Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk

We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studying these two aspects of risk measures. We conclude that expected shortfall is more applicable than VaR in those two aspects. Expected shortfall is consistent with expected utility maximization and is free of tail risk, under more lenient conditions than VaR.

On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall

Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems. Artzner et al. (1997, 1999), for example, have cited the following shortcomings of VaR. (1) VaR measures only percentiles of profit-loss distributions, and thus disregards any loss beyond the VaR level ("tail risk"), and (2) VaR is not coherent since it is not sub-additive. To alleviate the problems inherent in VaR, the use of expected shortfall is proposed. In this paper, we provide an overview of studies comparing VaR and expected shortfall to draw practical implications for financial risk management. In particular, we illustrate how tail risk can bring serious practical problems in some cases.

Research toward the Practical Application of Liquidity Risk Evaluation Methods

This paper proposes a practical framework for the quantification of Liquidity-adjusted Value at Risk ("L-VaR") incorporating the market liquidity of financial products. This framework incorporates the mechanism of the market impact caused by the investor's own dealings through adjusting Value-at-Risk according to the level of market liquidity and the scale of the investor's position. Specifically, the optimal execution strategy for liquidating the investor's entire position is first calculated taking the market impact into account. Then the maximum loss that may be incurred by price fluctuations under optimal execution strategy is calculated as L-VaR. This paper presents a specific model providing a closed-form solution for calculating L-VaR, and examines whether this framework can be applied to the practices of financial risk management by calculating numerical examples. It also demonstrates that this L-VaR calculation framework may be applied under more general conditions, such as (1) when the market impact is uncertain, (2) when the investor's portfolio consists of multiple financial assets, and (3) when there is a non-linear relationship between the market impact and the trading volume.

Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization

We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages of expected shortfall over VaR. We show that expected shortfall is easily decomposed and optimized while VaR is not. We also show that expected shortfall needs a larger size of sample than VaR for the same level of accuracy.

Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress

In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these simulated asset returns, we examine whether market stress affects the properties of VaR and expected shortfall. Our findings are as follows. First, VaR and expected shortfall may underestimate the risk of securities with fat- tailed properties and a high potential for large losses. Second, VaR and expected shortfall may both disregard the tail dependence of asset returns. Third, expected shortfall has less of a problem in disregarding the fat tails and the tail dependence than VaR does.

On the Risk Capital Framework of Financial Institutions

In this paper, we consider the risk capital framework adopted by financial institutions. Specifically, we review the recent literature on this issue, and clarify the economic assumptions behind this framework. Based on these observations, we then develop a simple model for analyzing the economic implications of this framework. The main implications are as follows. First, risk capital allocations are theoretically unnecessary without deadweight costs for raising capital, which are not usually assumed in the business practices of financial institutions. Second, the risk-adjusted rate of return is redundant as it provides no additional information beyond the net present value. Third, risk capital allocation is intrinsically difficult because it is hard to incorporate the correlations among asset returns.

A New Candidate Supporting Drug, Rikkunshito, for the QOL in Advanced Esophageal Cancer Patients with Chemotherapy Using Docetaxel/5-FU/CDDP

Purpose. Docetaxel/5-FU/CDDP (DFP) therapy is a useful treatment for advanced esophageal cancer. However, adverse reactions such as chemotherapy-induced nausea and vomiting (CINV) interfere often with continuation of the chemotherapy. We investigated the efficacy of rikkunshito (TJ-43) on CINV. Methods. Nineteen patients who were going to undergo DFP therapy were enrolled. They were assigned to the following two groups: a TJ-43-treated group and -nontreated group. The following parameters were compared between the 2 groups: (1) the frequency of symptoms occurred, (2) vomiting, nausea, and anorexia score, and (3) QOL score. Results. The incidence of symptoms was lower in the TJ-43-treated group than that in the control group. The nausea score of the TJ-43-treated group was significantly lower than that of the control group. In the QOL score, the mood score and the ADL score decreased significantly in the control group. Conclusion. We recommend TJ-43 administration in patients undergoing DFP chemotherapy

ゴウセイ キュウシュウセイ ユチャク ボウシザイ オ シヨウシタ イ ゼンテキ ジュツゴ ニ ハッショウシタ コウヤクセイ イレウス ノ イチレイ

The patient was a 50-year-old male. He underwent total gastrectomy with complication ablationof the greater omentum for gastric cancer. We used composition absorbent materials toprevent adhesion（seprafilm_）at closing of the abdominal wall. When he consulted our hospital forabdominal pain after 7 months later, we diagnosed the patient as having adhesive ileus. Severalhours later, he demonstrated abdominal swelling and fell into shock. Therefore, we performedurgent abdominal surgery. There were large quantities of cacosmia ascites and no adhesion exceptat only one point between the bottom of the previous wound and the small intestine. Weconfirmed strangulation ileus that had turned the small intestine with 360°dextroversion centeringon the adhesion point and the superior mesenteric artery root. Because most of small intestinehad become swollen and necrotized, we performed wide small intestinal resection with about 60cmsmall intestines survived. Currently we are following the patient with at-home intravenous hyperalimentationafter two further reoperations. At the time of the first operation, we had applied　seprafilm. This patient had a very late case of strangulation ileus, because there was almost noadhesion. This case represents a rare r side effect reports, involving shock, infection developingafter the use of seprafilm

ショウチョウカンマク デスモイド シュヨウ ノ 1レイ

A 51-year-old man was referred to our hospital in 2005, because of an abdominal mass in thehypogastrium. There was no tenderness, and the tumor moved to epigastric resion easily. Therewere no important findings in a physical examination, except the mass. Enhanced CT showed themass with clear boundaries of 8cm size that the inside was contrasted heterogeneously in pelviccavity, and the internal was able to confirm tessellated mass by a supersonic wave. We doubtedintestinal GIST and performed an operation. We showed mass of mesoileum origin, in 15cm oralside from terminal ileum, there was no adhesion and invasion to circumference, so we underwent apartial resection of the terminal ileum. It was diagnosed as desmoid of a mesoileum origin by apostoperative histopathology diagnosis. There has been no recurrence for postoperative threeyears. Intraabdominal desmoid is relatively rare, and often noted a history of the laparotomy orestrogenic intervention, and combined with Gardner’s syndrome. In addition, it is assumed that itusually grows infiltrative, and easy to develop local recurrence. We experienced a rare case fallingunder neither, so we report it

The effects of the herbal medicine Daikenchuto (TJ-100) after esophageal cancer resection, open-label, randomized controlled trial

Background Daikenchuto (TJ-100), a traditional Japanese herbal medicine, is widely used in Japan. Its effects on gastrointestinal motility and microcirculation and its anti-inflammatory effect are known. The purpose of this prospective randomized controlled trial was to investigate the effect of TJ-100 after esophagectomy in esophageal cancer patients. Methods Forty patients for whom subtotal esophageal resection for esophageal cancer was planned at our institute from March 2011 to August 2013 were enrolled and divided into two groups at the point of determination of the operation schedule after informed consent was obtained: a TJ-100 (15 g/day)-treated group (n = 20) and a control group (n = 20). The primary efficacy end-points were maintenance of the nutrition condition and the recovery of gastrointestinal function. The secondary efficacy end-points were the serum C-reactive protein (CRP) level and adrenomedullin level during the postoperative course, the incidence of postoperative complications, and the length of hospital stay after surgery. Results We examined 39 patients because one patient in the TJ-100 group was judged as having unresectable cancer after surgery. The mean age of the TJ-100 group patients was significantly older than that of the control group patients.The rate of body weight decrease at postoperative day 21 was significantly suppressed in the TJ-100 group (3.6% vs. the control group: 7.0%, p = 0.014), but the serum albumin level was not significantly different between the groups. The recovery of gastrointestinal function regarding flatus, defecation, and oral intake showed no significant between-group differences, but postoperative bowel symptoms tended to be rare in the TJ-100 group. There was no significant between-group difference in the length of hospital stay after surgery. The serum CRP level at postoperative day 3 was 4.9 mg/dl in the TJ-100 group and 6.9 mg/dl in the control group, showing a tendency of a suppressed serum CRP level in the TJ-100 group (p = 0.126). The rate of increase in adrenomedullin tended to be high postoperatively, but there was no significant difference between the two groups. Conclusions TJ-100 treatment after esophageal cancer resection has the effects of prompting the recovery of gastrointestinal motility and minimizing body weight loss, and it might suppress the excess inflammatory reaction related to surgery