Backtesting Expected Shortfall: a simple recipe?

We propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realised cash-flow separately, one could bind them into the secured position, for which risk measurement is much easier. Using this simple concept combined with monotonicity of Expected Shortfall with respect to its target confidence level we introduce a natural and efficient backtesting framework. Our test statistics is given by the biggest number of worst realisations for the secured position that add up to a negative total. Surprisingly, this simple quantity could be used to construct an efficient backtesting framework for unconditional coverage of Expected Shortfall in a natural extension of the regulatory traffic-light approach for Value-at-Risk. While being easy to calculate, the test statistic is based on the underlying duality between coherent risk measures and scale-invariant performance measures

Insider ownership and corporate performance: evidence from Germany

In this paper we address the question whether insider ownership affects corporate performance. Evidence coming from studies dealing with Anglo-Saxon countries is rather inconclusive, especially because it seems that results are significantly affected by endogeneity. Economically, this is due to the fact that in these countries insider ownership seems to be mainly driven by management's compensation contracts. We argue that Germany is different in this regard, as insider ownership often is related to family control, stock-based compensation is less widespread and the market for corporate control is less developed. Starting from this presumption our data allows to make an unbiased observation as to whether insider ownership affects firm performance. Using a pooled data set of 648 firm observations for the years 2003 and 1998 we find evidence for a positive and significant relationship between corporate performance as measured by stock price performance, market-to-book ratio and return on assets and insider ownership. This relationship seems to be rather robust, even if we account for endogeneity by applying a 2SLS regression approach. Moreover, we also find outside block ownership as well as more concentrated insider ownership to have a positive impact on corporate performance. Overall the results indicate that ownership structure might be an important variable explaining the long term value creation in the corporate sector. --Ownership Structure,Shareholder Structure,Insider Ownership,Firm Performance,Corporate Governance,Agency Costs

Spokane Conservatory Guestbook Catalog

An alphabetically organized list of signers of the conservatory guest book. A short description of each signer\u27s addition to the book is included. The list is not a complete list of every individual who signed the book

Approximation algorithms for node-weighted prize-collecting Steiner tree problems on planar graphs

We study the prize-collecting version of the Node-weighted Steiner Tree problem (NWPCST) restricted to planar graphs. We give a new primal-dual Lagrangian-multiplier-preserving (LMP) 3-approximation algorithm for planar NWPCST. We then show a ($2.88 + \epsilon$)-approximation which establishes a new best approximation guarantee for planar NWPCST. This is done by combining our LMP algorithm with a threshold rounding technique and utilizing the 2.4-approximation of Berman and Yaroslavtsev for the version without penalties. We also give a primal-dual 4-approximation algorithm for the more general forest version using techniques introduced by Hajiaghay and Jain

Measurement and analysis of rural household income in a dualistic economy: The case of South Africa

Government Departments in South Africa utilise a number of different data sets on income of rural households. These include the Population Census, the October Household Survey of 1995 and 2000, the Rural Household Survey of 1997 and the various agricultural censuses (1996 and 2003). All of these use different approaches in obtaining household income. The agricultural census, for example, only reports on farm income – excluding the non-farm income. This paper reviews the different sources of household income data, their measurement techniques and the utilisation thereof. The difference in application of various surveys in the former homeland areas and the so-called commercial farming areas are also shown. In the case of the former homeland areas integrated rural household data are used for poverty measurement purposes. The context and methodologies of these surveys are discussed in detail.Consumer/Household Economics,

Weakly symmetric stress equilibration for hyperelastic materialmodels

A stress equilibration procedure for hyperelastic material models is proposed andanalyzed in this paper. Based on the displacement-pressure approximation computed with a stable finite element pair, it constructs, in a vertex-patch-wise manner, an $H(div)$-conforming approximation to the first Piola-Kirchhoff stress. This is done in such a way that its associated Cauchy stress is weakly symmetric in the sense that its anti-symmetric part is zero tested against continuous piecewise linear functions. Our main result is the identification of the subspace of test functions perpendicular to the range of the local equilibration system on each patch which turn out to be rigid body modes associated with the current configuration. Momentum balance properties are investigated analytically and numerically and the resulting stress reconstruction is shown to provide improved results for surface traction forces by computational experiments

Weakly symmetric stress equilibration and a posteriori error estimation for linear elasticity

A stress equilibration procedure for linear elasticity is proposed and analyzed in this paper with emphasis on the behavior for (nearly) incompressible materials. Based on the displacement-pressure approximation computed with a stable finite element pair, it constructs an $H (\text{div})$-conforming, weakly symmetric stress reconstruction. Our focus is on the Taylor-Hood combination of continuous finite element spaces of polynomial degrees $k+1$ and $k$ for the displacement and the pressure, respectively. Our construction leads then to reconstructed stresses by Raviart-Thomas elements of degree $k$ which are weakly symmetric in the sense that its anti-symmetric part is zero tested against continuous piecewise polynomial functions of degree $k$. The computation is performed locally on a set of vertex patches covering the computational domain in the spirit of equilibration \cite{BraSch:08}. Due to the weak symmetry constraint, the local problems need to satisfy consistency conditions associated with all rigid body modes, in contrast to the case of Poisson's equation where only the constant modes are involved. The resulting error estimator is shown to constitute a guaranteed upper bound for the error with a constant that depends only on the shape regularity of the triangulation. Local efficiency, uniformly in the incompressible limit, is deduced from the upper bound by the residual error estimator