Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies

Risk in finance may come from (negative) asset returns whilst payment loss is a typical risk in insurance. It is often that we encounter several risks, in practice, instead of single risk. In this paper, we construct a dependence modeling for financial risks and form a portfolio risk of cryptocurrencies. The marginal risk model is assumed to follow a heteroscedastic process of GARCH(1,1) model. The dependence structure is presented through vine copula. We carry out numerical analysis of cryptocurrencies returns and compute Value-at-Risk (VaR) forecast along with its accuracy assessed through different backtesting methods. It is found that the VaR forecast of returns, by considering vine copula-based dependence among different returns, has higher forecast accuracy than that of returns under prefect dependence assumption as benchmark. In addition, through vine copula, the aggregate VaR forecast has not only lower value but also higher accuracy than the simple sum of individual VaR forecasts. This shows that vine copula-based forecasting procedure not only performs better but also provides a well-diversified portfolio.

Clinical Impact of Universal Screening for COVID-19 before Therapeutic Endoscopy

Introduction The Coronavirus pandemic (COVID-19) has led to drastic change in gastrointestinal (GI) endoscopy practice. Endoscopy is an aerosol-generating procedure. COVID-19 testing prior to endoscopy can reduce transmission by delaying non-emergency endoscopies in positive patients. There is scarcity of literature to support such protocols. We aimed to study the clinical impact of universal testing for COVID-19 before therapeutic endoscopy. Methods This is retrospective analysis of prospectively maintained data. All patients requiring therapeutic endoscopy were enrolled between June 15 to July 15, 2020. Clinical profile, indication, endoscopic intervention, and outcome of patients tested positive for COVID-19 real-time polymerase chain reaction (RT PCR) or CT chest suggestive of CO-RADS 3 or more were included for analysis. Results Out of 772 patients scheduled for endoscopic interventions, 26 (3.34%) patients had COVID-19 infection with mean age (range) of 48.19 (3–75) years. Eight (30.8%) were females. Of them, seven (26.9%) patients underwent emergency endoscopy, and another seven (26.9%) patients underwent endoscopy after minimum of 2 weeks waiting period. Two deaths were seen in patients who underwent emergency interventions which were unrelated to endoscopy. One patient, who was planned for endoscopic ultrasound (EUS) for choledocholithiasis, developed acute biliary pancreatitis in the waiting period. Conclusion We suggest use of universal testing for COVID-19 by RT-PCR before endoscopic intervention. Endoscopy can be postponed for 2 weeks with marginal risk of adverse events during the waiting period in nonemergency indications. However, this approach needs to be tailored as per local needs, resources availability, and indication of endoscopy.

Study on the status quo and countermeasures of “marginalization” of Marxist ideology in colleges and universities

This study involves a broad theoretical basis, based on China’s mainstream ideology, with Marxist ideology throughout the text. Firstly explains the ideological theory, Marxist ideology in Chinese colleges and universities be marginal risk discusses and combs, the induction and summary of marxism in China’s achievement at the same time, some problems also exist, timely find out the reasons, finally summarizes the present situation of the Marxist ideology in the marginalized, put forward the corresponding countermeasures, these countermeasures can insist on the guidance of the Marxist ideology position and leading role, and elevate the status of the mainstream ideology of colleges and universities.

Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution

We consider a lender (bank) that determines the optimal loan price (interest rate) to offer to prospective borrowers under uncertain borrower response and default risk. A borrower may or may not accept the loan at the price offered, and both the principal loaned and the interest income become uncertain because of the risk of default. We present a risk-based loan pricing optimization framework that explicitly takes into account the marginal risk contribution, the portfolio risk, and a borrower’s acceptance probability. Marginal risk assesses the incremental risk contribution of a prospective loan to the bank’s overall portfolio risk by capturing the dependencies between the prospective loan and the existing portfolio and is evaluated with respect to the value-at-risk and conditional value-at-risk measures. We examine the properties and computational challenges of the formulations. We design a reformulation method based on the concavifiability concept to transform the nonlinear objective functions and to derive equivalent mixed-integer nonlinear reformulations with convex continuous relaxations. We also extend the approach to multiloan pricing problems, which feature explicit loan selection decisions in addition to pricing decisions. We derive formulations with multiple loans that take the form of mixed-integer nonlinear problems with nonconvex continuous relaxations and develop a computationally efficient algorithmic method. We provide numerical evidence demonstrating the value of the proposed framework, test the computational tractability, and discuss managerial implications. This paper was accepted by Chung Piaw Teo, optimization.

Outcome of tantalum rod insertion in the treatment of osteonecrosis of the femoral head with minimum follow-up of 1 year: a meta-analysis and systematic review

Osteonecrosis of the femoral head (ONFH) is a debilitating disease that can cause deformity and collapse of the femoral head, thus leading to the development of degenerative joint disease that can incapacitate the patient with pain and reduction in hip mobility. This study aims to determine the safety and efficacy of tantalum rod insertion in the treatment of ONFH with a minimum follow-up period of 1 year. A multi-database search was performed according to Preferred Reporting Items for Systematic reviews and Meta-Analyses guidelines. Data from studies assessing the clinical and radiological outcomes as well as complications of tantalum rod insertion in the treatment of ONFH with a minimum follow-up period of 1 year were extracted and analyzed. Ten studies were included in this meta-analysis, consisting of 550 hips. There was a statistically significant increase in HHS (MD = 30.35, 95% CI: 20.60–40.10, P < 0.001) at final follow-up versus pre-operative scores. The weighted pooled proportion (PP) of radiographic progression of ONFH was 0.221 (95% CI: 0.148–0.316), while that of progression into femoral head collapse was 0.102 (95% CI: 0.062–0.162). Conversion to total hip arthroplasty (THA) had a PP of 0.158 (95% CI: 0.107–0.227) with a mean weighted period of 32.4 months (95% CI: 24.9–39.9 months). Subgroup analysis of conversion to THA when tantalum rods were used in conjunction with bone grafting (PP = 0.150, 95% CI: 0.092–0.235) showed a marginal risk reduction than when compared with subgroup analysis of tantalum rods being used alone (PP = 0.154, 95% CI: 0.078–0.282). Tantalum rod is a safe alternative option to the current joint-preserving procedures available in the treatment of ONFH. However, more studies are needed to investigate and identify the most appropriate patients who would benefit most and the synergistic effect brought on by the use of complementary biological augmentation of bone grafting or stem cells with tantalum rods.

When Is a Complete-Case Approach to Missing Data Valid? The Importance of Effect-Measure Modification

When estimating causal effects, careful handling of missing data is needed to avoid bias. Complete-case analysis is commonly used in epidemiologic analyses. Previous work has shown that covariate-stratified effect estimates from complete-case analysis are unbiased when missingness is independent of the outcome conditional on the exposure and covariates. Here, we assess the bias of complete-case analysis for adjusted marginal effects when confounding is present under various causal structures of missing data. We show that estimation of the marginal risk difference requires an unbiased estimate of the unconditional joint distribution of confounders and any other covariates required for conditional independence of missingness and outcome. The dependence of missing data on these covariates must be considered to obtain a valid estimate of the covariate distribution. If none of these covariates are effect-measure modifiers on the absolute scale, however, the marginal risk difference will equal the stratified risk differences and the complete-case analysis will be unbiased when the stratified effect estimates are unbiased. Estimation of unbiased marginal effects in complete-case analysis therefore requires close consideration of causal structure and effect-measure modification.

Do Deviations From Historical Precipitation Trends Influence Child Nutrition? An Analysis From Uganda

Changes in precipitation patterns might have deleterious effects on population health. We used data from the Uganda National Panel Survey from 2009 to 2012 (n = 3,223 children contributing 5,013 assessments) to evaluate the link between rainfall and undernutrition in children under age 5 years. We considered 3 outcomes (underweight, wasting, and stunting) and measured precipitation using household-reported drought and deviations from long-term precipitation trends measured by satellite. We specified multilevel logistic regression models with random effects for the community, village, and individual. Underweight (13%), wasting (4%), and stunting (33%) were common. Reported drought was associated with underweight (marginal risk ratio (RR) = 1.18, 95% confidence interval (CI): 1.04, 1.35) in adjusted analyses. Positive annual deviations (greater rainfall) from long-term precipitation trends were protective against underweight (marginal RR per 50-mm increase = 0.94, 95% CI: 0.92, 0.97) and wasting (marginal RR per 50-mm increase = 0.93, 95% CI: 0.87, 0.98) but not stunting (marginal RR per 50-mm increase = 1.00, 95% CI: 0.98, 1.01). Precipitation was associated with measures of acute but not chronic malnutrition using both objective and subjective measures of exposure. Sudden reductions in rainfall are likely to have acute adverse effects on child nutritional status.

Asymmetric Volatility Risk: Evidence from Option Markets*

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices about the marginal risk-neutral distributions (RNDs) of S&P 500 returns and of relative changes in future expected volatility (VIX). While the bivariate RND cannot be inferred from the marginals, we propose a novel identification based on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation (AVIC) and find it to be significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium and use AVIC to predict returns, volatility, and risk-neutral quantities.