Purpose of the paper The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate portfolio returns. The purpose of the paper is to estimate accurate 10-day-ahead 99% VaR...

simply stated, a vaR model is a model of the distribution of future profits and losses of a bank’s trading portfolio. vaR models combine information on a bank’s trading positions across various products with statistical estimations of the probability distribution of the underlying market factors and their relation to each other. the final output of a vaR model is a vaR estimate, which is define...

The formulation of the National Centers for Environmental Prediction four-dimensional variational dataassimilation (4D-Var) system is described. Results of applying 4D-Var over a one-week assimilation period, with a full set of physical parametrizations, are presented and compared with those of 3D-Var. The linearization has been performed without simplifications and, therefore, the tangent-line...

This paper evaluates the effectiveness of selected volatility models in forecasting Value-at-Risk (VaR) for 1-day and 10-day horizons. The latter is the actual reporting horizon required by the Basel Committee on Banking Supervision, but not considered in existing studies. The autoregressive stochastic volatility (Taylor, 1982) is found to be less effective than simpler ARCH type models such as...

BACKGROUND Almost all foals develop transient diarrhoea within the first weeks of life. Studies indicated different viral, bacterial, and parasitic causes, such as rotavirus, Clostridium perfringens, Escherichia coli, and Cryptosporidium are discussed. But little is known about the development of intestinal microflora in foals. The present study investigated whether the supplementation with Bac...

The age of stratospheric air is computed with a trajectory model, using ECMWF ERA-40 3-D-Var and operational 4-D-Var winds. The sensitivity to the forecast period and assimilation technique are studied, and the results are compared with observations and with results from a chemistry transport model that uses the same data sets. A large 5 number of backward trajectories is started in the stratos...

The symptom courses of 84 schizophrenia patients (mean age: 24.4 years; mean previous admissions: 1.3; 64% males) of a community-based acute ward were examined to identify dynamic patterns of symptoms and to investigate the relation between these patterns and treatment outcome. The symptoms were monitored by systematic daily staff ratings using a scale composed of three factors: psychoticity, e...

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight close-to-open price variation. The benchmark is the bivariate VaR modeling approach proposed by Ahoniemi et a...

The alcoholic fermentative ability of yeast strains; Saccharomyces cerevisiae (isolated from yam), S. cerevisiae (from sugarcane molasses), S. carlsbergensis (from sugarcane molasses) and S. cerevisiae var. ellipsoideus (from orange juice) were examined on orange juice (Citrus sinensis). The quality of the wine produced on the basis of the acidity, ash content, vitamin C and the alcohol content...

Opuntia ficus-indica var. saboten. is widely cultivated in Jeju Island (South Korea) for use in manufacture of health foods. This study described antidepressant effect of two flavonoids (kaempferol and quercitrin) isolated from the Opuntia ficus-indica var. saboten. The expression of the hypothalamic POMC mRNA or plasma β-endorphin levels were increased by extract of Opuntia ficus-indica var. s...