Value at Risk: Implementing a Risk Measurement Standard

In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk. Previous research has identified differences in models, or Model Risk, as an important impediment to developing a Value at Risk standard. By contrast, this paper considers the divergence in a model's implementation in software and how it too, affects the establishment of a risk measurement standard. Different leading risk management systems' vendors were given identical portfolios of instruments of varying complexity, and were asked to assess the value at risk according to one common model, J.P. Morgan's RiskMetrics™. We analyzed the VaR results on a case by case basis, and in terms of prior expectations from the structure of financial instruments in the portfolio, as well as prior vendor expectations about the relative complexity of different asset classes. It follows that this research indicates the extent to which one particular model of risk can be effectively specified in advance, independent of the model's detailed implementation and use in practice. Key words: Risk Management, Financial Services, Model Management. This paper was presented at the Financial Institutions Center's October 1996 conference on "

Magnetic-field enhancement of performance of superconducting nanowire single-photon detector

We present SNSPDs from NbN nanowires shaped after square-spiral that allows an increase not only in critical currents but also an extension of spectral detection efficiencies by just applying an external magnetic field. Using negative electron-beam lithography with the positive resist for shaping nanowires, made it possible to reduce the inner bend radius. Consequently, the effect of critical-current enhancement in the magnetic field becomes stronger than it was demonstrated earlier. Here we achieved a 13% increase of the critical current in the magnetic field. We measured spectra of the single-photon detection efficiency in the wavelength range from 400 to 1100 nm in the magnetic field. At zero field, the square spiral has the spectrum similar to that of a meander. At the field providing the maximum of the critical current, the detection efficiency and the cut-off wavelength in the spectrum increase by 20% and by 54%, correspondingly. The magnetic-field dependence of dark count rate is well described by proposed analytical model

Quantum Phase Dynamics in an LC shunted Josephson Junction

We have studied both theoretically and experimentally how an LC series circuit connected in parallel to a Josephson junction influences the Josephson dynamics. The presence of the shell circuit introduces two energy scales, which in specific cases can strongly differ from the plasma frequency of the isolated junction. Josephson junctions were manufactured using Nb/Al-AlOx/Nb fabrication technology with various on-chip LC shunt circuits. Spectroscopic measurements in the quantum limit show an excellent agreement with theory taking into account the shunt inductance and capacitance in the Resistively and Capacitively Shunted Junction model. The results clearly show that the dynamics of the system are two-dimensional, resulting in two resonant modes of the system. These findings have important implications for the design and operation of Josephson junctions based quantum bits

Is the tobacco control movement misrepresenting the acute cardiovascular health effects of secondhand smoke exposure? An analysis of the scientific evidence and commentary on the implications for tobacco control and public health practice

While chronic exposure to secondhand smoke has been well recognized as a cause of heart disease in nonsmokers, there has been recent speculation about the potential acute cardiovascular effects of transient exposure to secondhand smoke among nonsmokers; in particular, the possibility that such exposure could increase the risk of acute myocardial infarction even in an otherwise healthy nonsmoker. This paper reviews the claims being made by a number of anti-smoking and public health groups regarding the acute cardiovascular effects of secondhand smoke exposure among otherwise healthy adults, analyzes the validity of these claims based on a review of the scientific evidence, and discusses the implications of the findings for tobacco control and public health practice. Based on the analysis, it appears that a large number of anti-smoking organizations are making inaccurate claims that a single, acute, transient exposure to secondhand smoke can cause severe and even fatal cardiovascular events in healthy nonsmokers. The dissemination of inaccurate information by anti-smoking groups to the public in support of smoking bans is unfortunate because it may harm the tobacco control movement by undermining its credibility, reputation, and effectiveness. Disseminating inaccurate information also represents a violation of basic ethical principles that are a core value of public health practice that cannot and should not be sacrificed, even for a noble end such as protecting nonsmokers from secondhand smoke exposure. How the tobacco control movement responds to this crisis of credibility will go a long way towards determining the future effectiveness of the movement and its ability to continue to save lives and protect the public's health