Sensitivity Analysis of Values at Risk

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an analysis is given for an portfolio of French stocks.Value at Risk; risk management; VaR efficient portfolio; iso VaR; kernel estimators; quantile

Friends For Good - Wicked: A New Musical and the Idealization of Friendship

This rhetorical analysis explores the relationship between the two main characters, Elphaba and G(a)linda, in the musical Wicked through the interpersonal communication lens of friendship. This article focuses on the role that friendship plays in the musical and suggests that friendship is a relationship that can be stronger than romantic relationships. Through the application of Rawlins’ work on friendship to the relationship between Elphaba and G(a)linda, this analysis suggests that friendship is the most prominent relationship in Wicked. Wicked offers an im-portant message to theatre-goers: Friendship is something to be valued and cherished

Variance Optimal Cap Pricing Models

We propose new closed-form pricing formulas for interest rate options which guarantee perfect compatibility with volatility smiles. These cap pricing formulas are computed under variance optimal measures in the framework of the market model or the Gaussian model and achieve an exact calibration of observed market prices. They are presented in a general setting allowing to study model and numéraire choice effects on the computed prices. Numéraire dependence is particularly emphasized. A numerical example and an empirical application on market data are given to illustrate the practical use of the calibration procedure.Discount bond option; cap pricing formula; volatility smile; variance optimal measure; implied pricing model

Trypanosomiase humaine africaine : étude d'un score de présomption de diagnostic au Congo

Une enquête cas-témoins a été réalisée au Congo afin de définir une grille de score de présomption de la maladie du sommeil à #T.b. gambiense$, basée sur une sélection de critères cliniques et épidémiologiques de la trypanosomiase, utilisable par les structures sanitaires périphériques. L'enquête a été réalisée sur 163 cas et 326 témoins. Les signes cliniques et les symptômes retenus sont :fièvre, céphalées, prurit et lésions de grattage, diarrhée, oedèmes, adénopathies cervicales, troubles du sommeil, troubles de l'appétit, troubles sexuels, psychisme, signes neurologiques et autres troubles cliniques mineurs. Les autres critères retenus sont les antécédents de trypanosomiase humaine africaine (THA) et l'existence d'un cheptel dans la concession. L'analyse des résultats confirme qu'il n'existe pas de critère ou groupe de critères pathognomoniques. Aucun des critères sélectionnés n'est suffisamment discriminant pour permettre une sélection des trypanosomés parmi les consultants. Une grille de score de présomption semble donc de peu d'utilité au niveau périphérique; ceci est d'autant plus vrai si l'on considère l'augmentation de la charge de travail. Le faible pouvoir discriminant des signes cliniques et des symptômes ainsi que des autres paramètres de la trypanosomiase africaine met en évidence la difficulté de mise en place d'une stratégie d'intégration efficiente en tant qu'outil diagnostique précoce. (Résumé d'auteur

Diffusion of Pt dimers on Pt(111)

We report the results of a density-functional study of the diffusion of Pt dimers on the (111) surface of Pt. The calculated activation energy of 0.37 eV is in {\em exact} agreement with the recent experiment of Kyuno {\em et al.} \protect{[}Surf. Sci. {\bf 397}, 191 (1998)\protect{]}. Our calculations establish that the dimers are mobile at temperatures of interest for adatom diffusion, and thus contribute to mass transport. They also indicate that the diffusion path for dimers consists of a sequence of one-atom and (concerted) two-atom jumps.Comment: Pour pages postscript formatted, including one figure; submitted to Physical Review B; other papers of interest can be found at url http://www.centrcn.umontreal.ca/~lewi

Deriving the dependence structure of portfolio credit derivatives using evolutionary algorithms

Even if the correct modeling of default dependence is essential for the valuation of portfolio credit derivatives, for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise correlations for all assets in the reference portfolio has become the standard market model. If this model were a reflection of market opinion, there wouldn't be the implied correlation smile that is observed in the market. The purpose of this paper is to derive a cor-relation structure from observed CDO tranche spreads. The correlation structure is chosen such that all tranche spreads of the traded CDO can be reproduced. This implied correlation structure can then be used to price off-market tranches with the same underlying as the traded CDO. Using this approach we can significantly reduce the risk to misprice off-market derivatives. Due to the complexity of the optimization problem we apply Evolutionary Algorithms