Extreme Value at Risk and Expected Shortfall during Financial Crisis

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is stronger using the historical VaR approach than when using the extreme values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for predicting the asset risk losses. Banks have no interest in using it because the Basel II agreement penalizes banks using accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper.Market risk; Value at Risk; EVT; GARCH; Financial crisis; Basel requirements

Resurgence of Ebola virus in 2021 in Guinea suggests a new paradigm for outbreaks

These authors contributed equally: Alpha K. Keita, Fara R. Koundouno, Martin Faye, Ariane Düx, Julia Hinzmann.International audienc

Standardization of Clinical Assessment and Sample Collection Across All PERCH Study Sites.

BACKGROUND.: Variable adherence to standardized case definitions, clinical procedures, specimen collection techniques, and laboratory methods has complicated the interpretation of previous multicenter pneumonia etiology studies. To circumvent these problems, a program of clinical standardization was embedded in the Pneumonia Etiology Research for Child Health (PERCH) study. METHODS.: Between March 2011 and August 2013, standardized training on the PERCH case definition, clinical procedures, and collection of laboratory specimens was delivered to 331 clinical staff at 9 study sites in 7 countries (The Gambia, Kenya, Mali, South Africa, Zambia, Thailand, and Bangladesh), through 32 on-site courses and a training website. Staff competency was assessed throughout 24 months of enrollment with multiple-choice question (MCQ) examinations, a video quiz, and checklist evaluations of practical skills. RESULTS.: MCQ evaluation was confined to 158 clinical staff members who enrolled PERCH cases and controls, with scores obtained for >86% of eligible staff at each time-point. Median scores after baseline training were ≥80%, and improved by 10 percentage points with refresher training, with no significant intersite differences. Percentage agreement with the clinical trainer on the presence or absence of clinical signs on video clips was high (≥89%), with interobserver concordance being substantial to high (AC1 statistic, 0.62-0.82) for 5 of 6 signs assessed. Staff attained median scores of >90% in checklist evaluations of practical skills. CONCLUSIONS.: Satisfactory clinical standardization was achieved within and across all PERCH sites, providing reassurance that any etiological or clinical differences observed across the study sites are true differences, and not attributable to differences in application of the clinical case definition, interpretation of clinical signs, or in techniques used for clinical measurements or specimen collection

Causes of severe pneumonia requiring hospital admission in children without HIV infection from Africa and Asia: the PERCH multi-country case-control study

Background Pneumonia is the leading cause of death among children younger than 5 years. In this study, we estimated causes of pneumonia in young African and Asian children, using novel analytical methods applied to clinical and microbiological findings. Methods We did a multi-site, international case-control study in nine study sites in seven countries: Bangladesh, The Gambia, Kenya, Mali, South Africa, Thailand, and Zambia. All sites enrolled in the study for 24 months. Cases were children aged 1–59 months admitted to hospital with severe pneumonia. Controls were age-group-matched children randomly selected from communities surrounding study sites. Nasopharyngeal and oropharyngeal (NP-OP), urine, blood, induced sputum, lung aspirate, pleural fluid, and gastric aspirates were tested with cultures, multiplex PCR, or both. Primary analyses were restricted to cases without HIV infection and with abnormal chest x-rays and to controls without HIV infection. We applied a Bayesian, partial latent class analysis to estimate probabilities of aetiological agents at the individual and population level, incorporating case and control data. Findings Between Aug 15, 2011, and Jan 30, 2014, we enrolled 4232 cases and 5119 community controls. The primary analysis group was comprised of 1769 (41·8% of 4232) cases without HIV infection and with positive chest x-rays and 5102 (99·7% of 5119) community controls without HIV infection. Wheezing was present in 555 (31·7%) of 1752 cases (range by site 10·6–97·3%). 30-day case-fatality ratio was 6·4% (114 of 1769 cases). Blood cultures were positive in 56 (3·2%) of 1749 cases, and Streptococcus pneumoniae was the most common bacteria isolated (19 [33·9%] of 56). Almost all cases (98·9%) and controls (98·0%) had at least one pathogen detected by PCR in the NP-OP specimen. The detection of respiratory syncytial virus (RSV), parainfluenza virus, human metapneumovirus, influenza virus, S pneumoniae, Haemophilus influenzae type b (Hib), H influenzae non-type b, and Pneumocystis jirovecii in NP-OP specimens was associated with case status. The aetiology analysis estimated that viruses accounted for 61·4% (95% credible interval [CrI] 57·3–65·6) of causes, whereas bacteria accounted for 27·3% (23·3–31·6) and Mycobacterium tuberculosis for 5·9% (3·9–8·3). Viruses were less common (54·5%, 95% CrI 47·4–61·5 vs 68·0%, 62·7–72·7) and bacteria more common (33·7%, 27·2–40·8 vs 22·8%, 18·3–27·6) in very severe pneumonia cases than in severe cases. RSV had the greatest aetiological fraction (31·1%, 95% CrI 28·4–34·2) of all pathogens. Human rhinovirus, human metapneumovirus A or B, human parainfluenza virus, S pneumoniae, M tuberculosis, and H influenzae each accounted for 5% or more of the aetiological distribution. We observed differences in aetiological fraction by age for Bordetella pertussis, parainfluenza types 1 and 3, parechovirus–enterovirus, P jirovecii, RSV, rhinovirus, Staphylococcus aureus, and S pneumoniae, and differences by severity for RSV, S aureus, S pneumoniae, and parainfluenza type 3. The leading ten pathogens of each site accounted for 79% or more of the site's aetiological fraction. Interpretation In our study, a small set of pathogens accounted for most cases of pneumonia requiring hospital admission. Preventing and treating a subset of pathogens could substantially affect childhood pneumonia outcomes

Association of C-reactive protein with bacterial and respiratory syncytial virus-associated pneumonia among children aged <5 years in the PERCH study

Background. Lack of a gold standard for identifying bacterial and viral etiologies of pneumonia has limited evaluation of C-reactive protein (CRP) for identifying bacterial pneumonia. We evaluated the sensitivity and specificity of CRP for identifying bacterial vs respiratory syncytial virus (RSV) pneumonia in the Pneumonia Etiology Research for Child Health (PERCH) multicenter case-control study. Methods. We measured serum CRP levels in cases with World Health Organization-defined severe or very severe pneumonia and a subset of community controls. We evaluated the sensitivity and specificity of elevated CRP for "confirmed" bacterial pneumonia (positive blood culture or positive lung aspirate or pleural fluid culture or polymerase chain reaction [PCR]) compared to "RSV pneumonia" (nasopharyngeal/oropharyngeal or induced sputum PCR-positive without confirmed/suspected bacterial pneumonia). Receiver operating characteristic (ROC) curves were constructed to assess the performance of elevated CRP in distinguishing these cases. Results. Among 601 human immunodeficiency virus (HIV)-negative tested controls, 3% had CRP ≥40 mg/L. Among 119 HIVnegative cases with confirmed bacterial pneumonia, 77% had CRP ≥40 mg/L compared with 17% of 556 RSV pneumonia cases. The ROC analysis produced an area under the curve of 0.87, indicating very good discrimination; a cut-point of 37.1 mg/L best discriminated confirmed bacterial pneumonia (sensitivity 77%) from RSV pneumonia (specificity 82%). CRP ≥100 mg/L substantially improved specificity over CRP ≥40 mg/L, though at a loss to sensitivity. Conclusions. Elevated CRP was positively associated with confirmed bacterial pneumonia and negatively associated with RSV pneumonia in PERCH. CRP may be useful for distinguishing bacterial from RSV-associated pneumonia, although its role in discriminating against other respiratory viral-associated pneumonia needs further study

The evolving SARS-CoV-2 epidemic in Africa: Insights from rapidly expanding genomic surveillance

INTRODUCTION Investment in Africa over the past year with regard to severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) sequencing has led to a massive increase in the number of sequences, which, to date, exceeds 100,000 sequences generated to track the pandemic on the continent. These sequences have profoundly affected how public health officials in Africa have navigated the COVID-19 pandemic. RATIONALE We demonstrate how the first 100,000 SARS-CoV-2 sequences from Africa have helped monitor the epidemic on the continent, how genomic surveillance expanded over the course of the pandemic, and how we adapted our sequencing methods to deal with an evolving virus. Finally, we also examine how viral lineages have spread across the continent in a phylogeographic framework to gain insights into the underlying temporal and spatial transmission dynamics for several variants of concern (VOCs). RESULTS Our results indicate that the number of countries in Africa that can sequence the virus within their own borders is growing and that this is coupled with a shorter turnaround time from the time of sampling to sequence submission. Ongoing evolution necessitated the continual updating of primer sets, and, as a result, eight primer sets were designed in tandem with viral evolution and used to ensure effective sequencing of the virus. The pandemic unfolded through multiple waves of infection that were each driven by distinct genetic lineages, with B.1-like ancestral strains associated with the first pandemic wave of infections in 2020. Successive waves on the continent were fueled by different VOCs, with Alpha and Beta cocirculating in distinct spatial patterns during the second wave and Delta and Omicron affecting the whole continent during the third and fourth waves, respectively. Phylogeographic reconstruction points toward distinct differences in viral importation and exportation patterns associated with the Alpha, Beta, Delta, and Omicron variants and subvariants, when considering both Africa versus the rest of the world and viral dissemination within the continent. Our epidemiological and phylogenetic inferences therefore underscore the heterogeneous nature of the pandemic on the continent and highlight key insights and challenges, for instance, recognizing the limitations of low testing proportions. We also highlight the early warning capacity that genomic surveillance in Africa has had for the rest of the world with the detection of new lineages and variants, the most recent being the characterization of various Omicron subvariants. CONCLUSION Sustained investment for diagnostics and genomic surveillance in Africa is needed as the virus continues to evolve. This is important not only to help combat SARS-CoV-2 on the continent but also because it can be used as a platform to help address the many emerging and reemerging infectious disease threats in Africa. In particular, capacity building for local sequencing within countries or within the continent should be prioritized because this is generally associated with shorter turnaround times, providing the most benefit to local public health authorities tasked with pandemic response and mitigation and allowing for the fastest reaction to localized outbreaks. These investments are crucial for pandemic preparedness and response and will serve the health of the continent well into the 21st century

Extreme Value at Risk and Expected Shortfall during Financial Crisis

International audienc

Is there a "good" Measure of Market Risk during a Financial Crisis?

International audienc