Diversification and value-at-risk

A pervasive and puzzling feature of banks’ Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial banks to overstate their VaR is that they incompletely account for the diversification effect among broad risk categories (e.g., equity, interest rate, commodity, credit spread, and foreign exchange). By underestimating the diversification effect, bank’s proprietary VaR models produce overly prudent market risk assessments. In this paper, we examine empirically the validity of this hypothesis using actual VaR data from major US commercial banks. In contrast to the VaR diversification hypothesis, we find that US banks show no sign of systematic underestimation of the diversification effect. In particular, diversification effects used by banks is very close to (and quite often larger than) our empirical diversification estimates. A direct implication of this finding is that individual VaRs for each broad risk category, just like aggregate VaRs, are biased risk assessments.

The level and quality of Value-at-Risk disclosure by commercial banks

In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996–2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility.

Value-adding to cellulosic ethanol: Lignin polymers

Lignocellulosic waste materials are the most promising feedstock for generation of a renewable, carbon-neutral substitute for existing liquid fuels. The development of value-added products from lignin will greatly improve the economics of producing liquid fuels from biomass. This review gives an outline of lignin chemistry, describes the current processes of lignocellulosic biomass fractionation and the lignin products obtained through these processes, then outlines current and potential value-added applications of these products, in particular as components of polymer composites. Research highlights The use of lignocellulosic biomass to produce platform chemicals and industrial products enhances the sustainability of natural resources and improves environmental quality by reducing greenhouse and toxic emissions. In addition, the development of lignin based products improves the economics producing liquid transportation fuel from lignocellulosic feedstock. Value adding can be achieved by converting lignin to functionally equivalent products that rely in its intrinsic properties. This review outlines lignin chemistry and some potential high value products that can be made from lignin. Keywords: Lignocellulose materials; Lignin chemistry; Application

Diffusion of corporate governance practices : the Dutch response to pressures for shareholder value

As part of a larger literature focused on identifying and relating the antecedents and consequences of diffusing organizational practices/ideas, recent research has debated the international adoption of a shareholder-value-orientation (SVO). The debate has financial economists characterizing the adoption of an SVO as performance-enhancing and thus inevitable, with behavioral scientists disputing both claims, invoking institutional differences. This study seeks to provide some resolution to the debate (and advance current understanding on the diffusion of practices/ideas) by developing a socio-political perspective that links the antecedents and consequences of an SVO. In particular, we introduce the notion of misaligned elites and misfitted practices in our analysis of how and why differences in the technical and cultural preferences of major owners will influence a firm’s adoption and (un)successful implementation of an SVO among the largest 100 corporations in the Netherlands from 1992-2006. We conclude with a discussion of the implications of our perspective and our findings for future research on corporate governance and the diffusion of organizational practices/ideas.

Controlling chaos? The value and the challenges of applying complexity theory to project management

The literature abounds with descriptions of failures in high-profile projects and a range of initiatives has been generated to enhance project management practice (e.g., Morris, 2006). Estimating from our own research, there are scores of other project failures that are unrecorded. Many of these failures can be explained using existing project management theory; poor risk management, inaccurate estimating, cultures of optimism dominating decision making, stakeholder mismanagement, inadequate timeframes, and so on. Nevertheless, in spite of extensive discussion and analysis of failures and attention to the presumed causes of failure, projects continue to fail in unexpected ways. In the 1990s, three U.S. state departments of motor vehicles (DMV) cancelled major projects due to time and cost overruns and inability to meet project goals (IT-Cortex, 2010). The California DMV failed to revitalize their drivers’ license and registration application process after spending $45 million. The Oregon DMV cancelled their five year, $50 million project to automate their manual, paper-based operation after three years when the estimates grew to $123 million; its duration stretched to eight years or more and the prototype was a complete failure. In 1997, the Washington state DMV cancelled their license application mitigation project because it would have been too big and obsolete by the time it was estimated to be finished. There are countless similar examples of projects that have been abandoned or that have not delivered the requirements.

Maximising the manufacturer performance value through lean initiatives using cost based model

Numerous tools and techniques have been developed to eliminate or reduce waste and carry out lean concepts in the manufacturing environment. However, appropriate lean tools need to be selected and implemented in order to fulfil the manufacturer needs within their budgetary constraints. As a result, it is important to identify manufacturer needs and implement only those tools, which contribute maximum benefit to their needs. In this research a mathematical model is proposed for maximising the perceived value of manufacturer needs and developed a step-by-step methodology to select best performance metrics along with appropriate lean strategies within the budgetary constraints. With the help of a case study, the proposed model and method have been demonstrated.

Exposure to particles from laser printers operating within office workplaces

While recent research has provided valuable information as to the composition of laser printer particles, their formation mechanisms, and explained why some printers are emitters whilst others are low emitters, fundamental questions relating to the potential exposure of office workers remained unanswered. In particular, (i) what impact does the operation of laser printers have on the background particle number concentration (PNC) of an office environment over the duration of a typical working day?; (ii) what is the airborne particle exposure to office workers in the vicinity of laser printers; (iii) what influence does the office ventilation have upon the transport and concentration of particles?; (iv) is there a need to control the generation of, and/or transport of particles arising from the operation of laser printers within an office environment?; (v) what instrumentation and methodology is relevant for characterising such particles within an office location? We present experimental evidence on printer temporal and spatial PNC during the operation of 107 laser printers within open plan offices of five buildings. We show for the first time that the eight-hour time-weighted average printer particle exposure is significantly less than the eight-hour time-weighted local background particle exposure, but that peak printer particle exposure can be greater than two orders of magnitude higher than local background particle exposure. The particle size range is predominantly ultrafine (< 100nm diameter). In addition we have established that office workers are constantly exposed to non-printer derived particle concentrations, with up to an order of magnitude difference in such exposure amongst offices, and propose that such exposure be controlled along with exposure to printer derived particles. We also propose, for the first time, that peak particle reference values be calculated for each office area analogous to the criteria used in Australia and elsewhere for evaluating exposure excursion above occupational hazardous chemical exposure standards. A universal peak particle reference value of 2.0 x 104 particles cm-3 has been proposed.

A discussion of Fashion Victims: Various responses to the report by War on Want, Critical Perspectives on International Business, Vol. 3 Iss: 2, pp.170 - 185

Purpose – The purpose of this paper is to present a selection of responses to the report Fashion Victims, published by War on Want in December 2006. It offers a range of viewpoints presented by members of the Editorial Advisory Board of CPOIB. These are presented in chronological order of submission. There is some cross-reference by contributors to the work of others, but no attempt is made to present a unified argument. Design/methodology/approach – Presents the full contributions of involved participants, without mediation or editorial change. Findings – A number of different perspectives are presented on the central issue that is summarised by the opening heading in War on Want’s report – “How cheap is too cheap?” It is seen that the answer to this question is very much dependent upon the standpoint of the respondent. Originality/value – In presenting this form of commentary, members of the CPOIB Editorial Board seek to stimulate debate about an issue of concern to contemporary society, without resort to the time delay and mediating processes of peer-review normally attached to academic writing. It is hoped that this discussion will provoke further contributions and a widening of the debate. Keywords Corporate social responsibility, Multinational companies, Conditions of employment, Trade unions

The role of academic community in higher learning : Alternatives to a drive-thru education

The purpose of our paper is to illustrate the fundamental importance of developing academic community among first year students. We argue that a sense of academic community is of fundamental importance in combating the effects of the neo-liberal economic discourse on higher education, and that the values of higher education are incongruent with those of economic rationalism. The discursive commodification of the student, and of education itself, works against the formation of community, both within the university environment and in the wider society. We argue that, at present, the dominant discourse shaping the social practice of higher education is that of neo-liberal economics. Community values stand in opposition to the dominant discourse, and are integral to the long-term survival of a socially critical and socially responsive society. We conclude that the importance of establishing a sense of academic community during the first year of university is justified by its ultimate value to society.

Multicast traffic filtering for sampled value process bus networks

Ethernet is a key component of the standards used for digital process buses in transmission substations, namely IEC 61850 and IEEE Std 1588-2008 (PTPv2). These standards use multicast Ethernet frames that can be processed by more than one device. This presents some significant engineering challenges when implementing a sampled value process bus due to the large amount of network traffic. A system of network traffic segregation using a combination of Virtual LAN (VLAN) and multicast address filtering using managed Ethernet switches is presented. This includes VLAN prioritisation of traffic classes such as the IEC 61850 protocols GOOSE, MMS and sampled values (SV), and other protocols like PTPv2. Multicast address filtering is used to limit SV/GOOSE traffic to defined subsets of subscribers. A method to map substation plant reference designations to multicast address ranges is proposed that enables engineers to determine the type of traffic and location of the source by inspecting the destination address. This method and the proposed filtering strategy simplifies future changes to the prioritisation of network traffic, and is applicable to both process bus and station bus applications.

Partial protection against chlamydial reproductive tract infection by a recombinant major outer membrane protein/CpG/cholera toxin intranasal vaccine in the guinea pig Chlamydia cavaie model

Chlamydia trachomatis is a major cause of sexually transmitted diseases worldwide. There currently is no vaccine to protect against chlamydial infection of the female reproductive tract. Vaccine development has predominantly involved using the murine model, however infection of female guinea pigs with Chlamydia caviae more closely resembles chlamydial infection of the human female reproductive tract, and presents a better model to assess potential human chlamydial vaccines. We immunised female guinea pigs intranasally with recombinant major outer membrane protein (r-MOMP) combined with CpG-10109 and cholera toxin adjuvants. Both systemic and mucosal immune responses were elicited in immunised animals. MOMP-specific IgG and IgA were present in the vaginal mucosae, and high levels of MOMP-specific IgG were detected in the serum of immunised animals. Antibodies from the vaginal mucosae were also shown to be capable of neutralising C. caviae in vitro. Following immunisation, animals were challenged intravaginally with a live C. caviae infection of 102 inclusion forming units. We observed a decrease in duration of infection and a significant (p<0.025) reduction in infection load in r-MOMP immunised animals, compared to animals immunised with adjuvant only. Importantly, we also observed a marked reduction in upper reproductive tract (URT) pathology in r-MOMP immunised animals. Intranasal immunisation of female guinea pigs with r-MOMP was able to provide partial protection against C. caviae infection, not only by reducing chlamydial burden but also URT pathology. This data demonstrates the value of using the guinea pig model to evaluate potential chlamydial vaccines for protection against infection and disease pathology caused by C. trachomatis in the female reproductive tract.

Open problems in the security of learning

Machine learning has become a valuable tool for detecting and preventing malicious activity. However, as more applications employ machine learning techniques in adversarial decision-making situations, increasingly powerful attacks become possible against machine learning systems. In this paper, we present three broad research directions towards the end of developing truly secure learning. First, we suggest that finding bounds on adversarial influence is important to understand the limits of what an attacker can and cannot do to a learning system. Second, we investigate the value of adversarial capabilities-the success of an attack depends largely on what types of information and influence the attacker has. Finally, we propose directions in technologies for secure learning and suggest lines of investigation into secure techniques for learning in adversarial environments. We intend this paper to foster discussion about the security of machine learning, and we believe that the research directions we propose represent the most important directions to pursue in the quest for secure learning.

Persistent ocean monitoring with underwater gliders : adapting sampling resolution

Ocean processes are dynamic, complex, and occur on multiple spatial and temporal scales. To obtain a synoptic view of such processes, ocean scientists collect data over long time periods. Historically, measurements were continually provided by fixed sensors, e.g., moorings, or gathered from ships. Recently, an increase in the utilization of autonomous underwater vehicles has enabled a more dynamic data acquisition approach. However, we still do not utilize the full capabilities of these vehicles. Here we present algorithms that produce persistent monitoring missions for underwater vehicles by balancing path following accuracy and sampling resolution for a given region of interest, which addresses a pressing need among ocean scientists to efficiently and effectively collect high-value data. More specifically, this paper proposes a path planning algorithm and a speed control algorithm for underwater gliders, which together give informative trajectories for the glider to persistently monitor a patch of ocean. We optimize a cost function that blends two competing factors: maximize the information value along the path, while minimizing deviation from the planned path due to ocean currents. Speed is controlled along the planned path by adjusting the pitch angle of the underwater glider, so that higher resolution samples are collected in areas of higher information value. The resulting paths are closed circuits that can be repeatedly traversed to collect long-term ocean data in dynamic environments. The algorithms were tested during sea trials on an underwater glider operating off the coast of southern California, as well as in Monterey Bay, California. The experimental results show significant improvements in data resolution and path reliability compared to previously executed sampling paths used in the respective regions.