On the properties of the Lambda value at risk: robustness, elicitability and consistency

Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable for assessing the accuracy of such an estimation and this can be naturally achieved by elicitable risk measures. For the same objective, an alternative approach has been introduced by Davis (2016) through the so-called consistency property. On the other hand, a risk estimation should be less sensitive with respect to small changes in the available data set and exhibit qualitative robustness. A new risk measure, the Lambda value at risk (Lambda VaR), has been recently proposed by Frittelli et al. (2014), as a generalization of VaR with the ability to discriminate the risk among P&L distributions with different tail behaviour. In this article, we show that Lambda VaR also satisfies the properties of robustness, elicitability and consistency under some conditions

Risk measures on P(R) and value at risk with probability/loss function

We propose a generalization of the classical notion of the V@Rλ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of law invariant risk measures based on an appropriate family of acceptance sets. The V@Rλ and other known law invariant risk measures turn out to be special cases of our proposal. We further prove the dual representation of Risk Measures on math formula

Risk contributions of lambda quantiles

Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement. The risk contribution of a portfolio, e.g., in the Euler or Aumann-Shapley framework, is given by the partial derivatives of a risk measure applied to the portfolio return in direction of the asset weights. For risk measures that are not positively homogeneous of degree 1, however, known capital allocation principles do not apply. We study the class of lambda quantile risk measures, that includes the well-known Value-at-Risk as a special case, but for which no known allocation rule is applicable. We prove differentiability and derive explicit formulae of the derivatives of lambda quantiles with respect to their portfolio composition, that is their risk contribution. For this purpose, we define lambda quantiles on the space of portfolio compositions and consider generic (also non-linear) portfolio operators. We further derive the Euler decomposition of lambda quantiles for generic portfolios and show that lambda quantiles are homogeneous in the space of portfolio compositions, with a homogeneity degree that depends on the portfolio composition and the lambda function. This result is in stark contrast to the positive homogeneity properties of risk measures defined on the space of random variables which admit a constant homogeneity degree. We introduce a generalised version of Euler contributions and Euler allocation rule, which are compatible with risk measures of any homogeneity degree and non-linear portfolios. We further provide financial interpretations of the homogeneity degree of lambda quantiles and introduce the notion of event-specific homogeneity of portfolio operators

MICA-129 dimorphism and soluble MICA are associated with the progression of multiple myeloma

Natural killer (NK) cells are immune innate effectors playing a pivotal role in the immunosurveillance of multiple myeloma (MM) since they are able to directly recognize and kill MM cells. In this regard, among activating receptors expressed by NK cells, NKG2D represents an important receptor for the recognition of MM cells, being its ligands expressed by tumor cells, and being able to trigger NK cell cytotoxicity. The MHC class I-related molecule A (MICA) is one of the NKG2D ligands; it is encoded by highly polymorphic genes and exists as membrane-bound and soluble isoforms. Soluble MICA (sMICA) is overexpressed in the serum of MM patients, and its levels correlate with tumor progression. Interestingly, a methionine (Met) to valine (Val) substitution at position 129 of the α2 heavy chain domain classifies the MICA alleles into strong (MICA-129Met) and weak (MICA-129Val) binders to NKG2D receptor. We addressed whether the genetic polymorphisms in the MICA-129 alleles could affect MICA release during MM progression. The frequencies of Val/Val, Val/Met, and Met/Met MICA-129 genotypes in a cohort of 137 MM patients were 36, 43, and 22%, respectively. Interestingly, patients characterized by a Val/Val genotype exhibited the highest levels of sMICA in the sera. In addition, analysis of the frequencies of MICA-129 genotypes among different MM disease states revealed that Val/Val patients had a significant higher frequency of relapse. Interestingly, NKG2D was downmodulated in NK cells derived from MICA-129Met/Met MM patients. Results obtained by structural modeling analysis suggested that the Met to Val dimorphism could affect the capacity of MICA to form an optimal template for NKG2D recognition. In conclusion, our findings indicate that the MICA-129Val/Val variant is associated with significantly higher levels of sMICA and the progression of MM, strongly suggesting that the usage of soluble MICA as prognostic marker has to be definitely combined with the patient MICA genotype

A hybrid model for forecasting short-term electricity demand

Currently the UK Electric market is guided by load (demand) forecasts published every thirty minutes by the regulator. A key factor in predicting demand is weather conditions, with forecasts published every hour. We present HYENA: a hybrid predictive model that combines feature engineering (selection of the candidate predictor features), mobile-window predictors and finally LSTM encoder-decoders to achieve higher accuracy with respect to mainstream models from the literature. HYENA decreased MAPE loss by 16% and RMSE loss by 10% over the best available benchmark model, thus establishing a new state of the art for the UK electric load (and price) forecasting

Clinical and magnetic resonance study of a case of subacute sclerosing panencephalitis treated with ketogenic diet

Background Subacute sclerosing panencephalitis is a progressive neurodegenerative disorder caused by a latent and mutant measles virus which is extremely rare in developed countries. The lack of effective treatments leads to the research of other anti-inflammatory and neuroprotective treatments. Case Here we present a case of a 17-year-old patient affected by subacute sclerosing panencephalitis who manifest a dramatic improvement in neurological and general clinical conditions, as well as an arrest in the progression of demyelinating process in the central nervous system, after the beginning of a high ratio ketogenic diet. Conclusions Given its anti-inflammatory, antioxidant and metabolic effects, we believe that ketogenic diet utilisation could be a rational approach, can be considered a safe add-on therapy, carrying on with only a minimal risk of adverse effects or interactions

WHO standards-based tools to measure service providers' and service users' views on the quality of hospital child care: development and validation in Italy

Objectives Evidence showed that, even in high-income countries, children and adolescents may not receive high quality of care (QOC). We describe the development and initial validation, in Italy, of two WHO standards-based questionnaires to conduct an assessment of QOC for children and young adolescents at inpatient level, based on the provider and user perspectives. Design Multiphase, mixed-methods study. Setting, participants and methods The two questionnaires were developed in four phases equally conducted for each tool. Phase 1 which included the prioritisation of the WHO Quality Measures according to predefined criteria and the development of the draft questionnaires. In phase 2 content face validation of the draft questionnaires was assessed among both experts and end-users. In phase 3 the optimised questionnaires were field tested to assess acceptability, perceived utility and comprehensiveness (N=163 end-users). In phase 4 intrarater reliability and internal consistency were evaluated (N=170 and N=301 end-users, respectively). Results The final questionnaires included 150 WHO Quality Measures. Observed face validity was excellent (kappa value of 1). The field test resulted in response rates of 98% and 76% for service users and health providers, respectively. Among respondents, 96.9% service users and 90.4% providers rated the questionnaires as useful, and 86.9% and 93.9%, respectively rated them as comprehensive. Intrarater reliability was good, with Cohen's kappa values exceeding 0.70. Cronbach alpha values ranged from 0.83 to 0.95, indicating excellent internal consistency. Conclusions Study findings suggest these tools developed have good content and face validity, high acceptability and perceived utility, and good intrarater reliability and internal consistency, and therefore could be used in health facilities in Italy and similar contexts. Priority areas for future research include how tools measuring paediatric QOC can be more effectively used to help health professionals provide the best possible care

A pharmacoeconomic analysis from Italian guidelines for the management of prolactinomas

Background: Prolactinoma, the most common pituitary adenoma, is usually treated with dopamine agonist (DA) therapy like cabergoline. Surgery is second-line therapy, and radiotherapy is used if surgical treatment fails or in relapsing macroprolactinoma. Objective: This study aimed to provide economic evidence for the management of prolactinoma in Italy, using a cost-of-illness and cost-utility analysis that considered various treatment options, including cabergoline, bromocriptine, temozolomide, radiation therapy, and surgical strategies. Methods: The researchers conducted a systematic literature review for each research question on scientific data- bases and surveyed a panel of experts for each therapeutic procedure's specific drivers that contributed to its total cost. Results: The average cost of the first year of treatment was euro2,558.91 and euro3,287.40 for subjects with micro- prolactinoma and macroprolactinoma, respectively. Follow-up costs from the second to the fifth year after ini- tial treatment were euro798.13 and euro1,084.59 per year in both groups. Cabergoline had an adequate cost-utility profile, with an incremental cost-effectiveness ratio (ICER) of euro3,201.15 compared to bromocriptine, based on a willingness-to-pay of euro40,000 per quality-adjusted life year (QALY) in the reference economy. Endoscopic sur- gery was more cost-effective than cabergoline, with an ICER of euro44,846.64. Considering a willingness-to-pay of euro40,000/QALY, the baseline findings show cabergoline to have high cost utility and endoscopic surgery just a tad above that. Conclusions: Due to the favorable cost-utility profile and safety of surgical treatment, pituitary surgery should be considered more frequently as the initial therapeutic approach. This management choice could lead to better outcomes and an appropriate allocation of healthcare resources

Climate and landscape composition explain agronomic practices, pesticide use and grape yield in vineyards across Italy

Context Worldwide, organic farming is being promoted as one of the main alternatives to intensive conventional farming. However, the benefits of organic agriculture are still controversial and need to be tested across wide environmental gradients. Objective Here, we carried out an observational study to test how agronomic practices, pest management, environmental impact and yield of conventional and organic vineyards changed along wide climatic and landscape gradients across Italy. Methods We used a block design with 38 pairs of conventional and organic vineyards across Italy. Results and conclusions Most agronomic practices did not differ between conventional and organic vineyards. By contrast, landscape composition and climate were strong predictors of management in both systems. First, increasing semi-natural areas around the vineyards reduced pesticide pressure and related environmental impacts, but was also associated with lower yield. Second, irrespective of the farming system, a warm and dry climate was associated with reduced fungicide pressure. Conventional farming had a yield gain of 40% in cold and wet climate compared to organic but the yield gap disappeared in the warmest regions. Significance In both farming systems, we observed a large variability in management practices that was mainly explained by climate and landscape composition. This large variability should be considered when evaluating the benefits and drawbacks of different farming systems under contrasting environmental contexts