science, policy, and adaptation

This article provides a review and synthesis of scholarly knowledge of Depression-era droughts on the North American Great Plains, a time and place known colloquially as the Dust Bowl era or the Dirty Thirties. Recent events, including the 2008 financial crisis, severe droughts in the US corn belt, and the release of a popular documentary film, have spawned a resurgence in public interest in the Dust Bowl. Events of the Dust Bowl era have also proven in recent years to be of considerable interest to scholars researching phenomena related to global environmental change, including atmospheric circulation, drought modeling, land management, institutional behavior, adaptation processes, and human migration. In this review, we draw out common themes in terms of not only what natural and social scientists have learned about the Dust Bowl era itself, but also how insights gained from the study of that period are helping to enhance our understanding of climate–human relations more generally

The Effect of Common-Mode Voltage Elimination on the Iron Loss in Machine Core Laminations of Multilevel Drives

This paper studies the effect of common-mode voltage elimination (CMVE) on the iron loss of electrical machine core laminations under multilevel converter supply. Three identical magnetic ring cores are excited by either a three-level converter or a five-level voltage source converter to study the behavior of CMVE on a three-phase system. Both multilevel converters are controlled by using a space vector pulse width modulation as it is one of the most often used techniques for CMVE. These experimental results are confirmed numerically with a dynamic iron loss model. In addition, the effect of CMVE, at different switching frequencies, on the core loss of a synchronous machine is numerically studied. The results presented in this paper show that the core loss is considerably increased when the CMVE is implemented. However this iron loss increase in five-level drive systems is lower compared to the three-level ones. Therefore, it is important that the designers of drive systems take such effects into consideration.Peer reviewe

Decision and Discovery in Defining “Disease”

This version (May 17, 2005) was published in its final form as: Schwartz PH. Decision and discovery in defining 'disease'. In: Kincaid H, McKitrick J, editors. Establishing medical reality: essays in the metaphysics and epistemology of biomedical science. Dordrecht: Springer; 2007. p. 47-63. http://dx.doi.org/10.1007/1-4020-5216-2_5The debate over how to analyze the concept of disease has often centered on the question of whether to include a reference to values, in particular the ‘disvalue’of diseases, or whether to avoid such notions. ‘Normativists,’such as King ([1954], 1981) and Culver and Gert (1982) emphasize the undesirability of diseases, while ‘Naturalists,’ most prominently Christopher Boorse (1977, 1987, 1997), instead require just the presence of biological dysfunction. The debate between normativism and naturalism often deteriorates into stalemate, with each side able to point out significant problems with the other. It starts to look as if neither approach can work. In this paper, I argue that the standoff stems from deeply questionable assumptions that have been used to formulate the opposing positions and guide the debate. In the end, I propose an alternative set of guidelines that offer a more constructive way to devise and compare theories

Npas4 is activated by melatonin, and drives the clock gene Cry1 in the ovine pars tuberalis

Seasonal mammalsintegrate changes in the duration of nocturnal melatonin secretion to drive annual physiologic cycles. Melatonin receptors within the proximal pituitary region, the pars tuberalis (PT), are essential in regulating seasonal neuroendocrine responses. In the ovine PT, melatonin is known to influence acute changes in transcriptional dynamics coupled to the onset (dusk) and offset (dawn) of melatonin secretion, leading to a potential interval-timing mechanism capable of decoding changes in day length (photoperiod). Melatonin offset at dawn is linked to cAMP accumulation, which directly induces transcription of the clock gene Per1. The rise of melatonin at dusk induces a separate and distinct cohort, including the clock-regulated genes Cry1 and Nampt, but little is known of the upstream mechanisms involved. Here, we used next-generation sequencing of the ovine PT transcriptome at melatonin onset and identified Npas4 as a rapidly induced basic helix-loop-helix Per-Arnt-Sim domain transcription factor. In vivo we show nuclear localization of NPAS4 protein in presumptive melatonin target cells of the PT (α-glycoprotein hormone-expressing cells), whereas in situ hybridization studies identified acute and transient expression in the PT of Npas4 in response to melatonin. In vitro, NPAS4 forms functional dimers with basic helix loop helix-PAS domain cofactors aryl hydrocarbon receptor nuclear translocator (ARNT), ARNT2, and ARNTL, transactivating both Cry1 and Nampt ovine promoter reporters. Using a combination of 5'-deletions and site-directed mutagenesis, we show NPAS4-ARNT transactivation to be codependent upon two conserved central midline elements within the Cry1 promoter. Our data thus reveal NPAS4 as a candidate immediate early-response gene in the ovine PT, driving molecular responses to melatonin