Extreme Value at Risk and Expected Shortfall during Financial Crisis

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is stronger using the historical VaR approach than when using the extreme values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for predicting the asset risk losses. Banks have no interest in using it because the Basel II agreement penalizes banks using accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper.Market risk; Value at Risk; EVT; GARCH; Financial crisis; Basel requirements

Increased neurogranin concentrations in cerebrospinal fluid of Alzheimer's disease and in mild cognitive impairment due to AD

Synaptic dysfunction is linked to both major depressive disorder (MDD) and Alzheimer’s disease (AD). Synapse protein concentrations in cerebrospinal fluid (CSF) may be useful biomarkers to monitor synaptic dysfunction and degeneration that lead to depressive symptoms and AD, respectively. CSF neurogranin (Ng), a post-synaptic protein, has emerged as a promising tool to measure synaptic dysfunction and/or loss in AD. The aim of this study was to test the specific hypothesis that CSF neurogranin (Ng) is able to differentiate AD from MDD and cognitively normal controls. CSF samples from 44 healthy control individuals (CTRL), 86 patients with mild cognitive impairment (MCI), 36 of whom had prodromal AD as defined by a positive CSF AD biomarker signature, 25 AD dementia and 6 patients with MDD were analysed using an in house enzyme-linked immunosorbent assay for Ng. CSF Ng levels were significantly higher in AD patients and in prodromal AD (MCI patients with an “AD-like” CSF tau and Aβ42 profile) compared with CTRL individuals (p < 0.0001 for both groups) and MDD patients (p < 0.001 and p < 0.01, respectively). Significantly higher CSF Ng concentration was also seen in prodromal AD patients as compared to MCI patients without biomarker evidence of underlying AD pathology (p < 0.0001). CSF Ng correlated positively with the classical axonal injury markers CSF T-tau and P-tau (p < 0.0001), whereas correlation to plaque pathology as reflected by CSF Aβ42 was less clear. Negative correlations of CSF Ng with cognitive evaluation scores (MMSE and CAMCOG) were observed. This study strengthens the clinical utility of CSF Ng as a CSF biomarker for AD. AD patients in both MCI and dementia stages of the disease had increased CSF Ng concentrations compared with cognitively normal control individuals, patients with non-AD MCI and patients with MDD. The lowest CSF Ng concentrations were seen in patients with MDD, a finding that warrants validation in further studies

Measurement and Analysis of the Field Quality of LHC Prototype and Pre-series Superconducting Dipoles

We report the main results of the magnetic field measurements performed on the full-size LHC superconducting dipoles tested at CERN since summer 1998. Main field strength and field errors are summarised. We discuss in detail the contributions related to the geometry of the collared coil, the assembled cold mass, cool-down effects, magnetisation of the superconducting cable and saturation effects at high field. Dynamic effects on field harmonics, such as the field decay during injection and field errors during current ramps, are assessed statistically

Genesis of oceanic oxide gabbros and gabbronorites during reactive melt migration at transform walls (Doldrums Megatransform System; 7-8°N Mid-Atlantic Ridge)

The Doldrums Megatransform System (~7-8°N, Mid-Atlantic Ridge) shows a complex architecture including four intra-transform ridge segments bounded by five active transform faults. Lower crustal rocks are exposed along the Doldrums and Vernadsky transform walls that bound the northernmost intra-transform ridge segment. The recovered gabbros are characterized by variably evolved chemical compositions, ranging from olivine gabbros to gabbronorites and oxide gabbros, and lack the most primitive gabbroic endmembers (troctolites, dunites). Notably, the numerous recovered gabbronorites show up to 20 vol% of coarse-grained orthopyroxene. Although covariations in mineral and bulk-rock chemical compositions of the olivine and oxide gabbros define trends of crystallization from a common parental melt, the gabbronorites show elevated light over heavy rare earth elements (LREE/HREE) ratios in both bulk-rock and mineral compositions. These features are not consistent with a petrological evolution driven solely by fractional crystallization, which cannot produce the preferential enrichments in highly incompatible elements documented in the orthopyroxene-bearing lithologies. We suggest that gabbronorites crystallized from evolved melts percolating and partly assimilating a pre-existing olivine gabbro matrix. Saturation in orthopyroxene and selective enrichments in LREE relative to M-HREE are both triggered by an increase in assimilated crystal mass, which ranges from negligible in the oxide-gabbros to abundant in the gabbronorites. This melt-rock reaction process has been related to lateral melt migration beneath ridge-transform intersections, where variably evolved melts injected from the peripheral parts of the melting region towards the transform zone may interact with a gabbroic crystal mush to form abundant oxide-bearing gabbronoritic associations

The relationship between abdominal pain and emotional wellbeing in children and adolescents in the Raine Study

Abdominal pain is a common reason for medical visits. We examined the prevalence, gastrointestinal, and emotional significance of abdominal pain in a population-based cohort serially followed up from birth to 17 years. Children and adolescents from Generation 2 of the Raine Study participated in comprehensive cross-sectional assessments at ages 2, 5, 8, 10, 14 and 17 years. At 17 years, medical history, general health, gastrointestinal symptoms, medications, health practitioner attendance, and self-rated unhappiness were recorded. Longitudinal data regarding abdominal pain or unhappiness, from serial questionnaires, were analysed to identify factors associated with abdominal pain and adverse emotional health at age 17 years. Females experienced more abdominal pain than males at all ages (p \u3c 0.05). Seventeen-year-old adolescents with abdominal pain reported a higher prevalence of depression, anxiety, being bullied at school, and poorer health status than those without abdominal pain (p \u3c 0.05 for all). Abdominal pain and unhappiness during childhood and mid-adolescence were prospectively associated with recurrent abdominal pain, anxiety, depression and unhappiness during late adolescence (p \u3c 0.05 for all). In conclusion, abdominal pain in children and adolescents associates with depression, anxiety, being bullied, unhappiness and reduced overall health-rating during adolescence. Awareness of these factors may guide management decisions

The relationship between abdominal pain and emotional wellbeing in children and adolescents in the Raine Study

Abdominal pain is a common reason for medical visits. We examined the prevalence, gastrointestinal, and emotional significance of abdominal pain in a population-based cohort serially followed up from birth to 17 years. Children and adolescents from Generation 2 of the Raine Study participated in comprehensive cross-sectional assessments at ages 2, 5, 8, 10, 14 and 17 years. At 17 years, medical history, general health, gastrointestinal symptoms, medications, health practitioner attendance, and self-rated unhappiness were recorded. Longitudinal data regarding abdominal pain or unhappiness, from serial questionnaires, were analysed to identify factors associated with abdominal pain and adverse emotional health at age 17 years. Females experienced more abdominal pain than males at all ages (p \u3c 0.05). Seventeen-year-old adolescents with abdominal pain reported a higher prevalence of depression, anxiety, being bullied at school, and poorer health status than those without abdominal pain (p \u3c 0.05 for all). Abdominal pain and unhappiness during childhood and mid-adolescence were prospectively associated with recurrent abdominal pain, anxiety, depression and unhappiness during late adolescence (p \u3c 0.05 for all). In conclusion, abdominal pain in children and adolescents associates with depression, anxiety, being bullied, unhappiness and reduced overall health-rating during adolescence. Awareness of these factors may guide management decisions

Gauge-invariant screening masses and static quark free energies in Nf=2+1 QCD at nonzero baryon density

We discuss the extension of gauge-invariant electric and magnetic screening masses in the quark-gluon plasma to the case of a finite baryon density, defining them in terms of a matrix of Polyakov loop correlators. We present lattice results for Nf=2+1 QCD with physical quark masses, obtained using the imaginary chemical potential approach, which indicate that the screening masses increase as a function of μB. A separate analysis is carried out for the theoretically interesting case μB/T=3iπ, where charge conjugation is not explicitly broken and the usual definition of the screening masses can be used for temperatures below the Roberge-Weiss transition. Finally, we investigate the dependence of the static quark free energy on the baryon chemical potential, showing that it is a decreasing function of μB, which displays a peculiar behavior as the pseudocritical transition temperature at μB=0 is approached

Electronic and structural properties of superconducting MgB2_2, CaSi2_2 and related compounds

We report a detailed study of the electronic and structural properties of the 39K superconductor \mgbtwo and of several related systems of the same family, namely \mgalbtwo, \bebtwo, \casitwo and \cabesi. Our calculations, which include zone-center phonon frequencies and transport properties, are performed within the local density approximation to the density functional theory, using the full-potential linearized augmented plane wave (FLAPW) and the norm-conserving pseudopotential methods. Our results indicate essentially three-dimensional properties for these compounds; however, strongly two-dimensional $\sigma$-bonding bands contribute significantly at the Fermi level. Similarities and differences between \mgbtwo and \bebtwo (whose superconducting properties have not been yet investigated) are analyzed in detail. Our calculations for \mgalbtwo show that metal substitution cannot be fully described in a rigid band model. \casitwo is studied as a function of pressure, and Be substitution in the Si planes leads to a stable compound similar in many aspects to diborides.Comment: Revised version, Phys.Rev.B in pres