Banking and Debt Crises in Europe: The Dangerous Liaisons?

The potential mutation of the Sub-Prime banking crisis into a sovereign debt one in Euro area countries is investigated. After reviewing the criteria used to measure the debt vulnerability, the balance sheet approach is presented in order to illustrate the potential connections between these two types of crises. A graphical analysis yields evidence that at the end 2009 the probability of observing a Euro area country defaulting is less likely than six month before. Nevertheless, the serious threats, which concern Greece and Ireland, do not permit us to exclude the occurrence of a contagious, or self-fulfilling, sovereign debt or currency crises in Euro area in the future.     

Learning by Failing: A Simple VaR Buffer

We study in this article the problem of model risk in VaR computations and document a procedure for correcting the bias due to specification and estimation errors. This practical method consists of “learning from model mistakes”, since it dynamically relies on an adjustment of the VaR estimates – based on a back‐testing framework – such as the frequency of past VaR exceptions always matches the expected probability. We finally show that integrating the model risk into the VaR computations implies a substantial minimum correction to the order of 10–40% of VaR levels.     

Reporting missing data: a study of selected articles published from 2003–2007

Missing data (MD) is prevalent in empirical social science research (Allison, http://books.google.ca/books?id=ZtYArHXjpB8Canddq=missing+dataandprintsec=frontcoverandsource=blandots=ziTBvDHxWbandsig=Uiy83xDbWSO4HeBSth0Q_oZIrQandhl=enandei=q6A7Su25ApnIM-eYlccOandsa=Xandoi=book_resultandct=resultandresnum, 2001; Rubin in J Am Stat Assoc 91:473?C489, 1996). Furthermore, inconsistencies in the reporting and treatment of MD have been documented (Peugh and Enders in Rev Educ Res 74:525?C556, 2004). The goal of the current project was to examine how MD was reported and treated in 68 studies issued from a refereed educational journal. It was observed that a fifth of the quantitative articles reviewed actually treated MD, using mainly deletion methods and only 10% of the explicit articles explained MD. Overall, MD reported or inferred averaged about 33% of cases and was commonly associated with missing subjects. Only three articles provided the actual percentages of MD. The results suggest that there may be a lack of consistency in how MD is reported and treated and that studies may remain deficient in how MD is addressed. The importance of the study was to signal tendencies in reporting and treating MD, to provide tentative explanations for such trends, to propose hypotheses for future empirical studies in the field, and to offer an initial set of practical guidelines for including addressing, explaining, and treating MD in educational research.     

Complexity of Outsourcing Contracts and Ex Post Transaction Costs: An Empirical Investigation*

abstract In this article, we use Transaction Cost Economics (TCE) and the Resource‐Based View (RBV) of the firm to study outsourcing agreements. We develop an original approach of contract complexity and analyse the links among exchange hazards (i.e. specificity and environmental uncertainty), the contractual aspects of outsourcing (control, incentives, penalties, price and flexibility clauses) and the level of ex post transaction costs. Both contract complexity and ex post transaction costs are operationalized and measured. Our empirical research analyses 82 outsourcing contracts. This article uses three different dimensions (proximity to the core business, switching costs and adaptation costs) to assess the strategic importance of an outsourced activity. Our findings extend TCE's validity for the outsourcing of activities with a strategic value. Finally, this study offers an indirect measurement of ex post transaction costs. In short, to restrict vendor opportunism, contracts must contain incentives and penalties, as well as pricing and monitoring clauses.     

Storage and security of supply in the medium run

This paper analyzes the role of private storage in a market for a commodity (e.g. natural gas) whose supply is subject to the threat of an irreversible disruption. We focus on the medium term in which seasonality of demand and exhaustibility can be neglected. We characterize the price and inventory dynamics (accumulation, drainage and limit stocks) in a competitive equilibrium with rational expectations. We show the robustness of our results to alternative scenarios in which either a disruption has finite duration or the crisis is foreseen. During the crisis consumers may put pressure on the Government to intervene, but too severe antispeculative measures would inefficiently discourage storage. Practical solutions to this dilemma cause welfare losses that we characterize and quantify.     

Two-machine flow shop scheduling of polyurethane foam production

This paper studies a two-machine flow shop scheduling problem with a supporting precedence relation. The model originates from a real production context of a chemical factory that produces foam-rubber products. We extend the traditional two-machine flow shop by dividing the operations into two categories: supporting tasks and regular jobs. In the model, several different compositions of foam rubber can be mixed at the foam blooming stage, and products are processed at the manufacturing stage. Each job (product) on the second machine cannot start until its supporting tasks (parts) on the first machine are all finished and the second machine is not occupied. The objective is to find a schedule that minimizes the total job completion time. The studied problem is strongly NP-hard. In this paper, we propose a branch-and-bound algorithm incorporating a lower bound and two dominance rules. We also design a simple heuristic and an iterated local search (ILS) algorithm to derive approximate solutions. The performances of the proposed algorithms are examined through computational experiments.     

The Consequences for a Monopolistic Insurance Firm of Evaluating Risk Better than Customers: The Adverse Selection Hypothesis Reversed

This article models a situation in which a monopolistic insurer evaluates risk better than its customers. The resulting equilibrium allocations are compared to the consequences of the standard adverse selection hypothesis. On the positive side, they exhibit the property that low-risk people are better covered than higher-risk people. On the normative side, the article shows that there are two reasons for avoiding excessive risk classification: one is the classical destruction of insurance possibilities, and the other comes from the distrustful atmosphere generated by new asymmetric information.     

Internationalization Strategies of Business Schools: How Flat Is the World?

Business school strategy has become extremely complex, especially regarding internationalization. Using different paths, experiencing failure and success, business schools have internationalized, attracting many of the international students who contributed $27 billion¹ to the US economy in 2014. Some business schools are global, training global managers, while others serve national markets. How do business schools strategize about internationalization? Can we use existing models to explain this process? Are internationalization and globalization similar? Using a comparative analysis of six case studies in the United States and Europe, we found that the engine of internationalization influences its paths and outcomes. We contribute to international business (IB) research by discussing how business schools strategize their internationalization toward uniformity or diversity under isomorphic pressures from accreditation bodies (Association to Advance Collegiate Schools of Business [AACSB], 2011) and rankings. The so‐called Uppsala model should be extended to address three tensions: internationalization versus globalization, enacted dimensions of audiences, and respective risks of different internationalization pathways. © 2015 Wiley Periodicals, Inc.     

Omega performance measure and portfolio insurance

We analyze the performance of the two main portfolio insurance methods, the OBPI and CPPI strategies, using downside risk measures. For this purpose, we introduce Kappa performance measures and especially the Omega measure. These measures take account of the entire return distribution. We show that the CPPI method performs better than the OBPI. As a-by-product, we determine the set of threshold values for these risk/reward performance measures.