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.

Understanding stakeholder requirements on an NHS hospital project: application of semiotics-rooted theories.

Hospitals represent complex and difficult contexts for AEC (architecture, engineering and construction) professionals to engage with due to their functional complexity and diversity of stakeholder interests (i.e. patient, visitor, medical specialist). Hospital designers need to take note of changing NHS policy contexts (e.g. the possible empowerment of general practitioners to shape services), technological advances in medical equipment design and the potential health needs of future generations. It is imperative for hospital designers and architects to align their processes and methodologies (e.g. briefing and requirements capture) to the needs and desires of their clients so that a medical facility design is produced which is truly aligned to the requirements of the hospital stakeholders. Semiotics, the “study” or “discipline” of signs aims to investigate the nature of signs (their inception, representation and meaning), whilst semiotics-rooted theories are concerned with investigating how meaning and understanding is mobilized between persons and between organisations. This paper details a semiotics-rooted research approach for investigating the interactions between hospital designers and stakeholders on a forthcoming NHS hospital project in the UK. A semiotics grounded study will potentially provide a deeper understanding of how meaning and understanding is established between hospital project stakeholders and construction professionals.

Molecular requirements for L-type Ca2+ channel blockade by testosterone

Despite being generally perceived as detrimental to the cardiovascular system, testosterone has marked beneficial vascular effects; most notably it acutely and directly causes vasodilatation. Indeed, men with hypotestosteronaemia can present with myocardial ischemia and angina which can be rapidly alleviated by infusion of testosterone. To date, however, in vitro studies have failed to provide a convincing mechanism to account for this clinically important effect. Here, using whole-cell patch-clamp recordings to measure current flow through recombinant human L-type Ca2+ channel alpha(1C) subunits (Ca(v)1.2), we demonstrate that testosterone inhibits such currents in a concentration-dependent manner. Importantly, this occurs over the physiological range of testosterone concentrations (IC50 34 nM), and is not mimicked by the metabolite 5alpha-androstan-17beta-ol-3-one (DHT), nor by progesterone or estradiol, even at high (10 microM) concentration. L-type Ca2+ channels in the vasculature are also important clinical targets for vasodilatory dihydropyridines. A single point mutation (T1007Y) almost completely abolishes nifedipine sensitivity in our recombinant expression system. Crucially, the same mutation renders the channels insensitive to testosterone. Our data strongly suggest, for the first time, the molecular requirements for testosterone binding to L-type Ca2+ channels, thereby supporting its beneficial role as an endogenous Ca2+ channel antagonist in the treatment of cardiovascular disease.

A framework for assessing continuing professional development activities for satisfying pharmacy revalidation requirements

The United Kingdom’s pharmacy regulator contemplated using continuing professional development (CPD) in pharmacy revalidation in 2009, simultaneously asking pharmacy professionals to demonstrate the value of their CPD by showing its relevance and impact. The idea of linking new CPD requirements with revalidation was yet to be explored. Our aim was to develop and validate a framework to guide pharmacy professionals to select CPD activities that are relevant to their work and to produce a score sheet that would make it possible to quantify the impact and relevance of CPD. METHODS: We adapted an existing risk matrix, producing a CPD framework consisting of relevance and impact matrices. Concepts underpinning the framework were refined through feedback from five pharmacist teacher-practitioners. We then asked seven pharmacists to rate the relevance of the framework’s individual elements on a 4-point scale to determine content validity. We explored views about the framework through focus groups with six and interviews with 17 participants who had used it formally in a study. RESULTS: The framework’s content validity index was 0.91. Feedback about the framework related to three themes of penetrability of the framework, usefulness to completion of CPD, and advancement of CPD records for the purpose of revalidation. DISCUSSION: The framework can help professionals better select CPD activities prospectively, and makes assessment of CPD more objective by allowing quantification, which could be helpful for revalidation. We believe the framework could potentially help other health professionals with better management of their CPD irrespective of their field of practice.

Multi-site evaluation of an urban land-surface model: intra-urban heterogeneity, seasonality and parameter complexity requirements

An extensive off-line evaluation of the Noah/Single Layer Urban Canopy Model (Noah/SLUCM) urban land-surface model is presented using data from 15 sites to assess (1) the ability of the scheme to reproduce the surface energy balance observed in a range of urban environments, including seasonal changes, and (2) the impact of increasing complexity of input parameter information. Model performance is found to be most dependent on representation of vegetated surface area cover; refinement of other parameter values leads to smaller improvements. Model biases in net all-wave radiation and trade-offs between turbulent heat fluxes are highlighted using an optimization algorithm. Here we use the Urban Zones to characterize Energy partitioning (UZE) as the basis to assign default SLUCM parameter values. A methodology (FRAISE) to assign sites (or areas) to one of these categories based on surface characteristics is evaluated. Using three urban sites from the Basel Urban Boundary Layer Experiment (BUBBLE) dataset, an independent evaluation of the model performance with the parameter values representative of each class is performed. The scheme copes well with both seasonal changes in the surface characteristics and intra-urban heterogeneities in energy flux partitioning, with RMSE performance comparable to similar state-of-the-art models for all fluxes, sites and seasons. The potential of the methodology for high-resolution atmospheric modelling application using the Weather Research and Forecasting (WRF) model is highlighted. This analysis supports the recommendations that (1) three classes are appropriate to characterize the urban environment, and (2) that the parameter values identified should be adopted as default values in WRF.

A word of caution on calculating market-based minimum capital risk requirements

This paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements (MCRRs) may lead to the production of inaccurate and therefore inefficient capital requirements. We show that this inaccuracy stems from the fact that GARCH models typically overstate the degree of persistence in return volatility. A simple modification to the model is found to improve the accuracy of MCRR estimates in both back- and out-of-sample tests. Given that internal risk management models are currently in widespread usage in some parts of the world (most notably the USA), and will soon be permitted for EC banks and investment firms, we believe that our paper should serve as a valuable caution to risk management practitioners who are using, or intend to use this popular class of models.

What Tenants Want: UK occupiers’ requirements when renting commercial property and strategic implications for landlords

Businesses need property in order to generate turnover and profits. If real estate owners are to be able to provide properties and related services that are desirable, it is crucial that they understand tenants’ requirements and preferences. Changes in the way businesses operate might well lead to an overall reduction in space requirements in all sectors. Faced with reductions in demand, landlords will find themselves in an increasingly competitive marketplace for tenants. Of the array of strategies available to landlords, what strategies should they employ for maximum effect? This paper examines what United Kingdom tenants want from commercial property (retail, industrial and office). The first part provides an analysis of data from several hundred interviews with occupiers of commercial properties owned by some of the largest UK real estate investment companies. Results are presented for each of the asset classes separately. The second part compares the findings with previous research and discusses the strategic implications for landlords.