Value-at-Risk time scaling for long-term risk estimation

In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the usual market-risk measure, ie, Value-at-Risk (VaR) at a short-term horizon and 99% confidence level, by properly applying a scaling on the short-term Profit-and-Loss (P&L) distribution. Besides the standard square-root-of-time scaling, based on normality assumptions, we consider two leptokurtic probability density function classes for fitting empirical P&L datasets and derive accurately their scaling behaviour in light of the Central Limit Theorem, interpreting time scaling as a convolution problem. Our analyses result in a range of possible VaR-scaling approaches depending on the distribution providing the best fit to empirical data, the desired percentile level and the time horizon of the Economic Capital calculation. After assessing the different approaches on a test equity trading portfolio, it emerges that the choice of the VaR-scaling approach can affect substantially the Economic Capital calculation. In particular, the use of a convolution-based approach could lead to significantly larger risk measures (by up to a factor of four) than those calculated using Normal assumptions on the P&L distribution.Comment: Pre-Print version, submitted to The Journal of Risk. 18 pages, 17 figure

Coordination networks incorporating halogen-bond donor sites and azobenzene groups

Two Zn coordination networks, {[Zn(1)(Py)(2)](2)(2-propanol)}(n) (3) and {[Zn(1)(2)(Bipy)(2)](DMF)(2)}(n) (4), incorporating halogen-bond (XB) donor sites and azobenzene groups have been synthesized and fully characterized. Obtaining 3 and 4 confirms that it is possible to use a ligand wherein its coordination bond acceptor sites and XB donor sites are on the same molecular scaffold (i.e., an aromatic ring) without interfering with each other. We demonstrate that XBs play a fundamental role in the architectures and properties of the obtained coordination networks. In 3, XBs promote the formation of 2D supramolecular layers, which, by overlapping each other, allow the incorporation of 2-propanol as a guest molecule. In 4, XBs support the connection of the layers and are essential to firmly pin DMF solvent molecules through I center dot center dot center dot O contacts, thus increasing the stability of the solvated systems

Synthesis of pyrrole derivatives of serinol for functionalization of carbon allotropes

N-Pyrrole-based heterocycles are present in many natural products,[1] medicinal agents,[2] and functional materials,[3,4] therefore substantial attention has been paid to develop efficient methods for pyrroles synthesis. Moreover, they are precursors for the synthesis of poly N-alkyl pyrroles which have wide ranging applications in electronics and sensors due to their tunable optoelectronic properties. We present here one operationally simple, practical and economical Paal-Knorr pyrrole condensation of serinol (2-amino-propan-1,3-diol, 1) with beta-dicarbonyl compounds 2 (and related acetal/ketals or enolesters), under neat conditions in the absence of any catalysts, which allows the synthesis of N-serinopyrrole derivatives (3) in good to excellent yield. Depending on substituents, compounds 3 show quite interesting amphiphilic polar/unpolar and variable -interaction properties. The mechanistic conclusion reached in the study, allowed to identify a direct method for the preparation of the precursor serinol-pyrrole from sugar derivatives. Typical examples of this reaction is the dehydrative condensation of galactaric acid (4) with serinol (1) (i.e. its serinol salt or other derivatives). Methods for the derivatization of carbon allotropes (CNT, Graphenes and Carbon Black) by the prepared pyrroles were investigated and the good dispersion properties of the resulting material proved

Halogen bond directionality translates tecton geometry into self-assembled architecture geometry

The structures of halogen-bonded infinite chains involving two diiodoperfluoroalkanes and a bent bis(pyrid-4′-yl)oxadiazole show that the geometry of the pyridyl pendant rings is translated into the angle between the formed halogen bonds. © 2013 The Royal Society of Chemistry

What people know about congenital CMV: an analysis of a large heterogeneous population through a web-based survey

BACKGROUND: Congenital CMV (cCMV) infection is a serious public health issue due to both its worldwide prevalence and the severe and permanent impairments it causes. However, awareness of this infection is low in the general population and among pregnant women, and it also seems to be generally disregarded by healthcare providers. The identification of factors behind this inadequate level of knowledge could provide a basis for future preventive measures. This study aimed at evaluating awareness of CMV and cCMV infection and its correlation with socio-demographic variables in a general population. METHODS: The survey was carried out by computer-assisted web interviewing (CAWI). A questionnaire was sent via e-mail to the 70,975 individuals who comprised the whole population (students, administrative staff, teaching staff) of Milan University, Italy in 2015. RESULTS: Out of the 10,190 respondents, 5,351 (52.5 %) had already heard of CMV but only 3,216 (31.8 %) knew that this virus could be implicated in congenital infection. Urine and breastfeeding were the least recognized transmission routes for CMV infection; less than half of respondents accurately identified the right symptoms and sequelae caused by cCMV infection. The correct hygienic measures against cCMV infection were identified in percentages ranging from 55.6 to 75 % depending on the measures proposed but about one in three of interviewees deemed those measures unnecessary in the event of a pregnant woman already being CMV seropositive. From the mean knowledge scores the most complete quality of awareness of CMV turned out to be linked to childbearing-age (25–40 year) and with not having children, even if results for non-parents showed less of them having heard of cCMV than parents. CONCLUSION: Our results indicate a limited and confused awareness of cCMV infection in a large, fairly young and well-educated Italian population

Health Inequalities and the Welfare State in European Families

Using EU-Silc data from 2005, our aim in this article is to estimate how self-assessed health and the gradient between education and health vary among individuals in different European countries, considering their contextual socioeconomic vulnerability. In order to do this, we use a hierarchical model with individuals nested in households at the second level, and in various European countries at the third level. Our main research interest is on the modelling variables associated with better health conditions and their improvement or worsening according not only to micro/ individual and macro/national levels but also to the household: a level on which social protection (of whatever nature) exerts its influence. Diferent household contexts receive different amounts of resources, by transfers, social care and health services, which could directly affect health and also modify the gradient between education and health. Moreover, these relations are likely to change among European countries, on the basis of various welfare assets, as the identification of beneficiaries\u27 categories and the weight of category-based measures on the overall welfare expenditure varies among countries and among welfare models

The impact of school closure intervention during the third wave of the COVID-19 pandemic in Italy: Evidence from the Milan area

Background: In February 2021, the spread of a new variant of SARS-CoV-2 in the Lombardy Region, Italy caused concerns about school-aged children as a source of contagion, leading local authorities to adopt an extraordinary school closure measure. This generated a debate about the usefulness of such an intervention in light of the trade-off between its related benefits and costs (e.g. delays in educational attainment, impact on children and families' psycho-physical well-being). This article analyses the epidemiological impact of the school closure intervention in the Milan metropolitan area. Methods: Data from the Agency for Health Protection of the Metropolitan City of Milan allowed analysing the trend of contagion in different age classes before and after the intervention, adopting an interrupted times series design, providing a quasi-experimental counterfactual scenario. Segmented Poisson regression models of daily incident cases were performed separately for the 3-11-year-old, the 12-19-year-old, and the 20+-year-old age groups, examining the change in the contagion curves after the intervention, adjusting for time-varying confounders. Kaplan-Meier survival curves and Cox regression were used to assess the equality of survival curves in the three age groups before and after the intervention. Results: Net of time-varying confounders, the intervention produced a daily reduction of the risk of contagion by 4% in those aged 3-11 and 12-19 (IRR = 0·96) and by 3% in those aged 20 or more (IRR = 0·97). More importantly, there were differences in the temporal order of contagion decrease between the age groups, with the epidemic curve lowering first in the school-aged children directly affected by the intervention, and only subsequently in the adult population, which presumably indirectly benefitted from the reduction of contagion among children. Conclusion: Though it was not possible to completely discern the effect of school closures from concurrent policy measures, a substantial decrease in the contagion curves was clearly detected after the intervention. The extent to which the slowdown of infections counterbalanced the social costs of the policy remains unclear