Making heads or tails of systemic risk measures

This paper shows that the CoVaR,$\Delta$-CoVaR,CoES,$\Delta$-CoES and MES systemic risk measures can be represented in terms of the univariate risk measure evaluated at a quantile determined by the copula. The result is applied to derive empirically relevant properties of these measures concerning their sensitivity to power-law tails, outliers and their properties under aggregation. Furthermore, a novel empirical estimator for the CoES is proposed. The power-law result is applied to derive a novel empirical estimator for the power-law coefficient which depends on $\Delta\text{-CoVaR}/\Delta\text{-CoES}$. To show empirical performance simulations and an application of the methods to a large dataset of financial institutions are used. This paper finds that the MES is not suitable for measuring extreme risks. Also, the ES-based measures are more sensitive to power-law tails and large losses. This makes these measures more useful for measuring network risk but less so for systemic risk. The robustness analysis also shows that all $\Delta$ measures can underestimate due to the occurrence of intermediate losses. Lastly, it is found that the power-law tail coefficient estimator can be used as an early-warning indicator of systemic risk.Comment: Revised version of the $\Delta$-CoES paper, now with a better estimator and clear theoretical results. Main body: 22 pages. Appendix contains: proofs, explanation of the data cleaning/pre-processing procedure, supplementary figures, tables and details of the software/computer setu

New general dependence measures: construction, estimation and application to high-frequency stock returns

We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any dataset. We propose a nonparametric estimator and prove its consistency and asymptotic normality. Thereby we significantly improve on existing (extreme) dependence measures used in asset pricing and statistics. To show practical utility, we use these measures on high-frequency stock return data around market distress events such as the 2010 Flash Crash and during the GFC. Contrary to ubiquitously used correlations we find that our measures clearly show tail asymmetry, non-linearity, lack of diversification and endogenous buildup of risks present during these distress events. Additionally, our measures anticipate large (joint) losses during the Flash Crash while also anticipating the bounce back and flagging the subsequent market fragility. Our findings have implications for risk management, portfolio construction and hedging at any frequency

"First Nature" and Colonial Rifts: Response to "Critical Naturalism: A Manifesto"

The prior issue of Krisis (42:1) published Critical Naturalism: A Manifesto, with the aim to instigate a debate of the issues raised in this manifesto – the necessary re-thinking of the role (and the concept) of nature in critical theory in relation to questions of ecology, health, and inequality. Since Krisis considers itself a place for philosophical debates that take contemporary struggles as starting point, it issued an open call and solicited responses to the manifesto. This is one of the sixteen selected responses, which augment, specify, or question the assumptions and arguments of the manifesto

Assessment quality in tertiary education:An integrative literature review

In tertiary education, inferior assessment quality is a problem that has serious consequences for students, teachers, government, and society. A lack of a clear and overarching conceptualization of assessment quality can cause difficulties in guaranteeing assessment quality in practice. Thus, the aim of this study is to conceptualize assessment quality in tertiary education by providing an overview of the assessment quality criteria, their influences, the evaluation of the assessment quality criteria, and the perspectives that should be considered in evaluating assessment quality. This study aggregated 78 peer-reviewed journal articles in a framework using Maxqda and then a text analysis was performed using Leximancer. The results identified validity, transparency, and reliability as assessment quality criteria; standardization, stakeholders, clarity, and construct irrelevant variance as influences on the assessment quality criteria; validation and statistical data analyses to evaluate assessment quality; and students, staff, government, and experts as perspectives that should be taken into account when evaluating assessment quality. This study gives researchers more insight in the current state of scientific evidence. Teachers, educational advisors, and managers can use the results to determine what assessment quality means for their educational organization and what they should be taken into account in guaranteeing assessment quality

Pneumokoki konjugeeritud vaktsiiniga vaktsineerimise kulutõhusus Eesti vastsündinute kohordis*

Taustteave ja eesmärgid. Eesti kaalub pneumokoki konjugeeritud vaktsiini (PCV) lisamist riiklikku immuniseerimiskavasse, et vähendada invasiivse pneumokokilise infektsiooni (IPD), kopsupõletiku ja ägeda keskkõrvapõletikuga (AOM) seotud haiguskoormust. Artiklis esitatud kulutõhususe analüüsis (CEA) määrati vaktsiini hind, mille korral vaktsineerimine pneumokoki mittetüpiseeritava Haemophilus influenzae D-proteiini konjugeeritud vaktsiiniga (PHiD-CV) oleks võrreldes mittevaktsineerimisega kulutõhus.Metoodika. Markovi mudel kohandati Eesti oludele, vastavate andmete olemasolu korral kasutati Eesti andmeid, nende puudumisel on kasutatud kirjanduses avaldatud andmeid. Eeldused vaktsiini efektiivsuse (VE) kohta pärinevad suurtest ja avaldatud PCVde uuringutest. Baasstsenaariumi analüüsis kasutatud parameetrid valideeris ekspertide rühm ja alternatiivseid stsenaariume uuriti tundlikkuse analüüsis. Kohorti vaktsineeritakse 2., 4. ja 12. kuul, eeldatav vaktsineerimisega hõlmatus on 95% ja jälgitakse kogu ülejäänud elu, seejuures on tervishoiu rahastaja perspektiivist aastane diskonteerimismäär 5%.Tulemused. Baasstsenaariumi analüüsis hoiab vaktsineerimine PHiD-CV-ga Eesti 13 555 lapsega vastsündinute kohordis nende eluajal mittevaktsineerimisega võrreldes ära 3801 AOMiga seotud ambulatoorset visiiti, 240 tümpanostoomiatoru paigaldamist (TTP), 92 pneumooniajuhtu, 85 IPD-juhtu ja 14 surmajuhtu. Vaktsineerimise koguefektiivsuseks kujunes 290 diskonteerimata (43 diskonteeritud) võidetud kvaliteetset eluaastat ja otsese diskonteerimata kogukuluna säästetud 325 043 eurot (125 353 eurot diskonteeritud kogukuluna). Arvestades, et Eesti sisemajanduse koguprodukt (SKP) ühe inimese kohta on 15 301 eurot (2014), ja võttes arvesse üksnes otseseid diskonteeritud kulusid, võib vaktsineerimise programmi pidada äärmiselt kulutõhusaks (täiendkulu tõhususe määr (ICER) < 1-kordne SKP inimese kohta), kui vaktsiini hind on alla 24,19 eurot annus (vastavalt 45,12 eurot ja 66,05 eurot annus, kui ICER on 2kordne SKP inimese kohta ja 3kordne SKP inimese kohta). Alternatiivsete stsenaariumite korral, kui kohordi kaitse netoefekt oleks poole väiksem kui baasstsenaariumis, oleks aastane diskonteerimismäär 3%, või kui võtta arvesse tootlikkuse vähenemist, siis jääks vaktsineerimine allapoole äärmise kulutõhususe läviväärtust vaktsiini hindade korral vastavalt 20,22 eurot annus, 39,43 eurot annus ja 24,49 eurot annus.Järeldused. Mudel prognoosib, et PCVga vaktsineerimine oleks Eesti tingimustes äärmiselt kulutõhus vaktsiini hinna korral alla 24,19 eurot annus ja kulutõhus kuni vaktsiini hinnani 66,05 eurot annus.Eesti Arst 2017; 96(10):577–58

Use of [¹⁷⁷Lu]Lu-DOTA-TATE in the treatment of gastroenteropancreatic neuroendocrine tumours: Results of a UK cost-effectiveness modelling study

Copyright © 2021 The Author(s). Aim: To evaluate the cost-effectiveness of [177Lu]Lu-DOTA-TATE versus relevant comparators for the treatment of neuroendocrine tumours located in the gastrointestinal tract (GI-NETs) and the pancreas (P-NETs). Materials and methods: A three-state partitioned survival model was developed to perform a cost-utility analysis of [177Lu]Lu-DOTA-TATE versus standard of care (high dose Octreotide LAR), everolimus and sunitinib. Effectiveness data for SoC, everolimus and sunitinib were obtained from published Kaplan–Meier survival curves. Given a lack of head-to-head effectiveness data, matching adjusted indirect comparisons (MAICs) were performed to population-adjust [177Lu]Lu-DOTA-TATE survival data based on prognostic factors and derive estimates of relative effectiveness. Health state utilities were estimated from real-world evidence. Drug acquisition costs were taken from nationally published sources (BNF, NICE), and administration costs were based on treatment protocols in [177Lu]Lu-DOTA-TATE studies, combined with nationally published unit costs (PSSRU, DoH reference costs). Incidence of adverse events were estimated using published sources. A discount rate of 3.5% was applied to both utilities and costs, and deterministic and probabilistic sensitivity analyses were performed. Costs were included from an NHS perspective and presented in 2017/18 GBP (and PPP Euros for base case). Results: In GI-NETs, the incremental cost-effectiveness ratio (ICER) of [177Lu]Lu-DOTA-TATE compared to SoC and everolimus was £26,528 (€27,672) and £24,145 (€25,186) per QALY, respectively. In P-NETs, the ICER of [177Lu]Lu-DOTA-TATE compared to SoC was £22,146 (€23,101) or £28,038 (€29,251) dependent on matched population, and £21,827 (€22,766) and £15,768 (€16,445) compared to everolimus and sunitinib, respectively. Conclusions: At a willingness to pay threshold of £30,000, [177Lu]Lu-DOTA-TATE is likely to be a cost-effective treatment option for GI-NET and P-NET patients versus relevant treatment comparators (NHS perspective).Advanced Accelerator Applications (AAA), a Novartis company