An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system.

Accessing extremes of mid-latitudinal wave activity: methodology and application

A statistical methodology is proposed and tested for the analysis of extreme values of atmospheric wave activity at mid-latitudes. The adopted methods are the classical block-maximum and peak over threshold, respectively based on the generalized extreme value (GEV) distribution and the generalized Pareto distribution (GPD). Time-series of the ‘Wave Activity Index’ (WAI) and the ‘Baroclinic Activity Index’ (BAI) are computed from simulations of the General Circulation Model ECHAM4.6, which is run under perpetual January conditions. Both the GEV and the GPD analyses indicate that the extremes ofWAI and BAI areWeibull distributed, this corresponds to distributions with an upper bound. However, a remarkably large variability is found in the tails of such distributions; distinct simulations carried out under the same experimental setup provide sensibly different estimates of the 200-yr WAI return level. The consequences of this phenomenon in applications of the methodology to climate change studies are discussed. The atmospheric configurations characteristic of the maxima and minima of WAI and BAI are also examined.

Development and application of a method for the purification of free shigatoxigenic bacteriophage from environmental samples

Shiga toxin producing Escherichia coli (STEC) strains are foodborne pathogens whose ability to produce Shiga toxin (Stx) is due to the integration of Stx-encoding lambdoid bacteriophage (Stx phage). Circulating, infective Stx phages are very difficult to isolate, purify and propagate such that there is no information on their genetic composition and properties. Here we describe a novel approach that exploits the phage's ability to infect their host and form a lysogen, thus enabling purification of Stx phages by a series of sequential lysogen isolation and induction steps. A total of 15 Stx phages were rigorously purified from water samples in this way, classified by TEM and genotyped using a PCR-based multi-loci characterisation system. Each phage possessed only one variant of each target gene type, thus confirming its purity, with 9 of the 15 phages possessing a short tail-spike gene and identified by TEM as Podoviridae. The remaining 6 phages possessed long tails, four of which appeared to be contractile in nature (Myoviridae) and two of which were morphologically very similar to bacteriophage lambda (Siphoviridae).

An evaluation of the spatiotemporal structure of large-scale European drought within the HiGEM climate model

We compare the characteristics of synthetic European droughts generated by the HiGEM1 coupled climate model run with present day atmospheric composition with observed drought events extracted from the CRU TS3 data set. The results demonstrate consistency in both the rate of drought occurrence and the spatiotemporal structure of the events. Estimates of the probability density functions for event area, duration and severity are shown to be similar with confidence > 90%. Encouragingly, HiGEM is shown to replicate the extreme tails of the observed distributions and thus the most damaging European drought events. The soil moisture state is shown to play an important role in drought development. Once a large-scale drought has been initiated it is found to be 50% more likely to continue if the local soil moisture is below the 40th percentile. In response to increased concentrations of atmospheric CO2, the modelled droughts are found to increase in duration, area and severity. The drought response can be largely attributed to temperature driven changes in relative humidity. 1 HiGEM is based on the latest climate configuration of the Met Office Hadley Centre Unified Model (HadGEM1) with the horizontal resolution increased to 1.25 x 0.83 degrees in longitude and latitude in the atmosphere and 1/3 x 1/3 degrees in the ocean.

Rural-urban disparities in child nutrition in Bangladesh and Nepal

Background The persistence of rural-urban disparities in child nutrition outcomes in developing countries alongside rapid urbanisation and increasing incidence of child malnutrition in urban areas raises an important health policy question - whether fundamentally different nutrition policies and interventions are required in rural and urban areas. Addressing this question requires an enhanced understanding of the main drivers of rural-urban disparities in child nutrition outcomes especially for the vulnerable segments of the population. This study applies recently developed statistical methods to quantify the contribution of different socio-economic determinants to rural-urban differences in child nutrition outcomes in two South Asian countries – Bangladesh and Nepal. Methods Using DHS data sets for Bangladesh and Nepal, we apply quantile regression-based counterfactual decomposition methods to quantify the contribution of (1) the differences in levels of socio-economic determinants (covariate effects) and (2) the differences in the strength of association between socio-economic determinants and child nutrition outcomes (co-efficient effects) to the observed rural-urban disparities in child HAZ scores. The methodology employed in the study allows the covariate and coefficient effects to vary across entire distribution of child nutrition outcomes. This is particularly useful in providing specific insights into factors influencing rural-urban disparities at the lower tails of child HAZ score distributions. It also helps assess the importance of individual determinants and how they vary across the distribution of HAZ scores. Results There are no fundamental differences in the characteristics that determine child nutrition outcomes in urban and rural areas. Differences in the levels of a limited number of socio-economic characteristics – maternal education, spouse’s education and the wealth index (incorporating household asset ownership and access to drinking water and sanitation) contribute a major share of rural-urban disparities in the lowest quantiles of child nutrition outcomes. Differences in the strength of association between socio-economic characteristics and child nutrition outcomes account for less than a quarter of rural-urban disparities at the lower end of the HAZ score distribution. Conclusions Public health interventions aimed at overcoming rural-urban disparities in child nutrition outcomes need to focus principally on bridging gaps in socio-economic endowments of rural and urban households and improving the quality of rural infrastructure. Improving child nutrition outcomes in developing countries does not call for fundamentally different approaches to public health interventions in rural and urban areas.

CLEC-2 activates Syk through dimerization

The C-type lectin receptor CLEC-2 activates platelets through Src and Syk tyrosine kinases, leading to tyrosine phosphorylation of downstream adapter proteins and effector enzymes, including phospholipase-C gamma2. Signaling is initiated through phosphorylation of a single conserved tyrosine located in a YxxL sequence in the CLEC-2 cytosolic tail. The signaling pathway used by CLEC-2 shares many similarities with that used by receptors that have 1 or more copies of an immunoreceptor tyrosine-based activation motif, defined by the sequence Yxx(L/I)x(6-12)Yxx(L/I), in their cytosolic tails or associated receptor chains. Phosphorylation of the conserved immunoreceptor tyrosine-based activation motif tyrosines promotes Syk binding and activation through binding of the Syk tandem SH2 domains. In this report, we present evidence using peptide pull-down studies, surface plasmon resonance, quantitative Western blotting, tryptophan fluorescence measurements, and competition experiments that Syk activation by CLEC-2 is mediated by the cross-linking through the tandem SH2 domains with a stoichiometry of 2:1. In support of this model, cross-linking and electron microscopy demonstrate that CLEC-2 is present as a dimer in resting platelets and converted to larger complexes on activation. This is a unique mode of activation of Syk by a single YxxL-containing receptor.

The role of lipid composition on the interaction between a tryptophan-rich protein and model bacterial membranes

The interaction between tryptophan-rich puroindoline proteins and model bacterial membranes at the air-liquid interface has been investigated by FTIR spectroscopy, surface pressure measurements and Brewster angle microscopy. The role of different lipid constituents on the interactions between lipid membrane and protein was studied using wild type (Pin-b) and mutant (Trp44 to Arg44 mutant, Pin-bs) puroindoline proteins. The results show differences in the lipid selectivity of the two proteins in terms of preferential binding to specific lipid head groups in mixed lipid systems. Pin-b wild type was able to penetrate mixed layers of phosphatidylethanolamine (PE) and phosphatidylglycerol (PG) head groups more deeply compared to the mutant Pin-bs. Increasing saturation of the lipid tails increased penetration and adsorption of Pin-b wild type, but again the response of the mutant form differed. The results provide insight as to the role of membrane architecture, lipid composition and fluidity, on antimicrobial activity of proteins. Data show distinct differences in the lipid binding behavior of Pin-b as a result of a single residue mutation, highlighting the importance of hydrophobic and charged amino acids in antimicrobial protein and peptide activity.