What is wrong with the quantitative standards for market risk?

The purpose of this paper is to evaluate the quantitative standards laid down under the second Basel Accords for the implementation of internal market risk models by banks. The paper surveys available research to evaluate the standards. The standards don’t prescribe a VaR method despite evidence that volatility of financial returns is conditional and financial returns are fat tailed. The requirement of a minimum historical period also runs contrary to the finding that volatility is time varying and clustered resulting in banks being able to use weighting schemes conservatively only. The minimum horizon of ten days requires use of a scaling rule that is not accurate. The 99% confidence level requirement increases the inaccuracy when using a normal assumption on fat tailed data. The minimum updation period and minimum historical period requirements effectively smooth the market risk charge over and above the smoothing by the requirement of averaging VaR resulting in unresponsive market risk charges. The regulatory back testing framework is based on unconditional coverage and doesnot penalize clustered VaR exceptions. Key Words: Basel accord, GARCH, Historical simulation, Market risk, Value-at-risk, Volatility, Conditional volatility, Back testing

Amplified fragment length polymorphism of clinical and environmental Vibrio cholerae from a freshwater environment in a cholera-endemic area, India

<p>Abstract</p> <p>Background</p> <p>The region around Chandigarh in India has witnessed a resurgence of cholera. However, isolation of <it>V. cholerae </it>O1 from the environment is infrequent. Therefore, to study whether environmental nonO1-nonO139 isolates, which are native to the aquatic ecosystem, act as precursors for pathogenic O1 strains, their virulence potential and evolutionary relatedness was checked.</p> <p>Methods</p> <p><it>V. cholerae </it>was isolated from clinical cases of cholera and from water and plankton samples collected from freshwater bodies and cholera-affected areas. PCR analysis for the <it>ctxA, ctxB, tcpA, toxT </it>and <it>toxR </it>genes and AFLP with six primer combinations was performed on 52 isolates (13 clinical, 34 environmental and 5 reference strains).</p> <p>Results</p> <p>All clinical and 3 environmental isolates belonged to serogroup O1 and remaining 31 environmental <it>V. cholerae </it>were nonO1-nonO139. Serogroup O1 isolates were <it>ctxA, tcpA </it>(ElTor), <it>ctxB </it>(Classical), <it>toxR </it>and <it>toxT </it>positive. NonO1-nonO139 isolates possessed <it>toxR</it>, but lacked <it>ctxA </it>and <it>ctxB</it>; only one isolate was positive for <it>toxT </it>and <it>tcpA</it>. Using AFLP, 2.08% of the <it>V. cholerae </it>genome was interrogated. Dendrogram analysis showed one large heterogeneous clade (n = 41), with two compact and distinct subclades (1a and 1b), and six small mono-phyletic groups. Although <it>V. cholerae </it>O1 isolates formed a distinct compact subclade, they were not clonal. A clinical O1 strain clustered with the nonO1-nonO139 isolates; one strain exhibited 70% similarity to the Classical control strain, and all O1 strains possessed an ElTor variant-specific fragment identified with primer ECMT. Few nonO1-nonO139 isolates from widely separated geographical locations intermingled together. Three environmental O1 isolates exhibited similar profiles to clinical O1 isolates.</p> <p>Conclusion</p> <p>In a unique study from freshwater environs of a cholera-endemic area in India over a narrow time frame, environmental <it>V. cholerae </it>population was found to be highly heterogeneous, diverse and devoid of major virulence genes. O1 and nonO1-nonO139 isolates showed distinct lineages. Clinical isolates were not clonal but were closely related, indicating accumulation of genetic differences over a short time span. Though, environment plays an important role in the spread of cholera, the possibility of an origin of pathogenic O1 strains from environmental nonO1-nonO139 strains seems to be remote in our region.</p

Entropy based Software Reliability Growth Modelling for Open Source Software Evolution

During Open Source Software (OSS) development, users submit "new features (NFs)", "feature improvements (IMPs)" and bugs to fix. A proportion of these issues get fixed before the next software release. During the introduction of NFs and IMPs, the source code files change. A proportion of these source code changes may result in generation of bugs. We have developed calendar time and entropy-dependent mathematical models to represent the growth of OSS based on the rate at which NFs are added, IMPs are added, and bugs introduction rate.The empirical validation has been conducted on five products, namely "Avro, Pig, Hive, jUDDI and Whirr" of the Apache open source project. We compared the proposed models with eminent reliability growth models, Goel and Okumoto (1979) and Yamada et al. (1983) and found that the proposed models exhibit better goodness of fit

Factor V Leiden mutation and acquired activated protein C resistance in Indian women with recurrent fetal loss

Objectives: To study the prevalence and association of factor V Leiden (FVL) mutation and acquired APC resistance (APCR) in women with recurrent fetal loss (RFL).Patients and Methods: Fifty women with two or more RFLs and 50 age‑matched controls with no history of fetal loss and at least one live birth were included in the study. Complete blood counts and screening tests for coagulation (PT, APTT), APCR, and FVL (PCR) were done in all women.Results: Age of the patients ranged from 20–42 years with a mean ± SD of 27.4 ± 4.8 years. Prolonged PT and APTT were observed in 2% and 8% cases, respectively. None of the controls had prolonged PT/APTT. APCR was observed in 8% cases and 2% controls. The prevalence of APCR was higher in women with first‑trimester fetal loss (24.2%) as compared to women with the second trimester (13.3%) fetal loss. FVL was not observed in any of the cases or controls.Conclusion: This study indicates that FVL mutation is not associated with RFL in the Indian population while APCR is observed in Indian women with RFL. Key words: Activated protein C resistance; factor V Leiden; recurrent fetal loss; thrombophilia

Mathematical Modeling of Software Bug Complexity

During testing of software, most of the bugs lying dormant in the software gets uncovered once the test cases are executed. Different bugs may take different amounts of effort and expertise for their removal. To understand the complexity of bugs from a developer‟s perspective, researchers have developed different mathematical models. Software consists of two types of bugs, dependent and independent. Dependent bugs are those whose removal depends upon the removal of some other bugs on which it is dependent. Dependency of bugs also makes the bug complex and bugs will take more time during fixing. Different debugging time lags functions have been taken to model different complexity of bugs. The aim of this paper is to study the bugs of different complexity. The complexity of bugs has been also modeled using dependency concept. Testing effort dependent bug complexity model using fault dependency has been also discussed. We also feel that that more complex bug will take more time and less complex bug will take less time during fixing. During removal of bugs, the removal team gets more familiar with the code during the fixing. The learning effect during testing has been incorporated using logistic removal rate. The models are validated based on different comparison criteria namely MSE, R2 , Bias, Variation and Root mean squared error.Keywords/Index Terms: Non-homogeneous Poisson process, bug complexity, bugs types

Assessment of changes in brain metabolites in Indian patients with type-2 diabetes mellitus using proton magnetic resonance spectroscopy

BACKGROUND: The brain is a target for diabetic end-organ damage, though the pathophysiology of diabetic encephalopathy is still not well understood. The aim of the present study was to investigate the effect of diabetes on the metabolic profile of brain of patients having diabetes in comparison to healthy controls, using in-vivo magnetic resonance spectroscopy to get an insight into the pathophysiology of cerebral damages caused due to diabetes. METHODS: Single voxel proton magnetic resonance spectroscopy ((1)H-MRS) was performed at 1.5 T on right frontal, right parieto-temporal and right parieto-occipital white matter regions of the brain of 10 patients having type-2 diabetes along with 7 healthy controls. Absolute concentration of N-acetylaspartate (NAA), choline (cho), myo-inositol (mI), glutamate (Glu) and glutamine (Gln), creatine (Cr) and glucose were determined using the LC-Model and compared between the two groups. RESULTS: The concentration of N-acetylaspartate was significantly lower in the right frontal [4.35 ±0.69 vs. 5.23 ±0.74; p = 0.03] and right parieto-occipital region [5.44 ±0.52 vs.6.08 ±0.25; p = 0.02] of the brain of diabetics as compared to the control group. The concentrations of glutamate and glutamine were found to be significantly higher in the right frontal region of the brain [7.98 ±2.57 vs. 5.32 ±1.43; P = 0.01] in diabetics. Glucose levels were found significantly elevated in all the three regions of the brain in diabetics as compared to the control group. However, no significant changes in levels of choline, myo-inositol and creatine were observed in the three regions of the brain examined among the two groups. CONCLUSIONS: (1)H-MRS analysis indicates that type-2 diabetes mellitus may cause subtle changes in the metabolic profile of the brain. Decreased concentrations of NAA might be indicative of decreased neuronal viability in diabetics while elevated concentrations of Gln and Glu might be related to the fluid imbalance resulting from disruption of glucose homeostasis