106 research outputs found
Making heads or tails of systemic risk measures
This paper shows that the CoVaR,-CoVaR,CoES,-CoES and MES
systemic risk measures can be represented in terms of the univariate risk
measure evaluated at a quantile determined by the copula. The result is applied
to derive empirically relevant properties of these measures concerning their
sensitivity to power-law tails, outliers and their properties under
aggregation. Furthermore, a novel empirical estimator for the CoES is proposed.
The power-law result is applied to derive a novel empirical estimator for the
power-law coefficient which depends on
. To show empirical performance
simulations and an application of the methods to a large dataset of financial
institutions are used. This paper finds that the MES is not suitable for
measuring extreme risks. Also, the ES-based measures are more sensitive to
power-law tails and large losses. This makes these measures more useful for
measuring network risk but less so for systemic risk. The robustness analysis
also shows that all measures can underestimate due to the occurrence
of intermediate losses. Lastly, it is found that the power-law tail coefficient
estimator can be used as an early-warning indicator of systemic risk.Comment: Revised version of the -CoES paper, now with a better
estimator and clear theoretical results. Main body: 22 pages. Appendix
contains: proofs, explanation of the data cleaning/pre-processing procedure,
supplementary figures, tables and details of the software/computer setu
New general dependence measures: construction, estimation and application to high-frequency stock returns
We propose a set of dependence measures that are non-linear, local, invariant
to a wide range of transformations on the marginals, can show tail and risk
asymmetries, are always well-defined, are easy to estimate and can be used on
any dataset. We propose a nonparametric estimator and prove its consistency and
asymptotic normality. Thereby we significantly improve on existing (extreme)
dependence measures used in asset pricing and statistics. To show practical
utility, we use these measures on high-frequency stock return data around
market distress events such as the 2010 Flash Crash and during the GFC.
Contrary to ubiquitously used correlations we find that our measures clearly
show tail asymmetry, non-linearity, lack of diversification and endogenous
buildup of risks present during these distress events. Additionally, our
measures anticipate large (joint) losses during the Flash Crash while also
anticipating the bounce back and flagging the subsequent market fragility. Our
findings have implications for risk management, portfolio construction and
hedging at any frequency
"First Nature" and Colonial Rifts: Response to "Critical Naturalism: A Manifesto"
The prior issue of Krisis (42:1) published Critical Naturalism: A Manifesto, with the aim to instigate a debate of the issues raised in this manifesto â the necessary re-thinking of the role (and the concept) of nature in critical theory in relation to questions of ecology, health, and inequality. Since Krisis considers itself a place for philosophical debates that take contemporary struggles as starting point, it issued an open call and solicited responses to the manifesto. This is one of the sixteen selected responses, which augment, specify, or question the assumptions and arguments of the manifesto
Assessment quality in tertiary education:An integrative literature review
In tertiary education, inferior assessment quality is a problem that has serious consequences for students, teachers, government, and society. A lack of a clear and overarching conceptualization of assessment quality can cause difficulties in guaranteeing assessment quality in practice. Thus, the aim of this study is to conceptualize assessment quality in tertiary education by providing an overview of the assessment quality criteria, their influences, the evaluation of the assessment quality criteria, and the perspectives that should be considered in evaluating assessment quality. This study aggregated 78 peer-reviewed journal articles in a framework using Maxqda and then a text analysis was performed using Leximancer. The results identified validity, transparency, and reliability as assessment quality criteria; standardization, stakeholders, clarity, and construct irrelevant variance as influences on the assessment quality criteria; validation and statistical data analyses to evaluate assessment quality; and students, staff, government, and experts as perspectives that should be taken into account when evaluating assessment quality. This study gives researchers more insight in the current state of scientific evidence. Teachers, educational advisors, and managers can use the results to determine what assessment quality means for their educational organization and what they should be taken into account in guaranteeing assessment quality
Pneumokoki konjugeeritud vaktsiiniga vaktsineerimise kulutĂ”husus Eesti vastsĂŒndinute kohordis*
Taustteave ja eesmĂ€rgid. Eesti kaalub pneumokoki konjugeeritud vaktsiini (PCV) lisamist riiklikku immuniseerimiskavasse, et vĂ€hendada invasiivse pneumokokilise infektsiooni (IPD), kopsupĂ”letiku ja Ă€geda keskkĂ”rvapĂ”letikuga (AOM) seotud haiguskoormust. Artiklis esitatud kulutĂ”hususe analĂŒĂŒsis (CEA) mÀÀrati vaktsiini hind, mille korral vaktsineerimine pneumokoki mittetĂŒpiseeritava Haemophilus influenzae D-proteiini konjugeeritud vaktsiiniga (PHiD-CV) oleks vĂ”rreldes mittevaktsineerimisega kulutĂ”hus.Metoodika. Markovi mudel kohandati Eesti oludele, vastavate andmete olemasolu korral kasutati Eesti andmeid, nende puudumisel on kasutatud kirjanduses avaldatud andmeid. Eeldused vaktsiini efektiivsuse (VE) kohta pĂ€rinevad suurtest ja avaldatud PCVde uuringutest. Baasstsenaariumi analĂŒĂŒsis kasutatud parameetrid valideeris ekspertide rĂŒhm ja alternatiivseid stsenaariume uuriti tundlikkuse analĂŒĂŒsis. Kohorti vaktsineeritakse 2., 4. ja 12. kuul, eeldatav vaktsineerimisega hĂ”lmatus on 95% ja jĂ€lgitakse kogu ĂŒlejÀÀnud elu, seejuures on tervishoiu rahastaja perspektiivist aastane diskonteerimismÀÀr 5%.Tulemused. Baasstsenaariumi analĂŒĂŒsis hoiab vaktsineerimine PHiD-CV-ga Eesti 13 555 lapsega vastsĂŒndinute kohordis nende eluajal mittevaktsineerimisega vĂ”rreldes Ă€ra 3801 AOMiga seotud ambulatoorset visiiti, 240 tĂŒmpanostoomiatoru paigaldamist (TTP), 92 pneumooniajuhtu, 85 IPD-juhtu ja 14 surmajuhtu. Vaktsineerimise koguefektiivsuseks kujunes 290 diskonteerimata (43 diskonteeritud) vĂ”idetud kvaliteetset eluaastat ja otsese diskonteerimata kogukuluna sÀÀstetud 325 043 eurot (125 353 eurot diskonteeritud kogukuluna). Arvestades, et Eesti sisemajanduse koguprodukt (SKP) ĂŒhe inimese kohta on 15 301 eurot (2014), ja vĂ”ttes arvesse ĂŒksnes otseseid diskonteeritud kulusid, vĂ”ib vaktsineerimise programmi pidada ÀÀrmiselt kulutĂ”husaks (tĂ€iendkulu tĂ”hususe mÀÀr (ICER) < 1-kordne SKP inimese kohta), kui vaktsiini hind on alla 24,19 eurot annus (vastavalt 45,12 eurot ja 66,05 eurot annus, kui ICER on 2kordne SKP inimese kohta ja 3kordne SKP inimese kohta). Alternatiivsete stsenaariumite korral, kui kohordi kaitse netoefekt oleks poole vĂ€iksem kui baasstsenaariumis, oleks aastane diskonteerimismÀÀr 3%, vĂ”i kui vĂ”tta arvesse tootlikkuse vĂ€henemist, siis jÀÀks vaktsineerimine allapoole ÀÀrmise kulutĂ”hususe lĂ€vivÀÀrtust vaktsiini hindade korral vastavalt 20,22 eurot annus, 39,43 eurot annus ja 24,49 eurot annus.JĂ€reldused. Mudel prognoosib, et PCVga vaktsineerimine oleks Eesti tingimustes ÀÀrmiselt kulutĂ”hus vaktsiini hinna korral alla 24,19 eurot annus ja kulutĂ”hus kuni vaktsiini hinnani 66,05 eurot annus.Eesti Arst 2017; 96(10):577â58
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Use of [<sup>177</sup>Lu]Lu-DOTA-TATE in the treatment of gastroenteropancreatic neuroendocrine tumours: Results of a UK cost-effectiveness modelling study
Copyright © 2021 The Author(s). Aim: To evaluate the cost-effectiveness of [177Lu]Lu-DOTA-TATE versus relevant comparators for the treatment of neuroendocrine tumours located in the gastrointestinal tract (GI-NETs) and the pancreas (P-NETs). Materials and methods: A three-state partitioned survival model was developed to perform a cost-utility analysis of [177Lu]Lu-DOTA-TATE versus standard of care (high dose Octreotide LAR), everolimus and sunitinib. Effectiveness data for SoC, everolimus and sunitinib were obtained from published KaplanâMeier survival curves. Given a lack of head-to-head effectiveness data, matching adjusted indirect comparisons (MAICs) were performed to population-adjust [177Lu]Lu-DOTA-TATE survival data based on prognostic factors and derive estimates of relative effectiveness. Health state utilities were estimated from real-world evidence. Drug acquisition costs were taken from nationally published sources (BNF, NICE), and administration costs were based on treatment protocols in [177Lu]Lu-DOTA-TATE studies, combined with nationally published unit costs (PSSRU, DoH reference costs). Incidence of adverse events were estimated using published sources. A discount rate of 3.5% was applied to both utilities and costs, and deterministic and probabilistic sensitivity analyses were performed. Costs were included from an NHS perspective and presented in 2017/18 GBP (and PPP Euros for base case). Results: In GI-NETs, the incremental cost-effectiveness ratio (ICER) of [177Lu]Lu-DOTA-TATE compared to SoC and everolimus was ÂŁ26,528 (âŹ27,672) and ÂŁ24,145 (âŹ25,186) per QALY, respectively. In P-NETs, the ICER of [177Lu]Lu-DOTA-TATE compared to SoC was ÂŁ22,146 (âŹ23,101) or ÂŁ28,038 (âŹ29,251) dependent on matched population, and ÂŁ21,827 (âŹ22,766) and ÂŁ15,768 (âŹ16,445) compared to everolimus and sunitinib, respectively. Conclusions: At a willingness to pay threshold of ÂŁ30,000, [177Lu]Lu-DOTA-TATE is likely to be a cost-effective treatment option for GI-NET and P-NET patients versus relevant treatment comparators (NHS perspective).Advanced Accelerator Applications (AAA), a Novartis company
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