VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.

Current trends in international banking supervision following the 1996 Amendment to the Basel Accord emphasise market risk control based upon internal Value-at-risk (VaR) models. This paper discusses the merits and drawbacks of VaR models in the light of their impact on market liquidity. After a preliminary review of basic concepts and measures regarding market risk, market friction and liquidity risk, the arguments supporting the internal models approach to supervision on market risk are discussed, in the light of the debate on the limitations and possible enhancements of VaR models. In particular, adverse systemic effects of widespread risk management practices are considered. Risk measurement models dealing with liquidity risk are then examined in detail, in order to verify their potential for application in the field. We conclude that VaR models are still far from effectively treating market and liquidity risk in their multi-faceted aspects. Regulatory guidelines are right in recognising the importance of internal risk control systems. Implementation of those guidelines might inadvertently encourage mechanic application of VaR models, with adverse systemic effects.

Rischio e incertezza in finanza: classificazione e logiche di gestione.

Il paper si propone di inquadrare i principali approcci elaborati dalla teoria e dalla prassi operativa per definire, misurare e controllare i fenomeni aleatori che interessano gli intermediari finanziari. Nella prima parte si propone uno schema di classificazione dei fenomeni aleatori, basata sulla contrapposizione tra rischio, prezzato secondo le teorie del CAPM e dell'arbitrage pricing, e aleatorietà endogena, o incertezza, affrontata secondo approcci e visioni più eclettiche quali l'analisi tecnico-grafica e la teoria dei sistemi complessi. Si sottolinea come l'aleatorietà endogena sia prodotta dall'interazione riflessiva tra variazioni dei prezzi, attese e intervento degli operatori sul mercato. A ciascuna tipologia di alea individuata si cerca infine di abbinare il corretto approccio gestionale. Il paper ripropone, con lievi modificazioni, un lavoro non pubblicato dell'autore del 1992.

I mercati finanziari come sistemi complessi: il modello di Vaga.

Il paper si propone di presentare i concetti fondamentali e le applicazioni di alcune promettenti teorie intese a rappresentare i mercati finanziari come sistemi dinamici complessi che evolvono tra diversi stati, caratterizzati da distinte configurazioni di rendimento e rischio. In particolare ci si sofferma sul modello del mercato azionario di Vaga, basato sul modello del ferromagnetismo di Ising, evidenziandone le possibili applicazioni all'analisi e alla previsione della volatilità.

Capire la volatilità con il modello binomiale.

Questo lavoro si propone di illustrare i concetti basilari dell'arbitrage pricing degli strumenti finanziari derivati mediante semplici modelli a tempo discreto che non richiedono nozioni di calcolo differenziale. In particolare si analizzano le proprietà statistiche dei prezzi e dei ritorni finanziari (valore atteso, varianza, deviazione standard) con riferimento alle distribuzioni "vera" e neutrale al rischio. Si sottolinea la mutua dipendenza tra praticabilità della strategia di replica autofinanziante di uno strumento derivato e possibilità di definire una ragionevole distribuzione neutrale al rischio dal processo del sottostante. Si evidenzia come la volatilità implicita nel prezzo delle opzioni sia una misura del compenso equo per i costi delle strategie di replica e, al tempo stesso, valendo le ipotesi limitative dei modelli canonici, una stima della volatilità attesa della vera distribuzione.

Eating Disorders

Anorexia and bulimia are diseases known since ancient times, but in recent years their frequency has been continuously increasing in most industrialized countries. The etiology of these disorders can be traced back to the interaction between genetic predisposition, childhood experiences, and cultural pressures. As regards the course, a certain tendency to chronicity can be observed, and in extreme cases, they can cause death. According to the diagnostic classification of the DSM-5, eating disorders include anorexia nervosa, bulimia nervosa, binge eating disorder (which, compared to DSM-IV, becomes a diagnostic category in its own right), and other specified feeding and eating disorders (OSFED). Both anorexia and bulimia cause potentially serious medical complications. To maximize the chances of good outcomes a multidisciplinary intervention is necessary with staff including professionally heterogeneous figures: a psychiatrist, a psychologist, and a nutritionist. Therapeutic success for these patients is limited. Eating disorders require, among psychiatric disorders, the greatest possible collaboration between different professional figures with different specializations

Visuo-tactile shape perception in women with Anorexia Nervosa and healthy women with and without body concerns.

Abstract A key feature of Anorexia Nervosa is body image disturbances, the study of which has focused mainly on visual and attitudinal aspects, did not always contain homogeneous groups of patients, and/or did not evaluate body shape concerns of the control group. In this study, we used psychophysical methods to investigate the visual, tactile and bimodal perception of elliptical shapes in a group of patients with Anorexia Nervosa (AN) restricting type and two groups of healthy participants, which differed from each other by the presence of concerns about their own bodies. We used an experimental paradigm designed to test the hypothesis that the perceptual deficits in AN reflect an impairment in multisensory integration. The results showed that the discrimination thresholds of AN patients are larger than those of the two control groups. While all participants overestimated the width of the ellipses, this distortion was more pronounced in AN patients and, to a lesser extent, healthy women concerned about their bodies. All groups integrated visual and tactile information similarly in the bimodal conditions, which does not support the multi-modal integration impairment hypothesis. We interpret these results within an integrated model of perceptual deficits of Anorexia Nervosa based on a model of somatosensation that posits a link between object tactile perception and Mental Body Representations. Finally, we found that the participants' perceptual abilities were correlated with their clinical scores. This result should encourage further studies that aim at evaluating the potential of perceptual indexes as a tool to support clinical practices

Fat Mass and Obesity-Associated Gene (FTO) in Eating Disorders: Evidence for Association of the rs9939609 Obesity Risk Allele with Bulimia nervosa and Anorexia nervosa

Objective: The common single nucleotide polymorphism (SNP) rs9939609 in the fat mass and obesity-associated gene (FTO) is associated with obesity. As genetic variants associated with weight regulation might also be implicated in the etiology of eating disorders, we evaluated whether SNP rs9939609 is associated with bulimia nervosa (BN) and anorexia nervosa (AN). Methods: Association of rs9939609 with BN and AN was assessed in 689 patients with AN, 477 patients with BN, 984 healthy non-population-based controls, and 3,951 population-based controls (KORA-S4). Based on the familial and premorbid occurrence of obesity in patients with BN, we hypothesized an association of the obesity risk A-allele with BN. Results: In accordance with our hypothesis, we observed evidence for association of the rs9939609 A-allele with BN when compared to the non-population-based controls (unadjusted odds ratio (OR) = 1.142, one-sided 95% confidence interval (CI) 1.001-infinity; one-sided p = 0.049) and a trend in the population-based controls (OR = 1.124, one-sided 95% CI 0.932-infinity; one-sided p = 0.056). Interestingly, compared to both control groups, we further detected a nominal association of the rs9939609 A-allele to AN (OR = 1.181, 95% CI 1.027-1.359, two-sided p = 0.020 or OR = 1.673, 95% CI 1.101-2.541, two-sided p = 0.015,). Conclusion: Our data suggest that the obesity-predisposing FTO allele might be relevant in both AN and BN. Copyright (C) 2012 S. Karger GmbH, Freibur

A comparison of low-dose risperidone to paroxetine in the treatment of panic attacks: a randomized, single-blind study

<p>Abstract</p> <p>Background</p> <p>Because a large proportion of patients with panic attacks receiving approved pharmacotherapy do not respond or respond poorly to medication, it is important to identify additional therapeutic strategies for the management of panic symptoms. This article describes a randomized, rater-blind study comparing low-dose risperidone to standard-of-care paroxetine for the treatment of panic attacks.</p> <p>Methods</p> <p>Fifty six subjects with a history of panic attacks were randomized to receive either risperidone or paroxetine. The subjects were then followed for eight weeks. Outcome measures included the Panic Disorder Severity Scale (PDSS), the Hamilton Anxiety Scale (Ham-A), the Hamilton Depression Rating Scale (Ham-D), the Sheehan Panic Anxiety Scale-Patient (SPAS-P), and the Clinical Global Impression scale (CGI).</p> <p>Results</p> <p>All subjects demonstrated a reduction in both the frequency and severity of panic attacks regardless of treatment received. Statistically significant improvements in rating scale scores for both groups were identified for the PDSS, the Ham-A, the Ham-D, and the CGI. There was no difference between treatment groups in the improvement in scores on the measures PDSS, Ham-A, Ham-D, and CGI. Post hoc tests suggest that subjects receiving risperidone may have a quicker clinical response than subjects receiving paroxetine.</p> <p>Conclusion</p> <p>We can identify no difference in the efficacy of paroxetine and low-dose risperidone in the treatment of panic attacks. Low-dose risperidone appears to be tolerated equally well as paroxetine. Low-dose risperidone may be an effective treatment for anxiety disorders in which panic attacks are a significant component.</p> <p>Trial Registration</p> <p>ClinicalTrials.gov Identifier: NCT100457106</p