An EVT Approach to calculating Risk Capital Requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semi-parametric approach where the tails are modelled by the Generalised Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements from this approach with those calculated from the unconditional density and from a conditional density- a GARCH(1,1) model. Our primary finding is that for both in-sample and hold-out samples, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future by European financial institutions for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation of capital resources while at the same time ensuring the safety of the financial system.Minimum Capital Risk Requirments, Generalised Pareto Distribution, GARCH models

Convicts and coolies : rethinking indentured labour in the nineteenth century

This article seeks to shift the frame of analysis within which discussions of Indian indentured migration take place. It argues that colonial discourses and practices of indenture are best understood not with regard to the common historiographical framework of whether it was 'a new system of slavery', but in the context of colonial innovations in incarceration and confinement. The article shows how Indian experiences of and knowledge about transportation overseas to penal settlements informed in important ways both their own understandings and representations of migration and the colonial practices associated with the recruitment of indentured labour. In detailing the connections between two supposedly different labour regimes, it thus brings a further layer of complexity to debates around their supposed distinctions

Measuring mathematical resilience : an application of the construct of resilience to the study of mathematics

To meet the challenge of accelerating demands for quantitative literacy in the work force, improvements are needed in mathematics education. Student skill must be increased at all ability levels while also reducing the achievement gap across gender, racial and ethnic groups to increase their participation in advanced mathematics coursework and representation in mathematics related careers (National Mathematics Advisory Panel, 2008). Research has shown that affective traits such as motivation and attitude are linked to increased likelihood of taking advanced mathematics courses (Ma, 2006) and are significant predictors of improved cognitive activity and achievement (Buff, Reusser, Rakoczy,& Pauli, 2011; Ethington & Wolfe, 1986). In addition, males generally score more favorably than females on affective variables related to mathematics achievement and persistence (McGraw, Lubienski, & Strutchens, 2006; Sherman & Fennema, 1977; Wilkins and Ma, 2003). Although psychological resilience has been researched extensively (Luthar, Cicchetti, & Becker, 2000; Luthar, 2007) the study of mathematical resilience, defined as a positive adaptive stance to mathematics which allows students to continue learning despite adversity, represents a new approach (Johnston-Wilder & Lee, 2010; Rivera & Waxman, 2011). Math anxiety looks at maladaptive response to learning mathematics and is well-studied (Hembree, 1990; Richardson & Suinn, 1977; Tobias, 1978). In contrast, resilience incorporates factors associated with optimal functioning. Although mathematical resilience has been identified as important for success (Johnston-Wilder & Lee, 2010; Rivera & Waxman, 2011), little consensus exists around its definition and no measures of resilience have been rigorously developed and/or validated. Rivera & Waxman (2011) identified the use of teacher nomination of resilient students as a limitation of their study, further motivating development of an instrument. This presentation will report on efforts to develop and validate an instrument measuring mathematical resilience. Ultimately, the measure will aid in developing and testing models that gauge the role of mathematical resilience in student achievement and persistence in advanced coursework. These models can be used to develop interventions to improve mathematical resilience, achievement, and quantitative literacy (Johnston-Wilder & Lee, 2010)

RESOURCE QUALITY AND AGRICULTURAL PRODUCTIVITY: A MULTI-COUNTRY COMPARISON

This paper builds on earlier studies of agricultural productivity by incorporating spatially referenced soil and climate data combined with high-resolution land-cover data. Econometric analysis of these data, along with panel data on agricultural inputs and outputs from 110 countries for 1961-1997, quantifies the significant impact that differences in land quality have on agricultural productivity.Productivity Analysis,

Growth and Change: Tracking Ohio's Recovery from the Great Recession

Great Recession that began in December 2007 and ended in June 2009 was the most severe since the Great Depression. In addition to having one of the steepest declines in employment, the recovery has been among the slowest. Yet, we are in our sixth year of economic expansion, which is already the 5th longest since WWII. Although the lengthy expansion has been remarkable given the weak recovery, especially in terms of net job growth, we are getting to the point where another downturn would not be surprising

Association between genotypic diversity and biofilm production in group B Streptococcus

Background: Group B Streptococcus (GBS) is a leading cause of sepsis and meningitis and an important factor in premature and stillbirths. Biofilm production has been suggested to be important for GBS pathogenesis alongside many other elements, including phylogenetic lineage and virulence factors, such as pili and capsule type. A complete understanding of the confluence of these components, however, is lacking. To identify associations between biofilm phenotype, pilus profile and lineage, 293 strains from asymptomatic carriers, invasive disease cases, and bovine mastitis cases, were assessed for biofilm production using an in vitro assay. Results: Multilocus sequence type (ST) profile, pilus island profile, and isolate source were associated with biofilm production. Strains from invasive disease cases and/or belonging to the ST-17 and ST-19 lineages were significantly more likely to form weak biofilms, whereas strains producing strong biofilms were recovered more frequently from individuals with asymptomatic colonization. Conclusions: These data suggest that biofilm production is a lineage-specific trait in GBS and may promote colonization of strains representing lineages other than STs 17 and 19. The findings herein also demonstrate that biofilms must be considered in the treatment of pregnant women, particularly for women with heavy GBS colonization

Preconditioning and triggering of offshore slope failures and turbidity currents revealed by most detailed monitoring yet at a fjord-head delta

Rivers and turbidity currents are the two most important sediment transport processes by volume on Earth. Various hypotheses have been proposed for triggering of turbidity currents offshore from river mouths, including direct plunging of river discharge, delta mouth bar flushing or slope failure caused by low tides and gas expansion, earthquakes and rapid sedimentation. During 2011, 106 turbidity currents were monitored at Squamish Delta, British Columbia. This enables statistical analysis of timing, frequency and triggers. The largest peaks in river discharge did not create hyperpycnal flows. Instead, delayed delta-lip failures occurred 8–11 h after flood peaks, due to cumulative delta top sedimentation and tidally-induced pore pressure changes. Elevated river discharge is thus a significant control on the timing and rate of turbidity currents but not directly due to plunging river water. Elevated river discharge and focusing of river discharge at low tides cause increased sediment transport across the delta-lip, which is the most significant of all controls on flow timing in this setting