Contemporaneous-threshold smooth transition GARCH models

This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH)model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization tosecond conditional moments of the contemporaneous smooth transition threshold autoregressive model of Dueker et al. (2007) in which the regime weights depend on the ex ante probability that a contemporaneous latent regime-specific variable exceeds a threshold value. A key feature of the C-STGARCH model is that its transition function depends on all the parameters of the model as well as on the data. The structural properties of the model are investigated, in addition to the finite-sample properties of the maximum likelihood estimator of its parameters. An application to U.S. stock returns illustrates the practical usefulness of the C-STGARCH model

On Some Stability Properties of Compactified D=11 Supermembranes

We desribe the minimal configurations of the bosonic membrane potential, when the membrane wraps up in an irreducible way over $S^{1}\times S^{1}$. The membrane 2-dimensional spatial world volume is taken as a Riemann Surface of genus $g$ with an arbitrary metric over it. All the minimal solutions are obtained and described in terms of 1-forms over an associated U(1) fiber bundle, extending previous results. It is shown that there are no infinite dimensional valleys at the minima.Comment: 12 pages,Latex2e lamuphys, Invited talk at International Seminar "Supersymetry and Quantum Symmetries", Dubn

What Happened to Risk Management During the 2008-09 Financial Crisis?

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits.risk management;violations;conservative risk strategy;aggressive risk strategy;value-at-risk forecast

A decision rule to minimize daily capital charges in forecasting value-at-risk

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realised losses are above the estimated risk. In this paper we propose a learning strategy that complements existing methods for calculating VaR and lowers daily capital requirements, while restricting the number of endogenous violations within the Basel II Accord penalty limits. We suggest a decision rule that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor’s 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits.value-at-risk;daily capital charges;optimizing strategy;risk forecasts;endogenous violations;frequency of violations

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.Value-at-Risk (VaR);daily capital charges;optimizing strategy;robust forecasts;violation penalties;global financial crisis;Basel II Accord;aggressive risk management strategy;conservative risk management strategy

WP 96 - An overview of women's work and employment in Belarus

*Management Summary* This report provides information on Belarus on behalf of the implementation of the DECISIONS FOR LIFE project in that country. The DECISIONS FOR LIFE project aims to raise awareness amongst young female workers about their employment opportunities and career possibilities, family building and the work-family balance. This report is part of the Inventories, to be made by the University of Amsterdam, for all 14 countries involved. It focuses on a gender analysis of work and employment. History (2.1.1). Belarus, severely hit by the German occupation, after the second 1945 emerged as emerged as one of the major manufacturing centres of the Soviet. It suffered heavily from the Chernobyl disaster. After the collapse of the Soviet Union, from 1994 on under president Lukashenko the country kept a command economy, though central planning disappeared. Its growth rates have been considerably throughout the 2000s, though the economy continues to be dependent on heavy discounts in oil and natural gas prices from Russia. Governance (2.1.2). Belarus is a republic with power concentrated in the presidency. The government’s human rights record remains very poor. The judiciary is not independent. Corruption continued to be a problem. Authorities harassed independent trade unions and dismissed their members. Women’s participation in politics and governance is low, except for the Chamber of Representatives. The law protects women well within the family context and protects the physical integrity of women to a relatively high degree. Prospects (2.1.3). Belarus’s economy has been moderately hit by the global economic crisis. The government had to accept loans from the IMF, Russia and China. It undertook some steps to open up the country for foreign investors. In 2009, the country’s GDP fell slightly and real wages by 1 to 5%. Energy-intensive and inefficient production may become the largest hindrance for recovery. Communication (2.2). The coverage of fixed telephone connections has recently increased, but coverage of cellular telephone connections is with over 0.9 cell phones per inhabitant much higher. By 2008, the share Internet users was with 321 per 1,000 of the population rather high, but the government is growingly restricting access to the Internet. Nearly all households have a TV set. The government censored the media and repeatedly harassed and arrested independent journalists The sectoral labour market structure (2.3.1). The sectoral labour market structure is difficult to trace. State employees constitute about 80% of the working population. With nearly 68%, women’s Labour Participation Rate (LPR) in 2008 was 91% of men’s. Official unemployment is low and decreasing, in particular for women. Since 1995, considerable wage increases have been allowed in Belarus, largely outpacing increases in labour productivity. Legislation (2.4.1). Belarus has ratified the eight core ILO Labour Conventions. Yet, the Trade Union Law 2000 and presidential decrees contain serious violations of trade union rights. Specific regulations and benefits for women, including maternity benefits and paid leave on childcare, are comparatively good. Labour relations and wage-setting (2.4.2). The independent trade union movement in Belarus is small. The law provides for the right to organize and bargain collectively; however, government authorities and managers of state-owned enterprises routinely interfered with union activities. ILO recommendations to improve the situation are not acted upon. The statutory minimum wage (2.5.1). In December 2009 the monthly minimum wage, set by law, was BYR 229,700, or 23% of the country’s average monthly wage. Inequality and poverty (2.5.2). Directly after independence, inequality and poverty started to increase, but since 2000 the share under the official poverty line fell rapidly till 6% in 2007. However, this poverty line is set quite low, and depending on other yardsticks poverty in 2007 is estimated at 13 to 43%. Income inequality developed simultaneously with poverty, and is currently at low-to-medium level in international perspective. Population and fertility (2.6.1). Since the 1980s Belarus is in a demographic crisis, with reduced fertility rates and high death. Between 1999 and 2009 the population decreased by over 6%. The total fertility rate, less than 1.3 children per woman, is quite low; the adolescent fertility rate is with 22 per 1,000 low. Health (2.6.2). In 2007 there were an estimated 13,000 persons with HIV/AIDS in Belarus, which is below the regional level. The levels of public awareness of HIV/AIDS seem rather low. The life expectancy at birth for women is recently increasing. The Belarusian health care system aims to provide the entire population with universal access to care and health care benefits are extensive. Women’s labour market share (2.6.3). Women make up half of the country’s labour force. In 2009 women made up majorities in wholesale and retail, restaurants and hotels, education, and public administration et cetera, and in the occupational groups professionals and clerks. At the level of legislators, senior officials and managers, the female share of 45% is high in international perspective. Literacy (2.7.1). The adult literacy rate –-those age 15 and over that can read and write—in 1999-2006 was 98.9%, with hardly a gender gap: 99.0% for men and 98.8% for women. In 2007 the literacy rate for 15-24-year-olds stood at 99.8% for females and 99.7% for males. Education of girls (2.7.2). In 2006, the combined gross enrollment rate in education was nearly 100%, divided in 99% for females and 100% for males. Net enrollment in primary education was for 2005 set at 87.9% for girls and 90.8% for boys. In 2007 women to men parity in secondary education was 102%. With 45% gross enrollment in tertiary education in 2007 and women to men parity reaching 141%, women’s participation at this level of education is high. Female skill levels (2.7.3). Women in the employed population have on average a slightly higher educational level than their male colleagues. More women employed are educated at tertiary level, with women to parity at 118%. We estimate the current size of the target group of DECISIONS FOR LIFE for Ukraine at about 95,000 girls and young women 15-29 of age working in urban areas in (the Belarusian equivalent of) commercial services. Wages (2.8.1). We found for 2008 a considerable gender pay gap, totaling 25%. The pay gap seems to have grown in particular between 1996 and 2004. Women in Belarus have profited considerably less than men from their better education. Moreover, horizontal segregation has taken place with women leaving well-paid sub-sectors of manufacturing like the ICT sector , while many of them entered low-wage jobs like in education and health. The “glass ceiling“ obviously widely remains in place. Working conditions (2.8.2). Especially men in heavy manufacturing still seem often exposed to bad health and safety conditions, though the incidence of reported occupational injuries and casualities is rapidly decreasing. Unfortunately, working hours cannot be detailed by industry and gender.

Instantons and SL(2,R) Symmetry in Type IIB Supergravity

We discuss the relation between the dual formulations of Type IIB supergravity emphasizing the differences between Lorentz and Euclidean signature. We demonstrate how the SL(2,R) symmetry of the usual action is manifested in the solution of the equations of motion with Euclidean signature for the dual theory.Comment: 4 pages, no figure

Winst en verlies: een balans van 15 jaar neuro-oncologie in Rotterdam

Rede, in verkorte vorm uitgesproken ter gelegenheid van het aanvaarden van het ambt van bijzonder hoogleraar in de Neuro-Oncologie aan het Erasmus MC, faculteit van de Erasmus Universiteit Rotterdam op 19 januari 200

Southern Hemisphere automated supernova search

The Perth Astronomy Research Group has developed an automated supernova search program, using the 61 cm Perth–Lowell reflecting telescope at Perth Observatory in Western Australia, equipped with a CCD camera. The system is currently capable of observing about 15 objects per hour, using 3 min exposures, and has a detection threshold of 18th–19th magnitude. The entire system has been constructed using low‐cost IBM‐compatible computers. Two original discoveries (SN 1993K, SN 1994R) have so far been made during automated search runs. This paper describes the hardware and software used for the supernova search program, and shows some preliminary results from the search system