International Journal of Financial Engineering最新文献

{"title":"A lognormal/normal regime-switching commodity pricing model","authors":"Zhushun Yuan, R. Kwon","doi":"10.1142/s2424786323500147","DOIUrl":"https://doi.org/10.1142/s2424786323500147","url":null,"abstract":"Inspired by the negative price of WTI crude oil observed during the COVID-19 pandemic, we develop a new model for commodity pricing which allows structural change between price normality and lognormality under a Markov regime-switching (RS) framework. We augment the Extended Kalman Filter to calibrate the structural changing model. The model performance in calibration is compared to that of the common RS model with historical WTI spots, various futures and hypothetical scenarios. We conclude that our model is superior in capturing price dynamics especially in the oil market downturns. Encouragingly, the regime probabilities estimated with the new model indicate that during severe events including the 2008–2010 financial crisis, 2014–2016 oil crash and the outbreak of COVID-19 in 2020, WTI spot itself follows normal rather than the widely assumed lognormal process. This finding is consistent with our empirical studies. In addition, we assess the probability density of spot prices with the new model. Finally, we present the PDE finite difference and Monte Carlo approaches to price commodity options under the new model.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44229996","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}

{"title":"Managing the risk of embedded options in non-traded credit using portfolio modeling","authors":"Bernd Engelmann","doi":"10.1142/s2424786323500123","DOIUrl":"https://doi.org/10.1142/s2424786323500123","url":null,"abstract":"A framework for measuring and managing the risk of embedded options in non-traded credit is developed. For typical bank clients there is no market information related to their ability to pay (bond or CDS spreads) available. The absence of market information is a key assumption of this paper. In this case, a bank has to rely solely on statistical data to judge the credit quality of a borrower. To value a loan with embedded options like prepayment rights, a model is proposed that combines an interest rate derivatives pricing model with statistical information on default and recovery rates. Using this for evaluating the risk of embedded options in loans, it is shown how the concepts of credit risk management can be applied after defining a suitable concept of risk. It turns out that this modeling framework combines the theories of derivatives pricing and credit risk modeling in the sense that derivatives pricing theory measures the costs for hedging optional components in loans while credit risk modeling measures the risk that these hedging costs turn out to be inadequate. This risk depends not only on the single loan’s risk characteristics but also on the dependence structure and the granularity of the total loan portfolio.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135658765","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}

{"title":"The Influence of Perceived Organizational Support on Extra Role Performance and Intra Role Performance Mediated by Employe Engagement","authors":"Trisninawati Trisninawati, Sunda Ariana, Sulaiman Helmi","doi":"10.37394/232032.2023.1.12","DOIUrl":"https://doi.org/10.37394/232032.2023.1.12","url":null,"abstract":"One of the most important things that an organization can do to improve its employee work is to identify what factors are influencing the work. The goal of this research is to connect Perceived Organizational Support to Ekstra Role Performance and IRP systems that are managed by Employee Engagement. With a sample size of 110 respondents from the Badan Usaha Milik Daerah (BUMD) in Palembang, the data was then analyzed using SEM with the LISREL filter. The CFA test passed the validity and reliability tests in this study, resulting in the conclusion that Perceived Organizational Support has no positive and significant impact on Ekstra Role Performance dan Intra Role Performance. However, Perceived Organizational Support has a positive and significant impact on Employee Engagement. Furthermore, Employee Engagement has no positive or significant impact on Ekstra Role Performance or Intra Role Performance. After that, Employee Engagement did not mediate the relationship between Perceived Organizational Support and Ekstra Role Performance or Intra Role Performance.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"19 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83602727","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}

{"title":"Recycling of Municipal Sewage Sludge in Sustainable Logistics Systems","authors":"О. Chukurna, Vladyslav Vaysman, O. Kassien, V. Dobrovolskyi, Natalia Strunnikova","doi":"10.37394/232032.2023.1.11","DOIUrl":"https://doi.org/10.37394/232032.2023.1.11","url":null,"abstract":"The article is devoted to the problem of designing recycling in sustainable logistics systems in the field of processing wastewater treatment waste - municipal sewage sludge (MSS). The essence of the developed and proposed wastewater treatment project is based on its integration into the city's public utilities system, which will be a single basis for a closed-type logistics system. This approach to the design of sustainable logistics systems ensures the formation of a closed material flow in terms of \"supply of raw materials - production - product distribution\". This allows solving two problems: ensuring the creation of a closed logistics system and developing a new type of fertilizer. The solutions proposed in this project in the implementation of the MSS processing project are complex and allow implementing all areas of the sustainable development strategy. The design technology makes it possible to completely close the logistics cycle for the supply and processing of MSS into finished products in the form of organic fertilizers.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"25 4 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83105144","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}

{"title":"Investment into Individual Farming Households as a Requirement of Ukrainian Food Security","authors":"K. Prib, S. Stepanchuk, O. Antonova, A. Dergach, Olha Bodnar, N. Karpinska","doi":"10.37394/232032.2023.1.15","DOIUrl":"https://doi.org/10.37394/232032.2023.1.15","url":null,"abstract":"The aggravation of the food crisis in the world highlights the problem of finding additional reserves to increase food production. In this context, personal farms of Ukraine attract special attention. They ensure the production of much of the country’s food; contribute to the employment of peasants and the development of rural areas. The aim of this article is to assess the resource and production potential of private farms, as well as to justify the feasibility of using their existing investment instruments. General scientific and special methods are used in the work. The main emphasis is on assessing the resource and production potential of the studied categories of farms. Methods of structural analysis and evaluation of time series have made it possible to establish the link between the level of crisis phenomena and the growing importance of personal farms in the country’s food supply, as well as to compare their potential with the potential of the agricultural sector of the country as a whole. Results of the research. It was found that personal farms play an important role in the country’s food security, as well as in the formation of a system of self-employment and socio-cultural relations. It is established that such farms successfully provide food needs for the rural population, as well as sell surplus products on the market. It has been proved that these economic entities have significant resource and production potential, but expanding the scope of their activities requires a number of measures, including changing the public policy to support farms, as well as ensuring active investment in their development. In the process of assessing the production and resource potential of private farms, it was determined that they have significant resources to invest their own resources in their development. Recommendations on intensification of investment activity of personal peasant farms are generalized; as a result, a number of measures, which can be applied in Ukraine, are resulted. It is established that the key areas for the application of these measures are information and educational activities, strengthening the competitive position of private farms, improving access to public and private investment, as well as diversification of activities. It was agreed that the complex combination of these measures within a single strategy would allow achieving maximum results in terms not only of food supply of the country, but also the development and improvement of welfare of individual rural households.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"110 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85450698","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}

{"title":"Promoting English Education Through Word-of-mouth: Case of Wall Street Bandung, Indonesia","authors":"Denissa Aulia Putri, M. E. Saputri, M. Pradana","doi":"10.37394/232032.2023.1.17","DOIUrl":"https://doi.org/10.37394/232032.2023.1.17","url":null,"abstract":"There are many requests for English education as a result of the significance of raising the standard of English communication education in each location. Because it is believed that learning the English language can help one communicate better, it is necessary to have these skills in the workplace. This study examined the impact of word-of-mouth at an Indonesian English-language university. All of the Wall Street English Bandung students were employed as the population in this quantitative analysis. A questionnaire was used to gather information for this type of casual research from 100 students attending the \"Wall Street English\" institution. Word of mouth and brand image serve as the study's independent variables. The acquired results indicate that word-of-mouth has a large impact on decisions to use the study service when making purchases, and the outcomes of following regressions indicate that brand image also has a significant impact. In this study, recommendations and final suggestions are also covered.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"19 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73343888","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}

{"title":"Development and Preservation of Human Capital Under the Conditions of the Creative Economy","authors":"Nataliya Kuznetsova, Viacheslav Tkachuk, Svitlana Obikhod, Tetiana Vlasenko, Oksana Samborska, Lyubov Chorna","doi":"10.37394/232032.2023.1.7","DOIUrl":"https://doi.org/10.37394/232032.2023.1.7","url":null,"abstract":"The transformation of the world economy is characterized by a change of emphasis from an industrial society to a society of knowledge and intelligence. This leads to the emergence of a new segment of the economy – the creative economy, which is essentially a symbiosis of culture, art and economy and it is based on creative human capital. The purpose of the academic paper is to study the features of the process of intellectualization, the role of human capital and its creative functions in a new type of economy based on intellectual activity. Methods. The basic methods used in the present research are as follows: statistical analysis, index and analytical methods, methods for estimating structural dynamic shifts, the method of comparisons. Along with this, the generally accepted methods of economic research have been also used, namely: the economic and statistical method and the method of economic and mathematical modeling (regression analysis) (in order to determine the impact of indicators characterizing the development of the creative sector of the economy on the level of GDP per capita), etc. Results. The importance of the creative economy in the development of the European countries and the role of human capital in the context of the formation of this economy sector has been updated. The essence of the category “development of human capital under the conditions of a creative economy” has been defined and its components have been specified. The features of the creative economy’s structure in the EU have been analyzed through the study of the dynamics of the number and structure of enterprises operating in the creative sphere. The number and the relative share of the population employed in the creative sector of the economy have been studied. The basic features of human capital development in European countries through the dynamics of the following indicators have been illustrated, namely: the coefficient of age dependence, life expectancy of the population, the risk of poverty, fully representing the social standards of the EU member states. In order to study the mutual interaction of the creative economy and human capital, a regression analysis has been performed. The basic components of development and preservation of human capital under the conditions of creative economy have been outlined.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136161363","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}

{"title":"Is Feeling Trusted by Supervisor Able to Improve Work Engagement?","authors":"Asri Santosa, S. Suharnomo, M. S. Perdhana","doi":"10.37394/232032.2023.1.16","DOIUrl":"https://doi.org/10.37394/232032.2023.1.16","url":null,"abstract":"This study examines the role of feeling trusted between the relationships between high-performance work systems and work engagement. Data were collected from 107 employees which work at the financial services companies in Jakarta, Indonesia. This study used structural equation modeling (SEM) in order to explore the associations between high-performance work systems and work engagement. Furthermore, Sobel Test was used to test the mediation effect from feeling trusted. This research found that high-performance work systems have positive relationship with feeling trusted and work engagement. Surprisingly, feeling trusted has negative impact to the work engagement. Last, this research revealed that feeling trusted cannot leads the high-performance work systems to improve work engagement. Despite this research conducted in multicultural country but it has paucity from cultural aspects analysis. Accordingly, future research should consider the cultural aspects to advance this form of research further. The theoretical and practical contributions will be discussed later.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"20 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88768627","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}

{"title":"Norms of International and Financial Law: General Features and Problems (Aspects of Public Administration)","authors":"Victoria Shekhovtsova, O. Guzenko, O. Soldatenko, Oksana Borysiuk","doi":"10.37394/232032.2023.1.9","DOIUrl":"https://doi.org/10.37394/232032.2023.1.9","url":null,"abstract":"The rules of financial law in connection with the worldwide spread of sustainable development concept apply to the social and environmental aspects of the operation of companies. EU legislation provides for accountability of organizations for the management of social and environmental challenges. This study aims to highlight the common features and issues of financial law at the international and national levels on the example of companies with international investment. Results of the research. The study highlights how companies with international investment in Ukraine ensure compliance with financial law and how this practice generally affects business strategy, business model, social behavior, and environmental protection. The common features of the norms of international and financial law within the EU are determined due to the adaptation and policy of integration of the norms into the national legal framework. Member States have adapted the new provisions of Directive 2014/95/EU, companies make public social and environmental operations following the new requirements. The implementation of financial law standards provides the company with several advantages. CSR reporting may not be in line with the actual business focus on environmental sustainability, as it stems from the voluntary nature of this type of reporting, which is contained not only in the law of Directive 2014/95/EU but also in the reporting of Italian, Spanish, Ukrainian companies. Sustainability reports do not guarantee effective management practices for the company’s environmental and environmental issues. The theoretical value of this study lies in complementing the concept of social responsibility: the concept of social responsibility applies to reporting to investors, not society, helping to create business value and increase investment opportunities and maintain profitability.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"11 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89868882","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}

{"title":"Digital Aspects of the Ukrainian Economic Development","authors":"M. Tokar, Yu.S. Kravtsov, S. Shybirina, I. Khmarska","doi":"10.37394/232032.2023.1.13","DOIUrl":"https://doi.org/10.37394/232032.2023.1.13","url":null,"abstract":"The article highlights the issue of digitization components in Ukraine. The study aims to show the importance, the current state of digitalization, and its main components, which are determined by international competitiveness rankings indicators. The author’s analysis methodology, based on a combination of domestic and international methods of the competitive digitalization indicator, is used for the study. The study’s relevance is indicated by the globalization processes and general economic trends towards digitalization. The study results show the current digitization state in the Ukrainian economy and also Ukraine’s world position on various digitalization parameters. The greatest strengths are the intellectual capital in Ukraine; the weakest sides are the country’s technological level and readiness to a volatile market. Also, the digitalization of Ukraine is accompanied by problems, which include the reform of the labor organization in IT companies, cybersecurity problems, and a lack of investment. The study has practical value in its application to developing strategies for digitalization development. Further research will improve the process for developing different aspects of digitalization.","PeriodicalId":54088,"journal":{"name":"International Journal of Financial Engineering","volume":"52 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74616830","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}