An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

This study compares Value-at-Risk (VaR) measures for Australian banks over a period that includes the Global Financial Crisis (GFC) to determine whether the methodology and parameter selection are important for capital adequacy holdings that will ultimately support a bank in a crisis period. VaR methodology promoted under Basel II was largely criticised during the GFC for its failure to capture downside risk. However, results from this study indicate that 1-year parametric and historical models produce better measures of VaR than models with longer time frames. VaR estimates produced using Monte Carlo simulations show a high percentage of violations but with lower average magnitude of a violation when they occur. VaR estimates produced by the ARMA GARCH model also show a relatively high percentage of violations, however, the average magnitude of a violation is quite low. Our findings support the design of the revised Basel II VaR methodology which has also been adopted under Basel III.

Gene flow from transgenic plant populations: models and applications for risk assessment

The future use of genetically modified (GM) plants in food, feed and biomass production requires a careful consideration of possible risks related to the unintended spread of trangenes into new habitats. This may occur via introgression of the transgene to conventional genotypes, due to cross-pollination, and via the invasion of GM plants to new habitats. Assessment of possible environmental impacts of GM plants requires estimation of the level of gene flow from a GM population. Furthermore, management measures for reducing gene flow from GM populations are needed in order to prevent possible unwanted effects of transgenes on ecosystems. This work develops modeling tools for estimating gene flow from GM plant populations in boreal environments and for investigating the mechanisms of the gene flow process. To describe spatial dimensions of the gene flow, dispersal models are developed for the local and regional scale spread of pollen grains and seeds, with special emphasis on wind dispersal. This study provides tools for describing cross-pollination between GM and conventional populations and for estimating the levels of transgenic contamination of the conventional crops. For perennial populations, a modeling framework describing the dynamics of plants and genotypes is developed, in order to estimate the gene flow process over a sequence of years. The dispersal of airborne pollen and seeds cannot be easily controlled, and small amounts of these particles are likely to disperse over long distances. Wind dispersal processes are highly stochastic due to variation in atmospheric conditions, so that there may be considerable variation between individual dispersal patterns. This, in turn, is reflected to the large amount of variation in annual levels of cross-pollination between GM and conventional populations. Even though land-use practices have effects on the average levels of cross-pollination between GM and conventional fields, the level of transgenic contamination of a conventional crop remains highly stochastic. The demographic effects of a transgene have impacts on the establishment of trangenic plants amongst conventional genotypes of the same species. If the transgene gives a plant a considerable fitness advantage in comparison to conventional genotypes, the spread of transgenes to conventional population can be strongly increased. In such cases, dominance of the transgene considerably increases gene flow from GM to conventional populations, due to the enhanced fitness of heterozygous hybrids. The fitness of GM plants in conventional populations can be reduced by linking the selectively favoured primary transgene to a disfavoured mitigation transgene. Recombination between these transgenes is a major risk related to this technique, especially because it tends to take place amongst the conventional genotypes and thus promotes the establishment of invasive transgenic plants in conventional populations.

Toxicant distributions and impact models in environmental risk analysis of waste sites

Myrkyllisten aineiden jakaumat ja vaikutusmallit jätealueiden ympäristöriskien analyysissä.

Reason, risk, and reward: Models for libraries and other stakeholders in an evolving scholarly publishing ecosystem

Scholarly publishing, and scholarly communication more generally, are based on patterns established over many decades and even centuries. Some of these patterns are clearly valuable and intimately related to core values of the academy, but others were based on the exigencies of the past, and new opportunities have brought into question whether it makes sense to persist in supporting old models. New technologies and new publishing models raise the question of how we should fund and operate scholarly publishing and scholarly communication in the future, moving away from a scarcity model based on the exchange of physical goods that restricts access to scholarly literature unless a market-based exchange takes place. This essay describes emerging models that attempt to shift scholarly communication to a more open-access and mission-based approach and that try to retain control of scholarship by academics and the institutions and scholarly societies that support them. It explores changing practices for funding scholarly journals and changing services provided by academic libraries, changes instituted with the end goal of providing more access to more readers, stimulating new scholarship, and removing inefficiencies from a system ready for change. © 2014 by the American Anthropological Association.

What can ecosystem models tell us about the risk of eutrophication in the North Sea?

Eutrophication is a process resulting from an increase in anthropogenic nutrient inputs from rivers and other sources, the consequences of which can include enhanced algal biomass, changes in plankton community composition and oxygen depletion near the seabed. Within the context of the Marine Strategy Framework Directive, indicators (and associated threshold) have been identified to assess the eutrophication status of an ecosystem. Large databases of observations (in situ) are required to properly assess the eutrophication status. Marine hydrodynamic/ecosystem models provide continuous fields of a wide range of ecosystem characteristics. Using such models in this context could help to overcome the lack of in situ data, and provide a powerful tool for ecosystem-based management and policy makers. Here we demonstrate a methodology that uses a combination of model outputs and in situ data to assess the risk of eutrophication in the coastal domain of the North Sea. The risk of eutrophication is computed for the past and present time as well as for different future scenarios. This allows us to assess both the current risk and its sensitivity to anthropogenic pressure and climate change. Model sensitivity studies suggest that the coastal waters of the North Sea may be more sensitive to anthropogenic rivers loads than climate change in the near future (to 2040).

Microarray-based classifiers and prognosis models identify subgroups with distinct clinical outcomes and high risk of AML transformation of myelodysplastic syndrome

The diagnosis of myelodysplastic syndrome (MDS) currently relies primarily on the morphologic assessment of the patient's bone marrow and peripheral blood cells. Moreover, prognostic scoring systems rely on observer-dependent assessments of blast percentage and dysplasia. Gene expression profiling could enhance current diagnostic and prognostic systems by providing a set of standardized, objective gene signatures. Within the Microarray Innovations in LEukemia study, a diagnostic classification model was investigated to distinguish the distinct subclasses of pediatric and adult leukemia, as well as MDS. Overall, the accuracy of the diagnostic classification model for subtyping leukemia was approximately 93%, but this was not reflected for the MDS samples giving only approximately 50% accuracy. Discordant samples of MDS were classified either into acute myeloid leukemia (AML) or

Refining Risk Estimates Using Models (Chapter 4)

In 2004 nineteen scientists from fourteen institutions in seven countries
collaborated in the landmark study described in chapter 2 (Thomas et al., 2004a). This chapter provides an overview of results of studies published subsequently and assesses how much, and why, new results differ from those of Thomas et al.
Some species distribution modeling (SDM) studies are directly comparable to the Thomas et al. estimates. Others using somewhat different methods nonetheless illuminate whether the original estimates were of the right order of magnitude. Climate similarity models (Williams et al., 2007; Williams and Jackson, 2007), biome, and vegetation dynamic models (Perry and Enright, 2006) have also been
applied in the context of climate change, providing interesting opportunities
for comparison and cross-validation with results from SDMs.
This chapter concludes with an assessment of whether the range of extinction risk estimates presented in 2004 can be narrowed, and whether the mean estimate should be revised upward or downward. To set the stage for these analyses, the chapter begins with brief reviews of advances in climate modeling and species modeling since 2004.

Combining global climate and regional landscape models to improve prediction of invasion risk

Aim
It is widely acknowledged that species distributions result from a variety of biotic and abiotic factors operating at different spatial scales. Here, we aimed to (1) determine the extent to which global climate niche models (CNMs) can be improved by the addition of fine-scale regional data; (2) examine climatic and environmental factors influencing the range of 15 invasive aquatic plant species; and (3) provide a case study for the use of such models in invasion management on an island.

Location
Global, with a case study of species invasions in Ireland.

Methods
Climate niche models of global extent (including climate only) and regional environmental niche models (with additional factors such as human influence, land use and soil characteristics) were generated using maxent for 15 invasive aquatic plants. The performance of these models within the invaded range of the study species in Ireland was assessed, and potential hotspots of invasion suitability were determined. Models were projected forward up to 2080 based on two climate scenarios.

Results
While climate variables are important in defining the global range of species, factors related to land use and nutrient level were of greater importance in regional projections. Global climatic models were significantly improved at the island scale by the addition of fine-scale environmental variables (area under the curve values increased by 0.18 and true skill statistic values by 0.36), and projected ranges decreased from an average of 86% to 36% of the island.

Main conclusions
Refining CNMs with regional data on land use, human influence and landscape may have a substantial impact on predictive capacity, providing greater value for prioritization of conservation management at subregional or local scales.

GEP analysis validates high risk MDS and acute myeloid leukemia post MDS mice models and highlights novel dysregulated pathways

BACKGROUND: In spite of the recent discovery of genetic mutations in most myelodysplasic (MDS) patients, the pathophysiology of these disorders still remains poorly understood, and only few in vivo models are available to help unravel the disease.

METHODS: We performed global specific gene expression profiling and functional pathway analysis in purified Sca1+ cells of two MDS transgenic mouse models that mimic human high-risk MDS (HR-MDS) and acute myeloid leukemia (AML) post MDS, with NRASD12 and BCL2 transgenes under the control of different promoters MRP8NRASD12/tethBCL-2 or MRP8[NRASD12/hBCL-2], respectively.

RESULTS: Analysis of dysregulated genes that were unique to the diseased HR-MDS and AML post MDS mice and not their founder mice pointed first to pathways that had previously been reported in MDS patients, including DNA replication/damage/repair, cell cycle, apoptosis, immune responses, and canonical Wnt pathways, further validating these models at the gene expression level. Interestingly, pathways not previously reported in MDS were discovered. These included dysregulated genes of noncanonical Wnt pathways and energy and lipid metabolisms. These dysregulated genes were not only confirmed in a different independent set of BM and spleen Sca1+ cells from the MDS mice but also in MDS CD34+ BM patient samples.

CONCLUSIONS: These two MDS models may thus provide useful preclinical models to target pathways previously identified in MDS patients and to unravel novel pathways highlighted by this study.

Development of open models and tools for seismic risk assessment: application to Portugal

The exponential growth of the world population has led to an increase of settlements often located in areas prone to natural disasters, including earthquakes. Consequently, despite the important advances in the field of natural catastrophes modelling and risk mitigation actions, the overall human losses have continued to increase and unprecedented economic losses have been registered. In the research work presented herein, various areas of earthquake engineering and seismology are thoroughly investigated, and a case study application for mainland Portugal is performed. Seismic risk assessment is a critical link in the reduction of casualties and damages due to earthquakes. Recognition of this relation has led to a rapid rise in demand for accurate, reliable and flexible numerical tools and software. In the present work, an open-source platform for seismic hazard and risk assessment is developed. This software is capable of computing the distribution of losses or damage for an earthquake scenario (deterministic event-based) or earthquake losses due to all the possible seismic events that might occur within a region for a given interval of time (probabilistic event-based). This effort has been developed following an open and transparent philosophy and therefore, it is available to any individual or institution. The estimation of the seismic risk depends mainly on three components: seismic hazard, exposure and vulnerability. The latter component assumes special importance, as by intervening with appropriate retrofitting solutions, it may be possible to decrease directly the seismic risk. The employment of analytical methodologies is fundamental in the assessment of structural vulnerability, particularly in regions where post-earthquake building damage might not be available. Several common methodologies are investigated, and conclusions are yielded regarding the method that can provide an optimal balance between accuracy and computational effort. In addition, a simplified approach based on the displacement-based earthquake loss assessment (DBELA) is proposed, which allows for the rapid estimation of fragility curves, considering a wide spectrum of uncertainties. A novel vulnerability model for the reinforced concrete building stock in Portugal is proposed in this work, using statistical information collected from hundreds of real buildings. An analytical approach based on nonlinear time history analysis is adopted and the impact of a set of key parameters investigated, including the damage state criteria and the chosen intensity measure type. A comprehensive review of previous studies that contributed to the understanding of the seismic hazard and risk for Portugal is presented. An existing seismic source model was employed with recently proposed attenuation models to calculate probabilistic seismic hazard throughout the territory. The latter results are combined with information from the 2011 Building Census and the aforementioned vulnerability model to estimate economic loss maps for a return period of 475 years. These losses are disaggregated across the different building typologies and conclusions are yielded regarding the type of construction more vulnerable to seismic activity.