Model risk: illuminating the black box

This paper presents latest thinking from the Institute and Faculty of Actuaries’ Model Risk Working Party and follows on from their Phase I work, Model Risk: Daring to Open the Black Box. This is a more practical paper and presents the contributors’ experiences of model risk gained from a wide range of financial and non-financial organisations with suggestions for good practice and proven methods to reduce model risk. After a recap of the Phase I work, examples of model risk communication are given covering communication: to the Board; to the regulator; and to external stakeholders. We present a practical framework for model risk management and quantification with examples of the key actors, processes and cultural challenge. Lessons learned are then presented from other industries that make extensive use of models and include the weather forecasting, software and aerospace industries. Finally, a series of case studies in practical model risk management and mitigation are presented from the contributors’ own experiences covering primarily financial services

A novel approach to fireball modeling: The observable and the calculated

Estimating the mass of a meteoroid passing through the Earth's atmosphere is essential to determining potential meteorite fall positions. High-resolution fireball images from dedicated camera networks provide the position and timing for fireball bright flight trajectories. There are two established mass determination methods: the photometric and the dynamic. A new approach is proposed, based on the dynamic method. A dynamic optimization initially constrains unknown meteoroid characteristics which are then used in a parametric model for an extended Kalman filter. The extended Kalman filter estimates the position, velocity, and mass of the meteoroid body throughout its flight, and quantitatively models uncertainties. Uncertainties have not previously been modeled so explicitly and are essential for determining fall distributions for potential meteorites. This two-step method aims to automate the process of mass determination for application to any trajectory data set and has been applied to observations of the Bunburra Rockhole fireball. The new method naturally handles noisy raw data. Initial and terminal bright flight mass results are consistent with other works based on the established photometric method and cosmic ray analysis. A full analysis of fragmentation and the variability in the heat-transfer coefficient will be explored in future versions of the model

Entanglement and purity of two-mode Gaussian states in noisy channels

We study the evolution of purity, entanglement and total correlations of general two--mode Gaussian states of continuous variable systems in arbitrary uncorrelated Gaussian environments. The time evolution of purity, Von Neumann entropy, logarithmic negativity and mutual information is analyzed for a wide range of initial conditions. In general, we find that a local squeezing of the bath leads to a faster degradation of purity and entanglement, while it can help to preserve the mutual information between the modes.Comment: 10 pages, 8 figure

Defective protein prenylation is a diagnostic biomarker of mevalonate kinase deficiency

Contains fulltext : 177329.pdf (Publisher’s version ) (Open Access

Identifying low density lipoprotein cholesterol associated variants in the Annexin A2 (ANXA2) gene.

BACKGROUND AND AIMS: Annexin-A2 (AnxA2) is an endogenous inhibitor of proprotein convertase subtilisin/kexin type-9 (PCSK9). The repeat-one (R1) domain of AnxA2 binds to PCSK9, blocking its ability to promote degradation of low-density lipoprotein cholesterol-receptors (LDL-R) and thereby regulate low-density lipoprotein cholesterol (LDL-C) levels. Here we identify variants in ANXA2 influencing LDL-C levels and we determine the molecular mechanisms of their effects. RESULTS: The ANXA2 single nucleotide polymorphism (SNP) genotype-phenotype association was examined using the Second-Northwick-Park Heart Study (NPHSII) (n∼2700) and the UCL-LSHTM-Edinburgh-Bristol (UCLEB) consortium (n∼14,600). The ANXA2-R1 domain coding-SNP rs17845226 (V98L) associated with LDL-C, homozygotes for the minor allele having ≈18.8% higher levels of LDL-C (p = 0.004), and higher risk of coronary heart disease (CHD) (p = 0.04). The SNP is in modest linkage disequilibrium (r(2) > 0.5) with two intergenic SNPs, rs17191344 and rs11633032. Both SNPs showed allele-specific protein binding, and the minor alleles caused significant reduction in reporter gene expression (≈18%, p < 0.001). In the expression quantitative trait loci (eQTL) study, minor allele homozygotes have significantly lower levels of ANXA2-mRNA expression (p = 1.36 × 10(-05)). CONCLUSIONS: Both rs11633032 and rs17191344 SNPs are functional variants, where the minor alleles create repressor-binding protein sites for transcription factors that contribute to reduced ANXA2 gene expression. Lower AnxA2 levels could increase plasma levels of PCSK9 and thus increase LDL-C levels and risk of CHD. This supports, for the first time in humans, previous observations in mouse models that changes in the levels of AnxA2 directly influence plasma LDL-C levels, and thus implicate this protein as a potential therapeutic target for LDL-C lowering

Intragenic deletion in the LARGE gene causes Walker-Warburg syndrome

Intragenic homozygous deletions in the Large gene are associated with a severe neuromuscular phenotype in the myodystrophy (myd) mouse. These mutations result in a virtual lack of glycosylation of α-dystroglycan. Compound heterozygous LARGE mutations have been reported in a single human patient, manifesting with mild congenital muscular dystrophy (CMD) and severe mental retardation. These mutations are likely to retain some residual LARGE glycosyltransferase activity as indicated by residual α-dystroglycan glycosylation in patient cells. We hypothesized that more severe LARGE mutations are associated with a more severe CMD phenotype in humans. Here we report a 63-kb intragenic LARGE deletion in a family with Walker-Warburg syndrome (WWS), which is characterized by CMD, and severe structural brain and eye malformations. This finding demonstrates that LARGE gene mutations can give rise to a wide clinical spectrum, similar as for other genes that have a role in the post-translational modification of the α-dystroglycan protein

The burden of diabetes mellitus during pregnancy in low- and middle-income countries : a systematic review

Peer reviewedPublisher PD

Proton nuclear magnetic resonance spectroscopic detection of oligomannosidic n glycans in alpha-mannosidosis: a method of monitoring treatment

In Alpha-mannosidosis (MIM 248500) the patients accumulate mainly unbranched oligosaccharide chains in the lysosomes in all body tissues, including the brain. With ensuing therapeutic modalities in man (BMT and ERT) non-invasive methods of monitoring the effect of treatment are needed. Paramount is the possible effect of the treatment on the brain, since this organ is regarded as difficult to reach because of the blood-brain barrier. We therefore performed proton nuclear magnetic resonance spectroscopy (MRS) of the brain in two untreated patients, and a 16-year-old patient treated with BMT at the age of 10 to assess whether this non-invasive method could be applied in the monitoring of the accumulation of abnormal chemicals in the brain of patients. We found an abnormal peak that was not present in the treated patient. A similar pattern was also found in MRS of urine from patients, reflecting the concentration of oligosaccharides in serum and tissues. We therefore conclude that MRS can be a useful method to monitor the effect of treatment for Alpha-Mannosidosis

Diagnosis, extent, impacts, and management of subsoil constraints in the northern grains cropping region of Australia

Productivity of grain crops grown under dryland conditions in north-eastern Australia depends on efficient use of rainfall and available soil moisture accumulated in the period preceding sowing. However, adverse subsoil conditions including high salinity, sodicity, nutrient imbalances, acidity, alkalinity, and high concentrations of chloride (Cl) and sodium (Na) in many soils of the region restrict ability of crop roots to access this stored water and nutrients. Planning for sustainable cropping systems requires identification of the most limiting constraint and understanding its interaction with other biophysical factors. We found that the primary effect of complex and variable combinations of subsoil constraints was to increase the crop lower limit (CLL), thereby reducing plant available water. Among chemical subsoil constraints, subsoil Cl concentration was a more effective indicator of reduced water extraction and reduced grain yields than either salinity or sodicity (ESP). Yield penalty due to high subsoil Cl was seasonally variable, with more in-crop rainfall (ICR) resulting in less negative impact. A conceptual model to determine realistic yield potential in the presence of subsoil Cl was developed from a significant positive linear relationship between CLL and subsoil Cl:Since grid sampling of soil to identify distribution of subsoil Cl, both spatially across landscape and within soil profile, is time-consuming and expensive, we found that electromagnetic induction, coupled with yield mapping and remote sensing of vegetation offers potential to rapidly identify possible subsoil Cl at paddock or farm scale.Plant species and cultivars were evaluated for their adaptations to subsoil Cl. Among winter crops, barley and triticale, followed by bread wheat, were more tolerant of high subsoil Cl concentrations than durum wheat. Chickpea and field pea showed a large decrease in yield with increasing subsoil Cl concentrations and were most sensitive of the crops tested. Cultivars of different winter crops showed minor differences in sensitivity to increasing subsoil Cl concentrations. Water extraction potential of oilseed crops was less affected than cereals with increasing levels of subsoil Cl concentrations. Among summer crops, water extraction potential of millet, mungbean, and sesame appears to be more sensitive to subsoil Cl than that of sorghum and maize; however, the differences were significant only to 0.7 m. Among pasture legumes, lucerne was more tolerant to high subsoil Cl concentrations than the others studied.Surface applied gypsum significantly improved wheat grain yield on soils with ESP >6 in surface soil (0–0.10 m). Subsurface applied gypsum at 0.20–0.30 m depth did not affect grain yield in the first year of application; however, there was a significant increase in grain yield in following years. Better subsoil P and Zn partially alleviated negative impact of high subsoil Cl. Potential savings from improved N fertilisation decisions for paddocks with high subsoil Cl are estimated at ~$AU10 million per annum

Speeding-Up Expensive Evaluations in High-Level Synthesis Using Solution Modeling and Fitness Inheritance

High-Level Synthesis (HLS) is the process of developing digital circuits from behavioral specifications. It involves three interdependent and NP-complete optimization problems: (i) the operation scheduling, (ii) the resource allocation, and (iii) the controller synthesis. Evolutionary Algorithms have been already effectively applied to HLS to find good solution in presence of conflicting design objectives. In this paper, we present an evolutionary approach to HLS that extends previous works in three respects: (i) we exploit the NSGA-II, a multi-objective genetic algorithm, to fully automate the design space exploration without the need of any human intervention, (ii) we replace the expensive evaluation process of candidate solutions with a quite accurate regression model, and (iii) we reduce the number of evaluations with a fitness inheritance scheme. We tested our approach on several benchmark problems. Our results suggest that all the enhancements introduced improve the overall performance of the evolutionary search