Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Advance Directives Refusing Treatment as an Expression of Autonomy: Do the Courts Practise What They Preach?

The principle of autonomy is at the heart of the right of a competent individual to make an advance directive that refuses life-sustaining medical treatment, and to have that directive complied with by medical professionals. That right is protected by both the common law and, to an extent, by legislation that has been enacted in the United Kingdom and many jurisdictions in Australia. The courts have a critical role in protecting that autonomy, both in those jurisdictions in which the common law continues to operate, and in those jurisdictions which are now governed by statute, and in which judicial determinations will need to be made about legislative provisions. The problem explored in this article is that while the judiciary espouses the importance of autonomy in its judgments, that rhetoric is frequently not reflected in the decisions that are reached. In the United Kingdom and Australia, there is a relatively small number of decisions that consider the validity and applicability of advance directives that refuse life-sustaining medical treatment. This article critically evaluates all of the publicly available decisions and concludes that there is cause for concern. In some cases, there has been an unprincipled evolution of common law principles, while in others there has been inappropriate adjudication through operational irregularities or failure to apply correct legal principles. Further, some decisions appear to be based on a strained interpretation of the facts of the case. The apparent reluctance of some members of the judiciary to give effect to advance directives that refuse treatment is also evidenced by the language used in the judgments. While the focus of this article is on common law decisions, reference will also be made to legislation and the extent to which it has addressed some of the problems identified in this article.

Planning for survival

When the global financial crisis has its own acronym (the “GFC”), you know its going to be around for a while. This article looks at some of the risk/opportunity assessments you should take into consideration if you are planning for your property development business to still be around when the GFC is a thing of the past.

The public sector’s perspective on procuring public works projects : comparing the views of practitioners in Hong Kong and Australia

Hong Kong has been one of the early jurisdictions to adopt Public Private Partnership (PPP) model for delivering large public infrastructure projects. The development of this procurement approach in Hong Kong has followed an intricate path. As such, it is believed that there are a number of areas which are interesting to unveil. As part of a comprehensive research study looking at implementing PPPs, interviews with experienced local industrial practitioners from the public sector were conducted to realize their perspective on the topic of procuring public works projects. Amongst these interviews, fourteen were launched government officials and advisers. The interview findings show that the majority of the Hong Kong and Australian interviewees had previously conducted some kind of research in the field of PPP. Both groups of interviewees agreed that “PPPs gain private sector’s added efficiency/expertise/management skills” when compared to projects procured traditionally. Also, both groups of interviewees felt that projects best suited to use PPP are those that have an “Economic business case”. The interviewees believed that “Contractor’s performance” could be used as key performance indicators for PPP projects. A large number of critical success factors were identified by the interviewees for PPP projects; two of these were similar for both groups of interviewees. These included “Project objectives well defined” and “Partnership spirit/commitment/trust”. Finally it was found that in-house guidance materials were more common in the organizations of the Australian interviewees compared to the Hong Kong ones. This paper studies the views of the public sector towards the topic of PPPs in Hong Kong and Australia, which helps to answer some of the queries that both academics and the private sector in these jurisdictions are keen to know. As a result the private sector can be more prepared when negotiating with the public sector and realise their needs better, academics on the other hand are provided a wider perspective of this topic benefiting the research industry at large.

In Bed with Autobiography: Unravelling the Fabric of Gender and Genre in Women’s Bed(room) Confessions

This thesis consists of a confessional narrative, What My Mother Doesn’t Know, and an accompanying exegesis, And Why I Should (Maybe) Tell Her. The creative piece employs the confessional mode as a subversive device in three separate narratives, each of which situates the bed as a site of resistance. The exegesis investigates how this self-disclosure in a domestic space flouts the governing rules of self-representation, specifically: telling the truth, respecting privacy and displaying normalcy. The female confession, I argue, creates an alternative space in women’s autobiography where notions of truth-telling can be undermined, the political dimensions of personal experience can be uncovered and the discourse of normality can be negotiated. In particular, women’s confessions told in, on or about the bed, dismantle the genre’s illusion of self and confirm the representative aspects of women’s experience. Framed within these parameters of power and powerlessness, the exegesis includes textual analyses of Charlotte Perkins Gilman’s The Yellow Wallpaper (1892), Tracey Emin’s My Bed (1999) and Lauren Slater’s Lying (2000), each of which exposes in a bedroom space, the author’s most obscure, intimate and traumatic experiences. Situated firmly within and against the genre’s traditional masculine domain, the exegesis also includes mediations on the creative work that validate the bed as my fabric for confession.

Rethinking regional green space networks in China

Ecological networks are often represented as utopian webs of green meandering through cities, across states, through regions and even across a country (Erickson, 2006, p.28; Fabos, 2004, p.326; Walmsley, 2006). While this may be an inspiring goal for some in developed countries, the reality may be somewhat different in developing countries. China, in its shift to urbanisation and suburbanisation, is also being persuaded to adjust its planning schemes according to these aspirational representations of green spaces (Yu et al, 2006, p.237; Zhang and Wang, 2006, p.455). The failure of other countries to achieve regional goals of natural and cultural heritage protection on the ground in this way (Peterson et al, 2007; Ryan et al, 2006; von Haaren and Reich, 2006) suggests that there may be flaws in the underpinning concepts that are widely circulated in North American and Western European literature (Jongman et al, 2004; Walmsley, 2006). In China, regional open space networks, regional green infrastructure or regional ecological corridors as we know them in the West, are also likely to be problematic, at least in the foreseeable future. Reasons supporting this view can be drawn from lessons learned from project experience in landscape planning and related fields of study in China and overseas. Implementation of valuable regional green space networks is problematic because: • the concept of region as a spatial unit for planning green space networks is ambiguous and undefinable for practical purposes; • regional green space networks traditionally require top down inter-governmental cooperation and coordination which are generally hampered by inequalities of influence between and within government agencies; • no coordinating body with funding powers exists for regional green space development and infrastructure authorities are still in transition from engineering authorities; • like other infrastructure projects, green space is likely to become a competitive rather than a complementary resource for city governments; • stable long-term management, maintenance and uses of green space networks must fit into a ‘family’ social structure rather than a ‘public good’ social structure, particularly as rural and urban property rights are being re-negotiated with city governments; and • green space provision is a performance indicator of urban improvement in cities within the city hierarchy and remains quantitatively-based (land area, tree number and per capita share) rather than qualitatively-based with local people as the focus.

Listen and learn

The communities located adjacent to and around the Airport City are composed of diverse interests and cultures that often have little to do with the airport and its global service functions. Yet, as most airport managers know, these communities can have a significant impact on airport operations and land use. Community engagement is an essential element to airport planning and management that is often underplayed and given only a token effort. In order for Airport Cities to realize their full potential in global and national markets as well as assume an appropriate level of corporate responsibility there needs to be a strong and enduring connections to local and regional communities. Through a series of nationally held workshops throughout Australia and internationally, we have reviewed the complex relationship between airports and their surrounding communities. We argue the following engagement elements improve both communication and relationships with local communities and must be actively nurtured, developed and pursued by airport managers: connectivity, collaboration and citizenry.

Physical inactivity, appetite regulation and obesity

In a consumerist society obsessed with body image and thinness, obesity levels have reached an all-time high. This multi-faceted book written by a range of experts, explores the social, cultural, clinical and psychological factors that lie behind the Obesity Epidemic . It is required reading for the many healthcare professionals dealing with the effects of obesity and for anyone who wants to know more about the causes of weight gain and the best ways of dealing with it. Fat Matters covers a range of issues from sociology through medicine to technology. This is not a book for the highly specialised expert. Rather it is a book that shows the diversity of approaches to the phenomenon of obesity, tailored to the reader who wants to be up-to-date and well-informed on a subject that is possibly as frequently discussed and as misunderstood as the weather.

Educational Development in Australasia : 2010 Benchmarking Survey

In 2010, the third bi‐annual ADAPE Australasian benchmarking study was conducted to track educational development in Australia and New Zealand. Invitations to participate were sent to ADAPE’s membership of 820. Non‐members were also welcome to participate. In total, 92% of the 250 survey respondents were members of ADAPE. The 2010 Benchmarking Survey supports and extends results from 2005 and 2008. The 2010 survey was developed by taking into account participant feedback from 2008. With a view to provide the key information that participants want to know, the 2010 survey included more questions about salaries and other employment conditions; marketing and communications, especially new electronic technologies; and major gifts.

Cherbourg time : young black and deadly art 2003-2007

Art is most often at the margins of community life, seen as a distraction or entertainment only; an individual’s whim. It is generally seen as without a useful role to play in that community. This is a perception of grown-ups; children seem readily to accept an engagement with art making. Our research has shown that when an individual is drawn into a crafted art project where they have an actual involvement with the direction and production of the art work, then they become deeply engaged on multiple levels. This is true of all age groups. Artists skilled in community collaboration are able to produce art of value that transcends the usual judgements of worth. It gives people a licence to unfetter their imagination and then cooperatively be drawn back to a reachable visual solution. If you engage with children in a community, you engage the extended family at some point. The primary methodology was to produce a series of educationally valid projects at the Cherbourg State School that had a resonance into that community, then revisit and refine them where necessary and develop a new series that extended all of the positive aspects of them. This was done over a period of five years. The art made during this time is excellent. The children know it, as do their families, staff at the school, members of the local community and the others who have viewed it in exhibitions in far places like Brisbane and Melbourne. This art and the way it has been made has been acknowledged as useful by the children, teachers and the community, in educational and social terms. The school is a better place to be. This has been acknowledged by the children, teachers and the community The art making of the last five years has become an integral part of the way the school now operates and the influence of that has begun to seep into other parts of the community. Art needs to be taken from the margins and put to work at the centre.

Interrogating statistical models of music perception

We have developed a new experimental method for interrogating statistical theories of music perception by implementing these theories as generative music algorithms. We call this method Generation in Context. This method differs from most experimental techniques in music perception in that it incorporates aesthetic judgments. Generation In Context is designed to measure percepts for which the musical context is suspected to play an important role. In particular the method is suitable for the study of perceptual parameters which are temporally dynamic. We outline a use of this approach to investigate David Temperley’s (2007) probabilistic melody model, and provide some provisional insights as to what is revealed about the model. We suggest that Temperley’s model could be improved by dynamically modulating the probability distributions according to the changing musical context.

A dog of a QCAT : collateral effects of mandated English assessment in the Torres Strait

This paper critiques a 2008 Queensland Studies Authority (QSA) assessment initiative known as Queensland Comparable Assessment Tasks, or QCATs. The rhetoric is that these centrally devised assessment tasks will provide information about how well students can apply what they know, understand and can do in different contexts (QSA, 2009). The QCATs are described as ‘authentic, performance-based assessment’ that involves a ‘meaningful problem’, ‘emphasises critical thinking and reasoning’ and ‘provides students with every opportunity to do their best work’ (QSA, 2009). From my viewpoint as a teacher, I detail my professional concerns with implementing the 2008 middle primary English QCAT in one case study Torres Strait Island community. Specifically I ask ‘QCATs: Comparable with what?’ and ‘QCATs: Whose authentic assessment?’. I predict the possible collateral effects of implementing this English assessment in this remote Indigenous community, concluding, rather than being an example of quality assessment, colloquially speaking, it is nothing more than a ‘dog’.

A cybernetic approach to land management issues

This work is a digital version of a dissertation that was first submitted in partial fulfillment of the Degree of Doctor of Philosophy at the Queensland University of Technology (QUT) in March 1994. The work was concerned with problems of self-organisation and organisation ranging from local to global levels of hierarchy. It considers organisations as living entities from local to global things that a living entity – more particularly, an individual, a body corporate or a body politic - must know and do to maintain an existence – that is to remain viable – or to be sustainable. The term ‘land management’ as used in 1994 was later subsumed into a more general concept of ‘natural resource management’ and then merged with ideas about sustainable socioeconomic and sustainable ecological development. The cybernetic approach contains many cognitive elements of human observation, language and learning that combine into production processes. The approach tends to highlight instances where systems (or organisations) can fail because they have very little chance of succeeding. Thus there are logical necessities as well as technical possibilities in designing, constructing, operating and maintaining production systems that function reliably over extended periods. Chapter numbers and titles to the original thesis are as follows: 1. Land management as a problem of coping with complexity 2. Background theory in systems theory and cybernetic principles 3. Operationalisation of cybernetic principles in Beer’s Viable System Model 4. Issues in the design of viable cadastral surveying and mapping organisation 5. An analysis of the tendency for fragmentation in surveying and mapping organisation 6. Perambulating the boundaries of Sydney – a problem of social control under poor standards of literacy 7. Cybernetic principles in the process of legislation 8. Closer settlement policy and viability in agricultural production 9. Rate of return in leasing Crown lands

How nonprofit boards monitor, judge and influence organisational performance

The law and popular opinion expect boards of directors will actively monitor their organisations. Further, public opinion is that boards should have a positive impact on organisational performance. However, the processes of board monitoring and judgment are poorly understood, and board influence on organisational performance needs to be better understood. This thesis responds to the repeated calls to open the ‘black box’ linking board practices and organisational performance by investigating the processual behaviours of boards. The work of four boards1 of micro and small-sized nonprofit organisations were studied for periods of at least one year, using a processual research approach, drawing on observations of board meetings, interviews with directors, and the documents of the boards. The research shows that director turnover, the difficulty recruiting and engaging directors, and the administration of reporting, had strong impacts upon board monitoring, judging and/or influence. In addition, board monitoring of organisational performance was adversely affected by directors’ limited awareness of their legal responsibilities and directors’ limited financial literacy. Directors on average found all sources of information about their organisation’s work useful. Board judgments about the financial aspects of organisational performance were regulated by the routines of financial reporting. However, there were no comparable routines facilitating judgments about non-financial performance, and such judgments tended to be limited to specific aspects of performance and were ad hoc, largely in response to new information or the repackaging of existing information in a new form. The thesis argues that Weick’s theory of sensemaking offers insight into the way boards went about the task of understanding organisational performance. Board influence on organisational performance was demonstrated in the areas of: compliance; instrumental influence through service and through discussion and decision-making; and by symbolic, legitimating and protective means. The degree of instrumental influence achieved by boards depended on director competency, access to networks of influence, and understandings of board roles, and by the agency demonstrated by directors. The thesis concludes that there is a crowding out effect whereby CEO competence and capability limits board influence. The thesis also suggests that there is a second ‘agency problem’, a problem of director volition. The research potentially has profound implications for the work of nonprofit boards. Rather than purporting to establish a general theory of board governance, the thesis embraces calls to build situation-specific mini-theories about board behaviour.

Expert elicitation and its interface with technology : a review with a view to designing Elicitator

Expert knowledge is valuable in many modelling endeavours, particularly where data is not extensive or sufficiently robust. In Bayesian statistics, expert opinion may be formulated as informative priors, to provide an honest reflection of the current state of knowledge, before updating this with new information. Technology is increasingly being exploited to help support the process of eliciting such information. This paper reviews the benefits that have been gained from utilizing technology in this way. These benefits can be structured within a six-step elicitation design framework proposed recently (Low Choy et al., 2009). We assume that the purpose of elicitation is to formulate a Bayesian statistical prior, either to provide a standalone expert-defined model, or for updating new data within a Bayesian analysis. We also assume that the model has been pre-specified before selecting the software. In this case, technology has the most to offer to: targeting what experts know (E2), eliciting and encoding expert opinions (E4), whilst enhancing accuracy (E5), and providing an effective and efficient protocol (E6). Benefits include: -providing an environment with familiar nuances (to make the expert comfortable) where experts can explore their knowledge from various perspectives (E2); -automating tedious or repetitive tasks, thereby minimizing calculation errors, as well as encouraging interaction between elicitors and experts (E5); -cognitive gains by educating users, enabling instant feedback (E2, E4-E5), and providing alternative methods of communicating assessments and feedback information, since experts think and learn differently; and -ensuring a repeatable and transparent protocol is used (E6).