CVaR sensitivity with respect to tail thickness

We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student's t, and generalized Gaussian laws and discuss implications for the modeling of daily returns and marginal rebalancing decisions. Finally, we explore empirically the impact on the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency for risk estimation. --fat-tailed distributions,regularly varying tails,conditional value-at-risk,marginal rebalancing,asymptotic variability

Fat-tailed models for risk estimation

In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory. --

Correlation between Voronoi volumes in disc packings

We measure the two-point correlation of free Voronoi volumes in binary disc packings, where the packing fraction $\phi_{\rm avg}$ ranges from 0.8175 to 0.8380. We observe short-ranged correlations over the whole range of $\phi_{\rm avg}$ and anti-correlations for $\phi_{\rm avg}>0.8277$. The spatial extent of the anti-correlation increases with $\phi_{\rm avg}$ while the position of the maximum of the anti-correlation and the extent of the positive correlation shrink with $\phi_{\rm avg}$. We conjecture that the onset of anti-correlation corresponds to dilatancy onset in this system

Packing of concave polyhedra with continuous rotations using nonlinear optimisation

We study the problem of packing a given collection of arbitrary, in general concave, polyhedra into a cuboid of minimal volume. Continuous rotations and translations of polyhedra are allowed. In addition, minimal allowable distances between polyhedra are taken into account. We derive an exact mathematical model using adjusted radical free quasi phi-functions for concave polyhedra to describe non-overlapping and distance constraints. The model is a nonlinear programming formulation. We develop an efficient solution algorithm, which employs a fast starting point algorithm and a new compaction procedure. The procedure reduces our problem to a sequence of nonlinear programming subproblems of considerably smaller dimension and a smaller number of nonlinear inequalities. The benefit of this approach is borne out by the computational results, which include a comparison with previously published instances and new instances

Optimal clustering of a pair of irregular objects

Cutting and packing problems arise in many fields of applications and theory. When dealing with irregular objects, an important subproblem is the identification of the optimal clustering of two objects. Within this paper we consider a container (rectangle, circle, convex polygon) of variable sizes and two irregular objects bounded by circular arcs and/or line segments, that can be continuously translated and rotated. In addition minimal allowable distances between objects and between each object and the frontier of a container, may be imposed. The objects should be arranged within a container such that a given objective will reach its minimal value. We consider a polynomial function as the objective, which depends on the variable parameters associated with the objects and the container. The paper presents a universal mathematical model and a solution strategy which are based on the concept of phi-functions and provide new benchmark instances of finding the containing region that has either minimal area, perimeter or homothetic coefficient of a given container, as well as finding the convex polygonal hull (or its approximation) of a pair of objects

Constitutional Reform and Congressional Closure in Contemporary Latin America

Over the past decade in Latin America, there have been several cases of attempted and successful closures of congress through the mechanisms of direct democracy and constitutional reform. This is qualitatively different than previous closures through military coups or autogolpes. When are presidents more likely to attempt to close congress by this means and what factors determine whether it will be successful? I argue that several factors make a president more likely to attempt this strategy: a radical agenda and a minority in congress (incentives), perceived chance of success in relation to alternative strategies, and diffusion effects. In turn, success is determined by the presence of two factors. One is mobilizational leverage, which I measure by examining the presence of an electoral mandate, high presidential approval, and the ability to rally large sectors of the electorate around the president's agenda. The second is institutional leverage, which I measure by examining party system weakness, and the neutralization of non-legislative institutions, such as the military, Supreme Court, and electoral council. I test this theory in four case studies: Venezuela, Ecuador, Honduras, and Nicaragua