Paying for long-term performance: restructuring bankers’ pay for risk regulation

The purpose of this paper is to propose hybrid capital securities as a new approach to compensation for senior bank executives and risk-takers instead of cash or equity-based compensation currently adopted by the industry. The global financial turmoil indicated that misaligned pay-for-performance compensation arrangements encouraged management short-termism and rewarded excessive risk-taking behaviour in Anglo-Saxon system. Rather than regulating specific instruments and processes, we believe that it is much more efficient to overhaul the compensation scheme to align it with risk management and governance. This empirical paper investigates the European hybrid market by employing data from the Merrill Lynch Global Index System from 2000 to 2010. Our paper contributes to both literature and practices by designing a structured scheme to tie the executive’s interests to long-term performance of the bank, the goal of regulators and the economy at large which consequently reduce the probability of future bank failures.

Long-term variations in the magnetic fields of the Sun and the heliosphere: their origin, effects, and implications

Recent studies of the variation of geomagnetic activity over the past 140 years have quantified the "coronal source" magnetic flux F-s that leaves the solar atmosphere and enters the heliosphere and have shown that it has risen, on average, by an estimated 34% since 1963 and by 140% since 1900. This variation of open solar flux has been reproduced by Solanki et al. [2000] using a model which demonstrates how the open flux accumulates and decays, depending on the rate of flux emergence in active regions and on the length of the solar cycle. We here use a new technique to evaluate solar cycle length and find that it does vary in association with the rate of change of F-s in the way predicted. The long-term variation of the rate of flux emergence is found to be very similar in form to that in F-s, which may offer a potential explanation of why F-s appears to be a useful proxy for extrapolating solar total irradiance back in time. We also find that most of the variation of cosmic ray fluxes incident on Earth is explained by the strength of the heliospheric field (quantified by F-s) and use observations of the abundance of the isotope Be-10 (produced by cosmic rays and deposited in ice sheets) to study the decrease in F-s during the Maunder minimum. The interior motions at the base of the convection zone, where the solar dynamo is probably located, have recently been revealed using the helioseismology technique and found to exhibit a 1.3-year oscillation. This periodicity is here reported in observations of the interplanetary magnetic field and geomagnetic activity but is only present after 1940, When present, it shows a strong 22-year variation, peaking near the maximum of even-numbered sunspot cycles and showing minima at the peaks of odd-numbered cycles. We discuss the implications of these long-term solar and heliospheric variations for Earth's environment.

Comparing hybrid data assimilation methods on the Lorenz 1963 model with increasing nonlinearity

We systematically compare the performance of ETKF-4DVAR, 4DVAR-BEN and 4DENVAR with respect to two traditional methods (4DVAR and ETKF) and an ensemble transform Kalman smoother (ETKS) on the Lorenz 1963 model. We specifically investigated this performance with increasing nonlinearity and using a quasi-static variational assimilation algorithm as a comparison. Using the analysis root mean square error (RMSE) as a metric, these methods have been compared considering (1) assimilation window length and observation interval size and (2) ensemble size to investigate the influence of hybrid background error covariance matrices and nonlinearity on the performance of the methods. For short assimilation windows with close to linear dynamics, it has been shown that all hybrid methods show an improvement in RMSE compared to the traditional methods. For long assimilation window lengths in which nonlinear dynamics are substantial, the variational framework can have diffculties fnding the global minimum of the cost function, so we explore a quasi-static variational assimilation (QSVA) framework. Of the hybrid methods, it is seen that under certain parameters, hybrid methods which do not use a climatological background error covariance do not need QSVA to perform accurately. Generally, results show that the ETKS and hybrid methods that do not use a climatological background error covariance matrix with QSVA outperform all other methods due to the full flow dependency of the background error covariance matrix which also allows for the most nonlinearity.

Long-range ozone transport and its impact on respiratory and cardiovascular health in the north of Portugal

Ozone dynamics depend on meteorological characteristics such as wind, radiation, sunshine, air temperature and precipitation. The aim of this study was to determine ozone trajectories along the northern coast of Portugal during the summer months of 2005, when there was a spate of forest fires in the region, evaluating their impact on respiratory and cardiovascular health in the greater metropolitan area of Porto. We investigated the following diseases, as coded in the ninth revision of the International Classification of Diseases: hypertensive disease (codes 401-405); ischemic heart disease (codes 410-414); other cardiac diseases, including heart failure (codes 426-428); chronic obstructive pulmonary disease and allied conditions, including bronchitis and asthma (codes 490-496); and pneumoconiosis and other lung diseases due to external agents (codes 500-507). We evaluated ozone data from air quality monitoring stations in the study area, together with data collected through HYbrid Single-Particle Lagrangian Integrated Trajectory (HYSPLIT) model analysis of air mass circulation and synoptic-scale zonal wind from National Centers for Environmental Prediction data. High ozone levels in rural areas were attributed to the dispersion of pollutants induced by local circulation, as well as by mesoscale and synoptic scale processes. The fires of 2005 increased the levels of pollutants resulting from the direct emission of gases and particles into the atmosphere, especially when there were incoming frontal systems. For the meteorological case studies analyzed, peaks in ozone concentration were positively associated with higher rates of hospital admissions for cardiovascular diseases, although there were no significant associations between ozone peaks and admissions for respiratory diseases.

Intraplate earthquake swarm in Belo Jardim, NE Brazil: reactivation of a major Neoproterozoic shear zone (Pernambuco Lineament)

Intraplate earthquakes in stable continental areas have been explained basically by reactivation of pre-existing zones of weakness, stress concentration, or both. Zones of weakness are usually identified as sites of the last major orogeny, provinces of recent alkaline intrusions, or stretched crust in ancient rifts. However, it is difficult to identify specific zones of weakness and intraplate fault zones are not always easily correlated with known geological features. Although Northeastern Brazil is one of the most seismically active areas in the country (magnitudes 5 roughly every 5 yr), with hypocentral depths shallower than similar to 10 km and seismic zones as long as 30-40 km, no clear relationship with the known surface geology can be usually established with confidence, and a clear identification of zones of weakness has not yet been possible. Here we present the first clear case of seismic activity occurring as reactivation of an old structure in Brazil: the Pernambuco Lineament, a major Neoproterozoic shear zone. The 2004 earthquake swarm of Belo Jardim (magnitudes up to 3.1) and the recurrent activities in the nearby towns of Sao Caetano and Caruaru (magnitudes up to 4.0 and 3.8), show that the Pernambuco Lineament is a weak zone. A local seismic network showed that the Belo Jardim swarm of 2004 November occurred by normal faulting on a North dipping, E-W oriented fault plane in close agreement with the E-W trending structures within the Pernambuco Lineament. The Belo Jardim activity was concentrated in a 1.5 km (E-W) by 2 km (downdip) fault area, and average depth of 4.5 km. The nearby Caruaru activity occurs as both strike-slip and normal faulting, also consistent with local structures of the Pernambuco Lineament. The focal mechanisms of Belo Jardim, Caruaru and S. Caetano, indicate E-W compressional and N-S extensional principal stresses. The NS extension of this stress field is larger than that predicted by numerical models such as those of Coblentz & Richardson and we propose that additional factors such as flexural stresses from the nearby Sergipe-Alagoas marginal basin could also affect the current stress field in the Pernambuco Lineament.

Chromosome polymorphism in Astyanax fasciatus (Teleostei, Characidae). 2-Chromosomal location of a satellite DNA

Studies about composition of repetitive sequences and their chromosomal location have been helpful to evolutionary studies in many distinct organisms. In order to keep on assessing the possible relationships among different cytotypes of Astyanax fasciatus (Teleostei, Characiformes) in the Mogi-Guacu River (Sao Paulo State, Brazil), C-banding, chromomycin A 3 staining, and fluorescent in situ hybridization with a repetitive DNA sequence (As51) isolated from Astyanax scabripinnis were performed in the present work. The constitutive heterochromatin was distributed in terminal regions on long arms of submetacentric, subtelocentric, and acrocentric chromosomes and in the terminal region on short arms of a pair of submetacentric chromosomes in both standard cytotypes. This latter heterochromatic site was also GC-rich, as revealed by chromomycin A(3) staining, corresponding to the nucleolar organizer region (NOR), as shown by previous studies. The sites of the satellite As51 DNA were located in terminal regions on long arms of several chromosomes. Some variant karyotypic forms, which diverge from the two standard cytotypes, also presented distinctive chromosomes carrying As51 satellite DNA. It is possible that the standard 2n = 46 cytotype represents an invader population in the Mogi-Guacu River able to interbreed with the resident standard 2n = 48 cytotype. Therefore, the variant karyotypes would be related to a possible viable offspring, where complementary chromosomal rearrangements could favor new locations of the satellite DNA analyzed. Copyright (C) 2008 S. Karger AG, Basel

Improved renal function after kidney transplantation is associated with heme oxygenase-1 polymorphism

Heme oxygenase-1 (HO-1) has a microsatellite polymorphism based on the number of guanosine-thymidine nucleotide repeats (GT) repeats that regulates expression levels and could have an impact on organ survival post-injury. We correlated HO-1 polymorphism with renal graft function. The HO-1 gene was sequenced (N = 181), and the allelic repeats were divided into subclasses: short repeats (S) (< 27 repeats) and long repeats (L) (>= 27 repeats). A total of 47.5% of the donors carried the S allele. The allograft function was statistically improved six months, two and three yr after transplantation in patients receiving kidneys from donors with an S allele. For the recipients carrying the S allele (50.3%), the allograft function was also better throughout the follow-up, but reached statistical significance only three yr after transplantation (p = 0.04). Considering only those patients who had chronic allograft nephropathy (CAN; 74 of 181), allograft function was also better in donors and in recipients carrying the S allele, two and three yr after transplantation (p = 0.03). Recipients of kidney transplantation from donors carrying the S allele presented better function even in the presence of CAN.

A Robust, Fully Adaptive Hybrid Level-Set/Front-Tracking Method for Two-Phase Flows with an Accurate Surface Tension Computation

We present a variable time step, fully adaptive in space, hybrid method for the accurate simulation of incompressible two-phase flows in the presence of surface tension in two dimensions. The method is based on the hybrid level set/front-tracking approach proposed in [H. D. Ceniceros and A. M. Roma, J. Comput. Phys., 205, 391400, 2005]. Geometric, interfacial quantities are computed from front-tracking via the immersed-boundary setting while the signed distance (level set) function, which is evaluated fast and to machine precision, is used as a fluid indicator. The surface tension force is obtained by employing the mixed Eulerian/Lagrangian representation introduced in [S. Shin, S. I. Abdel-Khalik, V. Daru and D. Juric, J. Comput. Phys., 203, 493-516, 2005] whose success for greatly reducing parasitic currents has been demonstrated. The use of our accurate fluid indicator together with effective Lagrangian marker control enhance this parasitic current reduction by several orders of magnitude. To resolve accurately and efficiently sharp gradients and salient flow features we employ dynamic, adaptive mesh refinements. This spatial adaption is used in concert with a dynamic control of the distribution of the Lagrangian nodes along the fluid interface and a variable time step, linearly implicit time integration scheme. We present numerical examples designed to test the capabilities and performance of the proposed approach as well as three applications: the long-time evolution of a fluid interface undergoing Rayleigh-Taylor instability, an example of bubble ascending dynamics, and a drop impacting on a free interface whose dynamics we compare with both existing numerical and experimental data.

Hybrid photocatalysts for the degradation of trichloroethylene in air

Hybrid photocatalysts based on an adsorbent SiMgOx and a photocatalyst TiO(2) were developed in a plate shape. The ceramic surface was coated with TiO(2) by the slip-casting technique. The effect of the support in the photocatalytic degradation of trichloroethylene (TCE) was analyzed by modifying TiO(2) loading and the layer thickness. Photocatalysts were characterised by N(2) adsorption-desorption, mercury intrusion porosimetry, SEM, UV-vis spectroscopy and XRD. A direct relationship between the TiO(2) content and the photocatalytic activity was observed up to three layers of TiO(2) (0.66 wt.%). Our results indicate that intermediate species generated on the TiO(2) layer can migrate through relatively long distances to react with the OH(-) surface groups of the support. By increasing the TiO(2) loading of the photocatalyst two effects were observed: trichloroethylene conversion is enhanced, while the efficiency of the oxidation process is decreased at expenses of increasing the selectivity to COCl(2) and dichloroacetylchloride (DCAC). The results are discussed in terms of the layer thickness, TiO(2) amount, TCE conversion and CO(2), and COCl(2) selectivity. (C) 2009 Elsevier B.V. All rights reserved.

A user guide to simple monitoring and sustainable operation of PV-diesel hybrid systems : Handbook for system users and operators

This report contains a suggestion for a simple monitoring and evaluation guideline for PV-diesel hybrid systems. It offers system users a way to better understand if their system is operated in a way that will make it last for a long time. It also gives suggestions on how to act if there are signs of unfavourable use or failure. The application of the guide requires little technical equipment, but daily manual measurements. For the most part, it can be managed by pen and paper, by people with no earlier experience of power systems.The guide is structured and expressed in a way that targets PV-diesel hybrid system users with no, or limited, earlier experience of power engineering. It is less detailed in terms of motivations for certain choices and limitations, but rich in details concerning calculations, evaluation procedures and maintenance routines. A more scientific description of the guide can be found in a related journal article.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a lack of parsimony, as well as the traditional ones. We suggest a new procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties. In order to compute the fit of each model, we propose an iterative procedure to compute the maximum likelihood estimates of parameters of a VAR model with short-run and long-run restrictions. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank, relative to the commonly used procedure of selecting the lag-length only and then testing for cointegration.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian inflation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in different measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian in ation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in di¤erent measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. A Monte Carlo study explores the finite sample performance of this procedure and evaluates the forecasting accuracy of models selected by this procedure. Two empirical applications confirm the usefulness of the model selection procedure proposed here for forecasting.

Association between MUC1 gene polymorphism and expected progeny differences in Nelore cattle (Bos primigenius indicus)

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