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.

The acquisition and exercise of nephrology nursing expertise : A grounded theory study

Aims and objectives. This purpose of this study was to describe the process of expertise acquisition in nephrology nursing practice. Background. It has been recognized for a number of decades that experts, compared with other practitioners in a number of professions and occupations, are the most knowledgeable and effective, in terms of both the quantity and quality of output. Studies relating to expertise have been undertaken in a range of nursing contexts and specialties; to date, however, none have been undertaken which focus on nephrology nursing. Design. This study, using grounded theory methodology, took place in one renal unit in New South Wales, Australia and involved six non-expert and 11 expert nurses. Methods. Simultaneous data collection and analysis took place using participant observation, semi-structured interviews and review of nursing documentation. Findings. The study revealed a three-stage skills-acquisitive process that was identified as non-expert, experienced non-expert and expert stages. Each stage was typified by four characteristics, which altered during the acquisitive process; these were knowledge, experience, skill and focus. Conclusion. This was the first study to explore nephrology nursing expertise and uncovered new aspects of expertise not documented in the literature and it also made explicit other areas, which had only been previously implied. Relevance to clinical practice. Of significance to nursing, the exercise of expertise is a function of the recognition of expertise by others and it includes the blurring of the normal boundaries of professional practice. © 2006 Blackwell Publishing Ltd.

An analysis of the nature and effectiveness of corporate governance in smaller listed Australian companies

The objective of this thesis is to investigate the corporate governance attributes of smaller listed Australian firms. This study is motivated by evidence that these firms are associated with more regulatory concerns, the introduction of ASX Corporate Governance Recommendations in 2004, and a paucity of research to guide regulators and stakeholders of smaller firms. While there is an extensive body of literature examining the effectiveness of corporate governance, the literature principally focuses on larger companies, resulting in a deficiency in the understanding of the nature and effectiveness of corporate governance in smaller firms. Based on a review of agency theory literature, a theoretical model is developed that posits that agency costs are mitigated by internal governance mechanisms and transparency. The model includes external governance factors but in many smaller firms these factors are potentially absent, increasing the reliance on the internal governance mechanisms of the firm. Based on the model, the observed greater regulatory intervention in smaller companies may be due to sub-optimal internal governance practices. Accordingly, this study addresses four broad research questions (RQs). First, what is the extent and nature of the ASX Recommendations that have been adopted by smaller firms (RQ1)? Second, what firm characteristics explain differences in the recommendations adopted by smaller listed firms (RQ2), and third, what firm characteristics explain changes in the governance of smaller firms over time (RQ3)? Fourth, how effective are the corporate governance attributes of smaller firms (RQ4)? Six hypotheses are developed to address the RQs. The first two hypotheses explore the extent and nature of corporate governance, while the remaining hypotheses evaluate its effectiveness. A time-series, cross-sectional approach is used to evaluate the effectiveness of governance. Three models, based on individual governance attributes, an index of six items derived from the literature, and an index based on the full list of ASX Recommendations, are developed and tested using a sample of 298 smaller firms with annual observations over a five-year period (2002-2006) before and after the introduction of the ASX Recommendations in 2004. With respect to (RQ1) the results reveal that the overall adoption of the recommendations increased from 66 per cent in 2004 to 74 per cent in 2006. Interestingly, the adoption rate for recommendations regarding the structure of the board and formation of committees is significantly lower than the rates for other categories of recommendations. With respect to (RQ2) the results reveal that variations in rates of adoption are explained by key firm differences including, firm size, profitability, board size, audit quality, and ownership dispersion, while the results for (RQ3) were inconclusive. With respect to (RQ4), the results provide support for the association between better governance and superior accounting-based performance. In particular, the results highlight the importance of the independence of both the board and audit committee chairs, and of greater accounting-based expertise on the audit committee. In contrast, while there is little evidence that a majority independent board is associated with superior outcomes, there is evidence linking board independence with adverse audit opinion outcomes. These results suggest that board and chair independence are substitutes; in the presence of an independent chair a majority independent board may be an unnecessary and costly investment for smaller firms. The findings make several important contributions. First, the findings contribute to the literature by providing evidence on the extent, nature and effectiveness of governance in smaller firms. The findings also contribute to the policy debate regarding future development of Australia’s corporate governance code. The findings regarding board and chair independence, and audit committee characteristics, suggest that policy-makers could consider providing additional guidance for smaller companies. In general, the findings offer support for the “if not, why not?” approach of the ASX, rather than a prescriptive rules-based approach.

On the computation and interpretation of auto- and cross-trispectra

This paper discusses the principal domains of auto- and cross-trispectra. It is shown that the cumulant and moment based trispectra are identical except on certain planes in trifrequency space. If these planes are avoided, their principal domains can be derived by considering the regions of symmetry of the fourth order spectral moment. The fourth order averaged periodogram will then serve as an estimate for both cumulant and moment trispectra. Statistics of estimates of normalised trispectra or tricoherence are also discussed.

The design and development of an undergraduate signal processing laboratory

The School of Electrical and Electronic Systems Engineering of Queensland University of Technology (like many other universities around the world) has recognised the importance of complementing the teaching of signal processing with computer based experiments. A laboratory has been developed to provide a "hands-on" approach to the teaching of signal processing techniques. The motivation for the development of this laboratory was the cliche "What I hear I remember but what I do I understand." The laboratory has been named as the "Signal Computing and Real-time DSP Laboratory" and provides practical training to approximately 150 final year undergraduate students each year. The paper describes the novel features of the laboratory, techniques used in the laboratory based teaching, interesting aspects of the experiments that have been developed and student evaluation of the teaching techniques

Analyzing real-time video microscopy : the dynamics and geometry of vesicles and tubules in endocytosis

With the advent of live cell imaging microscopy, new types of mathematical analyses and measurements are possible. Many of the real-time movies of cellular processes are visually very compelling, but elementary analysis of changes over time of quantities such as surface area and volume often show that there is more to the data than meets the eye. This unit outlines a geometric modeling methodology and applies it to tubulation of vesicles during endocytosis. Using these principles, it has been possible to build better qualitative and quantitative understandings of the systems observed, as well as to make predictions about quantities such as ligand or solute concentration, vesicle pH, and membrane trafficked. The purpose is to outline a methodology for analyzing real-time movies that has led to a greater appreciation of the changes that are occurring during the time frame of the real-time video microscopy and how additional quantitative measurements allow for further hypotheses to be generated and tested.

The risks and returns of new public management : political business

Purpose – This article aims to consider success in terms of the financial returns and risks of new public management (NPM) in state-owned enterprises (SOEs). Design/methodology/approach – Financial returns of New Zealand SOEs were examined through a review of their annual reports over a five-year period. Dimensions of risk were examined through interviews conducted in two phases over a two-year period with senior executives from 12 of the (then) 17 SOEs operating in New Zealand. Findings – Findings indicate the potential for SOEs to operate as profitable government investments, with clear support for positive financial returns under NPM. However, variations noted within individual SOEs also indicate that profitable and commercial operations may not be possible in all cases. An examination of the risks associated with SOEs’ operations reveals a number of dimensions of risk, encompassing financial, political (including regulatory), reputational, and public accountability aspects. Practical implications – There is a need for an enhanced awareness on the part of internal and external stakeholders (such as the government and general public) of the risks SOEs face in pursuing higher levels of profitability. Also required, is a more acute understanding on the part of internal and external stakeholders (e.g. government and the public) of the need for SOEs to manage the range of risks identified, given the potentially delicate balance between risk and return. Originality/value – While previous studies have considered the financial returns of SOEs, or the risks faced by the public sector in terms of accountability, few have addressed the two issues collectively in a single context.

The nature and prevalence of inter-organizational project ventures : evidence from a large scale field study in the Netherlands 2006-2009

There has recently been noted a rapid increase in research attention to projects that involve outside partners. Our knowledge of such inter-organizational projects, however, is limited. This paper reports large scale data from a repeated trend survey amongst 2000 SMEs in 2006 and 2009 that focused on inter-organizational project ventures. Our major findings indicate that the overall prevalence of inter-organizational project ventures remained significant and stable over time, even despite the economic crisis. Moreover, we find that these ventures predominantly solve repetitive rather than unique tasks and are embedded in prior relations between the partnering organizations. These findings provide empirical support for the recent claims that project management should pay more attention to inter-organizational forms of project organization, and suggest that the archetypical view of projects as being unique in every respect should be reconsidered. Both have important implications for project management, especially in the area of project-based learning.

Under the carpet : the politics and trauma of patient harm

Few studies have investigated iatrogenic outcomes from the viewpoint of patient experience. To address this anomaly, the broad aim of this research is to explore the lived experience of patient harm. Patient harm is defined as major harm to the patient, either psychosocial or physical in nature, resulting from any aspect of health care. Utilising the method of Consensual Qualitative Research (CQR), in-depth interviews are conducted with twenty-four volunteer research participants who self-report having been severely harmed by an invasive medical procedure. A standardised measure of emotional distress, the Impact of Event Scale (IES), is additionally employed for purposes of triangulation. Thematic analysis of transcript data indicate numerous findings including: (i) difficulties regarding patients‘ prior understanding of risks involved with their medical procedure; (ii) the problematic response of the health system post-procedure; (iii) multiple adverse effects upon life functioning; (iv) limited recourse options for patients; and (v) the approach desired in terms of how patient harm should be systemically handled. In addition, IES results indicate a clinically significant level of distress in the sample as a whole. To discuss findings, a cross-disciplinary approach is adopted that draws upon sociology, medicine, medical anthropology, psychology, philosophy, history, ethics, law, and political theory. Furthermore, an overall explanatory framework is proposed in terms of the master themes of power and trauma. In terms of the theme of power, a postmodernist analysis explores the politics of patient harm, particularly the dynamics surrounding the politics of knowledge (e.g., notions of subjective versus objective knowledge, informed consent, and open disclosure). This analysis suggests that patient care is not the prime function of the health system, which appears more focussed upon serving the interests of those in the upper levels of its hierarchy. In terms of the master theme of trauma, current understandings of posttraumatic stress disorder (PTSD) are critiqued, and based on data from this research as well as the international literature, a new model of trauma is proposed. This model is based upon the principle of homeostasis observed in biology, whereby within every cell or organism a state of equilibrium is sought and maintained. The proposed model identifies several bio-psychosocial markers of trauma across its three main phases. These trauma markers include: (i) a profound sense of loss; (ii) a lack of perceived control; (iii) passive trauma processing responses; (iv) an identity crisis; (v) a quest to fully understand the trauma event; (vi) a need for social validation of the traumatic experience; and (vii) posttraumatic adaption with the possibility of positive change. To further explore the master themes of power and trauma, a natural group interview is carried out at a meeting of a patient support group for arachnoiditis. Observations at this meeting and members‘ stories in general support the homeostatic model of trauma, particularly the quest to find answers in the face of distressing experience, as well as the need for social recognition of that experience. In addition, the sociopolitical response to arachnoiditis highlights how public domains of knowledge are largely constructed and controlled by vested interests. Implications of the data overall are discussed in terms of a cultural revolution being needed in health care to position core values around a prime focus upon patients as human beings.

The prevalence and correlates of postcoital dysphoria in women

This study examined the lifetime and 4-week prevalence of postcoital dysphoria (PCD) and its relationship with psychological distress and reports of past sexual abuse. Amongst 222 female university students, 32.9% reported having ever experienced PCD while 10% reported experiencing PCD in the previous four weeks. Multiple regression analyses revealed support for the hypothesis that lifetime and 4-week prevalence of PCD would be positively correlated with psychological distress. Lifetime prevalence of PCD, but not 4-week prevalence, correlated with reports of childhood sexual abuse. These factors explained only minimal variance in PCD prevalence, prompting further research into this significantly under-investigated sexual difficulty.

Relationship to the bereaved and perceptions of severity of trauma differentiate elements of posttraumatic growth

The field of bereavement and grief has been expanding to recognise the potential for growth following the loss of a loved one. This study sought to examine the effect of the relationship to the deceased and perceptions of the severity of the trauma on dimensions of posttraumatic growth. Participants were 146 people who had lost either: a) a first degree relative, b) a second degree relative, or c) a non-related friend. Results demonstrated that both severity and the relationship to the bereaved differentiate posttraumatic growth outcomes. For example, participants who had lost a first degree relative reported higher levels of growth than those who had lost a second degree relative. Consistent with previous research in general trauma populations, the more severe the loss was rated, the higher the levels of growth. Implications for practice are discussed.