Pitfalls in backtesting historical simulation VaR models

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most popular Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the unconditional backtest is always inconsistent for backtesting HS and FHS models, with a power function that can be even smaller than the nominal level in large samples. Our findings have fundamental implications in the determination of market risk capital requirements, and also explain Monte Carlo and empirical findings in previous studies. We also propose a data-driven weighted backtest with good power properties to evaluate HS and FHS forecasts. A Monte Carlo study and an empirical application with three US stocks confirm our theoretical findings. The empirical application shows that multiplication factors computed under the current regulatory framework are downward biased, as they inherit the inconsistency of the unconditional backtest.Research funded by the Spanish Plan Nacional de I + D + I, reference number SEJ2007 62908

An adaptation reference-point-based multiobjective evolutionary algorithm

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.It is well known that maintaining a good balance between convergence and diversity is crucial to the performance of multiobjective optimization algorithms (MOEAs). However, the Pareto front (PF) of multiobjective optimization problems (MOPs) affects the performance of MOEAs, especially reference point-based ones. This paper proposes a reference-point-based adaptive method to study the PF of MOPs according to the candidate solutions of the population. In addition, the proportion and angle function presented selects elites during environmental selection. Compared with five state-of-the-art MOEAs, the proposed algorithm shows highly competitive effectiveness on MOPs with six complex characteristics

An investigation on construction companies’ attitudes towards importance and adoption of circular economy strategies

The construction industry is causing resource shortages and waste but has the potential to become an industry that can practice the value of a circular economy (CE). A number of studies on the circular economy have been published recently, but few studies have investigated the awareness and practices of construction companies related to CE or provided effective CE strategies for their projects. This study formulated 26 CE strategies based on a literature review and experts’ opinions. The attitudes regarding importance and adoption awareness of the construction companies were analyzed via a questionnaire survey and the importance-adoption analysis (IAA) model. The results show that small-sized companies and senior executives have a higher awareness of circularity, and medium- and large-sized companies face the CE with a more conservative attitude. In particular, construction projects have adopted mature CE strategies such as building information modeling (BIM) for project management, construction, demolition and waste management, and maintenance management, while CE strategies regarding construction systematization, resource recovery, and regeneration are potential strategies preferred by construction companies. In-depth interviews also reveal that three main obstacles, such as high CE adoption costs, lack of local market demands, and owners’ low awareness of CE, may slow down the implementation of circularity in the construction industry. The findings of this study are beneficial for exploring the current situations of CE in the construction industry and could help the government to better understand the problems of CE development, so as to formulate future development policies and suggestions

Species Recognition and Cryptic Species in the Tuber indicum Complex

Morphological delimitation of Asian black truffles, including Tuber himalayense, T. indicum, T. sinense, T. pseudohimalayense, T. formosanum and T. pseudoexcavatum, has remained problematic and even phylogenetic analyses have been controversial. In this study, we combined five years of field investigation in China with morphological study and DNA sequences analyses (ITS, LSU and β-tubulin) of 131 Tuber specimens to show that T. pseudohimalayense and T. pseudoexcavatum are the same species. T. formosanum is a separate species based on its host plants and geographic distribution, combined with minor morphological difference from T. indicum. T. sinense should be treated as a synonym of T. indicum. Our results demonstrate that the present T. indicum, a single described morphological species, should include at least two separate phylogenetic species. These findings are of high importance for truffle taxonomy and reveal and preserve the richness of truffle diversity

A dynamic multiobjective evolutionary algorithm based on a dynamic evolutionary environment model

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.Traditional dynamic multiobjective evolutionary algorithms usually imitate the evolution of nature, maintaining diversity of population through different strategies and making the population track the Pareto optimal solution set efficiently after the environmental change. However, these algorithms neglect the role of the dynamic environment in evolution, leading to the lacking of active guieded search. In this paper, a dynamic multiobjective evolutionary algorithm based on a dynamic evolutionary environment model is proposed (DEE-DMOEA). When the environment has not changed, this algorithm makes use of the evolutionary environment to record the knowledge and information generated in evolution, and in turn, the knowledge and information guide the search. When a change is detected, the algorithm helps the population adapt to the new environment through building a dynamic evolutionary environment model, which enhances the diversity of the population by the guided method, and makes the environment and population evolve simultaneously. In addition, an implementation of the algorithm about the dynamic evolutionary environment model is introduced in this paper. The environment area and the unit area are employed to express the evolutionary environment. Furthermore, the strategies of constraint, facilitation and guidance for the evolution are proposed. Compared with three other state-of-the-art strategies on a series of test problems with linear or nonlinear correlation between design variables, the algorithm has shown its effectiveness for dealing with the dynamic multiobjective problems

Secondary cutaneous Epstein-Barr virus-associated diffuse large B-cell lymphoma in a patient with angioimmunoblastic T-cell lymphoma: a case report and review of literature

Only a few cases of extranodal Epstein-Barr virus (EBV)-associated B-cell lymphomas arising from patients with angioimmunoblastic T-cell lymphoma (AITL) have been described. We report a case of AITL of which secondary cutaneous EBV-associated diffuse large B-cell lymphoma (DLBCL) developed after the initial diagnosis of AITL. A 65-year-old Chinese male patient was diagnosed as AITL based on typical histological and immunohistochemical characteristics in biopsy of the enlarged right inguinal lymph nodes. The patient initially received 6 cycles of chemotherapy with CHOP regimen (cyclophosphamide, vincristine, adriamycin, prednisone), but his symptoms did not disappear. Nineteen months after initial diagnosis of AITL, the patient was hospitalized again because of multiple plaques and nodules on the skin. The skin biopsy was performed, but this time the tumor was composed of large, polymorphous population of lymphocytes with CD20 and CD79a positive on immunohistochemical staining. The tumor cells were strong positive for EBER by in situ hybridization. The findings of skin biopsy were compatible with EBV-associated DLBCL. CHOP-R chemotherapy (cyclophosphamide, doxorubicin, vincristine, prednisone and rituximab) was then administered, resulting in partial response of the disease with pancytopenia and suppression of cellular immunity. To our knowledge, this is the first case of cutaneous EBV-associated DLBCL originated from AITL in Chinese pepole. We suggest the patients with AITL should perform lymph node and skin biopsies regularly in the course of the disease to detect the progression of secondary lymphomas

{4-Dimethyl­amino-N′-[1-(2-oxidophen­yl)ethyl­idene]benzohydrazidato}(methano­lato)oxidovanadium(V)

The title oxidovanadium(V) complex, [V(C17H17N3O2)(CH3O)O], was obtained by the reaction of 2-acetyl­phenol, 4-dimethyl­amino­benzohydrazide and vanadyl sulfate in methanol. The VV atom is five-coordinated by N,O,O′-donor atoms of the Schiff base ligand, one meth­oxy O atom and one oxide O atom, forming a square-pyramidal geometry

The effect of drainage tube on bleeding and prognosis after total knee arthroplasty: a prospective cohort study

BACKGROUND: To evaluate the effect of drainage tube on prognosis after total knee arthroplasty (TKA) and explore an effective treatment with favorable prognosis. METHODS: In a prospective study, 18 patients with TKA for the first time were included and randomly divided into three groups, group A (no placement of drainage tube), group B (negative pressure drainage), and group C (4 h clamping drainage). Intraoperative and postoperative blood loss, operation time, and the drainage volume were recorded and analyzed. Arthrocele, ecchymosis, and range of motion (ROM) were examined postoperatively. The degree of pain was scored by Visual Analog Scale (VAS) after 6, 12, and 24 h of operation. The complications were examined and HSS (hospital for special surgery) knee score was taken during the follow-up period. RESULTS: There was no significant difference in operation time, total blood loss, intraoperative blood loss, and VAS score among three groups. Meanwhile, the hidden blood loss in group B was significantly decreased compared with group A (P = 0.0015). The postoperative drainage volume of group B was significantly increased compared with group C (P = 0.0002). No drainage increased the rate of arthrocele and ecchymosis. Compared with group A, ROM after 3 days of operation in groups B and C was significantly increased (P = 0.0357, P = 0.0372, respectively). During follow-up study, no deep infection or deep venous thrombosis was found. CONCLUSION: After TKA, early clamping of the drainage tube reduced the bleeding loss without adverse effect on prognosis, which might be useful for clinical application in future