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This paper explores dependencies between operational risks and between operational risks and other risks such as market, credit and insurance risk. The paper starts by setting the regulatory context and then goes into practical aspects of operational risk dependencies. Next, methods of modelling operational risk dependencies are considered with a simulation study exploring the sensitivity of diversification benefits arising from dependency models. The following two sections consider how correlation assumptions may be set, highlighting some generic dependencies between operational risks and with non-operational risks to assist in the assessment of dependencies and correlation assumptions. Supplementary appendices provide further detail on generic dependencies as well as a case study of how business models can lead to operational risks interacting with other risks. Finally, the paper finishes with a literature review of operational risk dependency papers including correlation studies and benchmark reports.
The development of an economic capital model requires a decision to be made regarding how to aggregate capital requirements for the individual risk factors while taking into account the effects of diversification. Under the Individual Capital Adequacy Standards framework, UK life insurers have commonly adopted a correlation matrix approach due to its simplicity and ease in communication to the stakeholders involved, adjusting the result, where appropriate, to allow for non-linear interactions. The regulatory requirements of Solvency II have been one of the principal drivers leading to an increased use of more sophisticated aggregation techniques in economic capital models. This paper focusses on a simulation-based approach to the aggregation of capital requirements using copulas and proxy models. It describes the practical challenges in parameterising a copula including how allowance may be made for tail dependence. It also covers the challenges associated with fitting and validating a proxy model. In particular, the paper outlines how insurers could test, communicate and justify the choices made through the use of some examples.
This paper seeks to establish good practice in setting inputs for operational risk models for banks, insurers and other financial service firms. It reviews Basel, Solvency II and other regulatory requirements as well as publicly available literature on operational risk modelling. It recommends a combination of historic loss data and scenario analysis for modelling of individual risks, setting out issues with these data, and outlining good practice for loss data collection and scenario analysis. It recommends the use of expert judgement for setting correlations, and addresses information requirements for risk mitigation allowances and capital allocation, before briefly covering Bayesian network methods for modelling operational risks.
The free shear layer that separates from the leading edge of a round-nosed plate has been studied under conditions of low (background) and elevated (grid-generated) free stream turbulence (FST) using high-fidelity particle image velocimetry. Transition occurs after separation in each case, followed by reattachment to the flat surface of the plate downstream. A bubble of reverse flow is thereby formed. First, we find that, under elevated (7 %) FST, the time-mean bubble is almost threefold shorter due to an accelerated transition of the shear layer. Quadrant analysis of the Reynolds stresses reveals the presence of slender, highly coherent fluctuations amid the laminar part of the shear layer that are reminiscent of the boundary-layer streaks seen in bypass transition. Instability and the roll-up of vortices then follow near the crest of the shear layer. These vortices are also present under low FST and in both cases are found to make significant contributions to the production of Reynolds stress over the rear of the bubble. But their role in reattachment, whilst important, is not yet fully clear. Instantaneous flow fields from the low-FST case reveal that the bubble of reverse flow often breaks up into two or more parts, thereby complicating the overall reattachment process. We therefore suggest that the downstream end of the ‘separation isoline’ (the locus of zero absolute streamwise velocity that extends unbroken from the leading edge) be used to define the instantaneous reattachment point. A histogram of this point is found to be bimodal: the upstream peak coincides with the location of roll-up, whereas the downstream mode may suggest a ‘flapping’ motion.
The Cycadales are a group of significant global conservation concern and have the highest extinction risk of all seed plants. Understanding the synchronisation of reproductive phenology of Cycadales may be useful for conservation by enabling the targeting of pollen and seed collection from wild populations and identifying the window of fertilisation to aid in the cultivation of Cycadales. Phenological data for 11 species of Zamia were gathered from herbarium specimens. Four phenological characters were coded with monthly character states. DNA was isolated and sequenced for 26S, CAB, NEEDLY, matK and rbcL, and a simultaneous phylogenetic analysis of phenology and DNA sequence data was carried out. Three major clades were recovered: a Caribbean clade, a Central American clade and a South American clade. Eight species showed statistically significant synchronisation in microsporangiate and ovulate phenological phases, indicating the time of fertilisation. Close reproductive synchronisation was consistently observed throughout the Caribbean clade (statistically significant in four of five species) but was less consistent in the Central American clade (statistically significant in one of two species) and South American clade (statistically significant in three of four species). Ultimately, phenology is shown to be a potential driver of speciation in some clades of Zamia and in others to be a potential barrier to hybridisation.
In late 2011 the New Zealand Ministry for Primary Industries reported an increase in confirmed laboratory diagnoses of salmonellosis in dairy herds. To identify risk factors for herd-level outbreaks of salmonellosis we conducted a case-control study of New Zealand dairy herds in 2011–2012. In a multivariable analysis, use of continuous feed troughs [adjusted odds ratio (aOR) 6·2, 95% confidence interval (CI) 2·0–20], use of pelletized magnesium supplements (aOR 10, 95% CI 3·3–33) and use of palm kernel meal as a supplementary feed (aOR 8·7, 95% CI 2·5–30) were positively associated with a herd-level outbreak of salmonellosis between 1 July 2011 and 31 January 2012. We conclude that supplementary feeds used on dairy farms (regardless of type) need to be stored and handled appropriately to reduce the likelihood of bacterial contamination, particularly from birds and rodents. Magnesium supplementation in the pelletized form played a role in triggering outbreaks of acute salmonellosis in New Zealand dairy herds in 2011–2012.
Stigma and discrimination related to mental-health problems impacts negatively on people's quality of life, help seeking behaviour and recovery trajectories. To date, the experience of discrimination by people with mental-health problems has not been systematically explored in the Republic of Ireland. This study aimed to explore the experience impact of discrimination as a consequence of being identified with a mental-health problem.
Transcripts of semi-structured interviews with 30 people about their experience of discrimination were subject to thematic analysis and presented in summary form.
People volunteered accounts of discrimination which clustered around employment, personal relationships, business and finance, and health care. Common experiences included being discounted or discredited, being mocked or shunned and being inhibited or constrained by oneself and others.
Qualitative research of this type may serve to illustrate the complexity of discrimination and the processes whereby stigma is internalised and may shape behaviour. Such an understanding may assist health practitioners reduce stigma, and identify and remediate the impact of discrimination.
Proton radiography using laser-driven sources has been developed as a diagnostic since the beginning of the decade, and applied successfully to a range of experimental situations. Multi-MeV protons driven from thin foils via the Target Normal Sheath Acceleration mechanism, offer, under optimal conditions, the possibility of probing laser-plasma interactions, and detecting electric and magnetic fields as well as plasma density gradients with ~ps temporal resolution and ~ 5–10 µm spatial resolution. In view of these advantages, the use of proton radiography as a diagnostic in experiments of relevance to Inertial Confinement Fusion is currently considered in the main fusion laboratories. This paper will discuss recent advances in the application of laser-driven radiography to experiments of relevance to Inertial Confinement Fusion. In particular we will discuss radiography of hohlraum and gasbag targets following the interaction of intense ns pulses. These experiments were carried out at the HELEN laser facility at AWE (UK), and proved the suitability of this diagnostic for studying, with unprecedented detail, laser-plasma interaction mechanisms of high relevance to Inertial Confinement Fusion. Non-linear solitary structures of relevance to space physics, namely phase space electron holes, have also been highlighted by the measurements. These measurements are discussed and compared to existing models.
Anopheles labranchiae atroparvus which have gorged on myxoma-infected rabbits may retain their infectivity for as long as 220 days in a period covering the winter months. Virus titres in infected mosquitoes may also remain stable for several weeks at summer temperatures; virus has been recovered after 36 days in summer.
Virus in these Anopheles is, in most instances, to be found only in the head and mouthparts. Survival on mouthparts of killed mosquitoes, on the other hand, has been only for a few days.
One strain of virus (Newhaven strain) isolated from wild A. atroparvus produces flat erythematous lesions on intradermal inoculation into rabbits, and deaths occur later than with typical strains.
The possible role of over-wintering atroparvus as a reservoir of infection of myxomatosis is discussed.
The possibility is considered that transmission of infection by Anopheles is not purely mechanical, but that limited multiplication occurs in the insects.
The aim of this paper is to investigate local spatial dependency with regard to Salmonella seropositivity in data from the Danish swine salmonellosis control programme and its application in informing surveillance strategies. We applied inhomogeneous and observed-difference K-function estimation, and geo-statistical modelling to data from the Danish swine salmonellosis control programme. Slaughter-pig farm density showed large variation at both the country-wide and local level in Denmark (median 0·23, range 0·02–0·47 farms/km2). The spatial distribution of pig farms followed a random inhomogeneous Poisson process but was not aggregated. We found evidence for aggregation of Salmonella case farms over that of all farms at distances of up to 6 km and semivariogram analyses of Salmonella seropositivity revealed spatial dependency between pairs of farms up to 4 km apart. The strength of the spatial dependency was positively associated with slaughter-pig farm density. We proposed sampling more intensively those farms within a 4 km radius of farms that were identified with a high Salmonella status, and reduced sampling of farms that are within this radius of ‘Salmonella-free’ farms. Our approach has the potential to optimize sampling strategies while maintaining consumer confidence in food safety and also has potential to be used for other zoonotic disease surveillance systems.
The control programme for Salmonella infection in Danish swine has reduced the number of human cases attributable to pork consumption and the focus is now on cost-effectiveness. We applied time-series and longitudinal analyses to data collected between January 1995 and May 2005 to identify if there were predictable periods of risk that could inform sampling strategy; to investigate the potential for forecasting for early aberration detection; and to explore temporal redundancy within the sampling strategy. There was no evidence of seasonality hence no justification to change to targeted sampling at high-risk periods. The forecast of seropositivity made using an ARIMA (0, 1, 2) model had a root-mean-squared percentage error criterion of 8·4% indicating that accurate forecasts are possible. The lorelogram identified temporal redundancy at up to 10 weeks suggesting little value in sampling more frequently than this on the ‘average’ farm. These findings have practical applications for both farm-level sampling strategy and national-level aberration detection which potentially could result in a more cost-effective surveillance strategy.
Limitations of access have long restricted exploration and investigation of the cavities beneath ice shelves to a small number of drillholes. Studies of sea-ice underwater morphology are limited largely to scientific utilization of submarines. Remotely operated vehicles, tethered to a mother ship by umbilical cable, have been deployed to investigate tidewater-glacier and ice-shelf margins, but their range is often restricted. The development of free-flying autonomous underwater vehicles (AUVs) with ranges of tens to hundreds of kilometres enables extensive missions to take place beneath sea ice and floating ice shelves. Autosub2 is a 3600 kg, 6.7 m long AUV, with a 1600 m operating depth and range of 400 km, based on the earlier Autosub1 which had a 500 m depth limit. A single direct-drive d.c. motor and five-bladed propeller produce speeds of 1–2 m s−1. Rear-mounted rudder and stern-plane control yaw, pitch and depth. The vehicle has three sections. The front and rear sections are free-flooding, built around aluminium extrusion space-frames covered with glass-fibre reinforced plastic panels. The central section has a set of carbon-fibre reinforced plastic pressure vessels. Four tubes contain batteries powering the vehicle. The other three house vehicle-control systems and sensors. The rear section houses subsystems for navigation, control actuation and propulsion and scientific sensors (e.g. digital camera, upward-looking 300 kHz acoustic Doppler current profiler, 200 kHz multibeam receiver). The front section contains forward-looking collision sensor, emergency abort, the homing systems, Argos satellite data and location transmitters and flashing lights for relocation as well as science sensors (e.g. twin conductivity–temperature–depth instruments, multibeam transmitter, sub-bottom profiler, AquaLab water sampler). Payload restrictions mean that a subset of scientific instruments is actually in place on any given dive. The scientific instruments carried on Autosub are described and examples of observational data collected from each sensor in Arctic or Antarctic waters are given (e.g. of roughness at the underside of floating ice shelves and sea ice).
With the advent of recreational sports like kite surfing and buggying, the performance of kites has become a market driven item. Producers increasingly require methods to measure and improve the performance of the kites they manufacture. The Mechanical Engineering Department at the University of Canterbury has been working with a local kite producer to develop testing procedures suitable for kite manufacturers. The primary performance measurement is the lift to drag ratio. An early test rig was mounted in the top of a car, but limitations inherent in the design meant that it lost precision as the lift to drag ratio approached that of more advanced kites. This led the investigators to look for alternatives, and resulted in the development of the circular flight method. This method allows the test apparatus to be tuned to the performance of each kite, significantly improving the precision of the results while reducing the time taken for each test. In their raw form, the L/D results are not quite the same as those of the more traditional methods. But they reflect the underlying aerodynamic characteristics, and when used comparatively they can be used in the kite development process. Alternatively, with suitable processing the circular flight results can be converted to the traditional forms.