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

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).

Of monkeys and men: immunomic profiling of sera from humans and non-human primates resistant to schistosomiasis reveals novel potential vaccine candidates.

Schistosoma haematobium affects more than 100 million people throughout Africa and is the causative agent of urogenital schistosomiasis. The parasite is strongly associated with urothelial cancer in infected individuals and as such is designated a group I carcinogen by the International Agency for Research on Cancer. Using a protein microarray containing schistosome proteins, we sought to identify antigens that were the targets of protective IgG1 immune responses in S. haematobium-exposed individuals that acquire drug-induced resistance (DIR) to schistosomiasis after praziquantel treatment. Numerous antigens with known vaccine potential were identified, including calpain (Smp80), tetraspanins, glutathione-S-transferases, and glucose transporters (SGTP1), as well as previously uncharacterized proteins. Reactive IgG1 responses were not elevated in exposed individuals who did not acquire DIR. To complement our human subjects study, we screened for antigen targets of rhesus macaques rendered resistant to S. japonicum by experimental infection followed by self-cure, and discovered a number of new and known vaccine targets, including major targets recognized by our human subjects. This study has further validated the immunomics-based approach to schistosomiasis vaccine antigen discovery and identified numerous novel potential vaccine antigens

Exercise-based cardiac rehabilitation improves exercise capacity and health-related quality of life in people with atrial fibrillation: a systematic review and meta-analysis of randomised and non-randomised trials

Objective: The aim of this study was to undertake a contemporary review of the impact of exercise-based cardiac rehabilitation (CR) targeted at patients with atrial fibrillation (AF). Methods: We conducted searches of PubMED, EMBASE and the Cochrane Library of Controlled Trials (up until 30 November 2017) using key terms related to exercise-based CR and AF. Randomised and non-randomised controlled trials were included if they compared the effects of an exercise-based CR intervention to a no exercise or usual care control group. Meta-analyses of outcomes were conducted where appropriate. Results: The nine randomised trials included 959 (483 exercise-based CR vs 476 controls) patients with various types of AF. Compared with control, pooled analysis showed no difference in all-cause mortality (risk ratio (RR) 1.08, 95% CI 0.77 to 1.53, p=0.64) following exercise-based CR. However, there were improvements in health-related quality of life (mean SF-36 mental component score (MCS): 4.00, 95% CI 0.26 to 7.74; p=0.04 and mean SF-36 physical component score: 1.82, 95% CI 0.06 to 3.59; p=0.04) and exercise capacity (mean peak VO2: 1.59 ml/kg/min, 95% CI 0.11 to 3.08; p=0.04; mean 6 min walk test: 46.9 m, 95% CI 26.4 to 67.4; p<0.001) with exercise-based CR. Improvements were also seen in AF symptom burden and markers of cardiac function. Conclusions: Exercise capacity, cardiac function, symptom burden and health-related quality of life were improved with exercise-based CR in the short term (up to 6 months) targeted at patients with AF. However, high-quality multicentre randomised trials are needed to clarify the impact of exercise-based CR on key patient and health system outcomes (including health-related quality of life, mortality, hospitalisation and costs) and how these effects may vary across AF subtypes

Fingerprinting the Cretaceous-Paleogene boundary impact with Zn isotopes

Numerous geochemical anomalies exist at the K-Pg boundary that indicate the addition of extraterrestrial materials; however, none fingerprint volatilization, a key process that occurs during large bolide impacts. Stable Zn isotopes are an exceptional indicator of volatility-related processes, where partial vaporization of Zn leaves the residuum enriched in its heavy isotopes. Here, we present Zn isotope data for sedimentary rock layers of the K-Pg boundary, which display heavier Zn isotope compositions and lower Zn concentrations relative to surrounding sedimentary rocks, the carbonate platform at the impact site, and most carbonaceous chondrites. Neither volcanic events nor secondary alteration during weathering and diagenesis can explain the Zn concentration and isotope signatures present. The systematically higher Zn isotope values within the boundary layer sediments provide an isotopic fingerprint of partially evaporated material within the K-Pg boundary layer, thus earmarking Zn volatilization during impact and subsequent ejecta transport associated with an impact at the K-Pg

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

puma: a Bioconductor package for propagating uncertainty in microarray analysis

BACKGROUND: Most analyses of microarray data are based on point estimates of expression levels and ignore the uncertainty of such estimates. By determining uncertainties from Affymetrix GeneChip data and propagating these uncertainties to downstream analyses it has been shown that we can improve results of differential expression detection, principal component analysis and clustering. Previously, implementations of these uncertainty propagation methods have only been available as separate packages, written in different languages. Previous implementations have also suffered from being very costly to compute, and in the case of differential expression detection, have been limited in the experimental designs to which they can be applied. RESULTS: puma is a Bioconductor package incorporating a suite of analysis methods for use on Affymetrix GeneChip data. puma extends the differential expression detection methods of previous work from the 2-class case to the multi-factorial case. puma can be used to automatically create design and contrast matrices for typical experimental designs, which can be used both within the package itself but also in other Bioconductor packages. The implementation of differential expression detection methods has been parallelised leading to significant decreases in processing time on a range of computer architectures. puma incorporates the first R implementation of an uncertainty propagation version of principal component analysis, and an implementation of a clustering method based on uncertainty propagation. All of these techniques are brought together in a single, easy-to-use package with clear, task-based documentation. CONCLUSION: For the first time, the puma package makes a suite of uncertainty propagation methods available to a general audience. These methods can be used to improve results from more traditional analyses of microarray data. puma also offers improvements in terms of scope and speed of execution over previously available methods. puma is recommended for anyone working with the Affymetrix GeneChip platform for gene expression analysis and can also be applied more generally

Effect of Scanning Acceleration on the Leakage Signal in Magnetic Flux Leakage Type of Non-destructive Testing

This work investigates the influence of acceleration on the leakage signal in magnetic flux leakage type of non-destructive testing. The research is addressed through both designed experiments and simulations. The results showed that the leakage signal, represented by using peak to peak value, decreases between 15.1% and 26.6% under acceleration. The simulation results indicated that the main reason for the decrease is due to the difference in the distortion of the magnetic field for cases with and without acceleration, which is the result of the different eddy current distributions in the specimen. The findings will help to allow the optimisation of a magnetic flux leakage system to ensure that main defect features can be measured more accurately during the machine acceleration phase of scanning. It also shows the importance of conducting measurements at constant velocity, wherever possible