Tail Risk Hedging and Regime Switching

In this paper, we analyze futures-based hedging strategies which minimize tail risk measured by Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR). In par- ticular, we first deduce general characterizations of VaR- and CVaR-minimal hedging policies from results on quantile derivatives. We then derive first-order conditions for tail-risk-minimal hedging in mixture and regime-switching (RS) models. Using cross hedging examples, we show that CVaR-minimal hedging can noticeably deviate from standard minimum-variance hedging if the return data exhibit nonelliptical features. In our examples, we find an increase in hedging amounts if RS models identify a joint crash scenario and we confirm a reduction in tail risk using empirical and EVT-based risk estimators. These results imply that switching from minimum-variance to CVaR- minimal hedging can cut losses during financial crises and reduce capital requirements for institutional investors

The geomagnetic field simulator for ground-based testing of nanosatellite orientation systems

В статье приводится обзор существующих отечественных и зарубежных стендов дляполунатурного моделирования систем ориентации наноспутников. Проведен их сравнительный анализ по основным техническим характеристикам. Определены общие тенденции в структуре стендов. Приведены результаты проектирования имитатора геомагнитного поля для обеспечения испытания наноспутников размером не превышающих границ сферы диаметром 100 мм.The article provides an overview of existing domestic and foreign stands for semi-realistic modeling of nanosatellite orientation systems. Their comparative analysis on the basic technical characteristics is carried out. The general trends in the structure of the stands are determined. The results of designing a geomagnetic field simulator for providing a test of nanosatellites of a size not exceeding 100 mm diameter spheres are given

Репродуктивной стратегия некоторых редкие и краснокнижные виды Juno tratt. (IRIS) зеравшанского хребта

Показано, что J. magnifica - мощное растение, несущее до 14 листьев и 10 цветков, является наименее эволюционно продвинутым среди всех видов Juno. Данный факт хорошо коррелирует с его обитанием только в наиболее влажных условиях Узбекистана и установленной нами недостаточной лабильностью репродуктивной стратегии. J. warleyensis - малоцветковый вид, большинство растений которого образуют только один плод - из верхнего цветка, играющий основное значение в семенной продуктивности растения в целом. Элементы семенной продуктивности - ПСП, РСП и КСП - верхнего цветка корреляционно связаны с шириной нижнего листа.It is shown that J. magnifica - a powerful plant, carrying up to 14 leaves and 10 flowers, is the least evolutionarily advanced among all kinds of Juno. This fact correlates well with its dwelling only in the most humid conditions of Uzbekistan and the insufficient lability of reproductive strategy established by us. J. warleyensis is a little-flowered species, most of whose plants form only one fruit - from the upper flower, which plays a fundamental role in the seed productivity of the plant as a whole. Elements of seed production - PSP, RSP and CSP - upper flower are correlated with the width of the bottom sheet

Analysis hysteresis clutch technical characteristics of the shut-off valves electrical drive system

The results of calculations of the hysteresis clutches of various designs for use in electric shut-off valves of the pipeline. The possibility of using the clutch with an axial air gap for a wide range of electric power

VaR- and CVaR-minimal futures Hedging Strategies: An Analytical Approach

Although Value at Risk (VaR) and Conditional Value at Risk (CVaR) have been established as standard techniques in many fields of risk management and portfolio selection, the literature rarely applies these risk measures to futures hedging. The purpose of this paper is to characterize analytically VaR- and CVaR-minimal hedging strategies. We apply results about quantile derivatives to obtain first order conditions that hold under weak assumptions on the underlying return distribution. We then focus on conditionally elliptical return processes, which enables us to derive closed form expressions for these conditions. In the case of hedging with a single futures contract, these expressions can explicitly be solved for (C)VaR-minimal hedge ratios. Hedging strategies based on these results account for the risk caused by the fat tails of return distributions. In a further step, we extend our characterizations of optimal hedging strategies to mixtures of elliptical distributions. This generalization allows capturing distributional asymmetries, which was found to be highly important for tail based risk measurement. Overall, our findings can be used to implement (C)VaR-minimal hedging rules for most econometric models employed in the futures hedging literature, including multivariate GARCH and regime switching models

Dihydrocodeine/Agonists for Alcohol Dependents

Objective: Alcohol addiction too often remains insufficiently treated. It shows the same profile as severe chronic diseases, but no comparable, effective basic treatment has been established up to now. Especially patients with repeated relapses, despite all therapeutic approaches, and patients who are not able to attain an essential abstinence to alcohol, need a basic medication. It seems necessary to acknowledge that parts of them need any agonistic substance, for years, possibly lifelong. For >14 years, we have prescribed such substances with own addictive character for these patients. Methods: We present a documented best possible practice, no designed study. Since 1997, we prescribed Dihydrocodeine (DHC) to 102 heavily alcohol addicted patients, later, also Buprenorphine, Clomethiazole (>6 weeks), Baclofen, and in one case Amphetamine, each on individual indication. This paper focuses on the data with DHC, especially. The Clomethiazole-data has been submitted to a German journal. The number of treatments with the other substances is still low. Results: The 102 patients with the DHC treatment had 1367 medically assisted detoxifications and specialized therapies before! The 4 years-retention rate was 26.4%, including 2.8% successfully terminated treatments. In our 12-steps scale on clinical impression, we noticed a significant improvement from mean 3.7 to 8.4 after 2 years. The demand for medically assisted detoxifications in the 2 years remaining patients was reduced by 65.5%. Mean GGT improved from 206.6 U/l at baseline to 66.8 U/l after 2 years. Experiences with the other substances are similar but different in details. Conclusion: Similar to the Italian studies with GHB and Baclofen, we present a new approach, not only with new substances, but also with a new setting and much more trusting attitude. We observe a huge improvement, reaching an almost optimal, stable, long term status in around 1/4 of the patients already. Many further optimizations are possible