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Designing an Enterprise Risk Management Curriculum for Business Studies: Insights from a Pilot Program 设计商业研究的企业风险管理课程:来自试点项目的见解
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2014-03-01 DOI: 10.1111/rmir.12019
M. Acharyya, Chris Brady
{"title":"Designing an Enterprise Risk Management Curriculum for Business Studies: Insights from a Pilot Program","authors":"M. Acharyya, Chris Brady","doi":"10.1111/rmir.12019","DOIUrl":"https://doi.org/10.1111/rmir.12019","url":null,"abstract":"The latest financial crises have highlighted the centrality of managing risks across organizations. Internationally, Basel II/III, The Volcker Rule of the Dodd–Frank Act, and Vickers’ Ring-Fence all propose stronger management of risk across banks and greater oversight of executive compensation to mitigate generic risk. Given this situation, it might be assumed that academia would also view risk as a central concern for its business programs. It seems not. There is a little evidence that academic curricula are being specifically designed to address this issue. This article examines an Enterprise Risk Management curriculum delivered to graduate student cohorts over 3 consecutive years. Four criteria were used to develop the new curriculum. First, it should take a holistic view of risk; second, the theories related to risk needed to be transformed from individual to group level; third, the dynamics of risk due to market factors needed to be understood; and finally, the way firms respond to crises needed to be observed and embedded in the curriculum.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129812678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Performance Evaluation with High Moments and Disaster Risk 基于高时刻和灾害风险的绩效评估
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2014-02-20 DOI: 10.2139/ssrn.2020724
Ohad Kadan, Fang Liu
{"title":"Performance Evaluation with High Moments and Disaster Risk","authors":"Ohad Kadan, Fang Liu","doi":"10.2139/ssrn.2020724","DOIUrl":"https://doi.org/10.2139/ssrn.2020724","url":null,"abstract":"Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (Journal of Political Economy, 2008) and Foster and Hart (Journal of Political Economy, 2009) as performance indices. We derive the moment properties of these indices and their sensitivity to rare disasters and show that they are consistent with the asset pricing literature. As applications, we show that “anomalous” investment strategies such as “momentum” or investment in private equity lose much of their glamour when accounting for high moments and rare events. Furthermore, using the indices to select mutual funds results in desirable high-moment properties out of sample.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124027386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Arbitrage-Free Call Option Surface Construction Using Regression Splines (Preprint) 利用回归样条曲线构建无套利看涨期权曲面(预印本)
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2014-02-05 DOI: 10.2139/ssrn.1956138
Greg Orosi
{"title":"Arbitrage-Free Call Option Surface Construction Using Regression Splines (Preprint)","authors":"Greg Orosi","doi":"10.2139/ssrn.1956138","DOIUrl":"https://doi.org/10.2139/ssrn.1956138","url":null,"abstract":"In this work, we suggest a novel quadratic programming-based algorithm to generate an arbitrage-free call option surface. Our approach relies on a regression spline-based implementation of the framework proposed by Orosi (2011) who presents a multi-parameter extension of the models of Figlewski (2002) and Henderson, Hobson, and Kluge (2007). Moreover, the empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. NOTE: This is a preprint. The published version has been extensively revised.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128421736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Distress Anomaly and Shareholder Risk: International Evidence 困境异常与股东风险:国际证据
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-12-06 DOI: 10.2139/ssrn.2267611
Assaf Eisdorfer, Amit Goyal, A. Zhdanov
{"title":"Distress Anomaly and Shareholder Risk: International Evidence","authors":"Assaf Eisdorfer, Amit Goyal, A. Zhdanov","doi":"10.2139/ssrn.2267611","DOIUrl":"https://doi.org/10.2139/ssrn.2267611","url":null,"abstract":"Financially distressed stocks in the U.S. earn puzzlingly low returns giving rise to the distress risk anomaly. In this paper we provide evidence on the performance of distressed stocks in 34 different countries. We find that the distress anomaly appears to exist in developed countries but not in emerging ones. Using cross-country analyses we explore several alternative potential drivers of returns to distressed stocks. We find that the distress anomaly is stronger in countries with stronger takeover legislation, lower barriers to arbitrage, higher information transparency, and easier access to new loans. We find a weak relation between the distress anomaly and debt enforcement risk, and a measure of country-level return skewness. We find no relation between the anomaly and the legal origin of a country. These findings suggest that various aspects of shareholders’ risk play an important role in shaping distressed stocks returns.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115997648","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets 行业回报的可预测性和反应不足:来自大宗商品市场的证据
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-09-11 DOI: 10.2139/ssrn.2005365
Mohammad R. Jahan-Parvar, Andrew Vivian, M. Wohar
{"title":"Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets","authors":"Mohammad R. Jahan-Parvar, Andrew Vivian, M. Wohar","doi":"10.2139/ssrn.2005365","DOIUrl":"https://doi.org/10.2139/ssrn.2005365","url":null,"abstract":"This paper finds significant evidence that commodity log price changes can predict industry-level returns for horizons of up to six trading weeks (30 days). We find that for the 1985–2010 period, 40 out of 49 U.S. industries can be predicted by at least one commodity. Our findings are consistent with Hong and Stein’s (1999) “underreaction hypothesis.” Unlike prior literature, we pinpoint the length of underreaction by employing daily data. We provide a comprehensive examination of the return linkages among 25 commodities and 49 industries. This provides a more detailed investigation of underreaction and investor inattention hypotheses than most related literature. Finally, we implement data-mining robust methods to assess the statistical significance of industry returns reactions to commodity log price changes, with precious metals (such as gold) featuring most prominently. While our results indicate modest out-of-sample forecast ability, they confirm evidence that commodity data can predict equity returns more than four trading weeks ahead.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134398630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Three Practical Assignments for the Introductory Risk Management and Insurance Student 风险管理与保险导论学生的三份实务作业
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-09-01 DOI: 10.1111/rmir.12014
Kevin M. Gatzlaff
{"title":"Three Practical Assignments for the Introductory Risk Management and Insurance Student","authors":"Kevin M. Gatzlaff","doi":"10.1111/rmir.12014","DOIUrl":"https://doi.org/10.1111/rmir.12014","url":null,"abstract":"I have developed, used, and refined an auto quote assignment, a life quote assignment, and a retirement analysis assignment that seem to communicate certain concepts well to the typical student enrolled in a risk management and insurance principles course. These assignments consist of worksheets requiring Internet research and a series of questions based on the answers discovered. Additionally, a short class discussion follows each of the three assignments to further ensure that students have achieved the primary learning objectives of each assignment. In their current form, these assignments are practical and require relatively minimal student and instructor time. Each could easily be expanded to accommodate students with advanced understanding and capability.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128406716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Identifying Mixture Copula Components Using Outlier Detection Methods and Goodness-of-Fit Tests 使用离群值检测方法和拟合优度检验识别混合Copula成分
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-08-30 DOI: 10.2139/ssrn.1927881
Gregor N. F. Weiß
{"title":"Identifying Mixture Copula Components Using Outlier Detection Methods and Goodness-of-Fit Tests","authors":"Gregor N. F. Weiß","doi":"10.2139/ssrn.1927881","DOIUrl":"https://doi.org/10.2139/ssrn.1927881","url":null,"abstract":"This paper proposes the use of outlier detection methods from robust statistics and copula goodness-of-fit tests to identify components of mixture copulas. We first consider simulated data samples in which the true dependence structure is given by a mixture of two parametric copulas: one copula that is presumed to represent the true dependence structure and one disturbing copula. The Monte Carlo simulations show that the goodness-of-fit tests we consider lose significantly in power when applied to mixtures of copulas with different tail dependence. Several goodness-of-fit tests are shown to hold their nominal level when multivariate outliers are excluded, although this improvement comes at the price of a further loss in the tests' power. The usefulness of excluding outliers in copula goodness-of-fit testing is exemplified in an empirical risk management application.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127814560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds 足球队异常收益:重新评估投注赔率的信息价值
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-08-26 DOI: 10.2139/ssrn.1998335
Massimiliano Castellani, Pierpaolo Pattitoni, R. Patuelli
{"title":"Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds","authors":"Massimiliano Castellani, Pierpaolo Pattitoni, R. Patuelli","doi":"10.2139/ssrn.1998335","DOIUrl":"https://doi.org/10.2139/ssrn.1998335","url":null,"abstract":"We analyse the links between soccer match results, betting odds and stock returns of all listed European soccer teams. Using an event-study approach, we measure positive (negative) abnormal returns following wins (ties and losses). Additionally, we analyse the role, which we find to be non-significant, of betting odds in shaping market reactions to unexpected results. We propose an alternative econometric approach, using seemingly unrelated regressions models, to take into account the problem of overlapping events. Abnormal returns following unexpected results are then found to be statistically significant, and to magnify the positive (negative) effects of wins (losses).","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125341435","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Contracting in Delegated Portfolio Management: The Case of Alternative Assets 委托投资组合管理中的契约:另类资产的案例
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-08-13 DOI: 10.2139/ssrn.2022457
C. W. Li, Ashish Tiwari
{"title":"Contracting in Delegated Portfolio Management: The Case of Alternative Assets","authors":"C. W. Li, Ashish Tiwari","doi":"10.2139/ssrn.2022457","DOIUrl":"https://doi.org/10.2139/ssrn.2022457","url":null,"abstract":"This study explores optimal portfolio management contracts in the context of ‘opaque’ portfolios invested in illiquid or privately held assets. We identify shortcomings of linear contracts in this context and demonstrate that the second-best optimal contract features a convex component. The importance of the convex component is an increasing function of the portfolio’s opacity. Furthermore, the principal’s utility loss from restricting the weight of the convex component to zero is increasing in the portfolio’s opacity. These results help provide a rationale for the form of contracts observed in the case of alternative investments including hedge funds and private equity funds.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"9 8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130187900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the Risk Neutralization of Transition Matrix 转移矩阵的风险中和问题
Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2013-08-02 DOI: 10.2139/ssrn.1976977
Richard Zhou
{"title":"On the Risk Neutralization of Transition Matrix","authors":"Richard Zhou","doi":"10.2139/ssrn.1976977","DOIUrl":"https://doi.org/10.2139/ssrn.1976977","url":null,"abstract":"Risk-neutral transition matrix term structure is an essential component of rating-based credit derivative pricing models. However, generation of suitable risk-neutral transition matrix term structure remains a challenging problem. Many calibration models in the literature either are unstable or result in poor fit to the market implied default probability term structure.In this paper, we propose a new risk-neutral transition matrix term structure calibration method in which the conditional rating transition matrix is a mixture of Markov chains. Numerical results indicate that the local Markov mixture model is capable of accurately calibrating to a variety of market implied CDS/PD term structure.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115301730","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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