A decision rule to minimize daily capital charges in forecasting value‐at‐risk

Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit‐maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright © 2009 John Wiley & Sons, Ltd.     

An Experimental Study of Aspect Ratio on the Tensile Properties of an Elastic Fabric for Making-up of Pressure Garments

The“cut-and-sewn” pressure garments are normally tailored made in various sizes according to the size of human body as well as the area of burn wounds.When a tubular pressure garment is cut in different length and width measurements,different aspect ratio will be occurred on the elastic fabric for making up the pressuregarment. Many therapists in Hong Kong concerned the change of aspect ratio may affect the tensile properties of the elastic fabric and ultimately will affect the skin-and-garment interface pressure for the patient.The aim of     

Initializing K-means Batch Clustering: A Critical Evaluation of Several Techniques

K-means clustering is arguably the most popular technique for partitioning data. Unfortunately, K-means suffers from the well-known problem of locally optimal solutions. Furthermore, the final partition is dependent upon the initial configuration, making the choice of starting partitions all the more important. This paper evaluates 12 procedures proposed in the literature and provides recommendations for best practices.     

De novo mutations revealed by whole-exome sequencing are strongly associated with autism

Multiple studies have confirmed the contribution of rare de novo copy number variations to the risk for autism spectrum disorders. But whereas de novo single nucleotide variants have been identified in affected individuals, their contribution to risk has yet to be clarified. Specifically, the frequency and distribution of these mutations have not been well characterized in matched unaffected controls, and such data are vital to the interpretation of de novo coding mutations observed in probands. Here we show, using whole-exome sequencing of 928 individuals, including 200 phenotypically discordant sibling pairs, that highly disruptive (nonsense and splice-site) de novo mutations in brain-expressed genes are associated with autism spectrum disorders and carry large effects. On the basis of mutation rates in unaffected individuals, we demonstrate that multiple independent de novo single nucleotide variants in the same gene among unrelated probands reliably identifies risk alleles, providing a clear path forward for gene discovery. Among a total of 279 identified de novo coding mutations, there is a single instance in probands, and none in siblings, in which two independent nonsense variants disrupt the same gene, SCN2A (sodium channel, voltage-gated, type II, α subunit), a result that is highly unlikely by chance.     

The Amazon basin in transition

Agricultural expansion and climate variability have become important agents of disturbance in the Amazon basin. Recent studies have demonstrated considerable resilience of Amazonian forests to moderate annual drought, but they also show that interactions between deforestation, fire and drought potentially lead to losses of carbon storage and changes in regional precipitation patterns and river discharge. Although the basin-wide impacts of land use and drought may not yet surpass the magnitude of natural variability of hydrologic and biogeochemical cycles, there are some signs of a transition to a disturbance-dominated regime. These signs include changing energy and water cycles in the southern and eastern portions of the Amazon basin.     

Autistic-like behaviours and hyperactivity in mice lacking ProSAP1/Shank2

Autism spectrum disorders comprise a range of neurodevelopmental disorders characterized by deficits in social interaction and communication, and by repetitive behaviour. Mutations in synaptic proteins such as neuroligins, neurexins, GKAPs/SAPAPs and ProSAPs/Shanks were identified in patients with autism spectrum disorder, but the causative mechanisms remain largely unknown. ProSAPs/Shanks build large homo- and heteromeric protein complexes at excitatory synapses and organize the complex protein machinery of the postsynaptic density in a laminar fashion. Here we demonstrate that genetic deletion of ProSAP1/Shank2 results in an early, brain-region-specific upregulation of ionotropic glutamate receptors at the synapse and increased levels of ProSAP2/Shank3. Moreover, ProSAP1/Shank2(-/-) mutants exhibit fewer dendritic spines and show reduced basal synaptic transmission, a reduced frequency of miniature excitatory postsynaptic currents and enhanced N-methyl-d-aspartate receptor-mediated excitatory currents at the physiological level. Mutants are extremely hyperactive and display profound autistic-like behavioural alterations including repetitive grooming as well as abnormalities in vocal and social behaviours. By comparing the data on ProSAP1/Shank2(-/-) mutants with ProSAP2/Shank3αβ(-/-) mice, we show that different abnormalities in synaptic glutamate receptor expression can cause alterations in social interactions and communication. Accordingly, we propose that appropriate therapies for autism spectrum disorders are to be carefully matched to the underlying synaptopathic phenotype.     

A complete insect from the Late Devonian period

After terrestrialization, the diversification of arthropods and vertebrates is thought to have occurred in two distinct phases, the first between the Silurian and the Frasnian stages (Late Devonian period) (425-385?million years (Myr) ago), and the second characterized by the emergence of numerous new major taxa, during the Late Carboniferous period (after 345?Myr ago). These two diversification periods bracket the depauperate vertebrate Romer's gap (360-345?Myr ago) and arthropod gap (385-325?Myr ago), which could be due to preservational artefact. Although a recent molecular dating has given an age of 390?Myr for the Holometabola, the record of hexapods during the Early-Middle Devonian (411.5-391?Myr ago, Pragian to Givetian stages) is exceptionally sparse and based on fragmentary remains, which hinders the timing of this diversification. Indeed, although Devonian Archaeognatha are problematic, the Pragian of Scotland has given some Collembola and the incomplete insect Rhyniognatha, with its diagnostic dicondylic, metapterygotan mandibles. The oldest, definitively winged insects are from the Serpukhovian stage (latest Early Carboniferous period). Here we report the first complete Late Devonian insect, which was probably a terrestrial species. Its 'orthopteroid' mandibles are of an omnivorous type, clearly not modified for a solely carnivorous diet. This discovery narrows the 45-Myr gap in the fossil record of Hexapoda, and demonstrates further a first Devonian phase of diversification for the Hexapoda, as in vertebrates, and suggests that the Pterygota diversified before and during Romer's gap.     

A Binary Integer Program to Maximize the Agreement Between Partitions

This research note focuses on a problem where the cluster sizes for two partitions of the same object set are assumed known; however, the actual assignments of objects to clusters are unknown for one or both partitions. The objective is to find a contingency table that produces maximum possible agreement between the two partitions, subject to constraints that the row and column marginal frequencies for the table correspond exactly to the cluster sizes for the partitions. This problem was described by H. Messatfa (Journal of Classification, 1992, pp. 5–15), who provided a heuristic procedure based on the linear transportation problem. We present an exact solution procedure using binary integer programming. We demonstrate that our proposed method efficiently obtains optimal solutions for problems of practical size. We would like to thank the Editor, Willem Heiser, and an anonymous reviewer for helpful comments that resulted in improvements of this article.