Commodity tail risks

In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.     

Customer satisfaction as a buffer against sentimental stock-price corrections

Previous research has shown that customer satisfaction is a market-based asset that can contribute to a firm’s value by increasing its stock-market returns, while simultaneously reducing the riskiness of these returns. This study contributes to the growing literature on the marketing–finance interface by examining the relationship between customer satisfaction and a type of risk that has not been previously studied in the marketing literature: the vulnerability of a firm’s stock price to the stock-market corrections that typically follow periods of high investor sentiment. The results show that customer satisfaction can function as a buffer against the risk of such sentimental stock-price movements and reduces their negative impact on a firm’s market value. In particular, we find that firms with higher (lower) levels of customer satisfaction exhibit smaller (greater) price corrections and higher returns after periods of high investor sentiment.     

Computational aspects of robust optimized certainty equivalents and option pricing

Accounting for model uncertainty in risk management and option pricing leads to infinite‐dimensional optimization problems that are both analytically and numerically intractable. In this article, we study when this hurdle can be overcome for the so‐called optimized certainty equivalent (OCE) risk measure—including the average value‐at‐risk as a special case. First, we focus on the case where the uncertainty is modeled by a nonlinear expectation that penalizes distributions that are “far” in terms of optimal‐transport distance (e.g. Wasserstein distance) from a given baseline distribution. It turns out that the computation of the robust OCE reduces to a finite‐dimensional problem, which in some cases can even be solved explicitly. This principle also applies to the shortfall risk measure as well as for the pricing of European options. Further, we derive convex dual representations of the robust OCE for measurable claims without any assumptions on the set of distributions. Finally, we give conditions on the latter set under which the robust average value‐at‐risk is a tail risk measure.     

The determinants of Turkey's exports to Islamic countries: The impact of political risks

Using the traditional gravity model, this paper aims to analyze the determinants of Turkish exports to 43 Islamic Development Bank member countries for the period from 1996 to 2015. The paper specifically investigates the effects of 12 political risk measures (bureaucracy quality, corruption, democratic accountability, government stability, internal and external conflict, investment profile, law and order, military in politics, religious and ethnic tensions, and socioeconomic conditions) in the importing countries on the total volume of exports of Turkey. After implementing various robustness checks, the paper finds that the government instability in the importing countries is negatively associated with the Turkish exports.     

The world stock markets under geopolitical risks: Dependence structure

This paper reveals joint stochastic behaviours of the world’s stock markets and geopolitical risk by a copula approach for the 37 world’s stock markets over the period of June 1997 to December 2017. The various bivariate copulas show the different degrees of tail dependences and rank correlations. The differences between overall geopolitical risk index and action‐related geopolitical risk index lie in the higher tail dependence with overall geopolitical risk index, the dominancy of concordant movements of stock market indexes with overall geopolitical risk and that of discordant movements of stock market indexes with action‐related geopolitical risk index. The results illustrate that action‐related geopolitical risk is more often adversely related to the world’s stock market performances with less tail dependence.     

Value at risk and conditional extreme value theory via markov regime switching models

This study develops a new conditional extreme value theory‐based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets. The study combines the Markov switching ARCH (SWARCH) model (which uses different sets of parameters for various states to cope with the structural changes for measuring the time‐varying volatility of the return distribution) with the EVT to model the tail distribution of the SWARCH processed residuals. The model is compared with unconditional EVT and conditional EVT‐GARCH models to estimate the extreme losses in three leading stock indices: S&P 500 Index, Hang Seng Index and Hang Seng China Enterprise Index. The study found that the EVT‐SWARCH model outperformed both the GARCH and SWARCH models in capturing the non‐normality and in providing accurate value‐at‐risk forecasts in the in‐sample and out‐sample tests. The EVTSWARCH model, which exhibits the features of measuring the volatility of a heteroscedastic financial return series and coping with the non‐normality owing to structural changes, can be an alternative measure of the tail risk. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:155–181, 2008     

Analysis on supply chain risks in Indian apparel retail chains and proposal of risk prioritization model using Interpretive structural modeling

Indian apparel retail industry is on a complete transformation journey and trying to evolve as an organized industry. It is very common to find the disruption factors in every business and the ways to mitigate and manage them is of current research interest. The paper discusses the selective risks associated with the apparel retail supply chains in India by structural analysis of the controllable risks that are identified. The work also reveals the use of Interpretative Structural Modeling (ISM) to establish the interdependencies between these risks spread across various supply chain functions of retail industry. The relationships are established based on expert opinions using Delphi technique followed by ISM modeling technique and Fuzzy MICMAC analysis. It also classifies the risk factors based on their driving and dependence power. ISM is proved to be a useful tool to help understand the impact of risks at stages of retail supply chain. Globalization, labor issues and security and safety of resources turns out to be the strong drivers of other supply chain uncertainties. The domino effect of these risks leads to financial crises for the organization.The paper also proposes a new model for the Risk Priority Number (RPN) calculation using ISM and Fuzzy MICMAC methodology for the applications in retail and various other domain risk studies. The sample size of experts is small and to remove the biasness of opinion, the model can be further validated using Structural Equation Modeling (SEM) in the future. The outcome would help practicing managers to analyze and to take actions for managing the factors by improving the bottom line of the organization by proper utilization of resources.     

Does Venture Capital Syndication Spur Employment Growth and Shareholder Value? Evidence from German IPO Data

This study empirically examines the syndication of equity by multiple venture capitalists in Germany. Following the literature, there are mainly two competing views as to why venture capitalists syndicate investments. First, syndication can be viewed as a means of risk-sharing. Second, venture capitalists may provide important productive resources to firms: capital and information. I test hypotheses based on these two aspects. The results show that the syndication of equity and the number of venture capitalists involved cannot be fully explained by firm characteristics like size, age, or industry affiliation. Although syndicated investments do not differ significantly in stock-market performance, they do show significantly higher growth rates.     

Uncertainty representation and risk management for direct segmented marketing

ABSTRACT

Mining for truly responsive customers has become an integral part of customer portfolio management, and, combined with operational tactics to reach these customers, requires an integrated approach to meeting customer needs that often involves the application of concepts from traditionally distinct fields: marketing, statistics, and operations research. This article brings such concepts together to address customer value and revenue maximisation as well as risk minimisation for direct marketing decision-making problems under uncertainty. We focus on customer lift optimisation given the uncertainty associated with lift estimation models, and develop risk management and operational tools for the multiple treatment (recommendation) problem using stochastic and robust optimisation techniques. Results from numerical experiments are presented to illustrate the effect of incorporating uncertainty on the performance of recommendation models.     

物流企业战略联盟风险及其防范研究

战略联盟作为组织关系中的一种制度创新,它已成为物流企业战略性调整和价值创造的重要手段。但是,物流企业战略联盟会面临不同的风险.本文给出了物流企业战略联盟的四种风险,并给出了规避风险的策略。     

Taking marketing strategy risks with seemingly no expected gains

This paper investigates the competitive rationale for firms to invest in marketing activities aiming to enhance valuation and achieve differentiation and competitive advantage, while carrying the strategic risks of causing unintended negative consequences. We build a stylized theoretical model where firms offering similar (homogenous) products are competing by determining their marketing strategy and pricing. Each firm must choose between several marketing activities that have different potentials of enhancing consumers’ product valuations while carrying some risk of lowering consumer valuation if unintended negative outcomes occur. The stochastic nature of marketing implies that (1) even when both firms invest the same amount of money aiming to enhance product valuations by the same level, there will be a variety of (posterior) vertical differentiation scenarios where the consumers could value either firm’s product as better as or worse than the rival’s. (2) The firms may employ marketing activities that do not even lead to gains in consumer product valuation in expectation. The duopoly model analysis indicates that associated with strategic pricing, even such stochastic marketing activities may constitute desirable strategies for two a priori symmetric firms in order to avoid a Bertrand type competition as the benefit from differentiation is found to be significant enough to offset the unintended negative outcomes. The oligopoly model analysis indicates that there is an increased incentive to take marketing risk when there is a greater level of competitive intensity in the marketplace. Preliminary experimental evidence is presented to support the main findings from theoretical model analyses. The paper thus provides important managerial implications for firms contemplating investment in seemingly risky marketing activities.

     

VaR在我国商业银行市场风险管理中的应用研究

VaR是当前国际主流的市场风险计量工具。由于我国金融市场与西方成熟金融市场存在着很多差异,我国商业银行运用VaR计量金融市场风险时面临许多约束条件,目前国内现有的VaR体系在风险管理过程中仅起参考作用,尚未真正用于决策。为提高自身的风险管理水平,银行应聘请业内和学术界的专家对有关部门的领导和业务人员进行培训,从外界吸收专业的风险管理人才,为将来更好地开展风险计量工作作好人才储备;重视数据积累,加紧完善风险管理数据库,为风险管理信息系统有效运转提供数据支持;在对单一风险来源的金融产品尝试开展风险计量工作的基础上,对同时受多种风险因素影响的金融产品和多种资产构成的组合及二级金融衍生产品开展风险计量工作。     

Time variation in the tail behavior of Bund future returns

The literature on the tail behavior of asset prices focuses mainly on the foreign exchange and stock markets, with only a few articles dealing with bonds or bond futures. The present article addresses this omission. It focuses on three questions using extreme value analysis: (a) Does the distribution of Bund future returns have heavy tails? (b) Do the tails change over time? (c) Does the tail index provide information that is not captured by a standard VaR approach? The results are as follows: (a) The distribution of high‐frequency returns of the Bund future is indeed characterized by heavy tails. The tails are thinner for lower frequencies, but remain significantly heavy even for daily data. (b) There are statistically significant breaks in the tails of the return distribution. (c) The likelihood of extreme price movements suggested by extreme value theory differs from that obtained by standard risk measures. This suggests that the tail index does indeed provide information not contained in volatility measures. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:387–398, 2004     

Provision of Step-Level Public Goods with Uncertain Provision Threshold and Continuous Contribution

Common to most theoretical and empirical research on public goods is the assumption that the parameters of the game are common knowledge. Recent theoretical and empirical studies have questioned this assumption by arguing that many public goods situations are characterized by uncertainty regarding various aspects of the situation. In particular, Suleiman (1997) argued that members of production groups of step-level public goods are often uncertain about the value of the provision threshold. For this type of uncertainty he proposed three distinct models to account for the individual's contribution.The present study reports the results of an experiment designed primarily to test and contrast the predictions derived from two of these models – a subjective expected utility model and a cooperative model – regarding the effects of threshold uncertainty on contribution for the provision of step-level public goods. Other goals of the study were to test the joint effect of the threshold uncertainty level, and its mean (low vs. high), on contribution, and to examine the effect of threshold uncertainty on the individuals' estimates regarding the contributions of other group members.The results show that the effect of threshold uncertainty is moderated by the threshold mean: Contribution to the public good increased as a function of uncertainty for the lower threshold mean, and decreased (though not significantly) for the higher threshold mean. In contrast, for the two threshold means the subjects' estimates of the mean and variability of others' contribution increased with threshold uncertainty.The models' comparison revealed that the cooperative model was superior to the subjective expected utility model. This result adds to a substantial body of research on social dilemmas showing that under conditions of social (strategic) uncertainty, group members tacitly coordinate their choice behavior by anchoring their decisions on rules of fairness.     

Earnings announcement timing,uncertainty, and volatility risk premiums

We examine the relationship between firms’ quarterly earnings report timing and uncertainty before quarterly earnings announcements. Prior research provides conflicting predictions on how investor uncertainty and report timing are related. Using implied volatilities from equity options and the realized returns to straddle positions, we find evidence that uncertainty and volatility risk premiums are higher for firms that report later in the quarter. Further tests show that the increase in option premiums is unexplained by risk factors suggesting a mispricing by investors. These results are not associated with static firm-level factors and our findings are concentrated in high growth firms.     

Weather derivatives valuation and market price of weather risk

This paper has two objectives: (1) to propose and implement a valuation framework for temperature derivatives (a specific class of weather derivatives); and (2) to study the significance of the market price of weather risk. The objectives are accomplished by generalizing the Lucas model of 1978 to include the weather as another fundamental source of uncertainty in the economy. Daily temperature is modeled by incorporating such key properties as seasonal cycles and uneven variations throughout the year. The temperature variable is related to the aggregate dividend or output through both contemporaneous and lagged correlations, as corroborated by the data. Numerical analysis shows that the market price of weather risk is significant for temperature derivatives. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1065–1089, 2004     

Refining e-shoppers’ perceived risks: Development and validation of new measurement scale

Due to the rapid expansion of perceived e-shopping risks, and highly isolated and inconsistent presentation of literature about this concept, understanding e-shopper's behavior has become more difficult. In this regard, this study brings together different views, evidences and facts about perceived e-shopping risks from both scholars and practitioners of South-East Asian and Western countries. It then interprets the information in the form of a new scale which offers more adequacy, assemblage and uniformity than the existing models of perceived risks of e-shoppers. The new scale of construct has 11 dimensions comprising a pool of 38 items, which has been empirically validated through the data collected from 537 Malaysian e-shoppers. The dimensions are: high price risk, deception risk, transaction failure risk, dissimilar product risk, incapable service risk, illegitimate product risk, isolation risk, unease risk, displeasure risk, prior-purchase time delays risk, and post-purchase time delays risk. The theoretical and managerial implications and research limitations have also been discussed.     

Value investing in emerging markets: risks and benefits

This paper identifies a subset of emerging markets that have higher than average expected returns and studies risk properties of this subset by investment simulations. It is found that: (1) the portfolio of ‘value’ emerging markets generates superior returns; and (2) statistical measures of its risk are close to the corresponding measures for the portfolio of all emerging markets. The statistical significance of these results has been checked by a bootstrap procedure. The results imply that the optimal share of emerging markets increases from 0% for an equally weighted portfolio to approximately 25% for the portfolio of undervalued emerging markets.     

Misinformation,disinformation, and fake news: Cyber risks to business

Misleading information is an emerging cyber risk. It includes misinformation, disinformation, and fake news. Digital transformation and COVID-19 have exacerbated it. While there has been much discussion about the effects of misinformation, disinformation, and fake news on the political process, the consequences of misleading information on businesses have been far less, and it can be argued insufficiently, examined. The article offers a primer on misleading information and cyber risks aimed at business executives and leaders across an array of industries, organizations, and nations. Misleading information can have a profound effect on business. I analyze different misleading information types and identify associated cyber risks to help businesses think about these emerging threats. I examine in general the cyber risk posed by misleading information on business, and I explore in more detail the impact on healthcare, media, financial markets, and elections and geopolitical risks. Finally, I offer a set of practical recommendations for organizations to respond to these new challenges and to manage risks.     

Social distancing in retail: Influence of perceived retail crowding and self-efficacy on employees’ perceived risks

The global COVID-19 pandemic has compelled all countries to impose social distancing as the basic epidemic prevention strategy; however, enterprises find it difficult to follow social distancing. Enterprises should give precedence to the perceived feelings of employees and manage internally to control risks. This study explores the influence of perceived retail crowding and self-efficacy regarding the perceived risk of employees in the retail industry in terms of practical social distancing. Overall, 378 valid samples were investigated using actual employees in the retail industry, and partial least squares (PLS) method was used to test the hypotheses. This study found that perceived retail crowding has a positive impact on different risk levels, while self-efficacy has a direct negative significance. For the retail industry, knowledge of these risks and employees’ perceived attitudes can be used to suggest means to maintain the service capacity of sustainable operations in retail stores.