Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies

This paper extends the class of asset-based style factor models with multiple structural breaks to the multivariate setting. We propose a model that allows for the presence of common breaks in a system of factor models for individual hedge fund investment strategies, which share common investment characteristics. We develop a Bayesian approach to inference for the unknown number and positions of the structural breaks, based on a set of filtering recursions similar to those of the forward–backward algorithm. Furthermore, we identify relevant risk factors, common among the series of hedge funds, using a Bayesian model comparison approach. We apply our method to a set of correlated hedge fund strategies, which are mainly characterized by equity related bets. Multiple common breaks are identified, consistent with well-known market events, which reveal evidence for structural changes in the risk exposures as well as in the correlation structure of the analysed series.     

Sample Size Calculation and Blinded Sample Size Recalculation in Clinical Trials Where the Treatment Effect is Measured by the Relative Risk

In clinical trials with binary endpoints, the required sample size does not depend only on the specified type I error rate, the desired power and the treatment effect but also on the overall event rate which, however, is usually uncertain. The internal pilot study design has been proposed to overcome this difficulty. Here, nuisance parameters required for sample size calculation are re-estimated during the ongoing trial and the sample size is recalculated accordingly. We performed extensive simulation studies to investigate the characteristics of the internal pilot study design for two-group superiority trials where the treatment effect is captured by the relative risk. As the performance of the sample size recalculation procedure crucially depends on the accuracy of the applied sample size formula, we firstly explored the precision of three approximate sample size formulae proposed in the literature for this situation. It turned out that the unequal variance asymptotic normal formula outperforms the other two, especially in case of unbalanced sample size allocation. Using this formula for sample size recalculation in the internal pilot study design assures that the desired power is achieved even if the overall rate is mis-specified in the planning phase. The maximum inflation of the type I error rate observed for the internal pilot study design is small and lies below the maximum excess that occurred for the fixed sample size design.     

Estimators of percentiles based on absolute loss

Estimators of percentiles of location and scale parameter distributions are optimized based on Pitman closeness and absolute risk. A median unbiased (MU) estimator and a minimum risk (MR) estimator are shown to exist within a class of estimators, and to depend upon the medians of two completely specified distributions.     

Evaluating the Effectiveness of Risk-Reduction Strategies for Consumer Chemical Products

Communication about risks offers a voluntary approach to reducing exposure to pollutants. Its adequacy depends on its impact on behavior. Estimating those impacts first requires characterizing current activities and their associated risk levels, and then predicting the effectiveness of risk-reduction strategies. Characterizing the risks from chemical consumer products requires knowledge of both the physical and the behavioral processes that influence exposures. This article presents an integrated approach that combines consumer interviews, users' beliefs and behaviors, and quantitative exposure modeling. This model was demonstrated in the context of consumer exposure to a methylene chloride-based paint stripper, showing how it could be used to evaluate current levels of risk and predict the effectiveness of proposed voluntary risk-reduction strategies.     

A Risk Assessment Method for Biological Introductions

This article describes an application of a method for assessing risks associated with the introduction of an organism into a new environment. The test organism was a binucleate Rhizoctonia fungal isolate that has potential for commercial development as a biological control agent for damping-off diseases in bedding plants. A test sample of host plant species was selected using the centrifugal phylogenetic host range principles, but with an emphasis on economic species. The effect of the fungus on the plant was measured for each species and expressed on a logarithmic scale. The effects on weights of shoots and roots per container were not normally distributed, nor were the effects on the number of plants standing (those which survived). Statements about the effect on the number standing and the shoot weight per container involved using the observed (empirical) distribution. This is illustrated with an example. Problems were encountered in defining the population of species at risk, and in deciding how this population should be formally sampled. The limitations of the method are discussed.     

我国二板市场的信息风险及监管模式研究

本文通过分析二板市场信息不完全、不对称现象导致的市场风险 ,以及信息风险产生的原因 ,从降低信息收集和处理成本、提高信息生产和流通效率的角度 ,提出建立一个自律与他律相契合的三级链式二板市场监管体系 ,并分别分析了中国证监会、证券业协会、做市商、保荐人、独立董事在监管体系中的信息创造和信息传导机制 ,揭示了其在降低交易成本方面的作用。     

An Exposure‐Response Threshold for Lung Diseases and Lung Cancer Caused by Crystalline Silica

Whether crystalline silica (CS) exposure increases risk of lung cancer in humans without silicosis, and, if so, whether the exposure‐response relation has a threshold, have been much debated. Epidemiological evidence is ambiguous and conflicting. Experimental data show that high levels of CS cause lung cancer in rats, although not in other species, including mice, guinea pigs, or hamsters; but the relevance of such animal data to humans has been uncertain. This article applies recent insights into the toxicology of lung diseases caused by poorly soluble particles (PSPs), and by CS in particular, to model the exposure‐response relation between CS and risk of lung pathologies such as chronic inflammation, silicosis, fibrosis, and lung cancer. An inflammatory mode of action is described, having substantial empirical support, in which exposure increases alveolar macrophages and neutrophils in the alveolar epithelium, leading to increased reactive oxygen species (ROS) and nitrogen species (RNS), pro‐inflammatory mediators such as TNF‐alpha, and eventual damage to lung tissue and epithelial hyperplasia, resulting in fibrosis and increased lung cancer risk among silicotics. This mode of action involves several positive feedback loops. Exposures that increase the gain factors around such loops can create a disease state with elevated levels of ROS, TNF‐alpha, TGF‐beta, alveolar macrophages, and neutrophils. This mechanism implies a “tipping point” threshold for the exposure‐response relation. Applying this new model to epidemiological data, we conclude that current permissible exposure levels, on the order of 0.1 mg/m³, are probably below the threshold for triggering lung diseases in humans.     

Quantitative Risk Estimation for a Legionella pneumophila Infection Due to Whirlpool Use

Quantitative microbiological risk assessment was used to quantify the risk associated with the exposure to Legionella pneumophila in a whirlpool. Conceptually, air bubbles ascend to the surface, intercepting Legionella from the traversed water. At the surface the bubble bursts into dominantly noninhalable jet drops and inhalable film drops. Assuming that film drops carry half of the intercepted Legionella, a total of four (95% interval: 1–9) and 4.5×10⁴ (4.4×10⁴ – 4.7×10⁴) cfu/min were estimated to be aerosolized for concentrations of 1 and 1,000 legionellas per liter, respectively. Using a dose‐response model for guinea pigs to represent humans, infection risks for active whirlpool use with 100 cfu/L water for 15 minutes were 0.29 (～0.11–0.48) for susceptible males and 0.22 (～0.06–0.42) for susceptible females. A L. pneumophila concentration of ≥1,000 cfu/L water was estimated to nearly always cause an infection (mean: 0.95; 95% interval: 0.9–～1). Estimated infection risks were time‐dependent, ranging from 0.02 (0–0.11) for 1‐minute exposures to 0.93 (0.86–0.97) for 2‐hour exposures when the L. pneumophila concentration was 100 cfu/L water. Pool water in Dutch bathing establishments should contain <100 cfu Legionella/L water. This study suggests that stricter provisions might be required to assure adequate public health protection.     

‘Water divide’ in the global risk society

In contemporary society, which is also defined as global risk society, the water crisis plays a controversial but decisive role in comparison with other kinds of risk (health care, environmental, financial, warlike). However, the sociological debate does not confer to the world water crisis the right significance: the essay precisely highlights this lack and focuses on the hypothesis that it could be also connected to the lack of interest that mass media agenda-setting shows to this issue. The result is that, in most cases, industrialized countries show an irresponsible approach towards a resource which is so precious for the simple fact that it is exhaustible. Furthermore, the advantages of both development and globalization are not equally distributed from a geographic point of view, and the gap between the ‘rich’ and the ‘poor’ is getting deeper and deeper also within this phenomenon. According to the author's perspective, it would be reasonable to talk about a water divide and assume a sustainable development capable of dealing with the overall problem of drinking water availability, its quality, its public access, with a view to democratic management and the sharing of this resource.