Estimating Bank Trading Risk: A Factor Model Approach

Risk in bank trading portfolios and its management are potentially important to the banks%u2019 soundness and to the functioning of securities and derivatives markets. In this paper, proprietary daily trading revenues of 6 large dealer banks are used to study the bank dealers%u2019 market risks using a market factor model approach. Dealers%u2019 exposures to exchange rate, interest rate, equity, and credit market factors are estimated. A factor model framework for variable exposures is presented and two modeling approaches are used: a random coefficient model and rolling factor regressions. The results indicate small average market exposures with significant but relatively moderate variation in exposures over time. Except for interest rates, there is heterogeneity in market exposures across the dealers. For interest rates, the dealers have small average long exposures and exposures vary inversely with the level of rates. Implications for aggregate bank dealer risk and market stability issues are discussed.

BEEBS: Open Benchmarks for Energy Measurements on Embedded Platforms

This paper presents and justifies an open benchmark suite named BEEBS, targeted at evaluating the energy consumption of embedded processors. We explore the possible sources of energy consumption, then select individual benchmarks from contemporary suites to cover these areas. Version one of BEEBS is presented here and contains 10 benchmarks that cover a wide range of typical embedded applications. The benchmark suite is portable across diverse architectures and is freely available. The benchmark suite is extensively evaluated, and the properties of its constituent programs are analysed. Using real hardware platforms we show case examples which illustrate the difference in power dissipation between three processor architectures and their related ISAs. We observe significant differences in the average instruction dissipation between the architectures of 4.4x, specifically 170uW/MHz (ARM Cortex-M0), 65uW/MHz (Adapteva Epiphany) and 88uW/MHz (XMOS XS1-L1)

Characterization of mutations and loss of heterozygosity of p53 and K-\u3ci\u3eras\u3c/i\u3e2 in pancreatic cancer cell lines by immobilized polymerase chain reaction

Background The identification of known mutations in a cell population is important for clinical applications and basic cancer research. In this work an immobilized form of the polymerase chain reaction, referred to as polony technology, was used to detect mutations as well as gene deletions, resulting in loss of heterozygosity (LOH), in cancer cell lines. Specifically, the mutational hotspots in p53, namely codons 175, 245, 248, 249, 273, and 282, and K-ras2, codons 12, 13 and 61, were genotyped in the pancreatic cell line, Panc-1. In addition LOH analysis was also performed for these same two genes in Panc-1 by quantifying the relative gene copy number of p53 and K-ras2. Results Using polony technology, Panc-1 was determined to possess only one copy of p53, which possessed a mutation in codon 273, and two copies of K-ras2, one wildtype and one with a mutation in codon 12. To further demonstrate the general approach of this method, polonies were also used to detect K-ras2 mutations in the pancreatic cell lines, AsPc-1 and CAPAN-1. Conclusions In conclusion, we have developed an assay that can detect mutations in hotspots of p53 and K-ras2 as well as diagnose LOH in these same genes

Large scale toppling failure in metamorphic rock slopes

Imperial Users onl