The pp-Daugavet property for function spaces

A natural extension of the Daugavet property for $p$-convex Banach function spaces and related classes is analysed. As an application, we extend the arguments given in the setting of the Daugavet property to show that no reflexive space falls into this class

What Happened to Risk Management During the 2008-09 Financial Crisis?

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the selection of optimal risk models, consider combining alternative risk models, discuss the choice between a conservative and aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk management strategies performed during the 2008-09 financial crisis, evaluate how the financial crisis affected risk management practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the financial crisis. These issues are illustrated using Standard and Poor’s 500 Index, with an emphasis on how risk management practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis

International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy before, during and after a financial crisis, it will lead to comparatively low daily capital charges and violation penalties for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is generally GFC-robust. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. In the empirical analysis, we choose several major indexes, namely French CAC, German DAX, US Dow Jones, UK FTSE100, Hong Kong Hang Seng, Spanish Ibex35, Japanese Nikkei, Swiss SMI and US S&P500. The GARCH, EGARCH, GJR and Riskmetrics models, as well as several other strategies, are used in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to examine the performance of the Median strategy in terms of the number of violations and daily capital charges, among other criteria. The Median is shown to be a profitable and safe strategy for risk management, both in calm and turbulent periods, as it provides a reasonable number of violations and daily capital charges. The Median also performs well when both total losses and the asymmetric linear tick loss function are considere

A dark energy multiverse

We present cosmic solutions corresponding to universes filled with dark and phantom energy, all having a negative cosmological constant. All such solutions contain infinite singularities, successively and equally distributed along time, which can be either big bang/crunchs or big rips singularities. Classicaly these solutions can be regarded as associated with multiverse scenarios, being those corresponding to phantom energy that may describe the current accelerating universe

Hydrological heterogeneity in Mediterranean reclaimed slopes: runoff and sediment yield at the patch and slope scales along a gradient of overland flow

Hydrological heterogeneity is recognized as a fundamental ecosystem attribute in drylands controlling the flux of water and energy through landscapes. Therefore, mosaics of runoff and sediment source patches and sinks are frequently identified in these dry environments. There is a remarkable scarcity of studies about hydrological spatial heterogeneity in restored slopes, where ecological succession and overland flow are interacting. We conducted field research to study the hydrological role of patches and slopes along an "overland flow gradient" (gradient of overland flow routing through the slopes caused by different amounts of run-on coming from upslope) in three reclaimed mining slopes of Mediterranean-continental climate. We found that runoff generation and routing in non-rilled slopes showed a pattern of source and sink areas of runoff. Such hydrological microenvironments were associated with seven vegetation patches (characterized by plant community types and cover). Two types of sink patches were identified: shrub Genista scorpius patches could be considered as "deep sinks", while patches where the graminoids Brachypodium retusum and Lolium perenne dominate were classified as "surface sinks" or "runoff splays". A variety of source patches were also identified spanning from "extreme sources" (Medicago sativa patches; equivalent to bare soil) to "poor sources" (areas scattered by dwarf-shrubs of Thymus vulgaris or herbaceous tussocks of Dactylis glomerata). Finally, we identified the volume of overland flow routing along the slope as a major controlling factor of "hydrological diversity" (heterogeneity of hydrological behaviours quantified as Shannon diversity index): when overland flow increases at the slope scale hydrological diversity diminishes

GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008-09 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions

GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast was based on the median of the point VaR forecasts of a set of conditional volatility models. In this paper we provide further evidence on the suitability of the median as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008-09 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions

Optimisation of processing routes for a marine biorefinery

13 páginas, 5 figurasCurrent fishing practices result in the waste of 20 million tonnes of valuable resources every year. However, from now on, vessels must keep on board and land both target and those non-target species subject to quota regulations, as regulated by recent EU legislation, in the reform of the Common Fisheries Policy (CFP). Therefore, an important quantity of low-value marine biomass has to be managed in an efficient manner to avoid its waste. Several added value products apart from fishmeal and oil (like enzymes or nutraceuticals) can be obtained from the wide variety of discarded species trough different valorisation processes. The challenge arises when these species can be handled by more than one processing route. The selection of the best alternatives has to fulfil often-opposite sustainability criteria, considering also the constraints associated to each resource and process. This was achieved by a multiobjective framework using a suitable and efficient optimization approach based on scatter-search. The results from the obtained Pareto fronts show that, in general, the valorisation of specific fish parts rather than the use of the whole specimen is more optimal from both points of view. It is also demonstrated that the most suitable products to be obtained are biopeptides, chondroitin sulphate and fish enzymes, due to their high sales price and relative low environmental impact. On the other hand, alternative technologies to present state-of-the-art ones should be considered for the production of chitin, gelatine and fishmeal due to their high environmental cost. Furthermore, a high number of the most optimal valorisation pathways leave biomass unprocessed and therefore, its treatment as solid waste must be included in the economic and environmental costsThe authors acknowledge the financial support received from the European Union through the LIFE Environment Program of the European Union (LIFE05 ENV/E000267-BE FAIR,LIFE08 ENV/E/000119-FAROS and LIFE13 ENV/ES/000131-LIFE iSEAS). Dr. Amaya Franco-Uría would like to thank Secretaría de Estado de Investigación, Desarrollo e Innovación for the support provided by the “Ramón y Cajal” SubprogramPeer reviewe