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Gradient capital allocation, also known as Euler allocation, is a technique used to redistribute diversified capital requirements among different segments of a portfolio. The method is commonly employed to identify dominant risks, assessing the risk-adjusted profitability of segments, and installing limit systems. However, capital allocation can be misleading in all these applications because it only accounts for the current portfolio composition and ignores how diversification effects may change with a portfolio restructuring. This paper proposes enhancing the gradient capital allocation by adding “orthogonal convexity scenarios” (OCS). OCS identify risk concentrations that potentially drive portfolio risk and become relevant after restructuring. OCS have strong ties with principal component analysis (PCA), but they are a more general concept and compatible with common empirical patterns of risk drivers being fat-tailed and increasingly dependent in market downturns. We illustrate possible applications of OCS in terms of risk communication and risk limits.
Scandinavian members of the acrocarpous moss genus Oncophorus were revised after field observations had suggested unrecognized diversity. Based on molecular (nuclear: internal transcribed spacers 1 and 2, ITS; plastid: trnGUCC G2 intron, trnG, rps4 gene + trnS-rps4 spacer, rps4) and morphological evidence, four morphologically distinguishable species are recognized, Oncophorus elongatus (I.Hagen) Hedenäs, O. integerrimus Hedenäs sp. nov. (syn. O. virens var. elongatus Limpr.), O. virens (Hedw.) Brid., and O. wahlenbergii Brid. (O. sardous Herzog, syn. nov.). Oncophorus elongatus was earlier recognized, but much of its variation was hidden within O. wahlenbergii. Its circumscription is here expanded to include plants with long leaves having mostly denticulate or sharply denticulate upper margins and with long and narrow marginal cells in the basal portion of the sheathing leaf lamina. The new species O. integerrimus sp. nov. differs from O. virens in having more loosely incurved leaves and entire or almost entire upper leaf margins. Besides these characters, the species in the respective pairs differ in quantitative features of the leaf lamina cells. Several cryptic entities were found, in several cases as molecularly distinct as some of the morphologically recognizable species, and phylogeographic structure is present within O. elongatus and O. virens.
Since the second half of the nineties the euro area has been subject to a considerable accumulation of temporary and idiosyncratic price shocks. Core inflation indicators for the euro area are thus of utmost interest. Based on euro area-wide data core inflation in this paper is analyzed by means of an indicator derived from the generalized dynamic factor model. This indicator reveals that HICP inflation strongly exaggerated both the decline as well as the increase in the price trend in 1999 and 2000/2001. Our results reinforce those achieved by Cristadoro, Forni, Reichlin and Versonese (2001) based on euro area country data which indicates the robustness of the indicator. Klassifikation: C33, E31