Risk measurement: an introduction to value at risk

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly describe some alternative measures of market risk.Risk and Uncertainty,

Is the Short Rate Drift Actually Nonlinear?

Virtually all existing continuous-time, single-factor term structure models are based on a short rate process that has a linear drift function. However, there is no strong a priori argument in favor of linearity, and Stanton (1997) and Ait-Sahalia (1996) employ nonparametric estimation techniques to conclude that the drift function of the short rate contains important nonlinearities. Comparatively little is known about the finite-sample properties of these estimators, particularly when they are applied to frequent sampling of a very persistent process, like short term interest rates. In this paper, we apply these estimators to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in by Stanton (1997) and Ait-Sahalia (1996). These results, along with the results of a simple GMM estimation procedure applied to the Stanton and Ait-Sahalia data sets, imply that nonlinearity of the short rate drift is not a robust stylized fact.term structure, continuous-time

Using Proxies for the Short Rate: When are Three Months Like an Instant?

The dynamics of the unobservable "short" or "instantaneous" rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the "proxy" problem) are related to the derivatives of the proxy with respect to the short rate and the (inverse) function from the proxy to the short rate. Analytic results show that the proxy problem is not economically significant for single- factor affine models, for parameter values consistent with US data. In addition, for the two-factor affine model of Longstaff and Schwartz (1992), the proxy problem is only economically significant for pricing discount bonds with maturities of more than 5 years. We also describe two different procedures which can be used to assess the magnitude of the proxy problem in more general interest rate models. Numerical evaluation of a nonlinear single-factor model suggests that the proxy problem can significantly affect both estimates of the diffusion function and discount bond prices.interest rates, proxies, term structure

The preventive effects of two nutraceuticals on experimentally induced acute synovitis

Background: Nutraceuticals are often used in the management of equine osteoarthritis, but scientific evidence of their efficacy is lacking. Objectives: To study the preventive effects of two new nutraceuticals after the experimental induction of synovitis in comparison with positive and negative control treatments. Study design: Blinded, controlled, randomised experiment. Methods: Twenty-four healthy Standardbred horses were randomly allocated to supplement AT (multi-ingredient, 28 days), supplement HP (collagen hydrolysate, 60 days), meloxicam (4 days) or placebo (60 days). Synovitis was induced in the right intercarpal joint by intra-articular injection of 0.5 ng lipopolysaccharide (LPS) of Escherichia coli while treatments were continued. Blood and synovial fluid were sampled before treatment, immediately prior to LPS injection, and at 8, 24 and 48 h post-injection. Synovial fluid samples were analysed for total nucleated cell count (TNCC), total protein (TP) and selected biomarkers (prostaglandin E2 [PGE2], interleukin-6 [IL-6], glycosaminoglycans [GAGs], type II collagen synthesis [CPII], matrix metalloproteinase [MMP]). Lameness was scored by visual examination and pressure plate analysis immediately prior to LPS injection, and at 8, 24 and 48 h post-injection. Clinical examinations were performed before treatment, immediately prior to LPS injection, at 2, 4 and 6 h post-injection, and then twice per day during the test period. Results: Before treatment and intra-articular challenge, there were no statistically significant differences among the treatment groups for any of the parameters. After intra-articular challenge, the placebo group showed significantly higher synovial fluid TP, TNCC and PGE2 compared with the meloxicam group, although the model did not induce a relevant amount of lameness. Both nutraceuticals resulted in significantly lower synovial fluid TP, TNCC and PGE2 compared with placebo. No statistical differences in IL-6, GAGs, CPII or MMPs were observed among treatment groups. No adverse effects were observed. Main limitations: Despite evidence of synovitis, lameness was too mild to detect. Conclusions: The preventive administration of these nutraceuticals showed anti-inflammatory effects in this validated synovitis model. Therefore, further studies of their clinical applicability are warranted

An evidence-based guide to the efficacy and safety of isometric resistance training in hypertension and clinical implications.

More than 30 randomized controlled trials, supported by individual patient-level and group-level meta-analyses and a Delphi analysis of expert opinion, unequivocally show isometric resistance training (IRT) elicits antihypertensive benefits in healthy people and those with chronic illness. We aim to provide efficacy and safety evidence, and a guide for IRT prescription and delivery. Recommendations are made for the use of IRT in specific patient populations and appropriate methods for IRT delivery. Published data suggest IRT consistently elicits mean blood pressure reductions of 7.4/3.3 mmHg systolic blood pressure/diastolic blood pressure, equivalent to antihypertensive medication monotherapy. Blood pressure reductions of this size are associated with an approximate 13% to 22% reduction in major cardiovascular events. Moreover, IRT is safe in a range of patient populations. We suggest that IRT has the greatest potential benefit when used as an antihypertensive therapy in individuals unwilling and/or unable to complete aerobic exercise, or who have had limited adherence or success with it; individuals with resistant or uncontrolled hypertension, already taking at least two pharmacological antihypertensive agents; and healthy or clinical populations, as an adjunct to aerobic exercise and dietary intervention in those who have not yet attained control of their hypertension. IRT is efficacious and produces clinically meaningful blood pressure reductions (systolic blood pressure, 7 mmHg; diastolic blood pressure, 3 mmHg). IRT is safe and typical program delivery requires only about 17 min weekly. IRT should be used as an adjunct to other exercise modalities, in people unable to complete other types of exercise, or in resistant hypertension. [Abstract copyright: © 2023. The Author(s).

Determining position and orientation of a 3-wheel robot on a pipe using an accelerometer

Accurate positioning of robots on pipes is a challenge in automated industrial inspection. It is typically achieved using expensive and cumbersome external measurement equipment. This paper presents an Inverse Model method for determining the orientation angle (α ) and circumferential position angle (ω) of a 3 point of contact robot on a pipe where measurements are taken from a 3-axis accelerometer sensor. The advantage of this system is that it provides absolute positional measurements using only a robot mounted sensor. Two methods are presented which follow an analytical approximation to correct the estimated values. First, a correction factor found though a parametric study between the robot geometry and a given pipe radius, followed by an optimization solution which calculates the desired angles based on the system configuration, robot geometry and the output of a 3-axis accelerometer. The method is experimentally validated using photogrammetry measurements from a Vicon T160 positioning system to record the position of a three point of contact test rig in relation to a test pipe in a global reference frame. An accelerometer is attached to the 3 point of contact test rig which is placed at different orientation (α ) and circumferential position (ω) angles. This work uses a new method of processing data from an accelerometer sensor to obtain the α and ω angles. The experimental results show a maximum error of 3.40° in α and 4.17° in ω , where the ω circumferential positional error corresponds to ±18mm for the test pipe radius of 253mm