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

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

Collaborative action for person-centred coordinated care (P3C): an approach to support the development of a comprehensive system-wide solution to fragmented care

BACKGROUND: Fragmented care results in poor outcomes for individuals with complexity of need. Person-centred coordinated care (P3C) is perceived to be a potential solution, but an absence of accessible evidence and the lack of a scalable 'blue print' mean that services are 'experimenting' with new models of care with little guidance and support. This paper presents an approach to the implementation of P3C using collaborative action, providing examples of early developments across this programme of work, the core aim of which is to accelerate the spread and adoption of P3C in United Kingdom primary care settings. METHODS: Two centrally funded United Kingdom organisations (South West Collaboration for Leadership in Applied Health Research and Care and South West Academic Health Science Network) are leading this initiative to narrow the gap between research and practice in this urgent area of improvement through a programme of service change, evaluation and research. Multi-stakeholder engagement and co-design are core to the approach. A whole system measurement framework combines outcomes of importance to patients, practitioners and health organisations. Iterative and multi-level feedback helps to shape service change while collecting practice-based data to generate implementation knowledge for the delivery of P3C. The role of the research team is proving vital to support informed change and challenge organisational practice. The bidirectional flow of knowledge and evidence relies on the transitional positioning of researchers and research organisations. RESULTS: Extensive engagement and embedded researchers have led to strong collaborations across the region. Practice is beginning to show signs of change and data flow and exchange is taking place. However, working in this way is not without its challenges; progress has been slow in the development of a linked data set to allow us to assess impact innovations from a cost perspective. Trust is vital, takes time to establish and is dependent on the exchange of services and interactions. If collaborative action can foster P3C it will require sustained commitment from both research and practice. This approach is a radical departure from how policy, research and practice traditionally work, but one that we argue is now necessary to deal with the most complex health and social problems

Longitudinal evaluation of a countywide alternative to the Quality and Outcomes Framework in UK General Practice aimed at improving Person Centred Coordinated Care

Objectives To evaluate a county-wide deincentivisation of the Quality and Outcomes Framework (QOF) payment scheme for UK General Practice (GP). Setting In 2014, National Health Service England signalled a move towards devolution of QOF to Clinical Commissioning Groups. Fifty-five GPs in Somerset established the Somerset Practice Quality Scheme (SPQS)—a deincentivisation of QOF—with the goal of redirecting resources towards Person Centred Coordinated Care (P3C), especially for those with long-term conditions (LTCs). We evaluated the impact on processes and outcomes of care from April 2016 to March 2017. Participants and design The evaluation used data from 55 SPQS practices and 17 regional control practices for three survey instruments. We collected patient experiences (‘P3C-EQ’; 2363 returns from patients with 1+LTC; 36% response rate), staff experiences (‘P3C-practitioner’; 127 professionals) and organisational data (‘P3C-OCT’; 36 of 55 practices at two time points, 65% response rate; 17 control practices). Hospital Episode Statistics emergency admission data were analysed for 2014–2017 for ambulatory-sensitive conditions across Somerset using interrupted time series. Results Patient and practitioner experiences were similar in SPQS versus control practices. However, discretion from QOF incentives resulted in time savings in the majority of practices, and SPQS practice data showed a significant increase in P3C oriented organisational processes, with a moderate effect size (Wilcoxon signed rank test; p=0.01; r=0.42). Analysis of transformation plans and organisational data suggested stronger federation-level agreements and informal networks, increased multidisciplinary working, reallocation of resources for other healthcare professionals and changes to the structure and timings of GP appointments. No disbenefits were detected in admission data. Conclusion The SPQS scheme leveraged time savings and reduced administrative burden via discretionary removal of QOF incentives, enabling practices to engage actively in a number of schemes aimed at improving care for people with LTCs. We found no differences in the experiences of patients or healthcare professionals between SPQS and control practices.Objectives To evaluate a county-wide deincentivisation of the Quality and Outcomes Framework (QOF) payment scheme for UK General Practice (GP). Setting In 2014, National Health Service England signalled a move towards devolution of QOF to Clinical Commissioning Groups. Fifty-five GPs in Somerset established the Somerset Practice Quality Scheme (SPQS)—a deincentivisation of QOF—with the goal of redirecting resources towards Person Centred Coordinated Care (P3C), especially for those with long-term conditions (LTCs). We evaluated the impact on processes and outcomes of care from April 2016 to March 2017. Participants and design The evaluation used data from 55 SPQS practices and 17 regional control practices for three survey instruments. We collected patient experiences (‘P3C-EQ’; 2363 returns from patients with 1+LTC; 36% response rate), staff experiences (‘P3C-practitioner’; 127 professionals) and organisational data (‘P3C-OCT’; 36 of 55 practices at two time points, 65% response rate; 17 control practices). Hospital Episode Statistics emergency admission data were analysed for 2014–2017 for ambulatory-sensitive conditions across Somerset using interrupted time series. Results Patient and practitioner experiences were similar in SPQS versus control practices. However, discretion from QOF incentives resulted in time savings in the majority of practices, and SPQS practice data showed a significant increase in P3C oriented organisational processes, with a moderate effect size (Wilcoxon signed rank test; p=0.01; r=0.42). Analysis of transformation plans and organisational data suggested stronger federation-level agreements and informal networks, increased multidisciplinary working, reallocation of resources for other healthcare professionals and changes to the structure and timings of GP appointments. No disbenefits were detected in admission data. Conclusion The SPQS scheme leveraged time savings and reduced administrative burden via discretionary removal of QOF incentives, enabling practices to engage actively in a number of schemes aimed at improving care for people with LTCs. We found no differences in the experiences of patients or healthcare professionals between SPQS and control practices

Environmental Impact of Undular Tidal Bores in Tropical Rivers

A tidal bore impacts significantly on the estuarine ecosystem, although little is known on the flow field, mixing and sediment motion beneath tidal bores. In the absence of detailed systematic field measurements, a quasi-steady flow analogy was applied to investigate undular tidal bores with inflow Froude numbers between 1.25 and 1.6. Experimental results indicated that rapid flow redistributions occur beneath the free-surface undulations, with significant variations in bed shear stress between wave crests and troughs. Dynamic similarity was used to predict detailed flow characteristics of undular tidal bores. The effects of periodic loading on river sediments, scour of river bed and flow mixing behind the bore are discussed. A better understanding of these processes will contribute to better management practices in tidal bore affected rivers, including the Styx and Daly rivers in tropical Australia

The provenance of Borneo's enigmatic alluvial diamonds:A case study from Cempaka, SE Kalimantan

Gem-quality diamonds have been found in several alluvial deposits across central and southern Borneo. Borneo has been a known source of diamonds for centuries, but the location of their primary igneous source remains enigmatic. Many geological models have been proposed to explain their distribution, including: the diamonds were derived from a local diatreme; they were brought to the surface through ophiolite obduction or exhumation of UHP metamorphic rocks; they were transported long distances southward via major Asian river systems; or, they were transported from the Australian continent before Borneo was rifted from its northwestern margin in the Late Jurassic. To assess these models, we conducted a study of the provenance of heavy minerals from Kalimantan's Cempaka alluvial diamond deposit. This involved collecting U–Pb isotopic data, fission track and trace element geochemistry of zircon as well as major element geochemical data of spinels and morphological descriptions of zircon and diamond. The results indicate that the Cempaka diamonds were likely derived from at least two sources, one which was relatively local and/or involved little reworking, and the other more distal which records several periods of reworking. The distal diamond source is interpreted to be diamond-bearing pipes that intruded the basement of a block that: (1) rifted from northwest Australia (East Java or SW Borneo) and the diamonds were recycled into its sedimentary cover, or: (2) were emplaced elsewhere (e.g. NW Australia) and transported to a block (e.g. East Java or SW Borneo). Both of these scenarios require the diamonds to be transported with the block when it rifted from NW Australia in the Late Jurassic. The local source could be diamondiferous diatremes associated with eroded Miocene high-K alkaline intrusions north of the Barito Basin, which would indicate that the lithosphere beneath SW Borneo is thick (~ 150 km or greater). The ‘local’ diamonds could also be associated with ophiolitic rocks that are exposed in the nearby Meratus Mountains

Cognitive Performance in Centenarians and the Oldest Old: Norms from the Georgia Centenarian Study

We present normative data from a large population-based sample of centenarians for several brief, global neurocognitive tasks amenable for frail elders. Comparative data from octogenarians are included. A total of 244 centenarians and 80 octogenarians from Phase III of the Georgia Centenarian Study were administered the Mini-Mental Status Examination, Severe Impairment Battery, and Behavioral Dyscontrol Scale. Centenarians (age 98–107) were stratified into three age cohorts (98–99, 100–101, 102–107), octogenarians into two 5- year cohorts (80–84, 85–89). Highly significant differences were observed between groups on all measures, with greater variation and dispersion in performance among centenarians, as well as stronger associations between age and performance. Descriptive statistics and normative ranges (unweighted and population-weighted) are provided by age cohort. Additional statistics are provided by education level. While most previous centenarian studies have used convenience samples, ours is population-based and likely more valid for comparison in applied settings. Results suggest centenarians look different than do even the oldest age range of most normative aging datasets (e.g., 85–90). Results support using global measures of neurocognition to describe cognitive status in the oldest old, and we provide normative comparisons to do so

Nanostructural Diversity of Synapses in the Mammalian Spinal Cord

This work for funded by the Biotechnology and Biological Sciences Research Council (BBSRC; BB/M021793/1), RS MacDonald Charitable Trust, Motor Neurone Disease (MND) Association UK (Miles/Apr18/863-791), the Engineering and Physical Sciences Research Council (EPSRC; EP/P030017/1), Welcome Trust (202932/Z/16/Z), European Research Council (ERC; 695568) and the Simons Initiative for the Developing Brain.Functionally distinct synapses exhibit diverse and complex organisation at molecular and nanoscale levels. Synaptic diversity may be dependent on developmental stage, anatomical locus and the neural circuit within which synapses reside. Furthermore, astrocytes, which align with pre and post-synaptic structures to form “tripartite synapses”, can modulate neural circuits and impact on synaptic organisation. In this study, we aimed to determine which factors impact the diversity of excitatory synapses throughout the lumbar spinal cord. We used PSD95-eGFP mice, to visualise excitatory postsynaptic densities (PSDs) using high-resolution and super-resolution microscopy. We reveal a detailed and quantitative map of the features of excitatory synapses in the lumbar spinal cord, detailing synaptic diversity that is dependent on developmental stage, anatomical region and whether associated with VGLUT1 or VGLUT2 terminals. We report that PSDs are nanostructurally distinct between spinal laminae and across age groups. PSDs receiving VGLUT1 inputs also show enhanced nanostructural complexity compared with those receiving VGLUT2 inputs, suggesting pathway-specific diversity. Finally, we show that PSDs exhibit greater nanostructural complexity when part of tripartite synapses, and we provide evidence that astrocytic activation enhances PSD95 expression. Taken together, these results provide novel insights into the regulation and diversification of synapses across functionally distinct spinal regions and advance our general understanding of the ‘rules’ governing synaptic nanostructural organisation.Publisher PDFPeer reviewe

Macrofossil evidence for a rapid and severe Cretaceous–Paleogene mass extinction in Antarctica

Debate continues about the nature of the Cretaceous–Paleogene (K–Pg) mass extinction event. An abrupt crisis triggered by a bolide impact contrasts with ideas of a more gradual extinction involving flood volcanism or climatic changes. Evidence from high latitudes has also been used to suggest that the severity of the extinction decreased from low latitudes towards the poles. Here we present a record of the K–Pg extinction based on extensive assemblages of marine macrofossils (primarily new data from benthic molluscs) from a highly expanded Cretaceous–Paleogene succession: the López de Bertodano Formation of Seymour Island, Antarctica. We show that the extinction was rapid and severe in Antarctica, with no significant biotic decline during the latest Cretaceous, contrary to previous studies. These data are consistent with a catastrophic driver for the extinction, such as bolide impact, rather than a significant contribution from Deccan Traps volcanism during the late Maastrichtian