A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach

Internal risk management models of the kind popularized by J. P. Morgan are now used widely by the world’s most sophisticated financial institutions as a means of measuring risk. Using the returns on three of the most popular futures contracts on the London International Financial Futures Exchange, in this paper we investigate the possibility of using multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models for the calculation of minimum capital risk requirements (MCRRs). We propose a method for the estimation of the value at risk of a portfolio based on a multivariate GARCH model. We find that the consideration of the correlation between the contracts can lead to more accurate, and therefore more appropriate, MCRRs compared with the values obtained from a univariate approach to the problem.

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.

Online customer experience in e-retailing: an empirical model of antecedents and outcomes

The theoretical understanding of online shopping behavior has received much attention. Less focus has been given to the formation of the customer experience (CE) that results from online shopper interactions with e-retailers. This study develops and empirically tests a model of the relationship between antecedents and outcomes of online customer experience (OCE) within Internet shopping websites using an international sample. The study identifies and provides operational measures of these variables plus the cognitive and affective components of OCE. The paper makes contributions towards new knowledge and understanding of how e-

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.

Customer service 140 characters at a time: the users’ perspective

Electronic word of mouth (eWoM) has been adopted by Internet users as a way of communicating their consumption preferences and experiences. Consumers are able to reach out to others, unknown to them, and have online conversations that can influence their behaviour. Organisations need to understand how to respond to these brand-related conversations conducted via social media. By looking through the lens of social capital, this paper contributes to social media and social capital research by studying the perceptions that 44 social media users have of companies that interact with them online. The users value social networks and support as part of their online relationships. However, several new value categories are identified when compared to previous research. Further research is required to investigate possible segmentation approaches and alternative methodological choices.

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.

Adapted customer relationship management implementation framework:facilitating value creation in nursing homes

This paper proposes a framework to support Customer Relationship Management (CRM) implementation in nursing homes. The work extends research by Cheng et al. (2005) who conducted in-depth questionnaires to identify critical features (termed value-characteristics), which are areas identified as adding the most value if implemented. Although Cheng et al. did proposed an implementation framework, summary of, and inconsistent inclusion of value-characteristics, limits the practical use of this contribution during implementation. In this paper we adapt the original framework to correct perceived deficiencies. We link the value characteristics to operational, analytical, strategic and/or collaborative CRM solution types, to allow consideration in context of practical implementation solutions. The outcome of this paper shows that, practically, a 'one solution meets all characteristic' approach to CRM implementation within nursing homes is inappropriate. Our framework, however, supports implementers in identifying how value can be gained when implementing a specific CRM solution within nursing homes; which subsequently support project management and expectation management.

The tenant as a customer: can good service improve real estate performance?

Customer Relationship Management (CRM) theory suggests that good customer service results in satisfied customers, who in turn are more likely to remain loyal and recommend the service provider to others. Proponents of good customer service for tenants claim that landlords should see a return on any investment in their customer service, in the form of enhanced real estate performance. This paper begins by reviewing research on customer service returns in other industries. Through consideration of the characteristics of real estate markets, the paper explains how factors such as (inter alia) lease terms, property market cycles, and property type, might determine the relationship between customer service and real estate performance. The paper concludes that further research is needed to isolate specific aspects of customer service that are most appreciated by customers. It suggests that the financial returns which accrue to landlords adopting a customer-focused approach might indeed be quantified, and suggests an appropriate method for such future research.