How Risky Is the Value at Risk?

The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR before and during the recent financial crisis with respect to the choice of sampling window, return distributional assumptions and stochastic properties of the underlying financial assets. Moreover we develop a new data driven approach that is based on the principle of optimal combination and that provides robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis.Value at Risk, model risk, optimal forecast combination

Irreducible adjoint representations in prime power dimensions, with an application

We construct an infinite family of representations of finite groups with an irreducible adjoint action and we give an application to the question of lacunary of Frobenius traces in Galois representations.Comment: To appear in the Journal of the Ramanujan Mathematical Societ

The biographical consequences of protest and activism: a systematic review and a new typology

Most research on activist participation has aimed to explain motives to engage in protest and collective action or becoming an activist. The outcomes, for the individual, have been neglected. Therefore, we set out to systematically document and organize the psychological and behavioural changes associated with activism into a typology of change. The review contains 57 papers describing changes. Psychological changes identified in the literature can be classified into 19 main forms: marital status, children, relationship ties, work-life/career, extended involvement, consumer behaviour, identity, empowerment, radicalization/politicization, legitimacy, sustained commitment, self-esteem, general well-being, ‘traits’, self-confidence, religion, organizing, knowledge and home skills. Our analysis highlights the lack of analysis of the relation between type of protest and type of change, and lack of research into the processes behind the various psychological changes. What is needed now is more precise investigation of the relationship between types of protests, social and psychological processes, and psychological outcomes. Further, more longitudinal studies are required to explore the relationship

SIMPLE ENTRAPMENT OF ALCALASE IN DIFFERENT SILICA XEROGELS USING THE TWO STEPS SOL-GEL METHOD

The present study has focused on the entrapment of Alcalase in different xerogels obtained by using various molar ratios of methyltriethoxysilane, dimethyldietoxisilane and tetraethoxysilane. Silica and their derivatives were characterized with regard to specific surface area (nitrogen adsorbtion), chemical composition (Fourier transform infrared spectroscopy (FT-IR)), weight loss upon heating (thermogravimetric analysis (TGA)) and catalytic activity

Journal Staff

I juni 2007 beslutade regeringen att en ny specialpedagogisk påbyggnadsutbildning ska starta och att den ska benämnas speciallärarutbildning. Vid Institutionen för beteendevetenskap och lärande (IBL) på Linköpings universitet grenomfördes under hösten 2007 och våren 2008 ett planerings- och utvecklingsarbete inför starten av ett nytt Speciallärarprogram. Jag har haft förtroendet att som kritisk vän följa och granska reformarbetet i samband med planeringen och utvecklingen av det nya Speciallärarprogrammet vid Linköpings universitet. Avsikten var att som kritisk vän följa, iaktta och spegla de processer som uppstår när ett beslut ska implementeras. Mitt arbete kan betraktas som en kvalitetssäkringsinsats och en granskning av ett reformarbete. Reformarbetet har belysts med hjälp av IBL:s kriterier för kvalitet i grundutbildningen. Kvalitetskriterierna har använts för att återspegla och analysera utvecklings- och planeringsarbetet av det nya Speciallärarprogrammet. Arbetet och processen har även analyserats utifrån ett socialt- och gruppsykologiskt perspektiv, främst med hjälp av ett urval av relevanta gruppsykologiska teorier och forskningsfynd. Resultatet av mitt arbete som critical friend är den rapport som här föreligger

INTERNATIONAL BIOMASS TRADE AND SUSTAINABLE DEVELOPMENT: AN OVERVIEW

It is crystal clear that the neoclassical economical theory, despite being probably the best growth model ever invented by man, tickled a cost of environmental degradation which can threaten our wealth and even our existence. For this reason, the concept of sustainable development (SD) is so empathic, being considered probably the best theoretical alternative invented by man to standard growth, because of its vision of a better world, where economics, society and environment are intimately linked. Thus, all human activities have to adapt to this new paradigm, in order to achieve its goals. From the economical perspective, production, consumption and trade must incorporate a kind of sustainable type of activity. In the recent years, growing demands in energy use and the increase of oil and coal prices, have led to the usage of new energy sources such as biomass, water, solar, wind and geothermal energy. This is why we propose in this paper to present an overview of international trade in biomass reported to the philosophy of SD. In short, we want to give an answer at two questions: how much is biomass trade sustainable and what risks may arise if the main source of energy used today, based on fossil fuels, will be totally substitute by biomass? To be sustainable, biomass, must meet certain criteria, such as: to possess a high capacity for regeneration, in a relatively short time; to offer a better efficiency compared with the traditional fossil fuel sources; to be less or non-polluting, to be used in solid, liquid and gaseous form; to have a broad applicability in production and consumption; to have a competitive level in terms of costs and prices for transport or storage, in both stages, as a raw material or as a finished product; to be a good substitute of traditional fuels (gasoline or diesel), without the necessity for structural changes of the of the engine. The article will conclude that the uprising trend of the EU biomass trade and consumption will continue, because of grown concerns of the EU Member States regarding the effects that greenhouse gas emissions have over the environment and over the quality of life standard, despite the critics which states that biomass production may have negative environmental effects, leading to massive deforestation and destruction of soil, water sources and natural habitat.sustainable development, international trade, environmental impact, biomass, biofuels

ECONOMIC MEASUREMENTS OF SOCIAL AND INTANGIBLE ASSETS: WHERE DOES ROMANIA STAND AT SUSTAINABLE DEVELOPMENT?

Sustainable economic development, no matter the geographical area it is applied to, relates to improving living standards and incorporates a new focus and challenge for the economy: the measurement of intangible and social assets. This article aims to present Romania’s ranking among other countries. First of all, it analyses the rationale for measuring social aspects, in the context of the emrging new economy. The essential point here is that investing in intangibles produces more welfare on long term and improves labour productivity, creating a more competitive and knowledge based economy and society. Secondly, several indices are presented and the ranking for Romania is analysed, in order to provide a systematic view and debate upon the importance of social and intangible assets and their ways of measurement at a country level. We consider that our study's results are just a starting point for possible future theoretical and empirical investigations. This paper seeks to develop in Romania a framework of understanding the value of social and intangible assets and their importance for sustainable development. We appreciate that such a study could be a quite useful approach for both the academic and business communities in our country.knowledge economy, intangible assets, sustainable development,economic development, globalisation

The Use of Internal Rating Models in Managing the Risks Related to the Exposures of Non-banking Financial Institutions

Although there is no express requirement in the regulations of the National Bank of Romania, the design, the implementation and the use of rating systems in the management of risks related to exposures of non-banking financial institutions (NFIs) on the basis of good banking practice, is a valuable and indispensable in the efficient administration of risks, especially in the current crisis. In this framework, this study describes the synthetic process of reviewing the scoring system used by IFN. The mechanism for evaluation of scoring system performance combines the indicators of discrimination power with econometric results of studying the functional relationship between risk variables integrated in the model and the credit status (default/ reimbursement) based on logit model. The empirical analysis provides clear evidences that while the discriminatory power related to qualitative component (reputational scoring) respects the requirements of a good ex-ante identification of non reimbursement cases, the power of discrimination of quantitative scoring is only marginally superior to a random model. The added value of the study is completed by highlighting the importance of technical conditions of financing facility for anticipating events of non reimbursement. At the same time, the study tries to highlight the importance of scientific calibration of such a scoring system to perform effectively in the early detection of cases of default.non-banking financial institutions, credit risk, scoring model, univariate analysis, multivariate analysis, ROC curve, discriminating power