Agricultural Applications of Value-at-Risk Analysis: A Perspective

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial economists and financial practitioners for its use in risk reporting, in particular the risks of derivatives. This paper provides a "state-of-the-art" review of VaR estimation techniques and empirical findings found in the finance literature. The ability of VaR estimates to represent large losses associated with tail events varies among procedure, confidence level, and data used. To date, there is no consensus to the most appropriate estimation technique. Potential applications of Value-at-Risk are suggested in the context of agricultural risk management. In the wake of the Hedge-to-Arrive crisis, the lifting of agricultural trade options by the CFTC, and the decreased government participation, VaR seems to have a place in the agricultural risk manager's toolkit.Value-at-Risk, risk management, estimation procedures

TIME-VARYING MULTIPRODUCT HEDGE RATIO ESTIMATION IN THE SOYBEAN COMPLEX: A SIMPLIFIED APPROACH

In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as time-varying hedge ratios have been examined, but in the case of multiproduct time-varying hedge ratios, the difficulty in estimation has been found to often outweigh any improvement in hedging effectiveness. This research examines the hedging effectiveness of the Risk Metrics procedure for estimating a time-varying covariance matrix for developing optimal hedge ratios for the soybean processing margin. The Risk Metrics method allows for a time-varying covariance matrix while being considerably easier to implement than multivariate GARCH (MGARCH) procedures. The Risk Metrics procedure has been advocated for use in developing Value-at-Risk estimates. While it provided considerable out-of-sample improvement in hedging effectiveness relative to a constant correlation MGARCH procedure, the Risk Metrics method provided only minimal improvement over a naive (1-to-1) hedging strategy. However, this research does illustrate the potential for the Risk Metrics methodology as a viable alternative to MGARCH procedures in a multiproduct hedging context.Marketing,

A quantitative taxonomy of human hand grasps

Background: A proper modeling of human grasping and of hand movements is fundamental for robotics, prosthetics, physiology and rehabilitation. The taxonomies of hand grasps that have been proposed in scientific literature so far are based on qualitative analyses of the movements and thus they are usually not quantitatively justified. Methods: This paper presents to the best of our knowledge the first quantitative taxonomy of hand grasps based on biomedical data measurements. The taxonomy is based on electromyography and kinematic data recorded from 40 healthy subjects performing 20 unique hand grasps. For each subject, a set of hierarchical trees are computed for several signal features. Afterwards, the trees are combined, first into modality-specific (i.e. muscular and kinematic) taxonomies of hand grasps and then into a general quantitative taxonomy of hand movements. The modality-specific taxonomies provide similar results despite describing different parameters of hand movements, one being muscular and the other kinematic. Results: The general taxonomy merges the kinematic and muscular description into a comprehensive hierarchical structure. The obtained results clarify what has been proposed in the literature so far and they partially confirm the qualitative parameters used to create previous taxonomies of hand grasps. According to the results, hand movements can be divided into five movement categories defined based on the overall grasp shape, finger positioning and muscular activation. Part of the results appears qualitatively in accordance with previous results describing kinematic hand grasping synergies. Conclusions: The taxonomy of hand grasps proposed in this paper clarifies with quantitative measurements what has been proposed in the field on a qualitative basis, thus having a potential impact on several scientific fields

Terrestrial Laser Scanning to Detect Liana Impact on Forest Structure

Tropical forests are currently experiencing large-scale structural changes, including an increase in liana abundance and biomass. Higher liana abundance results in reduced tree growth and increased tree mortality, possibly playing an important role in the global carbon cycle. Despite the large amount of data currently available on lianas, there are not many quantitative studies on the influence of lianas on the vertical structure of the forest. We study the potential of terrestrial laser scanning (TLS) in detecting and quantifying changes in forest structure after liana cutting using a small scale removal experiment in two plots (removal plot and non-manipulated control plot) in a secondary forest in Panama. We assess the structural changes by comparing the vertical plant profiles and Canopy Height Models (CHMs) between pre-cut and post-cut scans in the removal plot. We show that TLS is able to detect the local structural changes in all the vertical strata of the plot caused by liana removal. Our study demonstrates the reproducibility of the TLS derived metrics for the same location confirming the applicability of TLS for continuous monitoring of liana removal plots to study the long-term impacts of lianas on forest structure. We therefore recommend to use TLS when implementing new large scale liana removal experiments, as the impact of lianas on forest structure will determine the aboveground competition for light between trees and lianas, which has important implications for the global carbon cycle

Healthy status and energy balance in pediatrics

During growth, the human body increases in size and changes proportion of various components due to hormones mediators. Nutritional status is the result of introduction, absorption and utilization of the nutrients and it has a new definition in the relationship between nutritional status and healthy status. In this view energy balance, body function and body composition are three entities correlated each other. This mini-review article examines issues and techniques specifically related to a pediatric population in the field of body composition and energy expenditure. It is broadly divided into two sections. The first section discusses body composition measurements underlying principles, advantages, disadvantages and consensus. The second section reviews energy expenditure and physical activity measurement techniques. In conclusion general clinical suggestions are offered regarding pediatric body composition, healthy status and energy balance

A new device for measuring resting energy expenditure (REE) in healthy subjects.

Lifestyle change targeted towards increasing daily resting energy expenditure (REE) is one of the cornerstones of obesity treatment. Measurements of energy expenditure and substrate utilization are essential to understanding the metabolic basis of obesity, and the physiological responses to perturbations in habitual food intake. REE is the largest part of human energy expenditure (60-70%) and an increase or decrease in REE would have a large impact on total energy. Accurate and easy-to-use methods for measuring REE are needed, to be applied by clinicians in daily clinical settings to assess the validity of a new instrument to estimate REE in normal weight, healthy adults. METHODS: Ninety-nine subjects (52 females and 47 males) (mean+/-SD, age 38+/-14 years; body mass index (BMI) 23+/-3 kg/m(2)) were tested. REE was assessed using a Sensor Medics Vmax metabolic cart with a ventilated canopy and with the SenseWear armband. Body composition, percentage fat mass (%FM) and percentage fat free mass (%FFM) were assessed by skinfold thickness measurements (SF), bio-electrical impedance analysis (BIA) and air displacement plethysmography (BOD-POD). RESULTS: No significant difference was found among measurements of FFM using the three different techniques. Both SenseWear and Sensor Medics Vmax showed a high correlation, r=0.42 and r=0.40 (p<0.0001) respectively, with BMI. No significant difference was found in mean REE between SenseWear (1540+/-280 kcal/day) and Sensor Medics Vmax (1700+/-330 kcal/day) (p=ns) and the correlation between REE measured by SenseWear and Sensor Medics Vmax was high (r=0.86, p<0.0001). Bland-Altman plot showed no difference in REE determination between SenseWear and Sensor Medics Vmax. %FFM determined by BOD-POD correlated with SenseWear (r=0.42, p<0.0001) as well as Sensor Medics Vmax (r=0.38, p<0.001). CONCLUSION: SF, BIA and BOD-POD provide valid and reliable measurements of FFM. Our results suggest that the SenseWear armband is an acceptable device to accurately measure REE in healthy subjects. Its characteristics have the potential to reduce measurement times and make the SenseWear armband useful for epidemiological studies

Body composition and nutritional habits in professional ballet dancers

Object of this study was the analysis of fat mass (FM), fat free mass (FFM) and nutritional habits in professional ballet dancers. Our secondary aim was to evaluate daily energy intake and to compare nutritional habits with level of daily recommended assumption (LARN) or recommended dietary allowance (RDA). Twelve ballet dancers (7 males and 5 females), aged between 23-42 were studied. All the subjects trained at least 5 hours per day (8±3 hours).We used four different techniques to asses body composition: skinfold thickness measurements (TH), bioimpedance analysis (BIA) air displacement pletismography (BOD-POD) and dual energy X-ray absorptiometry (DXA). The latter was considered as a criterion method. FM using DXA was 6.2±2.0 kg and FFM 56.3±12.4 kg in the total population. FM was 5.2±1.1 kg and 6.9±2.3 kg in females and males using DXA, respectively. FFM in females was 44.6±4.8 kg and 64.7±8.2 kg in males. Correlation between FM derived by skinfolds Vs FM measured by DXA was significantly higher (p = 0.90) than between FM estimated by BIA (p = 0.54) and by BOD-POD (p = 0.48). Positive correlations were found between DXA FFM measurements and FFM anthropometric (p = 0.99), between DXA FFM and FFM estimated by BIA (p = 0.98) and between FFM measured by BOD-POD (p = 0.99). Total energy intake in male subjects was less than LARN or RDA recommendation (2464±256 Vs 3100±379 cal/day). On the other hand, total energy intake in female subjects was slightly higher than LARN or RDA recommendation (2439±391 Vs 2120±130 cal/day). This was probably due to a higher energy assumption from lipids in female subjects (32±7% in males Vs 36±7% in females). Our results may suggest that FM estimated by anthropometry could be preferred to BIA in this specific population, possibly because the main part of FM in this specific population is only subcutaneous

Evaluating vaccination strategies for reducing infant respiratory syncytial virus infection in low-income settings

Background: Respiratory syncytial virus (RSV) is a leading cause of lower respiratory tract disease and related hospitalization of young children in least developed countries. Individuals are repeatedly infected, but it is the first exposure, often in early infancy, that results in the vast majority of severe RSV disease. Unfortunately, due to immunological immaturity, infants are a problematic RSV vaccine target. Several trials are ongoing to identify a suitable candidate vaccine and target group, but no immunization program is yet in place. Methods: In this work, an individual-based model that explicitly accounts for the socio-demographic population structure is developed to investigate RSV transmission patterns in a rural setting of Kenya and to evaluate the potential effectiveness of alternative population targets in reducing RSV infant infection. Results: We find that household transmission is responsible for 39% of infant infections and that school-age children are the main source of infection within the household, causing around 55% of cases. Moreover, assuming a vaccine-induced protection equivalent to that of natural infection, our results show that annual vaccination of students is the only alternative strategy to routine immunization of infants able to trigger a relevant and persistent reduction of infant infection (on average, of 35.6% versus 41.5% in 10 years of vaccination). Interestingly, if vaccination of pregnant women boosts maternal antibody protection in infants by an additional 4 months, RSV infant infection will be reduced by 31.5%. Conclusions: These preliminary evaluations support the efforts to develop vaccines and related strategies that go beyond targeting vaccines to those at highest risk of severe disease

On the behavior of rainfall maxima at the eastern Andes

In this study, we detect high percentile rainfall events in the eastern central Andes, based on Tropical Rainfall Measuring Mission (TRMM) with a spatial resolution of 0.25 × 0.25°, a temporal resolution of 3 h, and for the duration from 2001 to 2018. We identify three areas with high mean accumulated rainfall and analyze their atmospheric behaviour and rainfall characteristics with specific focus on extreme events. Extreme events are defined by events above the 95th percentile of their daily mean accumulated rainfall. Austral summer (DJF) is the period of the year presenting the most frequent extreme events over these three regions. Daily statistics show that the spatial maxima, as well as their associated extreme events, are produced during the night. For the considered period, ERA-Interim reanalysis data, provided by the European Centre for Medium-Range Weather Forecasts (ECMWF) with 0.75° x0.75° spatial and 6-hourly temporal resolutions, were used for the analysis of the meso- and synoptic-scale atmospheric patterns. Night- and day-time differences indicate a nocturnal overload of northerly and northeasterly low-level humidity flows arriving from tropical South America. Under these conditions, cooling descending air from the mountains may find unstable air at the surface, giving place to the development of strong local convection. Another possible mechanism is presented here: a forced ascent of the low-level flow due to the mountains, disrupting the atmospheric stratification and generating vertical displacement of air trajectories. A Principal Component Analysis (PCA) in T-mode is applied to day- and night-time data during the maximum and extreme events. The results show strong correlation areas over each subregion under study during night-time, whereas during day-time no defined patterns are found. This confirms the observed nocturnal behavior of rainfall within these three hotspots.Fil: Hierro, Rodrigo Federico. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Austral. Facultad de Ingeniería; ArgentinaFil: Burgos Fonseca, Yuditsabet. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; ArgentinaFil: Ramezani Ziarani, M.. Universitat Potsdam; Alemania. German Research Centre for Geosciences; AlemaniaFil: Llamedo Soria, Pablo Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Austral. Facultad de Ingeniería; ArgentinaFil: Schmidt, T.. German Research Centre for Geosciences; AlemaniaFil: de la Torre, Alejandro. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Austral. Facultad de Ingeniería; ArgentinaFil: Alexander, Pedro Manfredo. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; Argentin