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.

Effect of external high pressures on the clay mineral sodium montmorillonite intercalated with methylated octadecylammonium bromide surfactants

Raman microprobe spectra of the clay mineral Wyoming SWy-2-sodium montmorillonite intercalated with the surfactants, methyltrioctadecylammonium bromide (TOMA) dimethyldiotadecylammonium bromide (DODMA) and octadecyl-trimethylammonium bromide (ODTMA), have been measured in the CH2 stretching region at external pressures up to ~40 kbar with the aid of a diamond-anvil cell. In the case of the intercalated clays containing TOMA and DODMA, the Raman data afford evidence for gauche to trans conformational changes in the orientation of the CH2 chains in the surfactants with increasing pressure. These conformational changes are reversed completely upon the release of pressure.

Identification of area-level influences on regions of high cancer incidence in Queensland, Australia : a classification tree approach

Background: Strategies for cancer reduction and management are targeted at both individual and area levels. Area-level strategies require careful understanding of geographic differences in cancer incidence, in particular the association with factors such as socioeconomic status, ethnicity and accessibility. This study aimed to identify the complex interplay of area-level factors associated with high area-specific incidence of Australian priority cancers using a classification and regression tree (CART) approach. Methods: Area-specific smoothed standardised incidence ratios were estimated for priority-area cancers across 478 statistical local areas in Queensland, Australia (1998-2007, n=186,075). For those cancers with significant spatial variation, CART models were used to identify whether area-level accessibility, socioeconomic status and ethnicity were associated with high area-specific incidence. Results: The accessibility of a person’s residence had the most consistent association with the risk of cancer diagnosis across the specific cancers. Many cancers were likely to have high incidence in more urban areas, although male lung cancer and cervical cancer tended to have high incidence in more remote areas. The impact of socioeconomic status and ethnicity on these associations differed by type of cancer. Conclusions: These results highlight the complex interactions between accessibility, socioeconomic status and ethnicity in determining cancer incidence risk.

Measurement of total body water (TBW) and total energy expenditure (TEE) using stable isotopes

Understanding the relationship between diet, physical activity and health in humans requires accurate measurement of body composition and daily energy expenditure. Stable isotopes provide a means of measuring total body water and daily energy expenditure under free-living conditions. While the use of isotope ratio mass spectrometry (IRMS) for the analysis of 2H (Deuterium) and 18O (Oxygen-18) is well established in the field of human energy metabolism research, numerous questions remain regarding the factors which influence analytical and measurement error using this methodology. This thesis was comprised of four studies with the following emphases. The aim of Study 1 was to determine the analytical and measurement error of the IRMS with regard to sample handling under certain conditions. Study 2 involved the comparison of TEE (Total daily energy expenditure) using two commonly employed equations. Further, saliva and urine samples, collected at different times, were used to determine if clinically significant differences would occur. Study 3 was undertaken to determine the appropriate collection times for TBW estimates and derived body composition values. Finally, Study 4, a single case study to investigate if TEE measures are affected when the human condition changes due to altered exercise and water intake. The aim of Study 1 was to validate laboratory approaches to measure isotopic enrichment to ensure accurate (to international standards), precise (reproducibility of three replicate samples) and linear (isotope ratio was constant over the expected concentration range) results. This established the machine variability for the IRMS equipment in use at Queensland University for both TBW and TEE. Using either 0.4mL or 0.5mL sample volumes for both oxygen-18 and deuterium were statistically acceptable (p>0.05) and showed a within analytical variance of 5.8 Delta VSOW units for deuterium, 0.41 Delta VSOW units for oxygen-18. This variance was used as “within analytical noise” to determine sample deviations. It was also found that there was no influence of equilibration time on oxygen-18 or deuterium values when comparing the minimum (oxygen-18: 24hr; deuterium: 3 days) and maximum (oxygen-18: and deuterium: 14 days) equilibration times. With regard to preparation using the vacuum line, any order of preparation is suitable as the TEE values fall within 8% of each other regardless of preparation order. An 8% variation is acceptable for the TEE values due to biological and technical errors (Schoeller, 1988). However, for the automated line, deuterium must be assessed first followed by oxygen-18 as the automated machine line does not evacuate tubes but merely refills them with an injection of gas for a predetermined time. Any fractionation (which may occur for both isotopes), would cause a slight elevation in the values and hence a lower TEE. The purpose of the second and third study was to investigate the use of IRMS to measure the TEE and TBW of and to validate the current IRMS practices in use with regard to sample collection times of urine and saliva, the use of two TEE equations from different research centers and the body composition values derived from these TEE and TBW values. Following the collection of a fasting baseline urine and saliva sample, 10 people (8 women, 2 men) were dosed with a doubly labeled water does comprised of 1.25g 10% oxygen-18 and 0.1 g 100% deuterium/kg body weight. The samples were collected hourly for 12 hrs on the first day and then morning, midday, and evening samples were collected for the next 14 days. The samples were analyzed using an isotope ratio mass spectrometer. For the TBW, time to equilibration was determined using three commonly employed data analysis approaches. Isotopic equilibration was reached in 90% of the sample by hour 6, and in 100% of the sample by hour 7. With regard to the TBW estimations, the optimal time for urine collection was found to be between hours 4 and 10 as to where there was no significant difference between values. In contrast, statistically significant differences in TBW estimations were found between hours 1-3 and from 11-12 when compared with hours 4-10. Most of the individuals in this study were in equilibrium after 7 hours. The TEE equations of Prof Dale Scholler (Chicago, USA, IAEA) and Prof K.Westerterp were compared with that of Prof. Andrew Coward (Dunn Nutrition Centre). When comparing values derived from samples collected in the morning and evening there was no effect of time or equation on resulting TEE values. The fourth study was a pilot study (n=1) to test the variability in TEE as a result of manipulations in fluid consumption and level of physical activity; the magnitude of change which may be expected in a sedentary adult. Physical activity levels were manipulated by increasing the number of steps per day to mimic the increases that may result when a sedentary individual commences an activity program. The study was comprised of three sub-studies completed on the same individual over a period of 8 months. There were no significant changes in TBW across all studies, even though the elimination rates changed with the supplemented water intake and additional physical activity. The extra activity may not have sufficiently strenuous enough and the water intake high enough to cause a significant change in the TBW and hence the CO2 production and TEE values. The TEE values measured show good agreement based on the estimated values calculated on an RMR of 1455 kcal/day, a DIT of 10% of TEE and activity based on measured steps. The covariance values tracked when plotting the residuals were found to be representative of “well-behaved” data and are indicative of the analytical accuracy. The ratio and product plots were found to reflect the water turnover and CO2 production and thus could, with further investigation, be employed to identify the changes in physical activity.

A new approach to teaching signal processing at undergraduate level

This paper describes the design and implementation of a unique undergraduate program in signal processing at the Queensland University of Technology (QUT). The criteria that influenced the choice of the subjects and the laboratories developed to support them are presented. A recently established Signal Processing Research Centre (SPRC) has played an important role in the development of the signal processing teaching program. The SPRC also provides training opportunities for postgraduate studies and research.

Street-level drug law enforcement : a meta-analytical review

Our paper presents the results of a meta-analytical review of street level drug law enforcement. We conducted a series of meta-analyses to compare and contrast the effectiveness of four types of drug law enforcement approaches, including community-wide policing, problem-oriented/ partnership approaches that were geographically focused, hotspots policing and standard, unfocused law enforcement efforts. We examined the relative impact of these different crime control tactics on streetlevel drug problems as well as associated problems such as property crime, disorder and violent crime. The results of the meta-analyses, together with examination of forest plots, reveal that problem-oriented policing and geographically-focused interventions involving cooperative partnerships between police and third parties tend to be more effective at controlling drug problems than community-wide policing efforts that are unfocused and spread out across a community. But geographically focused and community-wide drug law enforcement interventions that leverage partnerships are more effective at dealing with drug problems than traditional, law enforcement-only interventions. Our results suggest that the key to successful drug law enforcement lies in the capacity of the police to forge productive partnerships with third parties rather than simply increasing police presence or intervention (e.g., arrests) at drug hotspots.

Measuring driver responses at railway level crossings

Railway level crossings are amongst the most complex of road safety control systems, due to the conflicts between road vehicles and rail infrastructure, trains and train operations. Driver behaviour at railway crossings is the major collision factor. The main objective of the present paper was to evaluate the existing conventional warning devices in relation to driver behaviour. The common conventional warning devices in Australia are a stop sign (passive), flashing lights and a half boom-barrier with flashing lights (active). The data were collected using two approaches, namely: field video recordings at selected sites and a driving simulator in a laboratory. This paper describes and compares the driver response results from both the field survey and the driving simulator. The conclusion drawn is that different types of warning systems resulted in varying driver responses at crossings. The results showed that on average driver responses to passive crossings were poor when compared to active ones. The field results were consistent with the simulator results for the existing conventional warning devices and hence they may be used to calibrate the simulator for further evaluation of alternative warning systems.