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.

Linking classroom learning and research to advance ideas about social-ecological resilience

There is an increasing demand in higher education institutions for training in complex environmental problems. Such training requires a careful mix of conventional methods and innovative solutions, a task not always easy to accomplish. In this paper we review literature on this theme, highlight relevant advances in the pedagogical literature, and report on some examples resulting from our recent efforts to teach complex environmental issues. The examples range from full credit courses in sustainable development and research methods to project-based and in-class activity units. A consensus from the literature is that lectures are not sufficient to fully engage students in these issues. A conclusion from the review of examples is that problem-based and project-based, e.g., through case studies, experiential learning opportunities, or real-world applications, learning offers much promise. This could greatly be facilitated by online hubs through which teachers, students, and other members of the practitioner and academic community share experiences in teaching and research, the way that we have done here.

Scoring rules and competitive behavior in best value construction auctions

This paper examines the extent to which engineers can influence the competitive behavior of bidders in Best Value or multi-attribute construction auctions, where both the (dollar) bid and technical non-price criteria are scored according to a scoring rule. From a sample of Spanish construction auctions with a variety of bid scoring rules, it is found that bidders are influenced by the auction rules in significant and predictable ways. The bid score weighting, bid scoring formula and abnormally low bid criterion are variables likely to influence the competitiveness of bidders in terms of both their aggressive/conservative bidding and concentration/dispersion of bids. Revealing the influence of the bid scoring rules and their magnitude on bidders’ competitive behavior opens the door for the engineer to condition bidder competitive behavior in such a way as to provide the balance needed to achieve the owner’s desired strategic outcomes.

Dust record from the EPICA Dome C ice core, Antarctica, covering 0 to 800 kyr BP

Dust can affect the radiative balance of the atmosphere by absorbing or reflecting incoming solar radiation and it can be a source of micronutrients, such as iron, to the ocean. It has been suggested that production, transport, and deposition of dust is influenced by climatic changes on glacial-interglacial timescales. Here we present a high-resolution aeolian dust record from the EPICA Dome C ice core in East Antarctica, which provides an undisturbed climate sequence over the last eight climatic cycles. We find that there is a significant correlation between dust flux and temperature records during glacial periods that is absent during interglacial periods. Our data suggests that dust flux is increasingly correlated with Antarctic temperature as climate becomes colder. We interpret this as progressive coupling of Antarctic and lower latitudes climate. Limited changes in glacial-interglacial atmospheric transport time Mahowald et al. (1999, doi:10.1029/1999JD900084), Jouzel et al. (2007, doi:10.1126/science.1141038), and Werner et al. (2002, doi:10.1029/2002JD002365) suggest that the sources and lifetime of dust are the major factors controlling the high glacial dust input. We propose that the observed ~25-fold increase in glacial dust flux over all eight glacial periods can be attributed to a strengthening of South American dust sources, together with a longer atmospheric dust particle life-time in the upper troposphere resulting from a reduced hydrological cycle during the ice ages.

EPICA Dome C carbon dioxide concentrations from 650 to 391 kyr BP

A record of atmospheric carbon dioxide (CO2) concentrations measured on the EPICA (European Project for Ice Coring in Antarctica) Dome Concordia ice core extends the Vostok CO2 record back to 650,000 years before the present (yr B.P.). Before 430,000 yr B.P., partial pressure of atmospheric CO2 lies within the range of 260 and 180 parts per million by volume. This range is almost 30% smaller than that of the last four glacial cycles; however, the apparent sensitivity between deuterium and CO2 remains stable throughout the six glacial cycles, suggesting that the relationship between CO2 and Antarctic climate remained rather constant over this interval.

E. Roselló [ [Material gráfico]: Valencia : Spanish produce : prime quality : best value.

Un cebolla dentro de un rombo azul oscuro sobre un fondo blanco

E. Roselló [ [Material gráfico]: Valencia : Spanish produce : prime quality : best value.

Un cebolla dentro de un rombo azul claro sobre un fondo azul oscuro

Framework for measuring success of construction projects

The construction industry is dynamic in nature. The concept of project success has remained ambiguously defined in the construction industry. Project success means different things to different people. While some authors consider time, cost and quality as the predominant targets, others suggest that success is something more complex. The aim of this report is to develop a framework for measuring success of construction projects. A range of Key Performance Indicators (KPIs), measured both objectively and subjectively is developed. The identification of KPIs helps set a benchmark for measuring the performance of a construction project and provides significant insights into developing a general and comprehensive base for further research.

Review of strengthening techniques using externally bonded fiber reinforced polymer composites

This report reviews the selection, design, and installation of fiber reinforced polymer systems for strengthening of reinforced concrete or pre-stressed concrete bridges and other structures. The report is prepared based on the knowledge gained from worldwide experimental research, analytical work, and field applications of FRP systems used to strengthen concrete structures. Information on material properties, design and installation methods of FRP systems used as external reinforcement are presented. This information can be used to select an FRP system for increasing the strength and stiffness of reinforced concrete beams or the ductility of columns, and other applications. Based on the available research, the design considerations and concepts are covered in this report. In the next stage of the project, these will be further developed as design tools. It is important to note, however, that the design concepts proposed in literature have not in many cases been thoroughly developed and proven. Therefore, a considerable amount of research work will be required prior to development of the design concepts into practical design tools, which is a major goal of the current research project. The durability and long-term performance of FRP materials has been the subject of much research, which still are on going. Long-term field data are not currently available, and it is still difficult to accurately predict the life of FRP strengthening systems. The report briefly addresses environmental degradation and long-term durability issues as well. A general overview of using FRP bars as primary reinforcement of concrete structures is presented in Chapter 8. In Chapter 9, a summary of strengthening techniques identified as part of this initial stage of the research project and the issues which require careful consideration prior to practical implementation of these identified techniques are presented.

Whole of life cycle cost analysis in bridge rehabilitation

The report presents a methodology for whole of life cycle cost analysis of alternative treatment options for bridge structures, which require rehabilitation. The methodology has been developed after a review of current methods and establishing that a life cycle analysis based on a probabilistic risk approach has many advantages including the essential ability to consider variability of input parameters. The input parameters for the analysis are identified as initial cost, maintenance, monitoring and repair cost, user cost and failure cost. The methodology utilizes the advanced simulation technique of Monte Carlo simulation to combine a number of probability distributions to establish the distribution of whole of life cycle cost. In performing the simulation, the need for a powerful software package, which would work with spreadsheet program, has been identified. After exploring several products on the market, @RISK software has been selected for the simulation. In conclusion, the report presents a typical decision making scenario considering two alternative treatment options.

User friendly guide for rehabilitation or strengthening of bridge structures using fiber reinforced polymer composites

A worldwide interest is being generated in the use of fibre reinforced polymer composites (FRP) in rehabilitation of reinforced concrete structures. As a replacement for the traditional steel plates or external post-tensioning in strengthening applications, various types of FRP plates, with their high strength to weight ratio and good resistance to corrosion, represent a class of ideal material in external retrofitting. Within the last ten years, many design guidelines have been published to provide guidance for the selection, design and installation of FRP systems for external strengthening of concrete structures. Use of these guidelines requires understanding of a number of issues pertaining to different properties and structural failure modes specific to these materials. A research initiative funded by the CRC for Construction Innovation was undertaken (primarily at RMIT) to develop a decision support tool and a user friendly guide for use of fibre reinforced polymer composites in rehabilitation of concrete structures. The user guidelines presented in this report were developed after industry consultation and a comprehensive review of the state of the art technology. The scope of the guide was mainly developed based on outcomes of two workshops with Queensland Department of Main Roads (QDMR). The document covers material properties, recommended construction requirements, design philosophy, flexural, shear and torsional strengthening of beams and strengthening of columns. In developing this document, the guidelines published on FIB Bulletin 14 (2002), Task group 9.3, International Federation of Structural Concrete (FIB) and American Concrete Institute Committee 440 report (2002) were consulted in conjunction with provisions of the Austroads Bridge design code (1992) and Australian Concrete Structures code AS3600 (2002). In conclusion, the user guide presents design examples covering typical strengthening scenarios.

Decision support tools for concrete infrastructure rehabilitation (using FRP composites)

This report presents a summary of the research conducted by the research team of the CRC project 2002-005-C, “Decision support tools for concrete infrastructure rehabilitation”. The project scope, objectives, significance and innovation and the research methodology is outlined in the introduction, which is followed by five chapters covering different aspects of the research completed. Major findings of a review of literature conducted covering both use of fibre reinforced polymer composites in rehabilitation of concrete bridge structures and decision support frameworks in civil infrastructure asset management is presented in chapter two. Case study of development of a strengthening scheme for the “Tenthill Creek bridge” is covered in the third chapter, which summarises the capacity assessment, traditional strengthening solution and the innovative solution using FRP composites. The fourth chapter presents the methodology for development of a user guide covering selection of materials, design and application of FRP in strengthening of concrete structures, which were demonstrated using design examples. Fifth chapter presents the methodology developed for evaluating whole of life cycle costing of treatment options for concrete bridge structures. The decision support software tool developed to compare different treatment options based on reliability based whole of life cycle costing will be briefly described in this chapter as well. The report concludes with a summary of findings and recommendations for future research.