Back testing multi asset value at risk : Norwegian data

This paper attempts to e stimate Value At Risk (VaR) for a multi asset Norwegian portfolio, using some of the most popular estimation methods , Variance Covariance Method, Historical Simulation and Monte Carlo Simulation . The Variance Covariance Method is applied with both time varying and constant volatility . Each VaR estimation method ’ s accurac y is tested , using Kupiec’s univariate test ing framework , for multiple single points in the left tail of the portfolio’s return distribution, and Pérignon and Smith ’s multivariate framework for a larger subset of the left tail. It compares each method ’s ov erall results for the Norwegian portfolio with those found by Wu et al. (2012) on a similar Taiwanese portfolio . And finally , based on the empirical testing , it attempts to draw a conclusion on which method is best suited for Norwegian data

Neuropsychological and functional outcomes in recent-onset major depression, bipolar disorder and schizophrenia-spectrum disorders: a longitudinal cohort study

Functional disability is the lead contributor to burden of mental illness. Cognitive deficits frequently limit functional recovery, although whether changes in cognition and disability are longitudinally associated in recent-onset individuals remains unclear. Using a prospective, cohort design, 311 patients were recruited and assessed at baseline. One hundred and sixty-seven patients met eligibility criteria (M = 21.5 years old, s.d. = 4.8) and returned for follow-up (M = 20.6 months later, s.d. = 7.8). Two-hundred and thirty participants were included in the final analysis, comprising clinically stable patients with major depression (n = 71), bipolar disorder (BD; n = 61), schizophrenia-spectrum disorders (n = 35) and 63 healthy controls. Neuropsychological functioning and self-rated functional disability were examined using mixed-design, repeated-measures analysis, across diagnoses and cognitive clusters, covarying for relevant confounds. Clinical, neuropsychological and functional changes did not differ between diagnoses (all P40.05). Three reliable neuropsychological subgroups emerged through cluster analysis, characterized by psychomotor slowing, improved sustained attention, and improved verbal memory. Controlling for diagnosis and changes in residual symptoms, clusters with improved neuropsychological functioning observed greater reductions in functional disability than the psychomotor slowing cluster, which instead demonstrated a worsening in disability (Po0.01). Improved sustained attention was independently associated with greater likelihood of follow-up employment (Po0.01). Diagnosis of BD uniquely predicted both follow-up employment and independent living. Neuropsychological course appears to be independently predictive of subjective and objective functional outcomes. Importantly, cognitive phenotypes may reflect distinct pathophysiologies shared across major psychiatric conditions, and be ideal targets for personalized early intervention

Changing the Ties That Bind? The Emerging Roles and Identities of General Practitioners and Managers in the New Clinical Commissioning Groups in the English NHS

The English National Health Service (NHS) is undergoing significant reorganization following the 2012 Health and Social Care Act. Key to these changes is the shift of responsibility for commissioning services from Primary Care Trusts (PCTs) to general practitioners (GPs) working together in Clinical Commissioning Groups (CCGs). This article is based on an empirical study that examined the development of emerging CCGs in eight case studies across England between September 2011 and June 2012. The findings are based on interviews with GPs and managers, observations of meetings, and reading of related documents. Scott’s notion that institutions are constituted by three pillars—the regulative, normative, and cognitive–cultural—is explored here. This approach helps to understand the changing roles and identities of doctors and managers implicated by the present reforms. This article notes the far reaching changes in the regulative pillar and questions how these changes will affect the normative and cultural–cognitive pillars

Low Noise Cruise Efficient Short Take-Off and Landing Transport Vehicle Study

The saturation of the airspace around current airports combined with increasingly stringent community noise limits represents a serious impediment to growth in world aviation travel. Breakthrough concepts that both increase throughput and reduce noise impacts are required to enable growth in aviation markets. Concepts with a 25 year horizon must facilitate a 4x increase in air travel while simultaneously meeting community noise constraints. Attacking these horizon issues holistically is the concept study of a Cruise Efficient Short Take-Off and Landing (CESTOL) high subsonic transport under the NASA's Revolutionary Systems Concepts for Aeronautics (RSCA) project. The concept is a high-lift capable airframe with a partially embedded distributed propulsion system that takes a synergistic approach in propulsion-airframe-integration (PAI) by fully integrating the airframe and propulsion systems to achieve the benefits of both low-noise short take-off and landing (STOL) operations and efficient high speed cruise. This paper presents a summary of the recent study of a distributed propulsion/airframe configuration that provides low-noise STOL operation to enable 24-hour use of the untapped regional and city center airports to increase the capacity of the overall airspace while still maintaining efficient high subsonic cruise flight capability

Negative emotional reactivity as a marker of vulnerability in the development of borderline personality disorder symptoms

Negative emotionality is a distinguishing feature of borderline personality disorder (BPD). However, this person-level characteristic has not been examined as a marker of vulnerability in the development of this disorder. The current study utilized a multi-method approach to examine the interplay between negative emotional reactivity and cumulative exposure to family adversity on the development of BPD symptoms across three years (ages 16–18) in a diverse, at-risk sample of adolescent girls (N=113). A latent variable of negative emotional reactivity was created from multiple assessments at age 16: (1) self-report, (2) emotion ratings to stressors from ecological assessments across one week, and (3) observer-rated negative affectivity during a mother-daughter conflict discussion task. Exposure to family adversity was measured cumulatively between ages 5 and 16 from annual assessments of family poverty, single parent household, and difficult life circumstances. Results from latent growth curve models demonstrated a significant interaction between negative emotional reactivity and family adversity, such that exposure to adversity strengthened the association between negative emotional reactivity and BPD symptoms. Additionally, family adversity predicted increasing BPD symptoms during late adolescence. These findings highlight negative emotional reactivity as a marker of vulnerability that ultimately increases risk for the development of BPD symptoms

Subfactors of index less than 5, part 1: the principal graph odometer

In this series of papers we show that there are exactly ten subfactors, other than $A_\infty$ subfactors, of index between 4 and 5. Previously this classification was known up to index $3+\sqrt{3}$. In the first paper we give an analogue of Haagerup's initial classification of subfactors of index less than $3+\sqrt{3}$, showing that any subfactor of index less than 5 must appear in one of a large list of families. These families will be considered separately in the three subsequent papers in this series.Comment: 36 pages (updated to reflect that the classification is now complete

Ionization history of the cosmic plasma in the light of the recent CBI and future PLANCK data

The paper is devoted to the methods of determination of the cosmological parameters from recent CMB observations. We show that the more complex models of kinetics of recombination with a few "missing" parameters describing the recombination process provide better agreement between measured and expected characteristics of the CMB anisotropy. In particular, we consider the external sources of the Ly-{alpha} and Ly-{c} radiation and the model with the strong clustering of baryonic component. These factors can constrain the estimates of the cosmological parameters usually discussed. We demonstrate also that the measurements of polarization can improve these estimates and, for the precision expected for the PLANCK mission, allow to discriminate a wide class of models.Comment: 25 pages, 7 figures, extended and corrected after the referee report. Accepted in Ap