The value of risk reporting:a critical analysis of value-at-risk disclosures in the banking sector

This paper critically reviews the evolution of financial reporting in the banking sector with specific reference to the reporting of market risk and the growing use of the measure known as Value at Risk (VaR). The paper investigates the process by which VaR became 'institutionalised'. The analysis highlights a number of inherent limitations of VaR as a risk measure and questions the usefulness of published VaR disclosures, concluding that risk 'disclosure' might be more apparent than real. It also looks at some of the implications for risk reporting practice and the accounting profession more generally.

Sensitivity Analysis of the Risk of Forecasting for Autoregressive Time Series with Missing Values

2000 Mathematics Subject Classification: 62M20, 62M10, 62-07.

Analysis of operational risk of banks – catastrophe modelling

Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of “first time to hit” requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future.

The development and analysis of a field project model curriculum and its impact on achievement and attitude toward science and the environment with at-risk eleventh and twelfth grade students

This study was an evaluation of a Field Project Model Curriculum and its impact on achievement, attitude toward science, attitude toward the environment, self-concept, and academic self-concept with at-risk eleventh and twelfth grade students. One hundred eight students were pretested and posttested on the Piers-Harris Children's Self-Concept Scale, PHCSC (1985); the Self-Concept as a Learner Scale, SCAL (1978); the Marine Science Test, MST (1987); the Science Attitude Inventory, SAI (1970); and the Environmental Attitude Scale, EAS (1972). Using a stratified random design, three groups of students were randomly assigned according to sex and stanine level, to three treatment groups. Group one received the field project method, group two received the field study method, and group three received the field trip method. All three groups followed the marine biology course content as specified by Florida Student Performance Objectives and Frameworks. The intervention occurred for ten months with each group participating in outside-of-classroom activities on a trimonthly basis. Analysis of covariance procedures were used to determine treatment effects. F-ratios, p-levels and t-tests at p $<$.0062 (.05/8) indicated that a significant difference existed among the three treatment groups. Findings indicated that groups one and two were significantly different from group three with group one displaying significantly higher results than group two. There were no significant differences between males and females in performance on the five dependent variables. The tenets underlying environmental education are congruent with the recommendations toward the reform of science education. These include a value analysis approach, inquiry methods, and critical thinking strategies that are applied to environmental issues. ^

A comparative analysis of school satisfaction and dropout risk of middle school students attending programs for students with emotional handicaps, severe emotional disturbance and general education students attending center schools and satellite schools

This study evaluated school satisfaction as an indicator of dropout risk of students with Emotional Handicaps (EH) and students with Severe Emotional Disturbance (SED). The students attended two different kinds of middle schools in a largely urban school district in South Florida. One hundred eight students in grade 8 (ages 13-16) participated in this study. Participants were administered the National Dropout Prevention Assessment (NDPA). Forty participants with EH and SED attended a special center school. Thirty-one participants with EH and SED attended satellite programs in a regular middle school. Thirty-seven general education participants attended the same regular middle school. Overall school satisfaction scores were generated, as well as three primary factors (school, environment and personal) and 16 subscales (school atmosphere, future income, difficulty level of classwork, teacher relationships, peer relationships, intrinsic interest in classwork, school hours, classwork stress, general attitude towards school, family influence, perceived opportunity for career, future goals, travel distance, leisure time, self-appraisal of performance, and self-esteem).^ Comparison of students with EH and SED revealed that both groups of students were rated at "low risk" of becoming dropouts on the Environmental factor and the Difficulty of Schoolwork subscale. Students with EH were rated at "caution risk" risk on the Travel Distance subscale. Students with SED were rated at "high risk" on this subscale.^ There were no significant differences in school satisfaction and dropout risk between different program delivery models. There were also no significant differences for category of students (EH, SED) by school type (center school, satellite program). All students were rated at "low risk" of dropping out of school.^ There were significant differences between general education students and students with EH and SED attending satellite programs. Students with EH and SED were rated at "caution risk" for dropping out on the Travel Distance and the Leisure Time subscales. Discussion of results, implications for practice and recommendations for further research are included. ^

Maltreatment, psychiatric symptoms and human immunodeficiency virus/sexual transmitted infection risk behavior among youth with alcohol and other drug use problems: A person-centered analysis

Multi-problem youth undergoing treatment for substance use problems are at high behavioral risk for exposure to sexually transmitted infections (STIs), including human immunodeficiency virus (HIV). Specific risk factors include childhood adversities such as maltreatment experiences and subsequent forms of psychopathology. The current study used a person-centered analytical approach to examine how childhood maltreatment experiences were related to patterns of psychiatric symptoms and HIV/STI risk behaviors in a sample of adolescents (N = 408) receiving treatment services. Data were collected in face-to-face interviews at two community-based facilities. Descriptive statistics and Latent Profile Analysis (LPA) were used to (a) classify adolescents into groups based on past year psychiatric symptoms, and (b) examine relations between class membership and forms of childhood maltreatment experiences, as well as past year sexual risk behavior (SRB). ^ LPA results indicated significant heterogeneity in psychiatric symptoms among the participants. The three classes generated via the optimal LPA solution included: (a) a low psychiatric symptoms class, (b) a high alcohol symptoms class and (c) a high internalizing symptoms class. Class membership was associated significantly with adolescents’ self-reported scores for childhood sexual abuse and emotional neglect. ANOVAs documented significant differences in mean scores for multiple indices of SRB indices by class membership, demonstrating differential risk for HIV/STI exposure across classes. The two classes characterized by elevated psychiatric symptom profiles and more severe maltreatment histories were at increased behavioral risk for HIV/STI exposure, compared to the low psychiatric symptoms class. The high internalizing symptoms class reported the highest scores for most of the indices of SRB assessed. The heterogeneity of psychiatric symptom patterns documented in the current study has important implications for HIV/STI prevention programs implemented with multi-problem youth. The results highlight complex relations between childhood maltreatment experiences, psychopathology and multiple forms of health risk behavior among adolescents. The results underscore the importance of further integration between substance abuse treatment and HIV/STI risk reduction efforts to improve morbidity and mortality among vulnerable youth. ^

A meta -analysis of empirical research studies on resilience among students at -risk for school failure

Being at-risk is a growing problem in the U.S. because of disturbing societal trends such as unemployment, divorce, substance abuse, child abuse and neglect, and the new threat of terrorist violence. Resilience characterizes individuals who rebound from or adapt to adversities such as these, and academic resilience distinguishes at-risk students who succeed in school despite hardships. ^ The purpose of this research was to perform a meta-analysis to examine the power of resilience and to suggest ways educators might improve academic resilience, which was operationalized by satisfactory test scores and grades. In order to find all studies that were relevant to academic resilience in at-risk kindergarten through 12th-grade students, extensive electronic and hardcopy searches were conducted, and these resulted in a database of 421 articles. Two hundred eighty seven of these were rejected quickly, because they were not empirical research. Upon further examination, another 106 were rejected for not meeting study protocol criteria. Ultimately, 28 studies were coded for study level descriptors and effect size variables. ^ Protective factors for resilience were found to originate in physical, psychological, and behavioral domains on proximal/intraindividual, transitional/intrafamilial, or distal/extrafamilial levels. Effect sizes (ESs) for these were weighted and the means for each level or category were interpreted by commonly accepted benchmarks. Mean effect sizes for proximal (M = .27) and for transitional (M = .15) were small but significant. The mean effect size for the distal level was insignificant. This supported the hypotheses that the proximal level was the source of most protective factors for academic resilience in at-risk students followed by the transitional level. The distal effect size warranted further research particularly in light of the small number of studies (n = 11) contributing effect sizes to that category. A homogeneity test indicated a search for moderators, i.e., study variables affecting outcomes, was justified. “Category” was the largest moderator. Graphs of weighted mean effect sizes in the physical, psychological, and behavioral domains were plotted for each level to better illustrate the findings of the meta-analysis. Suggestions were made for combining resilience development with aspects of positive psychology to promote resilience in the schools. ^

Maltreatment, Psychiatric Symptoms and Human Immunodeficiency Virus/Sexual Transmitted Infection Risk Behavior Among Youth with Alcohol and Other Drug Use Problems: A Person-Centered Analysis

Multi-problem youth undergoing treatment for substance use problems are at high behavioral risk for exposure to sexually transmitted infections (STIs), including human immunodeficiency virus (HIV). Specific risk factors include childhood adversities such as maltreatment experiences and subsequent forms of psychopathology. The current study used a person-centered analytical approach to examine how childhood maltreatment experiences were related to patterns of psychiatric symptoms and HIV/STI risk behaviors in a sample of adolescents (N = 408) receiving treatment services. Data were collected in face-to-face interviews at two community-based facilities. Descriptive statistics and Latent Profile Analysis (LPA) were used to (a) classify adolescents into groups based on past year psychiatric symptoms, and (b) examine relations between class membership and forms of childhood maltreatment experiences, as well as past year sexual risk behavior (SRB). LPA results indicated significant heterogeneity in psychiatric symptoms among the participants. The three classes generated via the optimal LPA solution included: (a) a low psychiatric symptoms class, (b) a high alcohol symptoms class and (c) a high internalizing symptoms class. Class membership was associated significantly with adolescents’ self-reported scores for childhood sexual abuse and emotional neglect. ANOVAs documented significant differences in mean scores for multiple indices of SRB indices by class membership, demonstrating differential risk for HIV/STI exposure across classes. The two classes characterized by elevated psychiatric symptom profiles and more severe maltreatment histories were at increased behavioral risk for HIV/STI exposure, compared to the low psychiatric symptoms class. The high internalizing symptoms class reported the highest scores for most of the indices of SRB assessed. The heterogeneity of psychiatric symptom patterns documented in the current study has important implications for HIV/STI prevention programs implemented with multi-problem youth. The results highlight complex relations between childhood maltreatment experiences, psychopathology and multiple forms of health risk behavior among adolescents. The results underscore the importance of further integration between substance abuse treatment and HIV/STI risk reduction efforts to improve morbidity and mortality among vulnerable youth.

Household Preferences for Financing Hurricane Risk Mitigation: A Survey Based Empirical Analysis

After a series of major storms over the last 20 years, the state of financing for U.S. natural disaster insurance has undergone substantial disruptions causing many federal and state backed programs against residential property damage to become severally underfunded. In order to regain actuarial soundness, policy makers have proposed a shift to a system that reflects risk-based pricing for property insurance. We examine survey responses from 1394 single-family homeowners in the state of Florida for support of several natural disaster mitigation policy reforms. Utilizing a partial proportional odds model we test for effects of location, risk perception, socio-economic and housing characteristics on support for policy reforms. Our findings suggest residents across the state, not just risk-prone homeowners, support the current subsidized model. We also examine several other policy questions from the survey to verify our initial results. Finally, the implications of our findings are discussed to provide inputs to policymakers.

Low frequency of cigarette smoking and the risk of head and neck cancer in the INHANCE consortium pooled analysis

Funding • The pooled data coordination team (PBoffetta, MH, YCAL) were supported by National Cancer Institute grant R03CA113157 and by National Institute of Dental and Craniofacial Research grant R03DE016611 • The Milan study (CLV) was supported by the Italian Association for Research on Cancer (Grant no. 10068). • The Aviano study (LDM) was supported by a grant from the Italian Association for Research on Cancer (AIRC), Italian League Against Cancer and Italian Ministry of Research • The Italy Multicenter study (DS) was supported by the Italian Association for Research on Cancer (AIRC), Italian League Against Cancer and Italian Ministry of Research. • The Study from Switzerland (FL) was supported by the Swiss League against Cancer and the Swiss Research against Cancer/Oncosuisse [KFS-700, OCS-1633]. • The central Europe study (PBoffetta, PBrenan, EF, JL, DM, PR, OS, NS-D) was supported by the World Cancer Research Fund and the European Commission INCOCOPERNICUS Program [Contract No. IC15- CT98-0332] • The New York multicentre study (JM) was supported by a grant from National Institute of Health [P01CA068384 K07CA104231]. • The study from the Fred Hutchison Cancer Research Center from Seattle (CC, SMS) was supported by a National Institute of Health grant [R01CA048996, R01DE012609]. • The Iowa study (ES) was supported by National Instituteof Health [NIDCR R01DE011979, NIDCR R01DE013110, FIRCA TW001500] and Veterans Affairs Merit Review Funds. • The North Carolina studies (AFO) were supported by National Institute of Health [R01CA061188], and in part by a grant from the National Institute of Environmental Health Sciences [P30ES010126]. • The Tampa study (PLazarus, JM) was supported by National Institute of Health grants [P01CA068384, K07CA104231, R01DE013158] • The Los Angeles study (Z-F Z, HM) was supported by grants from National Institute of Health [P50CA090388, R01DA011386, R03CA077954, T32CA009142, U01CA096134, R21ES011667] and the Alper Research Program for Environmental Genomics of the UCLA Jonsson Comprehensive Cancer Center. • The Houston study (EMS, GL) was supported by a grant from National Institute of Health [R01ES011740, R01CA100264]. • The Puerto Rico study (RBH, MPP) was supported by a grant from National Institutes of Health (NCI) US and NIDCR intramural programs. • The Latin America study (PBoffetta, PBrenan, MV, LF, MPC, AM, AWD, SK, VW-F) was supported by Fondo para la Investigacion Cientifica y Tecnologica (FONCYT) Argentina, IMIM (Barcelona), Fundaco de Amparo a‘ Pesquisa no Estado de Sao Paulo (FAPESP) [No 01/01768-2], and European Commission [IC18-CT97-0222] • The IARC multicentre study (SF, RH, XC) was supported by Fondo de Investigaciones Sanitarias (FIS) of the Spanish Government [FIS 97/ 0024, FIS 97/0662, BAE 01/5013], International Union Against Cancer (UICC), and Yamagiwa-Yoshida Memorial International Cancer Study Grant. • The Boston study (KKelsey, MMcC) was supported by a grant from National Institute of Health [R01CA078609, R01CA100679]. • The Rome study (SB, GC) was supported by AIRC (Italian Agency for Research on Cancer). • The US multicentre study (BW) was supported by The Intramural Program of the National Cancer Institute, National Institute of Health, United States. • The Sao Paolo study (V W-F) was supported by Fundacao de Ampara a Pesquisa no Estado de Sao Paulo (FAPESP No 10/51168-0) • The MSKCC study (SS, G-P Y) was supported by a grant from National Institute of Health [R01CA051845]. • The Seattle-Leo stud (FV) was supported by a grant from National Institute of Health [R01CA030022] • The western Europe Study (PBoffetta, IH, WA, PLagiou, DS, LS, FM, CH, KKjaerheim, DC, TMc, PT, AA, AZ) was supported by European Community (5th Frame work Programme) grant no QLK1-CT-2001- 00182. • The Germany Heidelberg study (HR) was supported by the grant No. 01GB9702/3 from the German Ministry of Education and Research.

Early growth characteristics and the risk of reduced lung function and asthma : a meta-analysis of 25,000 children

Peer reviewed

Early growth characteristics and the risk of reduced lung function and asthma : a meta-analysis of 25,000 children

Peer reviewed

Risk of Recurrent Stillbirth : Systematic Review and Meta-Analysis

Peer reviewed

Prospective risk of stillbirth and neonatal complications in twin pregnancies : systematic review and meta-analysis

Peer reviewed

Risk of Recurrent Stillbirth : Systematic Review and Meta-Analysis

Peer reviewed