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

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

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

Portable automated radio-frequency scanner for non-destructive testing of carbon-fibre-reinforced polymer composites

A portable automated scanner for non-destructive testing of carbon-fibre-reinforced polymer (CFRP) composites has been developed. Measurement head has been equipped with an array of newly developed radio-frequency (RF) inductive sensors mounted on a flexible arm, which allows the measurement of curved CFRP samples. The scanner is also equipped with vacuum sucks providing mechanical stability. RF sensors operate in a frequency range spanning from 10 up to 300 MHz, where the largest sensitivity to defects buried below the front CFRP surface is expected. Unlike to ultrasonic testing, which will be used for reference, the proposed technique does not require additional couplants. Moreover, negligible cost and high repeatability of inductive sensors allows developing large scanning arrays, thus, substantially speeding up the measurements of large surfaces. The objective will be to present the results of an extensive measurement campaign undertaken for both planar and curved large CFRP samples, pointing out major achievements and potential challenges that still have to be addressed

Psychological and physiological effects of compassionate mind training: A pilot randomised controlled study

The development of the compassionate self, associated with practices such as slow and deeper breathing, compassionate voice tones and facial expressions and compassionate focusing is central to Compassion Focused Therapy. This study explores the impact of a two-week Compassionate Mind Training (CMT) program on emotional, self-evaluative and psychopathology measures and on heart rate variability (HRV). Participants (general population and college students) were randomly assigned to one of two conditions: CMT (n=56) and Wait-List Control (n=37). Participants in the CMTcondition were instructed to practice CMT exercises during two weeks. Self-report measures of compassion, positive affect, fears of compassion, self-criticism, shame, depression, anxiety and stress, and HRV were collected at pre and post intervention in both conditions. Compared to the control group, the experimental group showed significant increases in positive emotions, associated with feeling relaxed and also safe and content, but not activated; and in self-compassion, compassion for others and compassion from others. There were significant reductions in shame, self-criticism, fears of compassion, and stress. Only the experimental group reported significant improvement in HRV. Developing awareness of the evolved nature and inherent difficulties of our minds allied with practicing CMT exercises has beneficial effects on participants' psychological and physiological well-being.N/

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

Impacts of the Tropical Pacific/Indian Oceans on the Seasonal Cycle of the West African Monsoon

The current consensus is that drought has developed in the Sahel during the second half of the twentieth century as a result of remote effects of oceanic anomalies amplified by local land–atmosphere interactions. This paper focuses on the impacts of oceanic anomalies upon West African climate and specifically aims to identify those from SST anomalies in the Pacific/Indian Oceans during spring and summer seasons, when they were significant. Idealized sensitivity experiments are performed with four atmospheric general circulation models (AGCMs). The prescribed SST patterns used in the AGCMs are based on the leading mode of covariability between SST anomalies over the Pacific/Indian Oceans and summer rainfall over West Africa. The results show that such oceanic anomalies in the Pacific/Indian Ocean lead to a northward shift of an anomalous dry belt from the Gulf of Guinea to the Sahel as the season advances. In the Sahel, the magnitude of rainfall anomalies is comparable to that obtained by other authors using SST anomalies confined to the proximity of the Atlantic Ocean. The mechanism connecting the Pacific/Indian SST anomalies with West African rainfall has a strong seasonal cycle. In spring (May and June), anomalous subsidence develops over both the Maritime Continent and the equatorial Atlantic in response to the enhanced equatorial heating. Precipitation increases over continental West Africa in association with stronger zonal convergence of moisture. In addition, precipitation decreases over the Gulf of Guinea. During the monsoon peak (July and August), the SST anomalies move westward over the equatorial Pacific and the two regions where subsidence occurred earlier in the seasons merge over West Africa. The monsoon weakens and rainfall decreases over the Sahel, especially in August.Peer reviewe