Diversification and value-at-risk

A pervasive and puzzling feature of banks’ Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial banks to overstate their VaR is that they incompletely account for the diversification effect among broad risk categories (e.g., equity, interest rate, commodity, credit spread, and foreign exchange). By underestimating the diversification effect, bank’s proprietary VaR models produce overly prudent market risk assessments. In this paper, we examine empirically the validity of this hypothesis using actual VaR data from major US commercial banks. In contrast to the VaR diversification hypothesis, we find that US banks show no sign of systematic underestimation of the diversification effect. In particular, diversification effects used by banks is very close to (and quite often larger than) our empirical diversification estimates. A direct implication of this finding is that individual VaRs for each broad risk category, just like aggregate VaRs, are biased risk assessments.

Reduction rules for reset/inhibitor nets

Reset/inhibitor nets are Petri nets extended with reset arcs and inhibitor arcs. These extensions can be used to model cancellation and blocking. A reset arc allows a transition to remove all tokens from a certain place when the transition fires. An inhibitor arc can stop a transition from being enabled if the place contains one or more tokens. While reset/inhibitor nets increase the expressive power of Petri nets, they also result in increased complexity of analysis techniques. One way of speeding up Petri net analysis is to apply reduction rules. Unfortunately, many of the rules defined for classical Petri nets do not hold in the presence of reset and/or inhibitor arcs. Moreover, new rules can be added. This is the first paper systematically presenting a comprehensive set of reduction rules for reset/inhibitor nets. These rules are liveness and boundedness preserving and are able to dramatically reduce models and their state spaces. It can be observed that most of the modeling languages used in practice have features related to cancellation and blocking. Therefore, this work is highly relevant for all kinds of application areas where analysis is currently intractable.

Access and Quality of Heart Failure Management Programs in Australia

Background/aim In response to the high burden of disease associated with chronic heart failure (CHF), in particular the high rates of hospital admissions, dedicated CHF management programs (CHF-MP) have been developed. Over the past five years there has been a rapid growth of CHF-MPs in Australia. Given the apparent mismatch between the demand for, and availability of CHF-MPs, this paper has been designed to discuss the accessibility to and quality of current CHF-MPs in Australia. Methods The data presented in this report has been combined from the research of the co-authors, in particular a review of the inequities in access to chronic heart failure which utilised geographical information systems (GIS) and the survey of heterogeneity in quality and service provision in Australian. Results Of the 62 CHF-MPs surveyed in this study 93% (58) centres had been located areas that are rated as Highly Accessible. This result indicated that most of the CHF-MPs have been located in capital cities or large regional cities. Six percent (4 CHF-MPs) had been located in Accessible areas which were country towns or cities. No CHF-MPs had been established outside of cities to service the estimated 72,000 individuals with CHF living in rural and remote areas. 16% of programs recruited NYHA Class I patients and of these 20% lacked confirmation (echocardiogram) of their diagnosis. Conclusion Overall, these data highlight the urgent need to provide equitable access to CHF-MP's. When establishing CHF-MPs consideration of current evidence based models to ensure quality in practice.

Getting to know a stranger-rural nurses' experiences of mentoring : a grounded theory

Background: Mentoring is often proposed as a solution to the problem of successfully recruiting and retaining nursing staff. The aim of this constructivist grounded theory study was to explore Australian rural nurses' experiences of mentoring. Design: The research design used was reflexive in nature resulting in a substantive, constructivist grounded theory study. Participants: A national advertising campaign and snowball sampling were used to recruit nine participants from across Australia. Participants were rural nurses who had experience in mentoring others. Methods: Standard grounded theory methods of theoretical sampling, concurrent data collection and analysis using open, axial and theoretical coding and a story line technique to develop the core category and category saturation were used. To cultivate the reflexivity required of a constructivist study, we also incorporated reflective memoing, situational analysis mapping techniques and frame analysis. Data was generated through eleven interviews, email dialogue and shared situational mapping. Results: Cultivating and growing new or novice rural nurses using supportive relationships such as mentoring was found to be an existing, integral part of experienced rural nurses' practice, motivated by living and working in the same communities. Getting to know a stranger is the first part of the process of cultivating and growing another. New or novice rural nurses gain the attention of experienced rural nurses through showing potential or experiencing a critical incidence. Conclusions: The problem of retaining nurses is a global issue. Experienced nurses engaged in clinical practice have the potential to cultivate and grow new or novice nurses-many already do so. Recognising this role and providing opportunities for development will help grow a positive, supportive work environment that nurtures the experienced nurses of tomorrow.