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Machine learning methods for financial risk measurement
No full textThis thesis explores the enhancement of forecasting methodologies for market risk
measures, specifically Value-at-Risk (VaR) and Expected Shortfall (ES), with a particular focus on machine learning techniques.
The first contribution is that it proposes three novel models based on stateful Recurrent Neural Networks (RNN) and Feed-Forward Neural Networks (FNN)
for forecasting VaR and ES. Applied to several asset returns, the findings show that
stateful RNN models generally outperform non-stateful RNN models and traditional
econometric approaches, such as rolling window models, Generalized AutoRegressive Conditional Heteroskedasticity (GARCH)-type models, and Generalized Autoregressive Score (GAS) models, in terms of forecasting accuracy. This contribution highlights the potential of neural network architectures in improving financial
risk measurement and prediction.
Secondly, this thesis introduces an innovative method for improving VaR and
ES predictions by combining the bagging technique with Deep Feed-forward Neural
Networks (DFNN). By enhancing predictive accuracy and reducing overfitting, this
approach addresses financial risk forecasting challenges in volatile markets. Simulations and empirical analysis show that bagged DFNN models consistently outperform standalone DFNN models by incorporating diverse sources of uncertainty.
Applied to fifteen asset returns, the proposed method surpasses individual forecasting models and other combination techniques, demonstrating its effectiveness in
enhancing financial risk prediction.
Thirdly, this thesis contributes to financial risk forecasting by incorporating public and institutional attention to climate change into VaR and ES predictions using
machine learning models. Climate attention is measured through two proxies: the
Google Search Volume Index (SVI), which captures public interest, and Bloomberg’s
news trends (NT) function, which reflects institutional investors’ focus on climate
change. By integrating these variables into neural network models, we aim to improve the accuracy and robustness of financial risk forecasts, particularly in the face
of growing climate related uncertainties. The findings indicate that incorporating
climate attention proxies improves VaR and ES forecasts
Climatology of upper‐tropospheric turbulence: capabilities and limitations of aircraft reports and ERA5 reanalysis diagnostics
Get PDFA climatology of upper‐tropospheric turbulence is constructed from eight years of automated Aircraft Communications Addressing and Reporting System (ACARS) turbulence reports from commercial aircraft. Seasonal frequency maps for consistently reported turbulence intensities show contiguous planetary‐scale occurrence frequency maxima over the North Atlantic and North Pacific winter storm tracks, and along tropical flight routes over both oceans. The analyzed turbulence intensities are encountered less often over North America, except for a widespread increase in the east during spring. Low Richardson numbers calculated from European Centre for Medium‐Range Weather Forecasts (ECMWF) Reanalysis Version 5 (ERA5) reanalysis fields and interpolated to report locations are diagnosed most frequently in regions where turbulence is observed most frequently. The frequency maps of the 99th percentile of the Richardson number largely mirror the large‐scale patterns in the turbulence frequency maps. In comparison, the turbulence index (TI1) diagnoses increased potential for turbulence most frequently at high latitudes north of where turbulence is observed most frequently. For the analyzed 99th percentile thresholds of the diagnostics, the probability of detection (POD) is around 20%, despite the overprediction at average turbulence frequencies of 0.15%. Although the POD increases with higher diagnostic percentiles, this comes at the cost of an exponentially decreasing precision. Representative precision is achieved, if at all, only for a small fraction of the observed turbulence. Near high clouds, as indicated by low satellite infrared brightness temperatures, turbulence frequencies increase by a factor of more than five. However, a non‐negligible POD is again only achieved at the expense of significant overprediction by the diagnostics. So, whereas is observed most frequently in regions where small Richardson numbers are diagnosed most frequently in ERA5, the rare occurrence of the analyzed turbulence intensity remains hidden in the diagnostic frequency maps
Will landscape responses reduce glacier sensitivity to climate change in High Mountain Asia?
Get PDFIn High Mountain Asia (HMA), ongoing climate change threatens mountain water resources as glaciers melt, and the resulting changes in runoff and water availability are likely to have considerable negative impacts on ecological and human systems. Numerous assessments of the ways in which these glaciers will respond to climate warming have been published over the past decade. Many of these assessments have used climate model projections to argue that HMA glaciers will melt significantly this century. However, we show that this is only one way in which these glaciers might respond. An alternative pathway is one in which increasing valley-side instability releases large amounts of rock debris onto glacier surfaces. The development of extensive glacier surface debris cover is common in HMA, and, if thick enough, this surface debris inhibits glacier melting to the extent that glacier ice becomes preserved under the surface debris cover. In so doing, a transition to glacier-derived rock glaciers and other ice debris landforms may prolong the lifetime of HMA glacial ice in the landscape. We call this alternative pathway the Paraglacial Transition Model. In this Perspective Article, we discuss the scientific basis of this alternative view in order to better understand how HMA glaciers may respond to climate change
Between consensus and evolution: towards a core interpretive framework for European convention on human rights
No full textThe European Court of Human Rights (ECtHR) has played a pioneering role in advancing human rights
across Europe through its interpretation of the European Convention on Human Rights (ECHR). Despite
this success, the Court’s legitimacy has come under scrutiny. Critics argue that the ECtHR has either
overstepped its authority by expanding the treaty's obligations beyond their original intent or,
conversely, has failed to go far enough in protecting fundamental rights. Early in its jurisprudence, the
Court rejected originalism, opting instead for the “living instrument” doctrine, which interprets the
Convention in light of present-day conditions. While this doctrine has been central to the ECHR’s
success, it has also sparked controversy due to the expanding list of obligations it imposes. This inflation
of rights has raised concerns about the undefined limits of the Court’s power, leading to growing
dissatisfaction with the Convention system. The ECtHR’s direct influence on domestic constitutional
orders makes it crucial to clearly define the boundaries of its dynamic interpretation method,
safeguarding it from accusations of acting undemocratically. In effect, the ECtHR finds itself in a
tenuous position when interpreting the broad treaty provisions. To ensure the continued success of the
Convention system, it is essential that the Court’s interpretive approach is perceived as legitimate.
Currently, the ECtHR employs two key methods to give effect to the living instrument doctrine:
European consensus (EuC) and evolutive interpretation (EI). EuC assesses the practices of the majority
of High Contracting Parties (HCPs) to determine the content and scope of rights, while EI focuses on
identifying the underlying principles of each article and, through moral interpretivism, determines the
protection each provision demands. Although these approaches are used interchangeably, the Court
offers little justification for when and why it chooses one method over the other. Both methods have
strengths and weaknesses, but neither can independently secure long-term legitimacy if adopted as the
sole interpretive approach. This thesis argues that a more structured approach is needed to determine
when EuC or EI is the most appropriate method. Such an approach, I suggest, requires reference to
theories that explain the nature of rights. Moral accounts focus on the philosophical normative
foundations of rights; political accounts on the role of rights which human polities. My approach is to
seek to draw on both frameworks: I do so by surveying the existing practice of the ECtHR to determine
the moral values underpinning its approach. I conduct a case study of Article 8 jurisprudence relating
to LGBT rights, which provides an understanding of how the Court balances individual rights and
majoritarian preferences. Striking the delicate balance between these two values is critical to the Court’s
role in protecting human rights while maintaining the sovereignty of HCPs. Central to attaining a
justifiable balance, I argue, is the distinction between the urgency of interests, with more important
interests requiring greater judicial supervision and intervention.
Through utilising core rights theories, this thesis develops an interpretive framework that distinguishes
between core and non-core interests. This framework, it is argued, can guide the Court in using the
living instrument doctrine in a way that aligns with its mandate to protect fundamental rights while
acknowledging its institutional limitations. Specifically, I argue that more urgent interests necessitate
the use of the more dynamic EI approach; less pressing interests can be subject to the gradual evolution
afforded by EuC, which better suits the Court's role as a subsidiary mechanism. By responding both to
the nature of rights and the political dimension within which the Court operates, this approach aims to
strike a balance between effective rights protection and clearly defined limits to the ECtHR's power.
Ultimately, this thesis demonstrates that the core interpretive framework is essential for securing the
Court's legitimacy and ensuring the future stability of the Convention system
Developing nanoscale structures in electrospun fibres
No full textThe PhD project aims to create an electrospun fibre composite using an inorganic salt
and various candidate polymers, as well as to explore the production of conducting
electrospun fibres. This involves electrospinning copper salt with different polymers or
solvents to determine the mineral content retained by the fibres. The project also focused
on electrospinning Cu(I) salt nanofibers under specific solvation conditions. In the second
part of this project, the focus was on developing conductive electrospun materials. This
section explored three main approaches: two-stage production of polypyrrole-coated
polystyrene electrospun using a chemical vapour oxidation process, one-step
electrospinning of polypyrrole-polystyrene electrospun fibres via slow, in situ polypyrrole
polymerisation, and electrospun polypyrrole grafted to polystyrene nanofibers.
Additionally, the thesis delves into coaxial electrospinning within this part of the project.
Several qualitative and quantitative analysis techniques were used in this project,
including SEM and SEM-EDX, IR, NMR, and XRD instrumentation. The findings
indicated that polar polymers have a higher capacity to retain soluble copper salt after
electrospinning when compared to non-polar polymers. Additionally, certain
modifications were found to improve the ability of non-polar polymers, such as
polystyrene, to maintain copper components. Furthermore, employing electrospinning
under critical solvation conditions proved a novel and successful approach for producing
semiconducting copper-polystyrene nanofibers across a wide range of polymer and
copper concentrations at variable applied voltage. The results revealed that the one-step
process of producing polypyrrole-polystyrene and grafted polystyrene-polypyrrole
nanofibers showed particular promise regarding morphology and polypyrrole coverage
with polypyrrole. The coaxial electrospinning results partially succeeded in producing
coaxial nanofibres but could not be developed into nanotubes
Monthly convective boundary layer height study over Brazil using radiosonde, ERA5, and COSMIC-2 data
Get PDFAlthough the atmospheric boundary layer height (ABLH) is a highly relevant parameter for various meteorological studies, the analysis of its behavior remains undersampled in South America, especially in Brazil. In this context, this work presents a monthly characterization of the ABLH during the convective period (Convective Boundary Layer Height-CBLH) using radiosonde data and a comparison between the monthly patterns obtained from ERA5 and COSMIC-2 data. The results demonstrate that, based on radiosonde data, the CBLH can be grouped into six regions (Northern Amazon, North, Northeast, Midwest, Southeast, and South), with seasonality varying according to the continentality and the climate to which they are exposed. The ERA5 and COSMIC-2 data show considerable agreement for most of the year [average absolute difference of [362 ± 182] m] and demonstrate the same seasonality observed in radiosondes for the North Amazon, North, Northeast, Southeast, and South regions. The highest discrepancies between ERA5 and COSMIC-2 occur during the fire season, mainly at Midwest region, reaching 802 m in July, likely linked to the sensitivity of the COSMIC-2 to fire plumes
Films to die for
No full text‘Cinephilia’ is the love for cinema that animates the relationship between audiences and films. But it is also the engine that moves the filmmaking machine itself. The essayistic documentary Films to Die For investigates how films are born from other films, and are a matter of life and death for filmmakers. Wim Wenders’s The State of Things (Der Stand der Dinge, 1982), an iconic cinephilic film, serves as the entry point into an international web of interconnected films. Ending with the death of a Hollywood producer and a German independent filmmaker, The State of Things allows for a meditation on the presumed ‘death of cinema’ after the postmodern ‘end of history’. At the same time, it resonates in fascinating ways with the real death of Cinema Novo leader Glauber Rocha after the critical failure of his last film, a tragedy predicted by Rocha himself as he meets Patrick Bauchau, the lead actor in The State of Things, on location in Sintra and declares: ‘Sintra is a beautiful place to die’.
Exploring the leitmotif of cinematic and real deaths, Films to Die For travels through Wenders’s complicated experience with Coppola and Hammett; his ‘appropriation’ of cast and crew of Raúl Ruiz’s The Territory; Laura Mulvey’s relationship with Bauchau, who introduced her to cinephilia and appears in some of her films; and Wenders’s close connection with Walter Salles via Portugal and the crisscrossing of their own films.
In meandering through these stories, Films to Die For brings into conversation a collection of dazzling cinematic moments, from Europe, Hollywood and Brazil, evidencing how works from across history and geography feed from and flow into each other in a seamless continuum. These share the screen with original footage captured in Portugal, a site of cinephilic convergence and privileged location for several of the films in focus. Exclusive interviews with film directors Wim Wenders and Walter Salles, film critic and director Laura Mulvey, and Portuguese film producer Paulo Branco reveal the perils and passions behind the history and stories of their films