Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Assessing the Conservation Status and Threats to Priority Plants: a threat assessment approach and case study in South-East Queensland, Australia

bstract: During the Regional Forest Agreement (RFA) process in south-east Queensland, the conservation status of, and threats to, priority vascular plant taxa in the region was assessed. Characteristics of biology, demography and distribution were used to assess the species' intrinsic risk of extinction. In contrast, the threats to the taxa (their extrinsic risk of extinction) were assessed using a decision-support protocol for setting conservation targets for taxa lacking population viability analyses and habitat modelling data. Disturbance processes known or suspected to be adversely affecting the taxa were evaluated for their intensity, extent and time-scale. Expert opinion was used to provide much of the data and to assess the recommended protection areas. Five categories of intrinsic risk of extinction were recognised for the 105 priority taxa: critically endangered (43 taxa); endangered (29); vulnerable (21); rare (10); and presumed extinct (2). Only 6 of the 103 extant taxa were found to be adequately reserved and the majority were considered inadequately protected to survive the current regimes of threatening processes affecting them. Data were insufficient to calculate a protection target for one extant taxon. Over half of the taxa require all populations to be conserved as well as active management to alleviate threatening processes. The most common threats to particular taxa were competition from weeds or native species, inappropriate fire regimes, agricultural clearing, forestry, grazing by native or feral species, drought, urban development, illegal collection of plants, and altered hydrology. Apart from drought and competition from native species, these disturbances are largely influenced or initiated by human actions. Therefore, as well as increased protection of most of the taxa, active management interventions are necessary to reduce the effects of threatening processes and to enable the persistence of the taxa.

Development of the student placement evaluation form: A tool for assessing student fieldwork performance

Evaluation of students undertaking fieldwork education placements is a critical process in the health professions. As training programs and practice evolve, systems for assessing students need to be reviewed and updated constantly. In 1995, staff of the occupational therapy training program at the University of Queensland, Australia decided to develop a new tool for assessing student fieldwork performance. Using an action research methodology, a team developed the Student Placement Evaluation Form, a flexible and comprehensive criterion-referenced evaluation tool. The present paper examines action research as an appropriate methodology for considering real-life organisational problems in a systematic and participatory manner. The action research cycles undertaken, including preliminary information gathering, tool development, trial stages and current use of the tool, are detailed in the report. Current and future development of the tool is also described.

A Research Agenda for Assessing the Potential Contribution of Genomic Medicine to Tobacco Control

This paper identifies research priorities in evaluating the ways in which "genomic medicine"-the use of genetic information to prevent and treat disease-may reduce tobacco-related harm by: (1) assisting more smokers to quit; (2) preventing non-smokers from beginning to smoke tobacco; and (3) reducing the harm caused by tobacco smoking. The method proposed to achieve the first aim is pharmacogenetics", the use of genetic information to optimise the selection of smoking-cessation programmes by screening smokers for polymorphisms that predict responses to different methods of smoking cessation. This method competes with the development of more effective forms of smoking cessation that involve vaccinating smokers against the effects of nicotine and using new pharmaceuticals (such as cannabinoid antagonists and nicotine agonists). The second and third aims are more speculative. They include: screening the population for genetic susceptibility to nicotine dependence and intervening (eg, by vaccinating children and adolescents against the effects of nicotine) to prevent smoking uptake, and screening the population for genetic susceptibility to tobacco-related diseases. A framework is described for future research on these policy options. This includes: epidemiological modelling and economic evaluation to specify the conditions under which these strategies are cost-effective; and social psychological research into the effect of providing genetic information on smokers' preparedness to quit, and the general views of the public on tobacco smoking.

The prediction of disease risk in genomic medicine

In recent years, the phrase 'genomic medicine' has increasingly been used to describe a new development in medicine that holds great promise for human health. This new approach to health care uses the knowledge of an individual's genetic make-up to identify those that are at a higher risk of developing certain diseases and to intervene at an earlier stage to prevent these diseases. Identifying genes that are involved in disease aetiology will provide researchers with tools to develop better treatments and cures. A major role within this field is attributed to 'predictive genomic medicine', which proposes screening healthy individuals to identify those who carry alleles that increase their susceptibility to common diseases, such as cancers and heart disease. Physicians could then intervene even before the disease manifests and advise individuals with a higher genetic risk to change their behaviour - for instance, to exercise or to eat a healthier diet - or offer drugs or other medical treatment to reduce their chances of developing these diseases. These promises have fallen on fertile ground among politicians, health-care providers and the general public, particularly in light of the increasing costs of health care in developed societies. Various countries have established databases on the DNA and health information of whole populations as a first step towards genomic medicine. Biomedical research has also identified a large number of genes that could be used to predict someone's risk of developing a certain disorder. But it would be premature to assume that genomic medicine will soon become reality, as many problems remain to be solved. Our knowledge about most disease genes and their roles is far from sufficient to make reliable predictions about a patient’s risk of actually developing a disease. In addition, genomic medicine will create new political, social, ethical and economic challenges that will have to be addressed in the near future.

Environmental Risk Factors for Parkinson's Disease

Parkinson’s disease (PD) is a progressive, degenerative, neurological disease. The progressive disability associated with PD results in substantial burdens for those with the condition, their families and society in terms of increased health resource use, earnings loss of affected individuals and family caregivers, poorer quality of life, caregiver burden, disrupted family relationships, decreased social and leisure activities, and deteriorating emotional well-being. Currently, no cure is available and the efficacy of available treatments, such as medication and surgical interventions, decreases with longer duration of the disease. Whilst the cause of PD is unknown, genetic and environmental factors are believed to contribute to its aetiology. Descriptive and analytical epidemiological studies have been conducted in a number of countries in an effort to elucidate the cause, or causes, of PD. Rural residency, farming, well water consumption, pesticide exposure, metals and solvents have been implicated as potential risk factors for PD in some previous epidemiological studies. However, there is substantial disagreement between the results of existing studies. Therefore, the role of environmental exposures in the aetiology of PD remains unclear. The main component of this thesis consists of a case-control study that assessed the contribution of environmental exposures to the risk of developing PD. An existing, previously unanalysed, dataset from a local case-control study was analysed to inform the design of the new case-control study. The analysis results suggested that regular exposure to pesticides and head injury were important risk factors for PD. However, due to the substantial limitations of this existing study, further confirmation of these results was desirable with a more robustly designed epidemiological study. A new exposure measurement instrument (a structured interviewer-delivered questionnaire) was developed for the new case-control study to obtain data on demographic, lifestyle, environmental and medical factors. Prior to its use in the case-control study, the questionnaire was assessed for test-retest repeatability in a series of 32 PD cases and 29 healthy sex-, age- and residential suburb-matched electoral roll controls. High repeatability was demonstrated for lifestyle exposures, such as smoking and coffee/tea consumption (kappas 0.70-1.00). The majority of environmental exposures, including use of pesticides, solvents and exposure to metal dusts and fumes, also showed high repeatability (kappas >0.78). A consecutive series of 163 PD case participants was recruited from a neurology clinic in Brisbane. One hundred and fifty-one (151) control participants were randomly selected from the Australian Commonwealth Electoral Roll and individually matched to the PD cases on age (± 2 years), sex and current residential suburb. Participants ranged in age from 40-89 years (mean age 67 years). Exposure data were collected in face-to-face interviews. Odds ratios and 95% confidence intervals were calculated using conditional logistic regression for matched sets in SAS version 9.1. Consistent with previous studies, ever having been a regular smoker or coffee drinker was inversely associated with PD with dose-response relationships evident for packyears smoked and number of cups of coffee drunk per day. Passive smoking from ever having lived with a smoker or worked in a smoky workplace was also inversely related to PD. Ever having been a regular tea drinker was associated with decreased odds of PD. Hobby gardening was inversely associated with PD. However, use of fungicides in the home garden or occupationally was associated with increased odds of PD. Exposure to welding fumes, cleaning solvents, or thinners occupationally was associated with increased odds of PD. Ever having resided in a rural or remote area was inversely associated with PD. Ever having resided on a farm was only associated with moderately increased odds of PD. Whilst the current study’s results suggest that environmental exposures on their own are only modest contributors to overall PD risk, the possibility that interaction with genetic factors may additively or synergistically increase risk should be considered. The results of this research support the theory that PD has a multifactorial aetiology and that environmental exposures are some of a number of factors to contribute to PD risk. There was also evidence of interaction between some factors (eg smoking and welding) to moderate PD risk.

A randomized and controlled trial of a participative ergonomics intervention to reduce injuries associated with manual tasks: physical risk and legislative

A participative ergonomics approach to reducing injuries associated with manual tasks is widely promoted; however only limited evidence from uncontrolled trials has been available to support the efficacy of such an approach. This paper reports on a randomized and controlled trial of PErforM, a participative ergonomics intervention designed to reduce the risks of injury associated with manual tasks. One hundred and seventeen small to medium sized food, construction, and health workplaces were audited by government inspectors using a manual tasks risk assessment tool (ManTRA). Forty-eight volunteer workplaces were then randomly assigned to Experimental and Control groups with the Experimental group receiving the PErforM program. Inspectors audited the workplaces again, 9 months following the intervention. The results showed a significant decrease in estimates of manual task risk and suggested better legal compliance in the Experimental group.

Assessing flow in physical activity: The Flow State Scale-2 and Dispositional Flow Scale-2

The Flow State Scale-2 (FSS-2) and Dispositional Flow Scale-2 (DFS-2) are presented as two self-report instruments designed to assess flow experiences in physical activity. Item modifications were made to the original versions of these scales in order to improve the measurement of some of the flow dimensions. Confirmatory factor analyses of an item identification and a cross-validation sample demonstrated a good fit of the new scales. There was support for both a 9-first-order factor model and a higher order model with a global flow factor. The item identification sample yielded mean item loadings on the first-order factor of .78 for the FSS-2 and .77 for the DFS-2. Reliability estimates ranged from .80 to .90 for the FSS-2, and .81 to .90 for the DFS-2. In the cross-validation sample, mean item loadings on the first-order factor were .80 for the FSS-2, and .73 for the DFS-2. Reliability estimates ranged between .80 to .92 for the FSS-2 and .78 to .86 for the DFS-2. The scales are presented as ways of assessing flow experienced within a particular event (FSS-2) or the frequency of flow experiences in chosen physical activity in general (DFS-2).

Assessing the competitiveness of loss allocation methods in a deregulated electricity market

This paper critically assesses several loss allocation methods based on the type of competition each method promotes. This understanding assists in determining which method will promote more efficient network operations when implemented in deregulated electricity industries. The methods addressed in this paper include the pro rata [1], proportional sharing [2], loss formula [3], incremental [4], and a new method proposed by the authors of this paper, which is loop-based [5]. These methods are tested on a modified Nordic 32-bus network, where different case studies of different operating points are investigated. The varying results obtained for each allocation method at different operating points make it possible to distinguish methods that promote unhealthy competition from those that encourage better system operation.