Risk measurement and management in a crisis-prone world

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution effectively, VaR is consistent with intuition only if the underlying return distribution is well behaved. To facilitate the use of ES, we present a power function formula that can calculate accurately the critical values of the ES test statistic. This in turn enables us to derive a size-based multiplication factor for risk capital requirement

A GMM skewness and kurtosis ratio test for higher moment dependence

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios using the generalized methods of moments. In particular, overlapping observations are used in which dependencies are explicitly modeled to make the tests more powerful and have better size properties. The proposed higher-order ratio tests can be useful in risk management where risk models are estimated using daily data but multiperiod forecasts of tail risks are required for the determination of risk capital. Application of the tests finds significant higher moment dependence in the U.S. stock market returns

The other side of the trading story: evidence from NYSE

We analyse the well-known TORQ dataset of trades on the NYSE over a 3-month period, breaking down transactions depending on whether the active or passive side was institutional or private. This allows us to compare the returns on the different trade categories. We find that, however we analyse the results, institutions are best informed, and earn highest returns when trading with individuals as counterparty. We also confirm the conclusions found elsewhere in the literature that informed traders often place limit orders, especially towards the end of the day (as predicted on the basis of laboratory experiments in Bloomfield, O�'Hara, and Saar (2005)). Finally, we find that trading between institutions accounts for the bulk of trading volume, but carries little information and seems to be largely liquidity-driven

Information-based trade in the Shanghai stock market

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect

A unique orthogonal variance decomposition

Let e and S be respectively the vector of shocks and its variance covariance matrix in a linear system of equations in reduced form. This article shows that a unique orthogonal variance decomposition can be obtained if we impose a restriction that maximizes the trace of A, a positive definite matrix such that Az = e where z is vector of uncorrelated shocks with unit variance. Such a restriction is meaningful in that it associates the largest possible weight for each element in e with its corresponding element in z. It turns out that 1/2 A = S , the square root of S

Immunopathological Roles of Cytokines, Chemokines, Signaling Molecules, and Pattern-Recognition Receptors in Systemic Lupus Erythematosus

Systemic lupus erythematosus (SLE) is an autoimmune disease with unknown etiology affecting more than one million individuals each year. It is characterized by B- and T-cell hyperactivity and by defects in the clearance of apoptotic cells and immune complexes. Understanding the complex process involved and the interaction between various cytokines, chemokines, signaling molecules, and pattern-recognition receptors (PRRs) in the immune pathways will provide valuable information on the development of novel therapeutic targets for treating SLE. In this paper, we review the immunopathological roles of novel cytokines, chemokines, signaling molecules, PRRs, and their interactions in immunoregulatory networks and suggest how their disturbances may implicate pathological conditions in SLE

Nonlinear ACD model and informed trading: evidence from Shanghai stock exchange

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a nonlinear log-ACD model to stocks listed on Shanghai Stock Exchange. When trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593)

Information-based trade in the Shanghai stock market

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect

Obstetric risk factors for levator ani muscle avulsion: A systematic review and meta-analysis.

OBJECTIVES: Women have a 11% lifetime risk of undergoing surgery for vaginal prolapse. Levator ani muscle (LAM) avulsion is one etiological factor associated with primary and recurrent pelvic organ prolapse. Pelvic organ prolapse has been shown to greatly affect the quality of life and well-being of women. Conduct a meta-analysis identifying risk factors associated with LAM avulsion recognised on transperineal ultrasound (TPUS) or magnetic resonance imaging (MRI) in primiparous women after vaginal birth. STUDY DESIGN: OVID Medline, Embase and the Cochrane Library from inception to January 2021 were searched. Review Manager 5.3 (The Cochrane Collaboration) was used to analyse data. Odds ratios (OR) with 95% confidence intervals (95% CIs) were calculated. The heterogeneity among studies was calculated using the I2statistic. RESULTS: Twenty-five studies were eligible for inclusion (n = 9333 women). Major LAM avulsion was diagnosed in an average of 22 % (range 12.7-39.5 %) of cases. Twenty-two studies used TPUS and three used MRI to diagnose avulsion. Modifiable and non-modifiable risk factors were identified. Significant predictors identified were forceps (OR 6.25 [4.33 - 9.0]), obstetric anal sphincter injuries (OR 3.93 [2.85-5.42]), vacuum (OR 2.41 [1.40-4.16]), and maternal age (OR 1.06 [1.02-1.10]). CONCLUSIONS: This is the first meta-analysis of both modifiable and non-modifiable risk factors associated with LAM avulsion. This information could be used to develop a clinically applicable risk prediction model to target postnatal women at risk of LAM avulsion with a view to prevent the onset of pelvic floor organ prolapse

The other side of the trading story: evidence from NYSE

We analyse the well-known TORQ dataset of trades on the NYSE over a 3-month period, breaking down transactions depending on whether the active or passive side was institutional or private. This allows us to compare the returns on the different trade categories. We find that, however we analyse the results, institutions are best informed, and earn highest returns when trading with individuals as counterparty. We also confirm the conclusions found elsewhere in the literature that informed traders often place limit orders, especially towards the end of the day (as predicted on the basis of laboratory experiments in Bloomfield, O�'Hara, and Saar (2005)). Finally, we find that trading between institutions accounts for the bulk of trading volume, but carries little information and seems to be largely liquidity-driven