The level and quality of Value-at-Risk disclosure by commercial banks

In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996–2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility.

Super-orbital re-entry in Australia : laboratory measurement, simulation and flight observation

There are large uncertainties in the aerothermodynamic modelling of super-orbital re-entry which impact the design of spacecraft thermal protection systems (TPS). Aspects of the thermal environment of super-orbital re-entry flows can be simulated in the laboratory using arc- and plasma jet facilities and these devices are regularly used for TPS certification work [5]. Another laboratory device which is capable of simulating certain critical features of both the aero and thermal environment of super-orbital re-entry is the expansion tube, and three such facilities have been operating at the University of Queensland in recent years[10]. Despite some success, wind tunnel tests do not achieve full simulation, however, a virtually complete physical simulation of particular re-entry conditions can be obtained from dedicated flight testing, and the Apollo era FIRE II flight experiment [2] is the premier example which still forms an important benchmark for modern simulations. Dedicated super-orbital flight testing is generally considered too expensive today, and there is a reluctance to incorporate substantial instrumentation for aerothermal diagnostics into existing missions since it may compromise primary mission objectives. An alternative approach to on-board flight measurements, with demonstrated success particularly in the ‘Stardust’ sample return mission, is remote observation of spectral emissions from the capsule and shock layer [8]. JAXA’s ‘Hayabusa’ sample return capsule provides a recent super-orbital reentry example through which we illustrate contributions in three areas: (1) physical simulation of super-orbital re-entry conditions in the laboratory; (2) computational simulation of such flows; and (3) remote acquisition of optical emissions from a super-orbital re entry event.

Radiometric temperature analysis of the Hayabusa spacecraft re-entry

Hayabusa, an unmanned Japanese spacecraft, was launched to study and collect samples from the surface of the asteroid 25143 Itokawa. In June 2010, the Hayabusa spacecraft completed it’s seven year voyage. The spacecraft and the sample return capsule (SRC) re-entered the Earth’s atmosphere over the central Australian desert at speeds on the order of 12 km/s. This provided a rare opportunity to experimentally investigate the radiative heat transfer from the shock-compressed gases in front of the sample return capsule at true-flight conditions. This paper reports on the results of observations from a tracking camera situated on the ground about 100 km from where the capsule experienced peak heating during re-entry.

Identification of area-level influences on regions of high cancer incidence in Queensland, Australia : a classification tree approach

Background: Strategies for cancer reduction and management are targeted at both individual and area levels. Area-level strategies require careful understanding of geographic differences in cancer incidence, in particular the association with factors such as socioeconomic status, ethnicity and accessibility. This study aimed to identify the complex interplay of area-level factors associated with high area-specific incidence of Australian priority cancers using a classification and regression tree (CART) approach. Methods: Area-specific smoothed standardised incidence ratios were estimated for priority-area cancers across 478 statistical local areas in Queensland, Australia (1998-2007, n=186,075). For those cancers with significant spatial variation, CART models were used to identify whether area-level accessibility, socioeconomic status and ethnicity were associated with high area-specific incidence. Results: The accessibility of a person’s residence had the most consistent association with the risk of cancer diagnosis across the specific cancers. Many cancers were likely to have high incidence in more urban areas, although male lung cancer and cervical cancer tended to have high incidence in more remote areas. The impact of socioeconomic status and ethnicity on these associations differed by type of cancer. Conclusions: These results highlight the complex interactions between accessibility, socioeconomic status and ethnicity in determining cancer incidence risk.

A new approach to teaching signal processing at undergraduate level

This paper describes the design and implementation of a unique undergraduate program in signal processing at the Queensland University of Technology (QUT). The criteria that influenced the choice of the subjects and the laboratories developed to support them are presented. A recently established Signal Processing Research Centre (SPRC) has played an important role in the development of the signal processing teaching program. The SPRC also provides training opportunities for postgraduate studies and research.

Street-level drug law enforcement : a meta-analytical review

Our paper presents the results of a meta-analytical review of street level drug law enforcement. We conducted a series of meta-analyses to compare and contrast the effectiveness of four types of drug law enforcement approaches, including community-wide policing, problem-oriented/ partnership approaches that were geographically focused, hotspots policing and standard, unfocused law enforcement efforts. We examined the relative impact of these different crime control tactics on streetlevel drug problems as well as associated problems such as property crime, disorder and violent crime. The results of the meta-analyses, together with examination of forest plots, reveal that problem-oriented policing and geographically-focused interventions involving cooperative partnerships between police and third parties tend to be more effective at controlling drug problems than community-wide policing efforts that are unfocused and spread out across a community. But geographically focused and community-wide drug law enforcement interventions that leverage partnerships are more effective at dealing with drug problems than traditional, law enforcement-only interventions. Our results suggest that the key to successful drug law enforcement lies in the capacity of the police to forge productive partnerships with third parties rather than simply increasing police presence or intervention (e.g., arrests) at drug hotspots.

Measuring driver responses at railway level crossings

Railway level crossings are amongst the most complex of road safety control systems, due to the conflicts between road vehicles and rail infrastructure, trains and train operations. Driver behaviour at railway crossings is the major collision factor. The main objective of the present paper was to evaluate the existing conventional warning devices in relation to driver behaviour. The common conventional warning devices in Australia are a stop sign (passive), flashing lights and a half boom-barrier with flashing lights (active). The data were collected using two approaches, namely: field video recordings at selected sites and a driving simulator in a laboratory. This paper describes and compares the driver response results from both the field survey and the driving simulator. The conclusion drawn is that different types of warning systems resulted in varying driver responses at crossings. The results showed that on average driver responses to passive crossings were poor when compared to active ones. The field results were consistent with the simulator results for the existing conventional warning devices and hence they may be used to calibrate the simulator for further evaluation of alternative warning systems.