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.

Conference report: Lights, Camera, Action : Spotlight on Tourism in the New Millennium. 31st Annual Travel and Tourism Research Association Conference.

The 31st TTRA conference was held in California’s San Fernando Valley, home of Hollywood and Burbank’s movie and television studios. The twin themes of Hollywood and the new Millennium promised and delivered “something old, yet something new”. The meeting offered a historical summary, not only of the year in review but also of many features of travel research since the first literature in the field appeared in the 1970s. Also, the millennium theme set the scene for some stimulating and forward thinking discussions. The Hollywood location offered an opportunity to ponder on the value of the movie-induced tourism for Los Angeles, at a time when Hollywood Boulevard was in the midst of a much needed redevelopment programme. Hollywood Chamber of Commerce speaker Oscar Arslanian acknowledged that the face of the famous district had become tired, and that its ability to continue to attract visitors in the future lay in redeveloping its past heritage. In line with the Hollywood theme a feature of the conference was a series of six special sessions with “Stars of Travel Research”. These sessions featured: Clare Gunn, Stanley Plog, Charles Gouldner, John Hunt, Brent Ritchie, Geoffrey Crouch, Peter Williams, Douglas Frechtling, Turgut Var, Robert Christie-Mill, and John Crotts. Delegates were indeed privileged to hear from many of the pioneers of tourism research. Clare Gunn, Charles Goeldner, Turgut Var and Stanley Plog, for example, traced the history of different aspects of the tourism literature, and in line with the millennium theme, offered some thought provoking discussion on the future challenges facing tourism. These included; the commodotisation of airlines and destinations, airport and traffic congestion, environment sustainability responsibility and the looming burst of the baby-boomer bubble. Included in the conference proceedings are four papers presented by five of the “Stars”. Brent Ritchie and Geoffrey Crouch discuss the critical success factors for destinations, Clare Gunn shares his concerns about tourism being a smokestack industry, Doug Frechtling provides forecasts of outbound travel from 20 countries, and Charles Gouldner, who has attended all 31 TTRA conferences, reflects on the changes that have taken place in tourism research over 35 years...

Corporate profit and impression management in developing markets

In this study, we examine how organisations in Fiji communicate or legitimise their profit. We base the need for understanding this phenomenon on the following premise. Organisations are part of a wider society, and in competition for scarce resources. Organisations obtain the rights to consume resources upon conception, but must continually legitimise their rights of existence and the need to access the resources. Legitimacy is the ability to continue to justify one’s authority to exist in a society. Organisations rights to resources are contractual, and have a moral obligation to act in a responsible manner and justify their outcomes, actions, and activities to external stakeholders. Such justifications would be an attempt at legitimizing their existence by some form of impression management. Impression management refers to the process by which individuals attempt to influence the impression of others (Melo et al. 2009). In corporate reporting, impression management occurs when management selects, display, and presents that information in a manner that distorts readers’ perceptions of corporate achievements (Neu 1991; Patten 2002), and is managed best through disclosures (O’Donovan 2002). In developing economies, there is significant Government protection that creates near-monopoly sectors and industries. The rendered protection permits organisations to provide essential services to the community at reasonable costs. Organisations in these sectors and industries have an ominous need to legitimise their position and actions. The bond between the organisations and the society is much stronger, making organisations devote more effort in communicating their activities. Protection permits organisations to make reasonable profits to sustain their operations. Society may not accept abnormal profits from operational efficiencies. Profit is fundamental to the society’s perception of an organisation, amplifying the need for the firm to justify a level of profit. Abnormal profit for organisations construes bad news, and organisations would make relevant disclosures to manage stakeholder impressions on profit (Patten 2002). Organisations can manage impressions by disclosing information in a particular way. That is, organisations would want to put the impression that the abnormal profit is justified and the society will obtain its benefits in future. Such form of impression management requires unambiguous disclosure of information. The readability of corporate disclosures is an important indicator of organisational abnormal profit-related legitimacy efforts in developing economies.

Host location by the fruit fly parasitoid Diachasmimorpha krausii : role of fruit fly species, life stage and host plant

1 Diachasmimorpha krausii is a braconid parasitoid of larval tephritid fruit flies, which feed cryptically within host fruit. At the ovipositor probing stage, the wasp cannot discriminate between hosts that are physiologically suitable or unsuitable for offspring development and must use other cues to locate suitable hosts. 2 To identify the cues used by the parasitoid to find suitable hosts, we offered, to free flying wasps, different combinations of three fruit fly species (Bactrocera tryoni, Bactrocera cacuminata, Bactrocera cucumis), different life stages of those flies (adults and larvae) and different host plants (Solanum lycopersicon, Solanum mauritianum, Cucurbita pepo). In the laboratory, the wasp will readily oviposit into larvae of all three flies but successfully develops only in B. tryoni. Bactrocera tryoni commonly infests S. lycopersicon (tomato), rarely S. mauritianum (wild tobacco) but never C. pepo (zucchini). The latter two plant species are common hosts for B. cacuminata and B. cucumis, respectively. 3 The parasitoid showed little or no response to uninfested plants of any of the test species. The presence of adult B. tryoni, however, increased parasitoid residency time on uninfested tomato. 4 When the three fruit types were all infested with larvae, parasitoid response was strongest to tomato, regardless of whether the larvae were physiologically suitable or unsuitable for offspring development. By contrast, zucchini was rarely visited by the wasp, even when infested with B. tryoni larvae. 5 Wild tobacco was infrequently visited when infested with B. cacuminata larvae but was more frequently visited, with greater parasitoid residency time and probing, when adult flies (either B. cacuminata or B. tryoni) were also present. 6 We conclude that herbivore-induced, nonspecific host fruit wound volatiles were the major cue used by foraging D. krausii. Although positive orientation to infested host plants is well known from previous studies on opiine braconids, the failure of the wasp to orientate to some plants even when infested with physiologically suitable larvae, and the secondary role played by adult fruit flies in wasp host searching, are newly-identified mechanisms that may aid parasitoid host location in environments where both physiologically suitable and unsuitable hosts occur.

Offsetting greenhouse gas emissions through biological carbon sequestration in North Eastern Australia

The Kyoto Protocol recognises trees as a sink of carbon and a valid means to offset greenhouse gas emissions and meet internationally agreed emissions targets. This study details biological carbon sequestration rates for common plantation species Araucaria cunninghamii (hoop pine), Eucalyptus cloeziana, Eucalyptus argophloia, Pinus elliottii and Pinus caribaea var hondurensis and individual land areas required in north-eastern Australia to offset greenhouse gas emissions of 1000tCO 2e. The 3PG simulation model was used to predict above and below-ground estimates of biomass carbon for a range of soil productivity conditions for six representative locations in agricultural regions of north-eastern Australia. The total area required to offset 1000tCO 2e ranges from 1ha of E. cloeziana under high productivity conditions in coastal North Queensland to 45ha of hoop pine in low productivity conditions of inland Central Queensland. These areas must remain planted for a minimum of 30years to meet the offset of 1000tCO 2e.

Detecting common dynamics in transitory components

This paper considers VECMs for variables exhibiting cointegration and common features in the transitory components. While the presence of cointegration between the permanent components of series reduces the rank of the long-run multiplier matrix, a common feature among the transitory components leads to a rank reduction in the matrix summarizing short-run dynamics. The common feature also implies that there exists linear combinations of the first-differenced variables in a cointegrated VAR that are white noise and traditional tests focus on testing for this characteristic. An alternative, however, is to test the rank of the short-run dynamics matrix directly. Consequently, we use the literature on testing the rank of a matrix to produce some alternative test statistics. We also show that these are identical to one of the traditional tests. The performance of the different methods is illustrated in a Monte Carlo analysis which is then used to re-examine an existing empirical study. Finally, this approach is applied to provide a check for the presence of common dynamics in DSGE models.

Rough fuzzy control of SVC for power system stability enhancement

This paper presents a new approach to the design of a rough fuzzy controller for the control loop of the SVC (static VAR system) in a two area power system for stability enhancement with particular emphasis on providing effective damping for oscillatory instabilities. The performances of the rough fuzzy and the conventional fuzzy controller are compared with that of the conventional PI controller for a variety of transient disturbances, highlighting the effectiveness of the rough fuzzy controller in damping the inter-area oscillations. The effect of the rough fuzzy controller in improving the CCT (critical clearing time) of the two area system is elaborated in this paper as well.

Analytical electron microscopy of fine-grained phases in primitive interplanetary dust particles and carbonaceous chondrites

In order to describe the total mineralogical diversity within primitive extraterrestrial materials, individual interplanetary dust particles (IDPs) collected from the stratosphere as part of the JSC Cosmic Dust Curatorial Program were analyzed using a var ...

The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks

Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.

Convergence and divergence during the adaptation to similar environments by an Australian Groundsel

Adaptation to replicate environments is often achieved through similar phenotypic solutions. Whether selection also produces convergent genomic changes in these situations remains largely unknown. The variable groundsel, Senecio lautus, is an excellent system to investigate the genetic underpinnings of convergent evolution, because morphologically similar forms of these plants have adapted to the same environments along the coast of Australia. We compared range-wide patterns of genomic divergence in natural populations of this plant and searched for regions putatively affected by natural selection. Our results indicate that environmental adaptation followed complex genetic trajectories, affecting multiple loci, implying both the parallel recruitment of the same alleles and the divergence of completely different genomic regions across geography. An analysis of the biological functions of candidate genes suggests that adaptation to coastal environments may have occurred through the recruitment of different genes participating in similar processes. The relatively low genetic convergence that characterizes the parallel evolution of S. lautus forms suggests that evolution is more constrained at higher levels of biological organization.

Utilizing Wide-Area Signals for off-center SVCs to damp interarea oscillations

Wide-Area Measurement Systems (WAMS) provide the opportunity of utilizing remote signals from different locations for the enhancement of power system stability. This paper focuses on the implementation of remote measurements as supplementary signals for off-center Static Var Compensators (SVCs) to damp inter-area oscillations. Combination of participation factor and residue method is used for the selection of most effective stabilizing signal. Speed difference of two generators from separate areas is identified as the best stabilizing signal and used as a supplementary signal for lead-lag controller of SVCs. Time delays of remote measurements and control signals is considered. Wide-Area Damping Controller (WADC) is deployed in Matlab Simulink framework and is tested under different operating conditions. Simulation results reveal that the proposed WADC improve the dynamic characteristic of the system significantly.

On the role of RNA silencing in the pathogenicity and evolution of viroids and viral satellites

Viroids and most viral satellites have small, noncoding, and highly structured RNA genomes. How they cause disease symptoms without encoding proteins and why they have characteristic secondary structures are two longstanding questions. Recent studies have shown that both viroids and satellites are capable of inducing RNA silencing, suggesting a possible role of this mechanism in the pathology and evolution of these subviral RNAs. Here we show that preventing RNA silencing in tobacco, using a silencing suppressor, greatly reduces the symptoms caused by the Y satellite of cucumber mosaic virus. Furthermore, tomato plants expressing hairpin RNA, derived from potato spindle tuber viroid, developed symptoms similar to those of potato spindle tuber viroid infection. These results provide evidence suggesting that viroids and satellites cause disease symptoms by directing RNA silencing against physiologically important host genes. We also show that viroid and satellite RNAs are significantly resistant to RNA silencing-mediated degradation, suggesting that RNA silencing is an important selection pressure shaping the evolution of the secondary structures of these pathogens.

Synthesis of complementary RNA by RNA-dependent RNA polymerases in plant extracts is independent of an RNA primer

RNA-dependent RNA polymerase (RDR) activities were readily detected in extracts from cauliflower and broccoli florets, Arabidopsis thaliana (L.) Heynh callus tissue and broccoli nuclei. The synthesis of complementary RNA (cRNA) was independent of a RNA primer, whether or not the primer contained a 3′ terminal 2′-O-methyl group or was phosphorylated at the 5′ terminus. cRNA synthesis in plant extracts was not affected by loss-of-function mutations in the DICER-LIKE (DCL) proteins DCL2, DCL3, and DCL4, indicating that RDRs function independently of these DCL proteins. A loss-of-function mutation in RDR1, RDR2 or RDR6 did not significantly reduce the amount of cRNA synthesis. This indicates that these RDRs did not account for the bulk RDR activities in plant extracts, and suggest that either the individual RDRs each contribute a fraction of polymerase activity or another RDR(s) is predominant in the plant extract. © CSIRO 2008.

A Near-Infrared Reflectance Spectroscopy Method for Direct Analysis of Several Chemical Components and Properties of Fruit, for Example, Chinese Hawthorn

Near-infrared spectroscopy (NIRS) calibrations were developed for the discrimination of Chinese hawthorn (Crataegus pinnatifida Bge. var. major) fruit from three geographical regions as well as for the estimation of the total sugar, total acid, total phenolic content, and total antioxidant activity. Principal component analysis (PCA) was used for the discrimination of the fruit on the basis of their geographical origin. Three pattern recognition methods, linear discriminant analysis, partial least-squares-discriminant analysis, and back-propagation artificial neural networks, were applied to classify and compare these samples. Furthermore, three multivariate calibration models based on the first derivative NIR spectroscopy, partial least-squares regression, back-propagation artificial neural networks, and least-squares-support vector machines, were constructed for quantitative analysis of the four analytes, total sugar, total acid, total phenolic content, and total antioxidant activity, and validated by prediction data sets.