Overnight Borrowing, Interest Rates and Extreme Value Theory

Cataloged from PDF version of article.We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values of the interest rate distribution. We also provide predictions of extreme overnight borrowing rates using pre-crisis data. The examination of tails (extreme values) provides answers to such issues as to what are the extreme movements to be expected in financial markets; is there a possibility for even larger movements and, are there theoretical processes that can model the type of fat-tails in the observed data? The answers to such questions are essential for proper management of financial exposures and laying ground for regulations. (c) 2005 Elsevier B.V. All rights reserved

Extreme value theory and Value-at-Risk: Relative performance im emerging markets

Cataloged from PDF version of article.In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine different emerging markets. In addition to well-known modeling approaches, such as variance-covariance method and historical simulation, we study the extreme value theory (EVT) to generate VaR estimates and provide the tail forecasts of daily returns at the 0.999 percentile along with 95% confidence intervals for stress testing purposes. The results indicate that EVT-based VaR estimates are more accurate at higher quantiles. According to estimated Generalized Pareto Distribution parameters, certain moments of the return distributions do not exist in some countries. In addition, the daily return distributions have different moment properties at their right and left tails. Therefore, risk and reward are not equally likely in these economies. (C) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved

Multiscale Systematic Risk

Cataloged from PDF version of article.In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the relationship between the return of a portfolio and its beta becomes stronger as the wavelet scale increases. Therefore, the predictions of the CAPM model should be investigated considering the multiscale nature of risk and return. (C) 2004 Elsevier Ltd. All rights reserved

Micro‐photoluminescence of capped and uncapped ordered single InAs quantum dots on GaAs (311)B

Micro-photoluminescence (PL) of capped and uncapped ordered single InAs quantum dots (QDs) on patterned GaAs (311)B substrates exhibits distinct emission lines which are broadened for uncapped QDs. This indicates strong interaction with surface states paving the way towards high-sensitivity sensor applications

Complex laterally ordered InGaAs and InAs quantum dots by guided self-organized anisotropic strain engineering on shallow- and deep-patterned GaAs (311)B substrates

Self-organized anisotropic strain engineering guided on shallow- and deep-patterned GaAs (311)B substrates is exploited for formation of complex laterally ordered architectures of connected InGaAs quantum dot (QD) arrays and isolated InAs QD groups by molecular beam epitaxy. The combination of strain and step engineerings on shallow stripe-patterned substrates transforms the periodic spotlike arrangement of the InGaAs QD arrays and InAs QD groups (on planar substrates) into a zigzag arrangement of periodic stripes which are well ordered over macroscopic areas on zigzag mesa-patterned substrates. In contrast, the formation of slow-growing facets on deep-patterned substrates produces QD-free mesa sidewalls, while InGaAs QD arrays and InAs QD groups form on the GaAs (311)B top and bottom planes with arrangements modified only close to the sidewalls depending on the sidewall orientation. The QDs on the shallow- and deep-patterned substrates exhibit excellent optical properties up to room temperature. Therefore, the concept of guided self-organization demonstrated on shallow-patterned (due to steps) and deep-patterned (due to facets) substrates is highlighted for creation of complex architectures of laterally ordered QDs for future quantum functional devices. © 2007 American Institute of Physic

Chromium picolinate and chromium histidinate protects against renal dysfunction by modulation of NF-κB pathway in high-fat diet fed and Streptozotocin-induced diabetic rats

<p>Abstract</p> <p>Background</p> <p>Diabetic nephropathy is one of major complications of diabetes mellitus. Although chromium is an essential element for carbohydrate and lipid metabolism, its effects on diabetic nephropathy are not well understood. The present study was conducted to investigate the effects of chromium picolinate (CrPic) and chromium histidinate (CrHis) on nuclear factor-kappa B (NF-κB) and nuclear factor-E2-related factor-2 (Nrf2) pathway in the rat kidney.</p> <p>Methods</p> <p>Male Wistar rats were divided into six groups. Group I received a standard diet (8% fat) and served as a control; Group II was fed with a standard diet and received CrPic; Group III was fed with a standard diet and received CrHis; Group IV received a high fat diet (HFD, 40% fat) for 2 weeks and then were injected with streptozotocin (STZ) (HFD/STZ); Group V was treated as group IV (HFD/STZ) but supplemented with CrPic for 12 weeks. Group VI was treated as group IV (HFD/STZ) but supplemented with CrHis.</p> <p>Results</p> <p>The increased NF-κβ p65 in the HFD/STZ group was inhibited by CrPic and CrHis supplementation (<it>P </it>< 0.05). In STZ-treated rats, a significant decrease in levels of nuclear factor of kappa light polypeptide gene enhancer in B-cells inhibitor, alpha (IκBα) was found in kidney tissues when compared to control rats (<it>P </it>< 0.05). A significant increase in the levels of IκBα was observed in CrPic- and CrHis-treated rats when compared with STZ-treated rats. Renal Nrf2 levels were significantly decreased in diabetic rats compared with the control rats. There was a higher tendency for increase of kidney Nrf2 level and decrease in kidney NFκBp65 levels and 4- hydroxyl nonenal (4-HNE) protein adducts (<it>P </it>< 0.05) in diabetic rats.</p> <p>Conclusion</p> <p>Our result show that in kidney tissue CrHis/CrPic increases Nrf2 level, parallelly decreases NF-κB and partially restores IκBα levels in HFD/STZ group, suggesting that CrPic and CrHis may play a role in antioxidant defense system via the Nrf2 pathway by reducing inflammation through NF-κβ p65 inhibition. Moreover, a greater reduction in NF-κB expression and greater increases in expressions of IκBα and Nrf2 in diabetic rats supplemented with CrHis than rats supplemented with CrPic suggest that CrHis has more favorable effects than CrPic.</p

Efficient Probabilistic Computing with Stochastic Perovskite Nickelates

Probabilistic computing has emerged as a viable approach to solve hard optimization problems. Devices with inherent stochasticity can greatly simplify their implementation in electronic hardware. Here, we demonstrate intrinsic stochastic resistance switching controlled via electric fields in perovskite nickelates doped with hydrogen. The ability of hydrogen ions to reside in various metastable configurations in the lattice leads to a distribution of transport gaps. With experimentally characterized p-bits, a shared-synapse p-bit architecture demonstrates highly-parallelized and energy-efficient solutions to optimization problems such as integer factorization and Boolean-satisfiability. The results introduce perovskite nickelates as scalable potential candidates for probabilistic computing and showcase the potential of light-element dopants in next-generation correlated semiconductors

An ICT-Enabled Approach to Optimising the Reliability of Manual Ultrasonic Non-Destructive Testing

Manual Ultrasonic Testing (MUT) is the most cost effective NDT method for the in-situ inspection of aerospace structures, in particular composite structures. However, its defect detection reliability is low. Manual Ultrasonic Testing (MUT) reports may vary depending on the operator conducting the test. Its reliability is therefore greatly influenced by human factors. Nonetheless, MUT continues to play a key role in the NDT suite of techniques. Despite its simplicity, it often meets the required performance at a reduced cost. No mechanised system exists which is as dextrous as the human hand for moving a probe over complex shapes while also dynamically skewing the probe to achieve the maximum amplitude from a reflector. It is therefore worth looking at ways to improve the reliability of MUT

Impact of SARS-CoV-2 on training and mental well-being of surgical gynecological oncology trainees

Introduction: The SARS-CoV-2 global pandemic has caused a crisis disrupting health systems worldwide. While efforts are being made to determine the extent of the disruption, the impact on gynecological oncology trainees/training has not been explored. We conducted an international survey of the impact of SARS-CoV-2 on clinical practice, medical education, and mental well-being of surgical gynecological oncology trainees. Methods: In our cross-sectional study, a customized web-based survey was circulated to surgical gynecological oncology trainees from national/international organizations from May to November 2020. Validated questionnaires assessed mental well-being. The Wilcoxon rank-sum test and Fisher's exact test were used to analyse differences in means and proportions. Multiple linear regression was used to evaluate the effect of variables on psychological/mental well-being outcomes. Outcomes included clinical practice, medical education, anxiety and depression, distress, and mental well-being. Results: A total of 127 trainees from 34 countries responded. Of these, 52% (66/127) were from countries with national training programs (UK/USA/Netherlands/Canada/Australia) and 48% (61/127) from countries with no national training programs. Altogether, 28% (35/125) had suspected/confirmed COVID-19, 28% (35/125) experienced a fall in household income, 20% (18/90) were self-isolated from households, 45% (57/126) had to re-use personal protective equipment, and 22% (28/126) purchased their own. In total, 32.3% (41/127) of trainees (16.6% (11/66) from countries with a national training program vs 49.1% (30/61) from countries with no national training program, p=0.02) perceived they would require additional time to complete their training fellowship. The additional training time anticipated did not differ between trainees from countries with or without national training programs (p=0.11) or trainees at the beginning or end of their fellowship (p=0.12). Surgical exposure was reduced for 50% of trainees. Departmental teaching continued throughout the pandemic for 69% (87/126) of trainees, although at reduced frequency for 16.1% (14/87), and virtually for 88.5% (77/87). Trainees reporting adequate pastoral support (defined as allocation of a dedicated mentor/access to occupational health support services) had better mental well-being with lower levels of anxiety/depression (p=0.02) and distress (p<0.001). Trainees from countries with a national training program experienced higher levels of distress (p=0.01). Mean (SD) pre-pandemic mental well-being scores were significantly higher than post-pandemic scores (8.3 (1.6) vs 7 (1.8); p<0.01). Conclusion: SARS-CoV-2 has negatively impacted the surgical training, household income, and psychological/mental well-being of surgical gynecological oncology trainees. The overall clinical impact was worse for trainees in countries with no national training program than for those in countries with a national training program, although national training program trainees reported greater distress. COVID-19 sickness increased anxiety/depression. The recovery phase must focus on improving mental well-being and addressing lost training opportunities