Beyond the Optimistic Curse: A New Multiscenario Approach to Debt Sustainability Assessment

While a careful and accurate debt sustainability assessment (DSA) is crucial for an efficient macroeconomic management, the most widely used framework introduced by the International Monetary Fund (IMF) suffers from several drawbacks that render its results overoptimistic and misleading. In this article, we correct the methodology by demonstrating how policy makers can develop country-specific “intermediate” forecasts of the determinants of debt dynamics, in addition to coherent “optimistic” and “pessimistic” scenarios. Our application to the case of Egypt illustrates that the debt-to-GDP ratio could increase to more than 100 percent by 2015, in contrast with the 61 percent projected by the IMF in 2010.     

National politics and bank default risk in the eurozone

We study the impact of national politics on default risk of eurozone banks as measured by the stock market-based Distance to Default. We find that national electoral cycles, the power of the government as well as the government’s party ideological alignment significantly affect the stability of banks in the eurozone member countries. Moreover, we show that the impact of national politics on bank default risk is more pronounced for large as well as weakly capitalized banks.     

Framing the usefulness of eHRM in talent management: A case study of talent identification in a professional services firm

As talent management evolves from intuitive to evidence‐based decision‐making, the role of electronic Human Resource Management (eHRM) to gather, distribute, and analyze data becomes more critical. However, surprisingly few academic studies investigate the role of technology in talent management. Drawing on a qualitative case study of talent management in a large professional services firm, this paper critically examines how eHRM information technologies are framed as useful within talent identification discourses. The findings reveal two distinct but interrelated sets of processes employed to identify talent and suggest that the perceived usefulness and centrality of eHRM are influenced by how stakeholders shape their understanding of effective talent management. Copyright © 2016 ASAC. Published by John Wiley & Sons, Ltd.     

Too Good to be True? An Analysis of the Options Market's Reactions to Earnings Releases

Using option implied risk neutral return distributions before and after earnings announcements, we study the option market's reaction to extreme events over earnings announcements. While earnings announcements generally reduce short‐term uncertainty about the stock price, very good news does not reduce uncertainty and slightly bad news actually increases uncertainty. We also find that left tail probabilities decrease over earnings releases while right tail probabilities increase. We interpret these findings as evidence of maintained investor expectations that very good news is generally not released during earnings announcements, combined with skepticism in the form of lingering uncertainty at the release of such very good news.     

Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions

A new kernel-type estimator for the distortion risk premiums of heavy-tailed losses is introduced. Using a least-squares approach, a bias-reduced version of this estimator is proposed. Under suitable assumptions, the asymptotic normality of the given estimators is established. A small simulation study, to illustrate the performance of our method, is carried out.     

General convex order on risk aggregation

Using a general notion of convex order, we derive general lower bounds for risk measures of aggregated positions under dependence uncertainty, and this in arbitrary dimensions and for heterogeneous models. We also prove sharpness of the bounds obtained when each marginal distribution has a decreasing density. The main result answers a long-standing open question and yields an insight in optimal dependence structures. A numerical algorithm provides bounds for quantities of interest in risk management. Furthermore, our numerical results suggest that the bounds obtained in this paper are generally sharp for a broader class of models.     

How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns

We explore whether the market variance risk premium (VRP) can be predicted. We measure VRP by distinguishing the investment horizon from the variance swap’s maturity. We extract VRP from actual S&P 500 variance swap quotes and we test four classes of predictive models. We find that the best performing model is the one that conditions on trading activity. This relation is also economically significant. Volatility trading strategies which condition on trading activity outperform popular benchmark strategies, even once we consider transaction costs. Our finding implies that broker dealers command a greater VRP to continue holding short positions in index options in the case where trading conditions deteriorate.     

Exploring impact factors of shippers’ risk prevention activities: A European survey in transportation

This paper reports results of a survey examining the impact factors for shippers to implement risk prevention activities. A regression analysis illustrates the relations between risk and quality related impact factors and the shippers’ ability to implement risk prevention activities. The study identifies the corporate risk culture and product vulnerability as main impact factors for the implementation of prevention activities in transportation. This paper will be beneficial for transportation managers considering the implementation of risk prevention activities in the transportation field, and will support further empirical research in the transportation management and supply chain risk management research area.     

Price promotion with reference price effects in supply chain

We consider the price promotion in a supply chain comprising one manufacturer and one retailer, who take into account the reference price effects of consumers. The problem is analyzed as a manufacturer-lead Stackelberg game. The results indicate that reference price effects could mitigate “double marginalization” effects, and improve the channel efficiency. We also show that the optimal price promotion benefits the manufacturer, retailer and consumers in consumer promotion model. Furthermore, we provide the conditions under which the retailer has an interest in offering price promotion to consumers. Finally, we employ numerical analysis to demonstrate more managerial insights.     

Effects of carbon emission reduction policies on transportation mode selections with stochastic demand

We are witnessing more frequent extreme weather events due to the global warming. There is an urgent need for governments, industries, general public, and academics to take coordinated actions in order to tackle the challenges imposed by the climate change. It is essential to incorporate the environmental objective in the transportation mode selection problem as transportation is a main contributor to carbon emissions. With this in mind, our paper studies the retailer’s ordering and transportation mode selection problem using stochastic customer demand and investigates the optimal ordering and transportation mode selection decisions under different carbon emission reduction policies. Our analytical results reveal that there are some important transportation mode shifting thresholds under different carbon emissions reduction policies. These findings do not only help firms to make optimal decisions under different carbon emission reduction policies but also support policy makers to develop effective policies on carbon emissions reduction.