The determinants of fair value measurements of banks: International evidence

The purpose of this study is to investigate the accounting choice decisions of banks to employ Level 3 inputs in estimating the value of their financial assets and liabilities. Using a sample of 146 bank-year observations from 18 countries over 2009-2012, this study finds banks’ incentives to use Level 3 valuation inputs are associated with both firm-level and country-level determinants. At the firm-level, leverage, profitability (in term of net income), Tier 1 capital ratio, size and audit committee independence are associated with the percentage of Level 3 valuation inputs. At the country-level, economy development, legal region, legal enforcement and investor rights are also associated with the Level 3 classification choice. Lastly, ‘secrecy’, the proxy for culture dimensions and values, is found to be positively associated with the use of Level 3 valuation inputs. Altogether, these findings suggest that banks use the discretion available under Level 3 inputs opportunistically to avoid violating debt covenants limits, to increase earnings and manage their capital ratios. Results of this study also highlight that corporate governance quality at the firm-level (e.g. audit committee independence) and institutional features can constrain banks’ opportunistic behaviors in using the discretion available under Level 3 inputs. The results of this study have important implications for standard setters and contribute to the debate on the use of fair value accounting in an international context.

The usefulness of fair values in improving the predictive ability of earnings: Evidence from international banks

One of the objectives of general-purpose financial reporting is to provide information about the financial position, financial performance and cash flows of an entity that is useful to a wide range of users in making economic decisions. The current focus on potentially increased relevance of fair value accounting weighed against issues of reliability has failed to consider the potential impact on the predictive ability of accounting. Based on a sample of international (non-U.S.) banks from 24 countries during 2009-2012, we test the usefulness of fair values in improving the predictive ability of earnings. First, we find that the increasing use of fair values on balance-sheet financial instruments enhances the ability of current earnings to predict future earnings and cash flows. Second, we provide evidence that the fair value hierarchy classification choices affect the ability of earnings to predict future cash flows and future earnings. More precisely, we find that the non-discretionary fair value component (Level 1 assets) improves the predictability of current earnings whereas the discretionary fair value components (Level 2 and Level 3 assets) weaken the predictive power of earnings. Third, we find a consistent and strong association between factors reflecting country-wide institutional structures and predictive power of fair values based on discretionary measurement inputs (Level 2 and Level 3 assets and liabilities). Our study is timely and relevant. The findings have important implications for standard setters and contribute to the debate on the use of fair value accounting.

A fast dual algorithm for kernel logistic regression

This paper gives a new iterative algorithm for kernel logistic regression. It is based on the solution of a dual problem using ideas similar to those of the Sequential Minimal Optimization algorithm for Support Vector Machines. Asymptotic convergence of the algorithm is proved. Computational experiments show that the algorithm is robust and fast. The algorithmic ideas can also be used to give a fast dual algorithm for solving the optimization problem arising in the inner loop of Gaussian Process classifiers.

Aerosol characteristics and radiative impacts over the Arabian Sea during the intermonsoon season: Results from ARMEX field campaign

During the second phase of the Arabian Sea Monsoon Experiment (ARMEX-II), extensive measurements of spectral aerosol optical depth, mass concentration, and mass size distribution of ambient aerosols as well as mass concentration of aerosol black carbon (BC) were made onboard a research vessel during the intermonsoon period (i.e., when the monsoon winds are in transition from northeasterlies to westerlies/ southwesterlies) over the Arabian Sea (AS) adjoining the Indian Peninsula. Simultaneous measurements of spectral aerosol optical depths (AODs) were made at different regions over the adjoining Indian landmass. Mean AODs (at 500-nm wavelength) over the ocean (similar to0.44) were comparable to those over the coastal land (similar to0.47), but were lower than the values observed over the plateau regions of central Indian Peninsula (similar to0.61). The aerosol properties were found to respond distinctly with respect to change in the trajectories, with higher optical depths and flatter AOD spectra associated with trajectories indicating advection from west Asia, and northwest and west-coastal India. On average, BC constituted only similar to2.2% to total aerosol mass compared to the climatological values of similar to6% over the coastal land during the same season. These data are used to characterize the physical properties of aerosols and to assess the resulting short-wave direct aerosol forcing. The mean values were similar to27 W m(-2) at the surface and -12 W m(-2) at the top of the atmosphere (TOA), resulting in a net atmospheric forcing of +15 W m(-2). The forcing also depended on the region from where the advection predominates. The surface and atmospheric forcing were in the range -40 to -57 W m(-2) and +27 to +39 W m(-2), respectively, corresponding to advection from the west Asian and western coastal India where they were as low as -19 and +10 W m(-2), respectively, when the advection was mainly from the Bay of Bengal and from central/peninsular India. In all these cases, the net atmospheric forcing (heating) efficiency was lower than the values reported for northern Indian Ocean during northern winter, which is attributed to the reduced BC mass fraction.

Evidence for an association with type 2 diabetes mellitus at the PPARG locus in a South Indian population

Peroxisome proliferator activated receptor-gamma 2 (PPARG2) is a nuclear hormone receptor of ligand-dependent ranscription factor involved in adipogenesis and a molecular target of the insulin sensitizers thiazolidinediones. We addressed the question of whether the 3 variants (-1279G/A, Pro12Ala, and His478His) in the PPARG2 gene are associated with type 2 diabetes mellitus and its related traits in a South Indian population. The study subjects (1000 type 2 diabetes mellitus and 1000 normal glucose-tolerant subjects) were chosen randomly from the Chennai Urban Rural Epidemiology Study, an ongoing population-based study in southern India. The variants were screened by single-stranded conformational variant, direct sequencing, and restriction fragment length polymorphism. Linkage disequilibrium was estimated from the estimates of haplotypic frequencies. The -1279G/A, Pro12Ala, and His478His variants of the PPARG2 gene were not associated with type 2 diabetes mellitus. However, the 2-loci analyses showed that, in the presence of Pro/Pro genotype of the Pro12Ala variant, the -1279G/A promoter variant showed increased susceptibility to type 2 diabetes mellitus (odds ratio, 2.092; 95% confidence interval, 1.22-3.59; P = .008), whereas in the presence of 12Ala allele, the -1279G/A showed a protective effect against type 2 diabetes mellitus (odds ratio, 0.270; 95% confidence interval, 0.15-0.49; P < .0001). The 3-loci haplotype analysis showed that the A-Ala-T (-1279G/A-Pro12Ala-His478His) haplotype was associated with a reduced risk of type 2 diabetes mellitus (P < .0001). Although our data indicate that the PPARG2 gene variants, independently, have no association with type 2 diabetes mellitus, the 2-loci genotype analysis involving -1279G/A and Pro12Ala variants and the 3-loci haplotype analysis have shown a significant association with type 2 diabetes mellitus in this South Indian population. (C) 2010 Elsevier Inc. All rights reserved.

Generalised regression estimation for domain class frequencies

This study examines the properties of Generalised Regression (GREG) estimators for domain class frequencies and proportions. The family of GREG estimators forms the class of design-based model-assisted estimators. All GREG estimators utilise auxiliary information via modelling. The classic GREG estimator with a linear fixed effects assisting model (GREG-lin) is one example. But when estimating class frequencies, the study variable is binary or polytomous. Therefore logistic-type assisting models (e.g. logistic or probit model) should be preferred over the linear one. However, other GREG estimators than GREG-lin are rarely used, and knowledge about their properties is limited. This study examines the properties of L-GREG estimators, which are GREG estimators with fixed-effects logistic-type models. Three research questions are addressed. First, I study whether and when L-GREG estimators are more accurate than GREG-lin. Theoretical results and Monte Carlo experiments which cover both equal and unequal probability sampling designs and a wide variety of model formulations show that in standard situations, the difference between L-GREG and GREG-lin is small. But in the case of a strong assisting model, two interesting situations arise: if the domain sample size is reasonably large, L-GREG is more accurate than GREG-lin, and if the domain sample size is very small, estimation of assisting model parameters may be inaccurate, resulting in bias for L-GREG. Second, I study variance estimation for the L-GREG estimators. The standard variance estimator (S) for all GREG estimators resembles the Sen-Yates-Grundy variance estimator, but it is a double sum of prediction errors, not of the observed values of the study variable. Monte Carlo experiments show that S underestimates the variance of L-GREG especially if the domain sample size is minor, or if the assisting model is strong. Third, since the standard variance estimator S often fails for the L-GREG estimators, I propose a new augmented variance estimator (A). The difference between S and the new estimator A is that the latter takes into account the difference between the sample fit model and the census fit model. In Monte Carlo experiments, the new estimator A outperformed the standard estimator S in terms of bias, root mean square error and coverage rate. Thus the new estimator provides a good alternative to the standard estimator.

Dynamics of ''internal'' interannual variability of the Indian summer monsoon in a GCM

1] The poor predictability of the Indian summer monsoon ( ISM) appears to be due to the fact that a large fraction of interannual variability (IAV) is governed by unpredictable "internal'' low frequency variations. Mechanisms responsible for the internal IAV of the monsoon have not been clearly identified. Here, an attempt has been made to gain insight regarding the origin of internal IAV of the seasonal ( June - September, JJAS) mean rainfall from "internal'' IAV of the ISM simulated by an atmospheric general circulation model (AGCM) driven by fixed annual cycle of sea surface temperature (SST). The underlying hypothesis that monsoon ISOs are responsible for internal IAV of the ISM is tested. The spatial and temporal characteristics of simulated summer intraseasonal oscillations ( ISOs) are found to be in good agreement with those observed. A long integration with the AGCM forced with observed SST, shows that ISO activity over the Asian monsoon region is not modulated by the observed SST variations. The internal IAV of ISM, therefore, appears to be decoupled from external IAV. Hence, insight gained from this study may be useful in understanding the observed internal IAV of ISM. The spatial structure of the ISOs has a significant projection on the spatial structure of the seasonal mean and a common spatial mode governs both intraseasonal and interannual variability. Statistical average of ISO anomalies over the season ( seasonal ISO bias) strengthens or weakens the seasonal mean. It is shown that interannual anomalies of seasonal mean are closely related to the seasonal mean of intraseasonal anomalies and explain about 50% of the IAV of the seasonal mean. The seasonal mean ISO bias arises partly due to the broad-band nature of the ISO spectrum allowing the time series to be aperiodic over the season and partly due to a non-linear process where the amplitude of ISO activity is proportional to the seasonal bias of ISO anomalies. The later relation is a manifestation of the binomial character of rainfall time series. The remaining 50% of the IAV may arise due to land-surface processes, interaction between high frequency variability and ISOs, etc.

Novel peptides of therapeutic promise from Indian Conidae

Highly structured small peptides are the major toxic constituents of the venom of cone snails, a family of widely distributed predatory marine molluscs. These animals use the venom for rapid prey immobilization. The peptide components in the venom target a wide variety of membrane-bound ion channels and receptors. Many have been found to be highly selective for a diverse range of mammalian ion channels and receptors associated with pain-signaling pathways. Their small size, structural stability, and target specificity make them attractive pharmacologic agents. A select number of laboratories mainly from the United States, Europe, Australia, Israel, and China have been engaged in intense drug discovery programs based on peptides from a few snail species. Coastal India has an estimated 20-30% of the known cone species; however, few serious studies have been reported so far. We have begun a comprehensive program for the identification and characterization of peptides from cone snails found in Indian Coastal waters. This presentation reviews our progress over the last 2 years. As expected from the evolutionary history of these venom components, our search has yielded novel peptides of therapeutic promise from the new species that we have studied.

Confirmation of linkage and refinement of the RP28 locus for autosomal recessive retinitis pigmentosa on chromosome 2p14-p15 in an Indian family

PURPOSE: To report the linkage analysis of retinitis pigmentosa (RP) in an Indian family. METHODS: Individuals were examined for symptoms of retinitis pigmentosa and their blood samples were withdrawn for genetic analysis. The disorder was tested for linkage to known 14 adRP and 22 arRP loci using microsatellite markers. RESULTS: Seventeen individuals including seven affecteds participated in the study. All affected individuals had typical RP. The age of onset of the disease ranged from 8-18 years. The disorder in this family segregated either as an autosomal recessive trait with pseudodominance or an autosomal dominant trait. Linkage to an autosomal recessive locus RP28 on chromosome 2p14-p15 was positive with a maximum two-point lod score of 3.96 at theta=0 for D2S380. All affected individuals were homozygous for alleles at D2S2320, D2S2397, D2S380, and D2S136. Recombination events placed the minimum critical region (MCR) for the RP28 gene in a 1.06 cM region between D2S2225 and D2S296. CONCLUSIONS : The present data confirmed linkage of arRP to the RP28 locus in a second Indian family. The RP28 locus was previously mapped to a 16 cM region between D2S1337 and D2S286 in a single Indian family. Haplotype analysis in this family has further narrowed the MCR for the RP28 locus to a 1.06 cM region between D2S2225 and D2S296. Of 15 genes reported in the MCR, 14 genes (KIAA0903, OTX1, MDH1, UGP2, VPS54, PELI1, HSPC159, FLJ20080, TRIP-Br2, SLC1A4, KIAA0582, RAB1A, ACTR2, and SPRED2) are either expressed in the eye or retina. Further study needs to be done to test which of these genes is mutated in patients with RP linked to the RP28 locus.

Hybrid moving block bootstrap for stochastic simulation of multi-site multi-season streamflows

The Hybrid approach introduced by the authors for at-site modeling of annual and periodic streamflows in earlier works is extended to simulate multi-site multi-season streamflows. It bears significance in integrated river basin planning studies. This hybrid model involves: (i) partial pre-whitening of standardized multi-season streamflows at each site using a parsimonious linear periodic model; (ii) contemporaneous resampling of the resulting residuals with an appropriate block size, using moving block bootstrap (non-parametric, NP) technique; and (iii) post-blackening the bootstrapped innovation series at each site, by adding the corresponding parametric model component for the site, to obtain generated streamflows at each of the sites. It gains significantly by effectively utilizing the merits of both parametric and NP models. It is able to reproduce various statistics, including the dependence relationships at both spatial and temporal levels without using any normalizing transformations and/or adjustment procedures. The potential of the hybrid model in reproducing a wide variety of statistics including the run characteristics, is demonstrated through an application for multi-site streamflow generation in the Upper Cauvery river basin, Southern India. (C) 2004 Elsevier B.V. All rights reserved.