Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models

The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008. I found that skewness and kurtosis are substantial in the hedge fund returns distribution and the clustering phenomenon is pointed out. These features suggest the use of GARCH models to model the volatility of hedge fund return indexes. Hedge fund return conditional variances are estimated by using linear models (GARCH) and non-linear asymmetric models (EGARCH and TGARCH). Performance of several Value at Risk models is compared; the Gaussian VaR, the student VaR, the cornish fisher VaR, the normal GARCH-type VaR, the student GARCH-type VaR and the cornish fisher GARCH-type VaR. Our results demonstrate that the normal VaR underestimates accurate hedge fund risks while the student and the cornish fisher GARCH-type VaR are more reliable to estimate the potential maximum loss of hedge funds.Hedge Fund, Value at Risk, GARCH models.

Characterisation of an optical strain gauge for pantograph applications.

An optical strain gauge is developed and characterised for an active pantograph for high-speed electrical trains applications. The pantograph is subjected to a continuous impact forces when it makes contact with the 25 kV overhead AC line. The carbon based pantograph head is susceptible to crack damage due to these impacts An optical strain gauge based on the photo-elastic effect has been developed to monitor on line the contact force applied to the pantograph. The sensing system exploits the concept of chromatic modulation that can be produced by spectral changes induced by a controlled birefringence. Moreover the chromatic sensing technique is independent of the light intensity and provides total electrical isolation. The developed optical strain gauge was assessed to evaluate its performance and to find the range of operation. Static, hysterisis, repeatability and dynamic tests were carried out and the results compared to the theory when applicable. In the static test, it was found that the force against dominant wavelength was linear in the range of 0 to 80 N and became progressively non-linear for forces above 80 N, this is in a good agreement with the theory. These tests were carried out several times over a long period of time, and the results showed a good repeatability, although an acceptable degree of hysterisis was noted. Finally the resistance of the optical strain gauge was tested against dynamically varying loads and found that it exhibited a good resistance. These tests proved the suitability of this proposed optical strain gauge for the development of an active pantograph for high-speed electrical trains applications

Restored and Enhanced Memory T Cell Immunity in Rheumatoid Arthritis After TNFα Blocker Treatment

TNFα inhibitors have shaped the landscape of rheumatoid arthritis (RA) therapy with high clinical efficiency. However, their impact on T cell recall responses is not well-elucidated. We aimed to analyze the immune profiles of memory T cells in RA patients undergoing TNFα inhibitor Golimumab (GM) treatment. Frequencies of peripheral T cell subsets and cytokine expression profiles in memory T cells (TM) upon PMA/Ionomycine stimulation were determined by flow cytometry. Antigen-specific CD8 T cell immunity was analyzed through stimulating PBMCs with CMV-EBV-Flu (CEF) viral peptide pool and subsequent intracellular IFNγ staining. Both peripheral CD8 and CD4 T cells from GM treated patients had a shift pattern characterized by an enlarged effector TM and a reduced central TM cell population when compared to GM untreated group. An increase in the frequencies of TNFα+, IL-2+, and IL-17+ CD8 TM cells was observed whereas only TNFα+CD4 TM cells increased in GM treated patients. Moreover, GM treated patients contained more peripheral IFNγ-producing CD8 T cells specific to CEF viral peptides. Together, these results show a distinct T cell subset pattern and enhanced memory T cell immunity upon GM treatment, suggesting an immunoregulatory effect of TNF inhibitor Golimumab on peripheral memory T cell responses

Frequent new particle formation over the high Arctic pack ice by enhanced iodine emissions

In the central Arctic Ocean the formation of clouds and their properties are sensitive to the availability of cloud condensation nuclei (CCN). The vapors responsible for new particle formation (NPF), potentially leading to CCN, have remained unidentified since the first aerosol measurements in 1991. Here, we report that all the observed NPF events from the Arctic Ocean 2018 expedition are driven by iodic acid with little contribution from sulfuric acid. Iodic acid largely explains the growth of ultrafine particles (UFP) in most events. The iodic acid concentration increases significantly from summer towards autumn, possibly linked to the ocean freeze-up and a seasonal rise in ozone. This leads to a one order of magnitude higher UFP concentration in autumn. Measurements of cloud residuals suggest that particles smaller than 30 nm in diameter can activate as CCN. Therefore, iodine NPF has the potential to influence cloud properties over the Arctic Ocean

Hedge funds risks

Les hedge funds ont fait leur place dans le paysage financier. Ils se sont fermement imposés au cours de cette décennie. La perspective de rendements décorrélés a trouvé écho auprès des investisseurs, secoués après la crise de la bulle internet et partis à la recherche de rendements nouveaux. Afin de répondre à leur objectif, ils s’exposent à l’ensemble des marchés du globe, mais prennent part également à la vie des entreprises. Ils ont recours à une large palette d’instruments financiers. Les sources de risque sont donc hétérogènes, multiples et parfois interconnectées. Ces risques sont par ailleurs amplifiés du levier. Ainsi dans une situation normale, les hedge funds ont des performances supérieures, puisqu’ils exhibent des rendements bien plus attrayants, que ceux des classes d’actifs traditionnelles. Cependant, les hedge fund sont soumis à des risques de pertes extrêmes lorsque des chocs défavorables se produisent sur les marchés. Il est donc nécessaire de rendre compte de manière plus adéquate du risque des hedge funds. A ce titre, la Value at Risk est une alternative intéressante, lorsque le modèle de volatilité est plus sophistiqué que la mesure standard de la volatilité et le quantile retenu pour son estimation dépasse le cadre de la loi normale. L’analyse dynamique des hedge funds met en évidence l’existence d’un régime extrême vers lequel tendent les hedge funds dans le cas d’un retournement de marché.Hedge funds are getting more and more importance. Fuelled by the prospect of returns disconnected from global markets, a wide range of investors have sought exposure to hedge funds, especially after the losses caused by the dot com bubble. They invest in a wide range of markets as well as in companies. The underlying risks are heterogeneous, varied and sometimes interconnected. Furthermore, those risks are magnified by leverage hedge funds undertake. When markets are normal, hedge funds are able to generate returns more attractive than those provided by traditional assets. However, they exhibit an extreme losses risk when markets go suddenly down. Thus, it is important to have an idea of those risks and think about a more accurate measure of hedge fund risks. We thus take into account Value at Risk for which volatility is evaluated in a better manner and quantile retained is different from the normal law. The dynamic analysis of hedge funds suggest that their returns are exposed to an extreme regime when markets go down

Les hedge funds : quelles implications en termes de risque systémique ?

Hedge funds aim to provide absolute returns. This purpose implies taking positions in complex financial markets that are sensitive to extreme losses. They are thus sources of systemic risk. In addition, a set of factors induce that hedge funds disseminate systemic risk. They indeed combine a large network of counterparts exposed to their losses with an absence of liquidity in time of market downturn, which lead to distressed sales. Classification JEL : F4, G15, G23.La gageure de rendements exceptionnels conduit les hedge funds à prendre des positions sensibles aux risques extrêmes dans des marchés complexes. Ils sont alors sources de risque systémique. En outre, un ensemble de facteurs font des hedge funds des propagateurs de risque systémique. Ils ont un réseau dense de contreparties exposées à leurs pertes, les pannes de liquidité dans leurs marchés habituels de financement les amènent à procéder à des ventes de détresse d’actifs, ce qui est d’autant plus probable qu’ils détiennent des titres illiquides. Classification JEL : F4, G15, G23.Khanniche Sabrina. Les hedge funds : quelles implications en termes de risque systémique ?. In: Revue d'économie financière, n°101, 2011. Le risque systémique 2. Repenser la supervision. pp. 87-102

Characterisation of an Optical Strain Gauge for Pantograph Applications

An optical strain gauge is developed and characterised for an active pantograph for high-speed electrical trains applications. Indeed, the pantograph is subjected to a continuous impact forces when it makes contact with the 25 kV overhead ac line. To detect load behaviour experienced, by the electrical pick-up on the pantograph, tests were carried out. The results show that the strain gauge responded linearly to static load over the range 0 to 80 Newton. Also, a high repeatability was achieved and acceptable amount of hysterisis was experienced. The influence of the electromagnetic field on the optical strain gauge was sufficiently weak to be neglected. Beside that the optical strain gauge has proved a high resistance to time varying forces

State-to-state chemiluminescence in reactions of Mn atoms with S2Cl2

A combined experimental and time-dependent density functional theory (TDDFT) investigation of the title reaction is presented. Both 'hot' and 'cold' laser-ablated Mn atom beams have been employed to determine the translational excitation functions for production of MnCl*(c(5)Sigma(+), d(5)Pi, e(5)Delta, e(5)Sigma(+), A(7)Pi). Analysis in terms of the multiple line-of-centres approach shows that the 'hot' results are dominated by reactions of the second metastable state of Mn, z(8)P(J), all with very low thresholds; while the first metastable state, a(6)D(J), and the ground state, a(6)S, are the precursors in the 'cold' results, all with significant excess barriers. The post-threshold behaviour of most z(8)P(J) and a(6)D(J) reaction channels implies that the transition states shift forward with increasing collision energy. The TDDFT calculations suggest that, while Mn*(z(8)P(J), a(6)D(J)) insertion into the S-Cl bond is facile, the observed chemiluminescence channels mostly derive from abstraction in a preferred linear Mn-Cl-S configuration, and that the low z(8)P(J) thresholds originate from attractive but excited reagent potentials which either reach a seam of interactions in the product valley or (in the c(5)Sigma(+) case) lead to an octet potential very close in energy to the product sextet. The excess barriers in the Mn*(a(6)D(J)) and Mn(a(6)S) reactions appear for the most part to derive from exit channel mixing with lower-lying product potentials. The observed transition state shifts are consistent with the system being forced to ride up the repulsive wall of the entrance valley as collision energy increases, the location of that wall being different for the z(8)P(J) and a(6)D(J) case