Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk

We propose a method approach. We use six international stock price indices and three hypothetical portfolios formed by these indices. The sample was observed daily from 1 January 1996 to 31 December 2006. Confirmed by the failure rates and backtesting developed by Kupiec (Technique for verifying the accuracy of risk measurement models. Journal of Derivatives 1995; 3 : 73–84) and Christoffersen (Evaluating interval forecasts. International Economic Review 1998; 39 : 841–862), the empirical results show that our method can considerably improve the estimation accuracy of value‐at‐risk. Thus the study establishes an effective alternative model for risk prediction and hence also provides a reliable tool for the management of portfolios. Copyright © 2011 John Wiley & Sons, Ltd.     

Ca2+ release from endoplasmic reticulum is mediated by a guanine nucleotide regulatory mechanism

Ca2+ accumulation and release from intracellular organelles is important for Ca2+-signalling events within cells. In a variety of cell types, the active Ca2+-pumping properties of endoplasmic reticulum (ER) have been directly studied using chemically permeabilized cells. The same preparations have been extensively used to study Ca2+ release from ER, in particular, release mediated by the intracellular messenger inositol 1,4,5-trisphosphate (InsP3). So far, these studies and others using microsomal membrane fractions have revealed few mechanistic details of Ca2+ release from ER, although a recent report indicated that InsP3-mediated Ca2+ release from liver microsomes may be dependent on GTP. In contrast to the latter report, we describe here the direct activation of a specific and sensitive guanine nucleotide regulatory mechanism mediating a substantial release of Ca2+ from the ER of cells of the neuronal cell line N1E-115. These data indicate the operation of a major new Ca2+ gating mechanism in ER which is specifically activated by GTP, deactivated by GDP, and which appears to involve a GTP hydrolytic cycle.     

Ultrathin compound semiconductor on insulator layers for high-performance nanoscale transistors

Over the past several years, the inherent scaling limitations of silicon (Si) electron devices have fuelled the exploration of alternative semiconductors, with high carrier mobility, to further enhance device performance. In particular, compound semiconductors heterogeneously integrated on Si substrates have been actively studied: such devices combine the high mobility of III-V semiconductors and the well established, low-cost processing of Si technology. This integration, however, presents significant challenges. Conventionally, heteroepitaxial growth of complex multilayers on Si has been explored-but besides complexity, high defect densities and junction leakage currents present limitations in this approach. Motivated by this challenge, here we use an epitaxial transfer method for the integration of ultrathin layers of single-crystal InAs on Si/SiO(2) substrates. As a parallel with silicon-on-insulator (SOI) technology, we use 'XOI' to represent our compound semiconductor-on-insulator platform. Through experiments and simulation, the electrical properties of InAs XOI transistors are explored, elucidating the critical role of quantum confinement in the transport properties of ultrathin XOI layers. Importantly, a high-quality InAs/dielectric interface is obtained by the use of a novel thermally grown interfacial InAsO(x) layer (~1?nm thick). The fabricated field-effect transistors exhibit a peak transconductance of ~1.6?mS?μm(-1) at a drain-source voltage of 0.5?V, with an on/off current ratio of greater than 10,000.