A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling

In this paper, I introduce a theoretically justified framework that incorporates scenario analysis into operational risk modeling. The basis for the framework is the idea that only worst-case scenarios contain valuable information about the tail behavior of operational losses. In addition, worst-case scenarios introduce a natural order among scenarios that makes possible a comparison of the ordered scenario losses with the corresponding quantiles of the severity distribution that research derives from historical losses. Worst-case scenarios contain information that enters the quantification process in the form of lower bound constraints on the specific quantiles of the severity distribution. The framework gives rise to several alternative approaches to incorporating scenarios.     

Postformal priorities for postnormal times: A rejoinder to Ziauddin Sardar

This essay is a postformal rejoinder to Ziauddin Sardar's Welcome to Postnormal Times. I have no quarrel with Sardar's conclusion that these times are postnormal, nor do I disagree with many of his observations, but our standpoints regarding implications are somewhat contradictory. Paradoxically, rather than jump into an old paradigm form of debate with Sardar's interpretations of postnormalcy, this rejoinder is a playful postformal response. I celebrate our complementary views as expressions of the complex truths of multiperspectivality. First I question the meaning of normal and postnormal in the context of such notions as “the pathology of normalcy.” Secondly I begin to explore the postnormal circumstances from a postformal perspective. This involves discussion of notions of progress, development, evolution and co-evolution from different points of view as an opener to coming to terms with complexity. I then explore how concepts such as complexity and paradox can be understood as paths to wisdom; how active imagination can be engaged in the service of life; and how engaged imagination can unfold new normative narratives of alternative futures. Such imaginaries of hope are vital for the wellbeing of young people. The essay closes with a call to embrace the richness of complexity and play with—rather than fear—the paradox of planetary pluralism.     

How consumers respond to product certification and the value of energy information

I study how consumers respond to competing pieces of information that differ in their degree of complexity and informativeness. In particular, I study the choice of refrigerators in the United States, where a mandatory disclosure labelling program provides detailed information about energy cost, and a certification labelling program provides a simple binary‐star rating related to energy use. I find that the coarse certification may help some consumers to pay attention to energy information, but for others, it may crowd out efforts to process more accurate, but complex, energy information. The effect of the certification on overall energy use is thus ambiguous.     

The effect of task complexity and expert system type on the acquisition of procedural knowledge: Some new evidence

Prior studies in accounting examining the effect of expert system use on procedural knowledge acquisition have reported that providing feedback in the form of rules, text explanation, or examples had no incremental effect on procedural knowledge acquisition. This finding is contrary to literature in psychology regarding the impact of feedback on knowledge acquisition. One of the reasons that the accounting literature may not show that feedback impacts knowledge acquisition relates to task complexity. Simple tasks require little processing on the part of the decision-maker and may not lead to learning effects even when feedback is provided. On the other hand, feedback coupled with complex tasks that require increased processing may help the decision-maker learn more about task completion causing knowledge acquisition to occur. This study extends previous research by examining whether task complexity and the type of feedback provided by an expert system affect the acquisition of procedural knowledge. This issue is important since procedural knowledge acquisition may differ between certain combinations of tasks and expert system types. This study manipulates both task complexity and the type of feedback provided by an expert system. The findings indicate that task complexity plays a major role in the acquisition of procedural knowledge for expert system users. Subjects in the expert system groups who evaluated the complex cases acquired a significantly greater amount of procedural knowledge than subjects who evaluated the simple cases. As predicted, there was no difference in amount of procedural knowledge acquired between subjects in the control groups regardless whether the task was simple or complex. Results also qualify findings of previous research in noting that acquisition of procedural knowledge only significantly differed between expert system users and the control group when the task was complex. These findings indicate that, of the two components, feedback and task complexity, task complexity plays the more important role in affecting procedural knowledge acquisition.     

The form of incentive contracts: agency with moral hazard,risk neutrality,and limited liability

The analysis obtains a complete characterization of the optimal agency contract with moral hazard, risk neutrality, and limited liability. We introduce a “critical ratio” that indicates the returns to providing the agent with incentives for effort in each random state. The form of the contract is debt (a capped bonus) when the critical ratio is increasing (decreasing) in the state. An increasing critical ratio in the state‐space setting corresponds to the hazard rate order for the reduced‐form distribution of output, which we term the “decreasing hazard rate in effort property” (DHREP). The critical ratio also yields insights into agency with adverse selection.     

Knowledge, limits and boundaries

In this paper the underlying concern is the problem of knowledge. How do we understand the world, what is ‘scientific’ knowledge, and to what extent is this knowledge limited by the fact that the world in which we live is complex? The problems associated with the status of our knowledge of the world have been central to philosophy all along. Here I will focus on the way in which the acknowledgement of complexity transforms some of the traditional conceptions of (especially scientific) knowledge. I will also examine the notions of boundaries and limits, arguing that these notions are not problems we have to get out of the way, but that they are inevitable as soon as we start talking of ‘knowledge’.     

农村金融改革试验区发展存在的问题及对策

当前县域经济发展对资金的需求旺盛与银行业对县域经济的支持不足对比鲜明。本文以九台市为例,概括介绍了农村金融改革实验区的发展,指出了农村金融改革实验区发展中存在的问题,并给出相应的政策建议。     

基于复合指标的郑州市域城镇化水平研究

对城镇化水平的测度,从人口、经济、社会文化、地域景观4个方面构建复合指标体系。采用主成分分析法,对郑州市域1990—2011年的城镇化水平进行综合分析,并对各分层指标进行数据标准化处理,研究结果显示郑州市城镇化综合水平保持较快的增长趋势,与人口城镇化水平存在显著的正相关,分层指标体系中首先表现为经济的增长与社会文化水平的提高,其次是地域景观的城市化,最后则是人口的城镇化,在城镇化进程中各分层指标体系所包含的各个指标在不同阶段所呈现的演变特点也是不同的。城镇化是一个复杂的过程,郑州市应调整产业结构,深化经济体制改革,逐步推进优质、高效的城镇化进程。     

内蒙古地级市城市承载力综合评价研究

城镇化发展过程中不断提升城市承载力,促进城市人口、经济、资源环境等协调发展,实现城市可持续发展是时代的要求.内蒙古城镇化进程平稳而快速,而其城市承载力水平如何亟待关注与评价.本文从土地、水资源、科教、交通与环境等角度选取指标构建城市承载力评价指标体系,使用判断矩阵最大特征根对应的特征向量归一化值确定综合评价中各级指标的权重,并通过对比分析与评价,发现内蒙古各城市承载力水平低且不平衡以及水资源是影响城市承载力发展的短板瓶颈因素,最后提出了进一步提升内蒙古城市综合承载力的对策建议.     

Affine forward variance models

We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterised by the affine form of their cumulant-generating function, which can be obtained as solution of a convolution Riccati equation. We further introduce the class of affine forward order flow intensity (AFI) models, which are structurally similar to AFV models, but driven by jump processes, and which include Hawkes-type models. We show that the cumulant-generating function of an AFI model satisfies a generalised convolution Riccati equation and that a high-frequency limit of AFI models converges in distribution to an AFV model.

     

After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures

We discuss a number of quantile‐based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value‐at‐Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously flawed. We then discuss how QBRMs can be estimated, and discuss some of the many ways they might be applied to insurance risk problems. These applications are typically very complex, and this complexity means that the most appropriate estimation method will often be some form of stochastic simulation.     

Global gamesmanship

Competition among multinationals these days is likely to be a three-dimensional game of global chess: The moves an organization makes in one market are designed to achieve goals in another in ways that aren't immediately apparent to its rivals. The authors--all management professors-call this approach "competing under strategic interdependence," or CSI. And where this interdependence exists, the complexity of the situation can quickly overwhelm ordinary analysis. Indeed, most business strategists are terrible at anticipating the consequences of interdependent choices, and they're even worse at using interdependency to their advantage. In this article, the authors offer a process for mapping the competitive landscape and anticipating how your company's moves in one market can influence its competitive interactions in others. They outline the six types of CSI campaigns--onslaughts, contests, guerrilla campaigns, feints, gambits, and harvesting--available to any multiproduct or multimarket corporation that wants to compete skillfully. They cite real-world examples such as the U.S. pricing battle Philip Morris waged with R.J. Reynolds--not to gain market share in the domestic cigarette market but to divert R.J. Reynolds's resources and attention from the opportunities Philip Morris was pursuing in Eastern Europe. And, using data they collected from their studies of consumer-products companies Procter & Gamble and Unilever, the authors describe how to create CSI tables and bubble charts that present a graphical look at the competitive landscape and that may uncover previously hidden opportunities. The CSI mapping process isn't just for global corporations, the authors explain. Smaller organizations that compete with a portfolio of products in just one national or regional market may find it just as useful for planning their next business moves.     

Understandings of accountability: an autoethnographic account using metaphor

The practical engagement of developing social accounts has provided me with an opportunity to consider different understandings of accountability. My reflective personal account, an autoethnography, explores difference in approaches to and insights into accountability in practice. The changed understandings of accountability developed during and after the production of two sets of social accounts with a not-for-profit organization. As part of the sense making process within the personal account, generative metaphor is used to enable reflection on the problem of accountability within social accounts. In this case the problem is both acknowledging and recognising the effect of my approach to and understandings of accountability during the production and reporting of two social accounts. The first social account was developed with a more formal and instrumental approach to accountability than the second which drew upon the initial experience and understanding of the first included a broader and more complex view of accountability. The recognition of a changed appreciation of accountability through the experience provides a deeper view of how accountability can be played out in practice with a not-for-profit community based organization. The result is my acknowledgement of a broader more encompassing notion of the complexity of accountability as part of a fragmented and changing world (Miller, 2002). By acknowledging this complexity I have opened a space that enables me to recognise the influence of my approach to accountability in practice. There is a need to recognise how we approach accountability in order to counter the current dominance of calculative forms of accountability from the ‘business case’ perspective supporting control of powerful elites that steer society. An accountability that includes complexity and the non-calculative is a more appropriate form for a not-for-profit organization rather than a dominant calculative accountability.     

ACCOUNTING REFORMS: DETERMINANTS OF LOCAL GOVERNMENTS' CHOICES

The introduction of accrual accounting in Italian Local Governments has been mandated in a way that permits, and in fact encourages, a merely formal compliance. Local Governments must produce accrual‐based financial statements, but double‐entry bookkeeping is not mandatory, nor may traditional budgetary accounting be abandoned. Why, then, should they bother to introduce an integrated system of budgetary and accrual accounting? In this paper, we empirically investigate the determinants of Local Government's choices of accounting innovation. According to our results, ‘rational’ elements such as complexity, types of activities performed, presence of surpluses, and access to capital markets are seemingly unhelpful in explaining why a Local Government decides to introduce accrual accounting. What counts are ‘institutional’ and cultural explanations, such as the perceptions of CFOs and the North‐South divide.     

Application of a vision in the Lake District of Salzburg

Understanding the complexity of landscapes is an essential prerequisite to propose strategies for landscape development in the mid future, to predict long-term effects of landscape change, and assess future demands on landscape resources. In order to be able to direct today's landscapes to a possible future state (German: Leitbild), landscape planning must include socio-cultural, economic and political considerations in addition to ecological aspects of the landscape. In response to this challenge, this paper unifies the Leitbild concept with a spatial explicit planning procedure and introduces a case study application for describing and classifying landscape visions based on a transdisciplinary, holistic concept.The general assessment system of planning a vision is adapted to the natural, cultural, political and economic conditions of the given case study area in the Federal States Upper Austria and Salzburg (Austria). The assessment system includes exercises that identify the assets of the planning procedure and encourage stakeholders, scientist and local people to collaborate in planning and implementation processes. This paper provides an overview of planning procedures from the Leitbild perspective, outlines problems encountered in the case study, and compares them to the findings of other scholars.     

新医保政策背景下大学生参保行为的研究——以广西壮族自治区南宁市为例

本文通过个案研究的方式,将广西首府南宁市作为调研地点,针对大学生医疗保险参与意愿进行了问卷调查和访谈,找出影响他们行为和意愿的相关因素。发现大学生受制度环境影响较大,并且制度参与的能动性不强,体现出一种有限的理性。另外,政策制定者（政府）、政策执行者（学校）、政策受益者（学生）之间的互动关系不强,也影响了学生的参保意愿。本文认为,大学生医疗保险参保积极性的提高,要注意强制与自愿、制度环境配套、相关主体互动三方面的问题,并从政府、学校、市场、学生个人方面加以改善。     

Mentoring and the tolerance of complexity

This paper explores mentoring in the light of complexity theory and the premium placed upon knowledge in organisational viability. A key question is “what is the role of mentoring, as a developmental and knowledge creating process, in a complex environment?” There are two parts to the discussion. First, we explore complexity at work, and what it means for the individual. We link the central ideas of complexity theory with the notion of a ‘corporate curriculum’, an inclusive concept intended to capture the complex nature of learning at work, in all its variants. Secondly, we speculate on the contribution mentoring can make in complex organisations where employees are part of a knowledge economy by virtue of being knowledge producers and being engaged in learning at work. The environments in which we work are becoming more complex and mentoring is also complex. There is a synergy here. For people living in complexity where there are few rules, no right answers and no predictable outcomes, we suggest that mentoring can play a distinctive role in helping people to ‘tolerate’ complexity and remain effective.     

Exploring the interaction between technology and morality in the field of genetic susceptibility testing: A scenario study

With the rise of genomics promises and concerns have emerged about future possibilities for screening of genetic susceptibilities to common diseases in the population. In this article we start from the assumption that for a better understanding of the future ethical implications of genetic susceptibility screening we need to address the interaction between technological and moral developments in society. We introduce a techno-ethical scenario approach and show how it may help us to explore more systematically potential future interactions between technological and moral developments in the field of genetic susceptibility screening. The first step is a historical account of population screening, focussing on the ways in which emerging practices of (genetic) screening have been mediated by an evolving moral landscape in our society. Based on this history we present a techno-ethical scenario of the future, showing how technological developments may shape conditions in our society in which the introduction and use of genetic susceptibility tests more and more become a matter of private decisions, reinforcing claims to individual self-determination as a deeply rooted value in the moral landscape of our society.     

Assessing the risk-return trade-off in loan portfolios

This paper proposes a methodology to analyse the risk and return of large loan portfolios in a joint setting. I propose a tractable model to obtain the distribution of loan returns from observed interest rates and default frequencies. I follow a sectoral approach that captures the heterogeneous cyclical features of different kinds of loans and yields moments in closed form. I investigate the validity of mean–variance analysis with a value at risk constraint and study its relationship with utility maximisation. Finally, I study the efficiency of corporate and household loan portfolios in an empirical application to the Spanish banking system.     

Optimal Equity Stakes and Corporate Control

I show that firms may optimally sell blocks of their own equityto other firms in anticipation of future corporate control activity.In the model, a target and one potential acquirer, who may alsobe an alliance partner, can negotiate before synergy valuesare learned. I find that equity implements an optimal mechanism,allowing the partners to extract surplus from outside bidderswho may arrive later. The stake is limited by the outsiders'willingness to investigate. The results imply that corporatecontrol may motivate an equity sale even when no takeover activityis apparent at the time or occurs ex post.