VALUE-AT-RISK Value-at-Risk (VaR) measures the worst expected loss under normal market conditions over a specific time interval at a given confidence level. As one of our references states: “VaR answers the question: how much can I lose with x% probability over a pre-set horizon” (J.P. Morgan, RiskMetrics–Technical Document). Another way of expressing this is that VaR is the lowest quantile of ...

The clinical outcome of Plasmodium falciparum infections ranges from asymptomatic parasitemia to severe malaria syndromes associated with high mortality. The virulence of P. falciparum infections is associated with the type of P. falciparum erythrocyte membrane protein 1 (PfEMP1) expressed on the surface of infected erythrocytes to anchor these to the vascular lining. Although var2csa, the var ...

Common subexpression elimination is a well-known compiler optimisation that saves time by avoiding the repetition of the same computation. To our knowledge it has not yet been applied to lazy functional programming languages, although there are several advantages. First, the referential transparency of these languages makes the identification of common subexpressions very simple. Second, more c...

This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation. The mapping between DSGE and VAR models is broken down into three stages: 1) from DSGE to statespace model; 2) from state-space model to VAR(1); 3) from VAR(1) to nite order VAR. The focus is on discussing what can go wrong at each step of th...

The phylogeny of 46 geographically diverse Histoplasma capsulatum isolates representing the three varieties capsulatum, duboisii, and farciminosum was evaluated using partial DNA sequences of four protein coding genes. Parsimony and distance analysis of the separate genes were generally congruent and analysis of the combined data identified six clades: (i) class 1 North American H. capsulatum v...

The var gene family of Plasmodium falciparum encodes the clonally variant adhesin PfEMP1 present on the surface of infected erythrocytes. A poorly understood mechanism of allelic exclusion controls the expression of PfEMP1. Transcription of var genes is developmentally and, most likely, epigenetically regulated. Here we have studied the transcriptional pattern of 28 members of this multigene fa...

BACKGROUND The variable antigen P. falciparum erythrocyte membrane protein-1 (PfEMP1) is a major virulence factor in malaria. A large number of var genes encode PfEMP1, and we hypothesized that a restricted PfEMP1 repertoire determines clinical disease presentation. We conducted a case-control study in Papua New Guinea and analyzed transcribed var genes in naturally infected children. METHODS...

Plasmodium falciparum expresses on the host erythrocyte surface clonally variant antigens and ligands that mediate adherence to endothelial receptors. Both are central to pathogenesis, since they allow chronicity of infection and lead to concentration of infected erythrocytes in cerebral vessels. Here we show that expression of variant antigenic determinants is correlated with expression of ind...

In this paper we study the model risk of Expected Shortfall (ES), extending the results of Boucher et al. (2014) on model risk of Value-at-Risk (VaR). We propose a correction formula for ES based on passing three backtests. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using GARCH models. Furthermore, the 2.5% ES requires smaller corr...