Market risk management of banks: implications from the accuracy of Value‐at‐Risk forecasts

This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value‐at‐Risk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle Committee of the Bank of International settlement, adopt the VaR system to evaluate the market risk of their supervised banks. Banks are required to report VaRs to bank regulators with their internal models. These models must comply with Basle's backtesting criteria. If a bank fails the VaR backtesting, higher capital requirements will be imposed. VaR is a function of volatility forecasts. Past studies mostly conclude that ARCH and GARCH models provide better volatility forecasts. However, this paper finds that ARCH‐ and GARCH‐based VaR models consistently fail to meet Basle's backtesting criteria. These findings suggest that the use of ARCH‐ and GARCH‐based models to forecast their VaRs is not a reliable way to manage a bank's market risk. Copyright © 2002 John Wiley & Sons, Ltd.     

培养物理拔尖学生的理论与实践

介绍福建省一级达标学校龙岩一中物理竞赛辅导的做法与体会，高中物理竞赛的组织形式，以及对物理拔尖学生的教育培养。     

灌输理论的时效性研究

本文通过对列宁灌输理论的阐述与理解，结合“灌输过时”、“无用论”来思考这一理论所具有的现代价值，探寻其完善途径。     

Demonstration of aliinase in a protein preparation from onion

Zusammenfassung Eine proteinhaltige Darstellung aus Zwiebeln enthält ein Enzym, welches stöchiometrisch S-Alkyl-l-cystein-sulfoxyde in Brenztraubensäure und Ammoniak spaltet. Daneben entsteht, nicht-stöchiometrisch, ein benzollöslicher, lauchartig riechender, mit N-Äthylmaleinimid reagierender Stoff, wahrscheinlich das Alkylthiosulfinsäure-alkylester. Das Enzym wirkt optimal auf (+)-S-Propyl-l-cysteinsulfoxyd bei pH 8,4 in Gegenwart von Pyridoxalphosphat.     

Pulsed UV Laser Modification of Polyester Textile Materials:Effect on Wettability

There has recently been great interest in ablative photodecomposition(APD), notably in pulsed UV laser treatment on polymers, for modification of physical and chemical properties, such as dyeability, printability, adhesion, Iuster and many more. Very little attention was focused, however, on the property of wetting behaviour,which is one of the most fundamental properties in affecting polymer science. Poly(ethylene terephthalate) (PET) fibers drawn to two different draw ratios and under two temperatures, and three white knitted polyester fabrics made of 100% PET fibre were used to investigate their wetting behaviour due to excimer laser treatment.Experiments like water contact angle measurement, vertical drop test and moisture regain were conducted upon samples and all results give the same conclusion that laser treatment increases the hydrophobicity of all samples tested. Scanning electron microscope (SEM) observation reveals how the morphological modification of polymers by laser treatment is correlate     

丹参水提取物对去卵巢大鼠血脂和肝脏的影响

为研究丹参的雌激素样作用,将32只6月龄SD大鼠随机分成假手术组(Sham)、去卵巢手术组(OVX)、阳性对照17β-雌二醇治疗组(E2,1mg.kg-1.d-1,灌胃)和丹参治疗组(SM,600 mg.kg-1.d-1,灌胃),治疗12周后,检测大鼠体重的增加情况、子宫指数、血脂水平、血清转氨酶活性及抗氧化情况,并进行肝脏的组织学检测.结果显示,丹参水提取物治疗12周能明显抑制去卵巢诱导的大鼠体重的增加,刺激萎缩的子宫生长,改善血脂水平,降低丙氨酸氨基转氨酶(ALT)和天门冬氨酸氨基转氨酶(AST)的活性,减轻肝脏的脂肪变性.丹参水提取物的这些保护作用,可能与其能降低氧化剂丙二醛(MDA)水平,增加超氧化物歧化酶(SOD)、过氧化氢酶(CAT)和谷胱甘肽过氧化物酶(GPx)的活性有关.     

Evolutionary mode of metallothioneins inferred from Cd-MT genes of Tetrahymena

FromTetrahymena thermophila (strain BF5), the coding region ofCd-MT gene was cloned and sequenced, and identified as MTTI isoform. A serial duplicate structure is discovered in its amino acid sequence, which separates the coding region into three parts (Part 1: 7–61: Part 2: 64–118; Part 3: 122–162). The alignments among them and comparison with the corresponding parts of MT1 isoform suggest that MT1 and MTT1 isoforms both come from the same ancient gene that is homologous to Part 1, and Cd-MTs ofTetrahymena are aroused by such ancient gene duplication. The prediction of secondary structures and the analysis of the disulfide-bonding state of cysteine show that there are a lot of differences between MT1 and MTT1 isoforms, which maybe relate to their function mechanism. Foundation item: Supported by KSCX of Chinese Academy of Sciences Grant (SW-102) and the Allocation from the Earmaarked Grant for Hong Kong. Biography: WAN Mingliang (1980-). male, Ph. D. candidate, research direction: molecular ecotoxicology of protozoan.