Risk Measures At Risk- Are we missing the point? <br>Discussions around sub-additivity and distortion

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2016.htmlDocuments de travail du Centre d'Economie de la Sorbonne 2016.39 - ISSN : 1955-611XThis paper discusses the regulatory requirements (Basel Committee, ECB-SSM andEBA) to measure the major risks of financial institutions, for instance Market, Credit and Operational, regarding the choice of the risk measures, the choice of the distributions used to model them and the level of confidence. We highlight and illustrate paradoxes and issues observed when implementing one approach over another, the inconsistencies between the methodologies suggested and the goals required to achieve them. We focus on the notion of sub-additivity and alternative risk measures, providing the supervisor with some recommendations and risk managers with some tools to assess and manage the risks in a financial institution

The Spectral Stress VaR (SSVaR)

URL des Documents de travail : http://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail/Documents de travail du Centre d'Economie de la Sorbonne 2015.52 - ISSN : 1955-611XOne of the key lessons of the crisis which began in 2007 has been the need to strengthen the risk coverage of the capital framework. In response, the Basel Committee in July 2009 completed a number of critical reforms to the Basel II framework which will raise capital requirements for the trading book and complex securitisation exposures, a major source of losses for many international active banks. One of the reforms is to introduce a stressed value-at-risk (VaR) capital requirement based on a continuous 12-month period of significant financial stress (Basel III (2011) [1]. However the Basel framework does not specify a model to calculate the stressed VaR and leaves it up to the banks to develop an appropriate internal model to capture material risks they face. Consequently we propose a forward stress risk measure “spectral stress VaR” (SSVaR) as an implementation model of stressed VaR, by exploiting the asymptotic normality property of the distribution of estimator of VaR p. In particular to allow SSVaR incorporating the tail structure information we perform the spectral analysis to build it. Using a data set composed of operational risk factors we fit a panel of distributions to construct the SSVaR in order to stress it. Additionally we show how the SSVaR can be an indicator regarding the inner model robustness for the bank

Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure

URL des Documents de travail : http://ces.niv-paris1.fr/cesdp/cesdp2016.htmlDocuments de travail du Centre d'Economie de la Sorbonne 2016.06 - ISSN : 1955-611XThe financial industry has extensively used quantile-based risk measures relying on the Value-at-Risk (VaR). They need to be estimated from relevant historical data set. Consequently, they contain uncertainty. We propose an alternative quantile-based risk measure (the Spectral Stress VaR) to capture the uncertainty in the historical VaR approach. This one provides flexibility to the risk manager to implement prudential regulatory framework. It can be a VaR based stressed risk measure. In the end we propose a stress testing application for it

Deforestation-driven food-web collapse linked to emerging tropical infectious disease, Mycobacterium ulcerans.

Generalist microorganisms are the agents of many emerging infectious diseases (EIDs), but their natural life cycles are difficult to predict due to the multiplicity of potential hosts and environmental reservoirs. Among 250 known human EIDs, many have been traced to tropical rain forests and specifically freshwater aquatic systems, which act as an interface between microbe-rich sediments or substrates and terrestrial habitats. Along with the rapid urbanization of developing countries, population encroachment, deforestation, and land-use modifications are expected to increase the risk of EID outbreaks. We show that the freshwater food-web collapse driven by land-use change has a nonlinear effect on the abundance of preferential hosts of a generalist bacterial pathogen, Mycobacterium ulcerans. This leads to an increase of the pathogen within systems at certain levels of environmental disturbance. The complex link between aquatic, terrestrial, and EID processes highlights the potential importance of species community composition and structure and species life history traits in disease risk estimation and mapping. Mechanisms such as the one shown here are also central in predicting how human-induced environmental change, for example, deforestation and changes in land use, may drive emergence

Global and local environmental changes as drivers of Buruli ulcer emergence

International audienceMany emerging infectious diseases are caused by generalist pathogens that infect and transmit via multiple host species with multiple dissemination routes, thus confounding the understanding of pathogen transmission pathways from wildlife reservoirs to humans. The emergence of these pathogens in human populations has frequently been associated with global changes, such as socio-economic, climate or biodiversity modifications, by allowing generalist pathogens to invade and persist in new ecological niches, infect new host species, and thus change the nature of transmission pathways. Using the case of Buruli ulcer disease, we review how land-use changes, climatic patterns and biodiversity alterations contribute to disease emergence in many parts of the world. Here we clearly show that Mycobacterium ulcerans is an environmental pathogen characterized by multi-host transmission dynamics and that its infectious pathways to humans rely on the local effects of global environmental changes. We show that the interplay between habitat changes (for example, deforestation and agricultural land-use changes) and climatic patterns (for example, rainfall events), applied in a local context, can lead to abiotic environmental changes and functional changes in local biodiversity that favor the pathogen’s prevalence in the environment and may explain disease emergence

A long noncoding RNA promotes parasite differentiation in African trypanosomes

Copyright © 2022 The Authors, some rights reserved; exclusive licensee American Association for the Advancement of Science. No claim to original U.S. Government Works. Distributed under a Creative Commons Attribution NonCommercial License 4.0 (CC BY-NC)The parasite Trypanosoma brucei causes African sleeping sickness that is fatal to patients if untreated. Parasite differentiation from a replicative slender form into a quiescent stumpy form promotes host survival and parasite transmission. Long noncoding RNAs (lncRNAs) are known to regulate cell differentiation in other eukaryotes. To determine whether lncRNAs are also involved in parasite differentiation, we used RNA sequencing to survey the T. brucei genome, identifying 1428 previously uncharacterized lncRNA genes. We find that grumpy lncRNA is a key regulator that promotes parasite differentiation into the quiescent stumpy form. This function is promoted by a small nucleolar RNA encoded within the grumpy lncRNA. snoGRUMPY binds to messenger RNAs of at least two stumpy regulatory genes, promoting their expression. grumpy overexpression reduces parasitemia in infected mice. Our analyses suggest that T. brucei lncRNAs modulate parasite-host interactions and provide a mechanism by which grumpy regulates cell differentiation in trypanosomes.This work was supported in part by Fundação para a Ciência e Tecnologia (FCT) grant, awarded to F.G. and entitled “Long noncoding RNAs as new diagnostic biomarkers for African Sleeping sickness” (PTDC/DTPEPI/7099/2014, start date: 1 January 2016, end date: 31 December 2018); also by Howard Hughes Medical Institute International Early Career Scientist Program (project title: “How parasites use epigenetics to evade host defenses,” project no. 55007419, start date: 1 February 2012, end date: 31 January 2017); and by the European Research Council (project title: “Exploring the hidden life of African trypanosomes: parasite fat tropism and implications for the disease,” project no. 771714, start date: 1 August 2018, end date: 31 January 2024), both awarded to L.M.F. The project leading to these results have received funding from “la Caixa” Foundation under the agreement LCF/PR/HR20/52400019 [project title: “Mechanism and function of epitranscriptomic poly(A) tail modifications in African trypanosomes,” project no. HR20-00361, start date: 1 March 2021, end date: 29 February 2024]. L.M.F. is supported by FCT (IF/01050/2014, project title: “Molecular basis for the efficient biology of trypanossome parasitism,” start date: 1 January 2015, end date: 31 December 2019) and by CEEC institutional program (CEECINST/00110/2018, start date: 1 January 2020, end date: 14 December 2020). C.N. acknowledges the support of the Spanish Ministry of Economy, Industry and Competitiveness (MEIC) to the EMBL partnership, the Centro de Excelencia Severo Ochoa and the CERCA Programme/Generalitat de Catalunya. S. Michaeli acknowledges the support of the Israel Science Foundation (ref. 1959/20) from October 2020 to October 2025, entitled “Functional analysis of rRNA processing and the role of rRNA modification for specialized translation in the two life stages of trypanosomes” and U.S. Binational Science Foundation (ref. 2015/219) from October 2015 to October 2019, entitled “The role and mechanism of RNA pseudo-uridylation and sugar methylation (Nm) during the developmental cycle of trypanosomes.” The work done in A.D.’s laboratory was supported by National Science Center SONATA BIS grant, entitled “Non-canonical RNA tailing and other post-transcriptional regulatory mechanisms in T cell-mediated adaptive immunity” (proposal ID: 492777, agreement no: UMO-2020/38/E/NZ2/00372, start date: 22 March 2021, end date: 21 March 2026); National Science Center OPUS grant, entitled “Analysis of the role of cytoplasmic polyadenylation in the regulation of the innate immune response” (proposal ID: 443521, agreement no.: UMO-2019/33/B/NZ2/01773, start date: 2 March 2020, end date: 1 March 2023); and European Union’s Horizon 2020 (H2020-WIDESPREAD-03-2017)–ERAChair, entitled “MOlecular Signaling in Health and Disease - Interdisciplinary Centre of Excellence” (acronym: MOSaIC, agreement no.: 810425, implementation period: start date: 1 November 2018, end date: 31 October 2023).info:eu-repo/semantics/publishedVersio

Trypanosoma brucei parasites occupy and functionally adapt to the adipose tissue in mice

This work was supported by 55007419 (HHMI) and 2151 (EMBO) to L.M.F., D.P.-N., F.B., and F.G.; FCT fellowships to S.T., F.R.-F., and F.A.-B. (SFRH/BPD/89833/2012, SFRH/BD/51286/2010, and SFRH/BD/80718/2011, respectively); Wellcome Trust grant (093228), MRC MR/M020118/1, and European Community Seventh Framework Programme under grant agreement No. 602773 (Project KINDRED) to S.A.Y. and T.K.S.; and PAI 7/41 (Belspo) and ERC-NANOSYM to J.V.D.A.Trypanosoma brucei is an extracellular parasite that causes sleeping sickness. In mammalian hosts, trypanosomes are thought to exist in two major niches: early in infection, they populate the blood; later, they breach the blood-brain barrier. Working with a well-established mouse model, we discovered that adipose tissue constitutes a third major reservoir for T. brucei. Parasites from adipose tissue, here termed adipose tissue forms (ATFs), can replicate and were capable of infecting a naive animal. ATFs were transcriptionally distinct from bloodstream forms, and the genes upregulated included putative fatty acid β-oxidation enzymes. Consistent with this, ATFs were able to utilize exogenous myristate and form β-oxidation intermediates, suggesting that ATF parasites can use fatty acids as an external carbon source. These findings identify the adipose tissue as a niche for T. brucei during its mammalian life cycle and could potentially explain the weight loss associated with sleeping sickness.Publisher PDFPeer reviewe

A comparison of forward and backward pp pair knockout in 3He(e,e'pp)n

Measuring nucleon-nucleon Short Range Correlations (SRC) has been a goal of the nuclear physics community for many years. They are an important part of the nuclear wavefunction, accounting for almost all of the high-momentum strength. They are closely related to the EMC effect. While their overall probability has been measured, measuring their momentum distributions is more difficult. In order to determine the best configuration for studying SRC momentum distributions, we measured the $^3$He$(e,e'pp)n$ reaction, looking at events with high momentum protons ($p_p > 0.35$ GeV/c) and a low momentum neutron ($p_n< 0.2$ GeV/c). We examined two angular configurations: either both protons emitted forward or one proton emitted forward and one backward (with respect to the momentum transfer, $\vec q$). The measured relative momentum distribution of the events with one forward and one backward proton was much closer to the calculated initial-state $pp$ relative momentum distribution, indicating that this is the preferred configuration for measuring SRC.Comment: 8 pages, 9 figures, submitted to Phys Rev C. Version 2 incorporates minor corrections in response to referee comment

Measurement of Exclusive π0\pi^0 Electroproduction Structure Functions and their Relationship to Transversity GPDs

Exclusive $\pi^0$ electroproduction at a beam energy of 5.75 GeV has been measured with the Jefferson Lab CLAS spectrometer. Differential cross sections were measured at more than 1800 kinematic values in $Q^2$, $x_B$, $t$, and $\phi_\pi$, in the $Q^2$ range from 1.0 to 4.6 GeV$^2$,\ $-t$ up to 2 GeV$^2$, and $x_B$ from 0.1 to 0.58. Structure functions $\sigma_T +\epsilon \sigma_L, \sigma_{TT}$ and $\sigma_{LT}$ were extracted as functions of $t$ for each of 17 combinations of $Q^2$ and $x_B$. The data were compared directly with two handbag-based calculations including both longitudinal and transversity GPDs. Inclusion of only longitudinal GPDs very strongly underestimates $\sigma_T +\epsilon \sigma_L$ and fails to account for $\sigma_{TT}$ and $\sigma_{LT}$, while inclusion of transversity GPDs brings the calculations into substantially better agreement with the data. There is very strong sensitivity to the relative contributions of nucleon helicity flip and helicity non-flip processes. The results confirm that exclusive $\pi^0$ electroproduction offers direct experimental access to the transversity GPDs.Comment: 6 pages, 2 figure