Oil tail-risk forecasts: from financial crisis to COVID-19

The coronavirus outbreak has caused unprecedented volatility in oil prices. This paper extends previous studies on oil Value-at-Risk (VaR) by providing extra insights into Expected Shortfall (ES) forecasting over the last decade, including several oil crises. We introduce a conditional volatility model combined with the Cornish-Fisher expansion for ES forecasting. In comparison to the widely used volatility models and innovation distributions, this approach is superior for predicting the ES of long positions but overestimates VaR for short positions. Overall, the volatility model addressing leverage effects with skewed t innovation produces the most accurate joint VaR and ES forecasting. Moreover, the magnitude of ES relative to VaR varies across models and time, implying that ES should be used in conjunction with VaR to inform timely risk management decisions. The results would be of interest to the regulatory authorities, energy companies, and financial institutions for oil tail-risk forecasting.

Inactivated vaccines prevent severe COVID-19 in patients infected with the Delta variant: A comparative study of the Delta and Alpha variants from China.

The Delta variant has gradually replaced the Alpha variant as the major strain of SARS-COV-2 infection worldwide. We extracted the clinical characteristics and outcomes information about 381 hospitalized patients infected with Delta variant and compared them with 856 patients diagnosed with Alpha variant infection in Zhejiang Province. The majority (85.3%) of patients infected with the Delta variant had received inactivated vaccine. The patients' condition was generally mild. Most of them were mild (35.7%) and common (62.7%) types. Only six patients (1.5%) were severe/critical types. During the follow-up period, patients infected with the Delta variant had longer hospital stays than the Alpha variant (24 [21-26] vs. 18 [14-24], p < 0.001). In addition, the unvaccinated patients infected with the Delta variant had a higher proportion of severe/critical cases than vaccinated patients (11.11% vs. 0.92%, p = 0.024) and a higher usage rate of glucocorticoids (38.89 vs. 14.77%, p = 0.017) and antibiotics (55.56% vs. 32.31%, p = 0.042) during hospitalization. The vaccine's efficacy against severe COVID-19 did not diminish over time for patients who received two doses of the inactivated vaccine. The disease types and clinical manifestations were generally mild in patients infected with the Delta variant, possibly associated with widespread vaccination with inactivated vaccines in China.

Internet-based cognitive behavioral therapy for psychological distress in older adults without cognitive impairment living in nursing homes during the COVID-19 pandemic: A feasibility study.

BACKGROUND: The COVID-19 pandemic has had a detrimental effect on the mental health of older adults living in nursing homes. Very few studies have examined the effects of Internet-based Cognitive Behavioral Therapy (ICBT) on older adults living in nursing homes during the pandemic. We conducted a feasibility study using a single-group design, to explore the effectiveness of ICBT on psychological distress in 137 older adults (without cognitive impairment) from 8 nursing homes in 4 southeast cities in China, between January and March 2020. METHODS: Symptoms of depression, anxiety, general psychological distress, and functional disability were measured at baseline, post-treatment (5 weeks) and at a 1-month follow-up. Mixed-effects model was used to assess the effects of ICBT. RESULTS: Statistically significant changes with large effect sizes were observed from pre- to post-treatment on the PHQ-9 (p < .001, Cohen's d = 1.74), GAD-7 (p < .001, d = 1.71), GDS (p < .001, d = 1.30), K-10 (p < .001, d = 1.93), and SDS (p < .001, d = 2.03). Furthermore, improvements in treatment outcomes were sustained at 1-month follow-up, and high levels of adherence and satisfaction were indicated. CONCLUSION: ICBT was effective in reducing psychological distress in older adults without cognitive impairments living in nursing homes during the COVID-19 pandemic. Thus, it could be applied in improving the mental health of this vulnerable group during the pandemic.

Are clean energy assets a safe haven for international equity markets?

While clean energy assets have become new investment vehicles for market participants, their potential for diversification of traditional investments has not been fully explored in previous studies. To fill this void, this paper investigates whether diversifying into clean energy stocks or green bonds could reduce portfolio downside risk for investors holding dirty energy stocks or international equity indices. Specifically, the risks of equity portfolios are compared before and after they are blended with clean energy assets. The incremental impact on the portfolio risk profile is evaluated through variable weightings for clean energy assets. The persistence of diversification effects is then explored by changing the assessment period. Results show that both green bonds and clean energy stocks provide risk diversification benefits for investors with dirty energy stocks. However, green bonds reduce risk while clean energy stocks generally increase the risk of the international equity index portfolio. Further analysis indicates the robustness of the results for the recent COVID-19 period. The findings broaden the limited understanding of the risk reduction capacity of clean energy assets to conventional equities and provide useful implications for investors seeking to decarbonize their equities and portfolio managers designing optimal portfolios to hedge against downside risks.

Quantifying the risk of indoor drainage system in multi-unit apartment building as a transmission route of SARS-CoV-2.

The COVID-19 pandemic has had a profound impact on human society. The isolation of SARS-CoV-2 from patients' feces on human cell line raised concerns of possible transmission through human feces including exposure to aerosols generated by toilet flushing and through the indoor drainage system. Currently, routes of transmission, other than the close contact droplet transmission, are still not well understood. A quantitative microbial risk assessment was conducted to estimate the health risks associated with two aerosol exposure scenarios: 1) toilet flushing, and 2) faulty connection of a floor drain with the building's main sewer pipe. SARS-CoV-2 data were collected from the emerging literature. The infectivity of the virus in feces was estimated based on a range of assumption between viral genome equivalence and infectious unit. The human exposure dose was calculated using Monte Carlo simulation of viral concentrations in aerosols under each scenario and human breathing rates. The probability of COVID-19 illness was generated using the dose-response model for SARS-CoV-1, a close relative of SARS-CoV-2, that was responsible for the SARS outbreak in 2003. The results indicate the median risks of developing COVID-19 for a single day exposure is 1.11 × 10-10 and 3.52 × 10-11 for toilet flushing and faulty drain scenario, respectively. The worst case scenario predicted the high end of COVID-19 risk for the toilet flushing scenario was 5.78 × 10-4 (at 95th percentile). The infectious viral loads in human feces are the most sensitive input parameter and contribute significantly to model uncertainty.

Quantifying the Risk of Indoor Drainage System in Multi-unit Apartment Building as a Transmission Route of SARS-CoV-2 (preprint)

The COVID-19 pandemic has had a profound impact on human society. The isolation of SARS-CoV-2 from patients feces on human cell line raised concerns of possible transmission through human feces including exposure to aerosols generated by toilet flushing and through the indoor drainage system. Currently, routes of transmission, other than the close contact droplet transmission, are still not well understood. A quantitative microbial risk assessment was conducted to estimate the health risks associated with two aerosol exposure scenarios: 1) toilet flushing, and 2) faulty connection of a floor drain with the buildings main sewer pipe. SARS-CoV-2 data were collected from the emerging literature. The infectivity of the virus in feces was estimated based on a range of assumption between viral genome equivalence and infectious unit. The human exposure dose was calculated using Monte Carlo simulation of viral concentrations in aerosols under each scenario and human breathing rates. The probability of COVID-19 illness was generated using the dose-response model for SARS-CoV-1, a close relative of SARS-CoV-2, that was responsible for the SARS outbreak in 2003. The results indicate the median risks of developing COVID-19 for a single day exposure is 1.11 x 10-10 and 3.52 x 10-11 for toilet flushing and faulty drain scenario, respectively. The worst case scenario predicted the high end of COVID-19 risk for the toilet flushing scenario was 5.78 x 10-4 (at 95th percentile). The infectious viral loads in human feces are the most sensitive input parameter and contribute significantly to model uncertainty.