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Model risk – daring to open up the black box
With the increasing use of complex quantitative models in applications throughout the financial world, model risk has become a major concern. Such risk is generated by the potential inaccuracy and inappropriate use of models in business applications, which can lead to substantial financial losses and reputational damage. In this paper we deal with the management and measurement of model risk.
First, a model risk framework is developed, adapting concepts such as risk appetite, monitoring, and mitigation to the particular case of model risk. The usefulness of such a framework for preventing losses associated with model risk is demonstrated through case studies. Second, we investigate the ways in which different ways of using and perceiving models within an organisation both lead to different model risks. We identify four distinct model cultures and argue that in conditions of deep model uncertainty, each of those cultures makes a valuable contribution to model risk governance. Thus the space of legitimate challenges to models is expanded, such that, in addition to a technical critique, operational and commercial concerns are also addressed. Third, we discuss through the examples of proxy modelling, longevity risk and investment advice, common methods and challenges for quantifying model risk. Difficulties arise in mapping model errors to actual financial impact. In the case of irreducible model uncertainty, it is necessary to employ a variety of measurement approaches, based on statistical inference, fitting multiple models, and stress and scenario analysis
Effect of Particle Size on Droplet Infiltration into Hydrophobic Porous Media As a Model of Water Repellent Soil
The wettability of soil is of great importance for plants and soil biota, and in determining the risk for preferential flow, surface runoff, flooding,and soil erosion. The molarity of ethanol droplet (MED) test is widely used for quantifying the severity of water repellency in soils that show reduced wettability and is assumed to be independent of soil particle size. The minimum ethanol concentration at which droplet penetration occurs within a short time (≤10 s) provides an estimate of the initial advancing contact angle at which spontaneous wetting is expected. In this study, we test the assumption of particle size independence using a simple model of soil, represented by layers of small (0.2–2 mm) diameter beads that predict the effect of changing bead radius in the top layer on capillary driven imbibition. Experimental results using a three-layer bead system show broad agreement with the model and demonstrate a dependence of the MED test on particle size. The results show that the critical initial advancing contact angle for penetration can be considerably less than 90° and varies with particle size, demonstrating that a key assumption currently used in the MED testing of soil is not necessarily valid
Effect of Thickener Particle Geometry and Concentration on the Grease EHL Film Thickness at Medium Speeds
An Unbiased Estimator of Gene Diversity in Samples Containing Related Individuals
Gene diversity is sometimes estimated from samples that contain inbred or related individuals. If inbred or related individuals are included in a sample, then the standard estimator for gene diversity produces a downward bias caused by an inflation of the variance of estimated allele frequencies. We develop an unbiased estimator for gene diversity that relies on kinship coefficients for pairs of individuals with known relationship and that reduces to the standard estimator when all individuals are noninbred and unrelated. Applying our estimator to data simulated based on allele frequencies observed for microsatellite loci in human populations, we find that the new estimator performs favorably compared with the standard estimator in terms of bias and similarly in terms of mean squared error. For human population-genetic data, we find that a close linear relationship previously seen between gene diversity and distance from East Africa is preserved when adjusting for the inclusion of close relatives
Inference of population splits and mixtures from genome-wide allele frequency data
Many aspects of the historical relationships between populations in a species
are reflected in genetic data. Inferring these relationships from genetic data,
however, remains a challenging task. In this paper, we present a statistical
model for inferring the patterns of population splits and mixtures in multiple
populations. In this model, the sampled populations in a species are related to
their common ancestor through a graph of ancestral populations. Using
genome-wide allele frequency data and a Gaussian approximation to genetic
drift, we infer the structure of this graph. We applied this method to a set of
55 human populations and a set of 82 dog breeds and wild canids. In both
species, we show that a simple bifurcating tree does not fully describe the
data; in contrast, we infer many migration events. While some of the migration
events that we find have been detected previously, many have not. For example,
in the human data we infer that Cambodians trace approximately 16% of their
ancestry to a population ancestral to other extant East Asian populations. In
the dog data, we infer that both the boxer and basenji trace a considerable
fraction of their ancestry (9% and 25%, respectively) to wolves subsequent to
domestication, and that East Asian toy breeds (the Shih Tzu and the Pekingese)
result from admixture between modern toy breeds and "ancient" Asian breeds.
Software implementing the model described here, called TreeMix, is available at
http://treemix.googlecode.comComment: 28 pages, 6 figures in main text. Attached supplement is 22 pages, 15
figures. This is an updated version of the preprint available at
http://precedings.nature.com/documents/6956/version/
Recombination dynamics of a human Y-chromosomal palindrome:rapid GC-biased gene conversion, multi-kilobase conversion tracts, and rare inversions
The male-specific region of the human Y chromosome (MSY) includes eight large inverted repeats (palindromes) in which arm-to-arm similarity exceeds 99.9%, due to gene conversion activity. Here, we studied one of these palindromes, P6, in order to illuminate the dynamics of the gene conversion process. We genotyped ten paralogous sequence variants (PSVs) within the arms of P6 in 378 Y chromosomes whose evolutionary relationships within the SNP-defined Y phylogeny are known. This allowed the identification of 146 historical gene conversion events involving individual PSVs, occurring at a rate of 2.9-8.4×10(-4) events per generation. A consideration of the nature of nucleotide change and the ancestral state of each PSV showed that the conversion process was significantly biased towards the fixation of G or C nucleotides (GC-biased), and also towards the ancestral state. Determination of haplotypes by long-PCR allowed likely co-conversion of PSVs to be identified, and suggested that conversion tract lengths are large, with a mean of 2068 bp, and a maximum in excess of 9 kb. Despite the frequent formation of recombination intermediates implied by the rapid observed gene conversion activity, resolution via crossover is rare: only three inversions within P6 were detected in the sample. An analysis of chimpanzee and gorilla P6 orthologs showed that the ancestral state bias has existed in all three species, and comparison of human and chimpanzee sequences with the gorilla outgroup confirmed that GC bias of the conversion process has apparently been active in both the human and chimpanzee lineages
The geography of recent genetic ancestry across Europe
The recent genealogical history of human populations is a complex mosaic
formed by individual migration, large-scale population movements, and other
demographic events. Population genomics datasets can provide a window into this
recent history, as rare traces of recent shared genetic ancestry are detectable
due to long segments of shared genomic material. We make use of genomic data
for 2,257 Europeans (the POPRES dataset) to conduct one of the first surveys of
recent genealogical ancestry over the past three thousand years at a
continental scale. We detected 1.9 million shared genomic segments, and used
the lengths of these to infer the distribution of shared ancestors across time
and geography. We find that a pair of modern Europeans living in neighboring
populations share around 10-50 genetic common ancestors from the last 1500
years, and upwards of 500 genetic ancestors from the previous 1000 years. These
numbers drop off exponentially with geographic distance, but since genetic
ancestry is rare, individuals from opposite ends of Europe are still expected
to share millions of common genealogical ancestors over the last 1000 years.
There is substantial regional variation in the number of shared genetic
ancestors: especially high numbers of common ancestors between many eastern
populations likely date to the Slavic and/or Hunnic expansions, while much
lower levels of common ancestry in the Italian and Iberian peninsulas may
indicate weaker demographic effects of Germanic expansions into these areas
and/or more stably structured populations. Recent shared ancestry in modern
Europeans is ubiquitous, and clearly shows the impact of both small-scale
migration and large historical events. Population genomic datasets have
considerable power to uncover recent demographic history, and will allow a much
fuller picture of the close genealogical kinship of individuals across the
world.Comment: Full size figures available from
http://www.eve.ucdavis.edu/~plralph/research.html; or html version at
http://ralphlab.usc.edu/ibd/ibd-paper/ibd-writeup.xhtm
Analytic philosophy for biomedical research: the imperative of applying yesterday's timeless messages to today's impasses
The mantra that "the best way to predict the future is to invent it" (attributed to the computer scientist Alan Kay) exemplifies some of the expectations from the technical and innovative sides of biomedical research at present. However, for technical advancements to make real impacts both on patient health and genuine scientific understanding, quite a number of lingering challenges facing the entire spectrum from protein biology all the way to randomized controlled trials should start to be overcome. The proposal in this chapter is that philosophy is essential in this process. By reviewing select examples from the history of science and philosophy, disciplines which were indistinguishable until the mid-nineteenth century, I argue that progress toward the many impasses in biomedicine can be achieved by emphasizing theoretical work (in the true sense of the word 'theory') as a vital foundation for experimental biology. Furthermore, a philosophical biology program that could provide a framework for theoretical investigations is outlined
The KELT Follow-Up Network And Transit False-Positive Catalog: Pre-Vetted False Positives For TESS
The Kilodegree Extremely Little Telescope (KELT) project has been conducting a photometric survey of transiting planets orbiting bright stars for over 10 years. The KELT images have a pixel scale of ~23\u27\u27 pixel⁻¹—very similar to that of NASA\u27s Transiting Exoplanet Survey Satellite (TESS)—as well as a large point-spread function, and the KELT reduction pipeline uses a weighted photometric aperture with radius 3\u27. At this angular scale, multiple stars are typically blended in the photometric apertures. In order to identify false positives and confirm transiting exoplanets, we have assembled a follow-up network (KELT-FUN) to conduct imaging with spatial resolution, cadence, and photometric precision higher than the KELT telescopes, as well as spectroscopic observations of the candidate host stars. The KELT-FUN team has followed-up over 1600 planet candidates since 2011, resulting in more than 20 planet discoveries. Excluding ~450 false alarms of non-astrophysical origin (i.e., instrumental noise or systematics), we present an all-sky catalog of the 1128 bright stars (6 \u3c V \u3c 13) that show transit-like features in the KELT light curves, but which were subsequently determined to be astrophysical false positives (FPs) after photometric and/or spectroscopic follow-up observations. The KELT-FUN team continues to pursue KELT and other planet candidates and will eventually follow up certain classes of TESS candidates. The KELT FP catalog will help minimize the duplication of follow-up observations by current and future transit surveys such as TESS
The Effectiveness of Support and Rehabilitation Services for Women Offenders
There is a large body of research evidence suggesting that support, rehabilitation, and supervision programs can help offenders to reduce recidivism. However, the effectiveness of these services is dependent upon the extent to which the workers who deliver them comply with "what works" principles and practices. Because most of this research has been conducted with men, this study focused on the extent to which these principles and practices apply to women. In particular, the study examined services offered to a group of women in prison in Victoria, Australia, and following their release to the community; and the relationship between these women's views about the services, recidivism, and the characteristics of the services. Results were generally consistent with earlier research. The women favoured services that are delivered by workers who are reliable, holistic, collaborative, who understand the women's perspective, and that focus on strengths. They did not support services that challenged the women, focused on their offences, or on the things they did badly
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