Traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR) due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations of return distributions. In this paper, we evaluate the effectiveness using copula-extreme-value-based semi-parametric approaches in assessing portfolio risks in six Asian markets based on their different return distribution shapes. We incorporate extreme value theory (EVT) to model the tails of the return distributions and various copulas to build the joint distribution of returns. The backtesting analysis of the Monte Carlo VaR simulation suggests that the Clayton copula-EVT has the best performance regardless of the shapes of the return distributions, and in general the copulas with the EVT perform better estimation of VaRs than the traditional copulas. This concludes the economic significance in incorporating the down-side shock in risk management.JEL classifications: G15, F31, C46

ABSTRACT

Porcine reproductive and respiratory syndrome (PRRS), which is caused by a highly transmissible pathogen called porcine reproductive and respiratory syndrome virus (PRRSV), has caused severe problems, including reproductive disorders in sows and respiratory symptoms in nursery pigs worldwide, since the early 1990s. However, currently available PRRSV vaccines do not supply complete immunity to confront the viral infection. Elicitation of PRRSV-specific neutralizing antibodies (NAbs) during the preinfectious period has been deemed to be a feasible strategy to modulate this virus, especially in farms where nursery pigs are seized with PRRSVs. A total of 180 piglets in a farrow-to-finish farm that had a natural outbreak of PRRS were distributed into three groups based on the different PRRSV NAbs levels in their dams. In the present study, piglets that received superior maternal-transferred NAbs showed delayed and relatively slight viral loads in serum and, on the whole, higher survival rates against wild PRRSV infections. A positive correlation of maternal NAbs between sows and their piglets was identified; moreover, high NAbs titers in piglets can last for at least 4 weeks. These results provide updated information to develop an appropriate immune strategy for breeding and for future PRRSV control under field conditions.

Since 2008, a series of mega-mergers has dramatically changed the U.S. airline industry. Despite the presence of fewer airlines in the market, the competition remains intense, which forces airlines to continually search for ways to increase their efficiency to maintain survival and financial sustainability. To evaluate airline performance and disentangle the causes of inefficiency, this paper applied a two-stage network data envelopment analysis approach and a truncated regression to investigate the performance of nine U.S.-based airlines from 2015 to 2019. Our empirical results reveal that during the sample period, airlines’ operating efficiency steadily improved, but the efficiency in the profitability stage stagnated. Therefore, strategic resource allocations are needed for airlines to see further advances in their overall efficiency. On average, airlines operating in the low-cost business model yielded higher efficiency scores than their peers operating in the full-service framework. While an airline’s size, measured in terms of total assets, has a positive influence on operating efficiency, a larger number of full-time employee equivalents hinders efficiency outcomes, which indicates the importance of enhancing labor efficiency among carriers.

In recent years, the aviation industry in the Asia-Pacific region has experienced rapid growth. Despite facing thin and volatile profit margins, the region’s airlines continue to expand their capacity by using high financial leverage, raising concerns of whether they are utilizing such financial leverage effectively and how it affects their stock performance. Using the global Malmquist productivity index and the conditional value-at-risk measure, this study investigates the financial performance of 22 Asia-Pacific-based airlines during 2016–2019. The empirical results reveal that only three full-service airlines were able to maintain continued improvement in financial efficiency during the sample period. The excessive use of financial leverage among low-cost carriers is documented. To assess the sources of financial inefficiency, this study decomposed the global Malmquist productivity index into two components: efficiency change and technical change. The results show that while there was a trend toward efficiency catch-up among the carriers, the number of airlines that demonstrated sufficient technical change declined significantly, indicating the need to implement technological innovation to deliver better financial outcomes. Regarding the airline’s stock return performance, airlines that achieved continuously superior performance in deploying financial resources also saw the lowest downside risk in their stock returns, reinforcing the importance of devoting more attention to indebtedness and the effectiveness with which financial resources are used. The findings of this study offer suggestions to airlines in managing their capital structure and enhancing their financial stability.