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

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

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

Job satisfaction and work–family policies through work-family enrichment

Purpose: The purpose of this paper is to analyze the effect of a bundle of work–family policies on employee’s job satisfaction and (affective) organizational commitment, by using work–family enrichment and conflict as explanatory. Design/methodology/approach: Empirical study is conducted with a sample of 322 employees from 30 Spanish firms that have been granted with the “Flexible Firm Award” or have been certified as “Family Responsible Firms.” Structural equation modeling is used to test hypotheses. Findings: The results show that the higher the use of work–family policies the more positive effects on work–family enrichment and conflict, and that job satisfaction is positively related to (effective) organizational commitment. Research limitations/implications: This is a cross-sectional study which may limit the establishment of causal relationships. Practical implications: Work–family policies may constitute a relevant management tool to balance work and family life by making employees more interested in their jobs, enhancing their well-being and reducing the conflicts between work and family domains. The positive role of work–family enrichment contributes to enhance employees’ job satisfaction and, at the same time, to increase their organizational commitment. Managers should pay attention at how work–family policies are justified because they may influence differently on their outcomes on satisfaction and commitment. Originality/value: There are two main original contributions of the paper. First, the authors study the joint effect of work–family policies on different dimensions of enrichment and conflict. Second, the authors analyze the relationship between different dimensions of enrichment and conflict on job satisfaction and organizational commitment

Automatic design of deterministic and non-halting membrane systems by tuning syntactical ingredients

To solve the programmability issue of membrane computing models, the automatic design of membrane systems is a newly initiated and promising research direction. In this paper, we propose an automatic design method, Permutation Penalty Genetic Algorithm (PPGA), for a deterministic and non-halting membrane system by tuning membrane structures, initial objects and evolution rules. The main ideas of PPGA are the introduction of the permutation encoding technique for a membrane system, a penalty function evaluation approach for a candidate membrane system and a genetic algorithm for evolving a population of membrane systems toward a successful one fulfilling a given computational task. Experimental results show that PPGA can successfully accomplish the automatic design of a cell-like membrane system for computing the square of n ( n >/= 1 is a natural number) and can find the minimal membrane systems with respect to their membrane structures, alphabet, initial objects, and evolution rules for fulfilling the given task. We also provide the guidelines on how to set the parameters of PPGA

Las medidas de conciliación en las empresas y la satisfacción laboral de los empleados: el papel explicativo del enriquecimiento trabajo-familia

Este trabajo analiza la relación de un conjunto de diferentes medidas de conciliación laboral y familiar con la satisfacción de los empleados y de esta con su compromiso hacia la empresa, introduciendo en esta relación el término novedoso del enriquecimiento trabajo-familia (T-F) versus familia-trabajo (F-T), así como manteniendo el rol clásico del conflicto trabajo-familia (T-F) versus familia-trabajo (F-T). El estudio se ha realizado con una muestra de 322 trabajadores, utilizando la metodología de ecuaciones estructurales. Los resultados indican que un mayor uso de las medidas de conciliación tiene efectos beneficiosos sobre el enriquecimiento y el conflicto, y hace que estos influyan en la satisfacción laboral de los empleados. En cambio, mayores niveles de interferencia o tensión en el trabajo hacen que el empleado se sienta menos satisfecho en su puesto de trabajo. El trabajo destaca el papel positivo del enriquecimiento para lograr una mayor satisfacción laboral del empleado y que, a su vez, aumente su compromiso hacia la organización

Work-family practices and organizational commitment: the mediator effect of job satisfaction

This article analyzes the mediator effect of job satisfaction in the relationship between the availability of work-family practices and employees'' organizational commitment. Empirical data from employees working for family-friendly awarded firms shows that when employees perceive that work-family practices are really available to them, they are more satisfied in their jobs and demonstrate more organizational commitment

SEOM clinical guidelines on nutrition in cancer patients (2018)

Nutritional deficiency is a common medical problem that affects 15-40% of cancer patients. It negatively impacts their quality of life and can compromise treatment completion. Oncological therapies, such as surgery, radiation therapy, and drug therapies are improving survival rates. However, all these treatments can play a role in the development of malnutrition and/or metabolic alterations in cancer patients, induced by the tumor or by its treatment. Nutritional assessment of cancer patients is necessary at the time of diagnosis and throughout treatment, so as to detect nutritional deficiencies. The Patient-Generated Subjective Global Assessment method is the most widely used tool that also evaluates nutritional requirements. In this guideline, we will review the indications of nutritional interventions as well as artificial nutrition in general and according to the type of treatment (radiotherapy, surgery, or systemic therapy), or palliative care. Likewise, pharmacological agents and pharmaconutrients will be reviewed in addition to the role of regular physical activity

Protection from Staphylococcus aureus mastitis associated with poly-N-acetyl beta-1,6 glucosamine specific antibody production using biofilm-embedded bacteria

Staphylococcus aureus vaccines based on bacterins surrounded by slime, surface polysaccharides coupled to protein carriers and polysaccharides embedded in liposomes administered together with non-biofilm bacterins confer protection against mastitis. However, it remains unknown whether protective antibodies are directed to slime-associated known exopolysaccharides and could be produced in the absence of bacterin immunizations. Here, a sheep mastitis vaccination study was carried out using bacterins, crude bacterial extracts or a purified exopolysaccharide from biofil

Down-Regulation of hsa-miR-10a in Chronic Myeloid Leukemia CD34+ Cells Increases USF2-Mediated Cell Growth

MicroRNAs (miRNA) are small noncoding, single-stranded RNAs that inhibit gene expression at a posttranscriptional level, whose abnormal expression has been described in different tumors. The aim of our study was to identify miRNAs potentially implicated in chronic myeloid leukemia (CML). We detected an abnormal miRNA expression profile in mononuclear and CD34+ cells from patients with CML compared with healthy controls. Of 157 miRNAs tested, hsa-miR-10a, hsa-miR-150, and hsa-miR-151 were down-regulated, whereas hsa-miR-96 was up-regulated in CML cells. Down-regulation of hsa-miR-10a was not dependent on BCR-ABL1 activity and contributed to the increased cell growth of CML cells. We identified the upstream stimulatory factor 2 (USF2) as a potential target of hsa-miR-10a and showed that overexpression of USF2 also increases cell growth. The clinical relevance of these findings was shown in a group of 85 newly diagnosed patients with CML in which expression of hsa-miR-10a was down-regulated in 71% of the patients, whereas expression of USF2 was up-regulated in 60% of the CML patients, with overexpression of USF2 being significantly associated with decreased expression of hsa-miR-10a (P = 0.004). Our results indicate that down-regulation of hsa-miR-10a may increase USF2 and contribute to the increase in cell proliferation of CML implicating a miRNA in the abnormal behavior of CML