Estimating Portfolio Risk for Tail Risk Protection Strategies

We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which dominates simple and sophisticated standalone models as well as a simple average combination approach in modelling the tail of the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide effective downside protection, the latter strategies suffer less from inferior risk forecasts given the defensive portfolio insurance mechanics

Cytokine and Chemokine Expression in Kidneys during Chronic Leptospirosis in Reservoir and Susceptible Animal Models.

Leptospirosis is caused by pathogenic spirochetes of the genus Leptospira. Humans can be infected after exposure to contaminated urine of reservoir animals, usually rodents, regarded as typical asymptomatic carriers of leptospires. In contrast, accidental hosts may present an acute form of leptospirosis with a range of clinical symptoms including the development of Acute Kidney Injury (AKI). Chronic Kidney Disease (CKD) is considered as a possible AKI-residual sequela but little is known about the renal pathophysiology consequent to leptospirosis infection. Herein, we studied the renal morphological alterations in relation with the regulation of inflammatory cytokines and chemokines, comparing two experimental models of chronic leptospirosis, the golden Syrian hamster that survived the infection, becoming carrier of virulent leptospires, and the OF1 mouse, a usual reservoir of the bacteria. Animals were monitored until 28 days after injection with a virulent L. borgpetersenii serogroup Ballum to assess chronic infection. Hamsters developed morphological alterations in the kidneys with tubulointerstitial nephritis and fibrosis. Grading of lesions revealed higher scores in hamsters compared to the slight alterations observed in the mouse kidneys, irrespective of the bacterial load. Interestingly, pro-fibrotic TGF-β was downregulated in mouse kidneys. Moreover, cytokines IL-1β and IL-10, and chemokines MIP-1α/CCL3 and IP-10/CXCL-10 were significantly upregulated in hamster kidneys compared to mice. These results suggest a possible maintenance of inflammatory processes in the hamster kidneys with the infiltration of inflammatory cells in response to bacterial carriage, resulting in alterations of renal tissues. In contrast, lower expression levels in mouse kidneys indicated a better regulation of the inflammatory response and possible resolution processes likely related to resistance mechanisms