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.

Preferences of first-time expectant mothers for care of their child : 'I wouldn't leave them somewhere that made me feel insecure'

Australia has witnessed a continual increase in maternal employment over the past two decades, which places focus on both supply of childcare and a demand for high quality care. This study examined childcare preferences regarding the return to paid work of 124 Australian women who were expecting their first child. In contrast with most studies that have retrospective designs, the design of this study presents the perspectives of women prior to the birth of their first child-that is, before they have made a final decision about child care. This study found that the majority (78 per cent) of the women intended to re-commence work within the 12 months after the birth of their child. There were two factors that were the most salient features in their decision making-the quality of care and the personal satisfaction of engaging in paid work. The findings suggest that family friendly employment practices and access to secure, high-quality child care are key to women's secure participation in the paid workforce.

High-density lipoprotein and the risk of recurrent venous thromboembolism

BACKGROUND - High-density lipoprotein (HDL) protects against arterial atherothrombosis, but it is unknown whether it protects against recurrent venous thromboembolism. METHODS AND RESULTS - We studied 772 patients after a first spontaneous venous thromboembolism (average follow-up 48 months) and recorded the end point of symptomatic recurrent venous thromboembolism, which developed in 100 of the 772 patients. The relationship between plasma lipoprotein parameters and recurrence was evaluated. Plasma apolipoproteins AI and B were measured by immunoassays for all subjects. Compared with those without recurrence, patients with recurrence had lower mean (±SD) levels of apolipoprotein AI (1.12±0.22 versus 1.23±0.27 mg/mL, P<0.001) but similar apolipoprotein B levels. The relative risk of recurrence was 0.87 (95% CI, 0.80 to 0.94) for each increase of 0.1 mg/mL in plasma apolipoprotein AI. Compared with patients with apolipoprotein AI levels in the lowest tertile (<1.07 mg/mL), the relative risk of recurrence was 0.46 (95% CI, 0.27 to 0.77) for the highest-tertile patients (apolipoprotein AI >1.30 mg/mL) and 0.78 (95% CI, 0.50 to 1.22) for midtertile patients (apolipoprotein AI of 1.07 to 1.30 mg/mL). Using nuclear magnetic resonance, we determined the levels of 10 major lipoprotein subclasses and HDL cholesterol for 71 patients with recurrence and 142 matched patients without recurrence. We found a strong trend for association between recurrence and low levels of HDL particles and HDL cholesterol. CONCLUSIONS - Patients with high levels of apolipoprotein AI and HDL have a decreased risk of recurrent venous thromboembolism. © 2007 American Heart Association, Inc.

The impact of rhetoric and reality on community anticipation of risk in the development of multi-purpose services (MPS) : A grounded theory study

better health service.Conclusion:This research provides an insight into the perceptions of the rhetoric and reality of community member involvement in the process of developing multi-purpose services. It revealed a grounded theory in which fear and trust were intrinsic to a process of changing from a traditional hospital service to the acceptance of a new model of health care provided at a multi-purpose service.

Age and gender comparisons of driving while sleepy : behaviours and risk perceptions

To assist road safety professionals in developing effective strategies to combat the risk associated with driving while fatigued, a survey was administered to 1000 Australian drivers. Participants reported their past behaviours in regards to driving while sleepy and their perceptions of risk associated with driving fatigued as compared to speeding and driving under the influence of alcohol. Although participants appeared to be aware of the substantial risk associated with driving while sleepy, many drivers reported that they frequently drive when sleepy. Age and gender comparisons, revealed that risk taking behaviour in regards to driving while sleepy is occurring across all age groups and in both male and female drivers. Overall young to middle age drivers and male drivers reported the highest frequency of driving while sleepy and reported the lowest perceived personal risk in regards to driving while sleepy.

Measuring risk and blameworthiness in the sentencing of criminal defendants : an exploratory study in Western Australia's Higher Courts

The focal concern perspective dominates quantitative explorations of judicial sentencing. A critical argument underlying this perspective is the role of judicial assessments of risk and blameworthiness. Prior research has not generally explored how these two concepts fit together. This study provides an empirical test of the focal concerns perspective by examining the latent structure among the measures traditionally used in sentencing research, and investigates the extent to which focal concerns can be applied in a non-US jurisdiction. Using factor analysis (as suggested by prior research), we find evidence of distinct factors of risk and blameworthiness, with separate and independent effects on sentencing outcomes. We also identify the need for further development of the focal concerns perspective, especially around the role of perceptual shorthand.

Risk of falls, injurious falls, and other injuries resulting from visual impairment among older adults with age-related macular degeneration

Purpose: Age-related macular degeneration (AMD) is the leading cause of irreversible visual impairment among older adults. This study explored the relationship between AMD, falls risk and other injuries and identified visual risk factors for these adverse events. Methods: Participants included 76 community-dwelling individuals with a range of severity of AMD (mean age, 77.0±6.9 years). Baseline assessment included binocular visual acuity, contrast sensitivity and merged visual fields. Participants completed monthly falls and injury diaries for one year following the baseline assessment. Results: Overall, 74% of participants reported having either a fall, injurious fall or other injury. Fifty-four percent of participants reported a fall and 30% reported more than one fall; of the 102 falls reported, 63% resulted in an injury. Most occurred outdoors (52%), between late morning and late afternoon (61%) and when navigating on level ground (62%). The most common non-fall injuries were lacerations (36%) and collisions with an object (35%). Reduced contrast sensitivity and visual acuity were associated with increased fall rate, after controlling for age, gender, cognitive function, cataract severity and self-reported physical function. Reduced contrast sensitivity was the only significant predictor of falls and other injuries. Conclusion: Among older adults with AMD, increased visual impairment was significantly associated with an increased incidence of falls and other injuries. Reduced contrast sensitivity was significantly associated with increased rates of falls, injurious falls and injuries, while reduced visual acuity was only associated with increased falls risk. These findings have important implications for the assessment of visually impaired older adults.

Unlicensed drivers : are they high risk?

- Road safety implications of unlicensed driving - Present results from three studies examining: the crash involvement of unlicensed drivers; the impact of licence disqualification on offending; characteristics of unlicensed driving offenders - Countermeasure implications - Discussion of high-risk groups and innovative countermeasure options

Convexity, Classification, and Risk Bounds

Many of the classification algorithms developed in the machine learning literature, including the support vector machine and boosting, can be viewed as minimum contrast methods that minimize a convex surrogate of the 0–1 loss function. The convexity makes these algorithms computationally efficient. The use of a surrogate, however, has statistical consequences that must be balanced against the computational virtues of convexity. To study these issues, we provide a general quantitative relationship between the risk as assessed using the 0–1 loss and the risk as assessed using any nonnegative surrogate loss function. We show that this relationship gives nontrivial upper bounds on excess risk under the weakest possible condition on the loss function—that it satisfies a pointwise form of Fisher consistency for classification. The relationship is based on a simple variational transformation of the loss function that is easy to compute in many applications. We also present a refined version of this result in the case of low noise, and show that in this case, strictly convex loss functions lead to faster rates of convergence of the risk than would be implied by standard uniform convergence arguments. Finally, we present applications of our results to the estimation of convergence rates in function classes that are scaled convex hulls of a finite-dimensional base class, with a variety of commonly used loss functions.

Rademacher and Gaussian complexities: Risk bounds and structural results

We investigate the use of certain data-dependent estimates of the complexity of a function class, called Rademacher and Gaussian complexities. In a decision theoretic setting, we prove general risk bounds in terms of these complexities. We consider function classes that can be expressed as combinations of functions from basis classes and show how the Rademacher and Gaussian complexities of such a function class can be bounded in terms of the complexity of the basis classes. We give examples of the application of these techniques in finding data-dependent risk bounds for decision trees, neural networks and support vector machines.