Value-at-Risk time scaling for long-term risk estimation

In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the usual market-risk measure, ie, Value-at-Risk (VaR) at a short-term horizon and 99% confidence level, by properly applying a scaling on the short-term Profit-and-Loss (P&L) distribution. Besides the standard square-root-of-time scaling, based on normality assumptions, we consider two leptokurtic probability density function classes for fitting empirical P&L datasets and derive accurately their scaling behaviour in light of the Central Limit Theorem, interpreting time scaling as a convolution problem. Our analyses result in a range of possible VaR-scaling approaches depending on the distribution providing the best fit to empirical data, the desired percentile level and the time horizon of the Economic Capital calculation. After assessing the different approaches on a test equity trading portfolio, it emerges that the choice of the VaR-scaling approach can affect substantially the Economic Capital calculation. In particular, the use of a convolution-based approach could lead to significantly larger risk measures (by up to a factor of four) than those calculated using Normal assumptions on the P&L distribution.Comment: Pre-Print version, submitted to The Journal of Risk. 18 pages, 17 figure

Mental Well-being Among Workers: A Cross-national Analysis of Job Insecurity Impact on the Workforce

AbstractDrawing on 2011 and 2016European Quality of Life Surveydata from eight European countries, this paper considers the importance of subjective indicators of employment conditions in impacting mental well-being. Among employment conditions, job insecurity has been discussed as having a negative impact on mental well-being by enhancing the worker's sense of unpredictability. The idea of losing one's job brings with it the fear of an uncertain or unclear future and the sense of lack of agency—i.e. feeling powerless with respect to the risk of becoming unemployed. Thus, we investigate two dimensions of job insecurity, namely 'cognitive job insecurity' and 'labour market insecurity'. Our dependent variable is mental health well-being, measured using the 5-item World Health Organization Well-Being Index (WHO-5), which is a self-reported health scale validated by several studies and internationally adopted for measuring psychological well-being. We apply a fixed-effects model and use a set of individual control variables to obtain parameter estimates. Moreover, to control for country-level heterogeneity, two macro-level variables are considered: the type of welfare regime and employment protection. The novelty of this research lies in disentangling the concept of precariousness from the dichotomy of open-ended/non-open-ended contract and in including in the analysis subjective categories such as self-perceived job insecurity. The findings of our study suggest that self-perceived job insecurity is negatively related to mental well-being for both permanent and temporary workers, making this stressor an important feature in predicting the emergence of psychological distress (i.e. feelings of anxiety or depression) among the workforce

Health Inequalities and the Welfare State in European Families

Using EU-Silc data from 2005, our aim in this article is to estimate how self-assessed health and the gradient between education and health vary among individuals in different European countries, considering their contextual socioeconomic vulnerability. In order to do this, we use a hierarchical model with individuals nested in households at the second level, and in various European countries at the third level. Our main research interest is on the modelling variables associated with better health conditions and their improvement or worsening according not only to micro/ individual and macro/national levels but also to the household: a level on which social protection (of whatever nature) exerts its influence. Diferent household contexts receive different amounts of resources, by transfers, social care and health services, which could directly affect health and also modify the gradient between education and health. Moreover, these relations are likely to change among European countries, on the basis of various welfare assets, as the identification of beneficiaries\u27 categories and the weight of category-based measures on the overall welfare expenditure varies among countries and among welfare models

Disabilità e società

The book focuses on a well-established stream of research on disability which, both internationally and nationally, has proved fruitful in theoretical and analytical aspect, and was certainly fundamental in the process that led to the recognition of the rights of people with disabilities and the implementation of inclusive policies. The rigorous analysis present in all the chapters of the book also highlight the wide distance between the principles that guide the reflection on this issue, the policies for disability and the living conditions that people with disabilities experience daily. From the book emerges that the challenge is not merely the recognition of the rights of persons with disabilities but also making these rights enforceable. For this to be possible, both efficient and effective policies and a cultural change which recognizes disabled people "as part of human diversity and humanity" is necessary. This means placing at the center of discussion the aspirations and the empowerment of people with disabilities. The book is designed for scholars of disability, but also for social operators who work with disabled people

Systematic Study of Podand Molecules for Synergistic Halogen and Hydrogen Bond-Driven Anion Recognition in the Solid State

The increasing demand of species for the efficient capture and sensing of anions benefits from a systematic study of anion binding capabilities in the solid state. This work reports a detailed crystallographic study of ten structurally related podands and shows that these charged receptors bind anions with a combination of charge-assisted halogen and hydrogen bonds. Computational tools helped in highlighting the role of the different involved interaction and afforded possible design principles for the design of improved podands

Coordination networks incorporating halogen-bond donor sites and azobenzene groups

Two Zn coordination networks, {[Zn(1)(Py)(2)](2)(2-propanol)}(n) (3) and {[Zn(1)(2)(Bipy)(2)](DMF)(2)}(n) (4), incorporating halogen-bond (XB) donor sites and azobenzene groups have been synthesized and fully characterized. Obtaining 3 and 4 confirms that it is possible to use a ligand wherein its coordination bond acceptor sites and XB donor sites are on the same molecular scaffold (i.e., an aromatic ring) without interfering with each other. We demonstrate that XBs play a fundamental role in the architectures and properties of the obtained coordination networks. In 3, XBs promote the formation of 2D supramolecular layers, which, by overlapping each other, allow the incorporation of 2-propanol as a guest molecule. In 4, XBs support the connection of the layers and are essential to firmly pin DMF solvent molecules through I center dot center dot center dot O contacts, thus increasing the stability of the solvated systems