Valuation of reverse mortgages under (limited) default risk

In this paper, we develop a consistent valuation framework for reverse mortgages based on reduced-form intensity models as used in credit risk modelling. Within our modelling framework, we explicitly calculate the probability that the total loan amount exceeds the house value at termination of the contract and derive the maximum payment(s) which can be made to the homeowner under certain constraints. We apply our results to data from the German market and discuss implications for the design of reverse mortgages from a lender's perspective.     

Pricing a CDO on stochastically correlated underlyings

In this paper, we propose a method to price collateralized debt obligations (CDO) within Merton's structural model on underlyings with a stochastic mean-reverting covariance dependence. There are two key elements in our development, first we reduce dimensionality and complexity using principal component analysis on the assets' covariance matrix. Second, we approximate this continuous multidimensional structure using a tree method. Trinomial-tree models can be developed for both the principal components and the eigenvalues assuming the eigenvectors are constant over time and the eigenvalues are stochastic. Our method allows us to compute the joint default probabilities for k defaults of stochastically correlated underlyings and the value of CDOs in a fast manner, without having lost much accuracy. Furthermore we provide a method based on moments to estimate the parameters of the model.     

The train drivers' strike in Germany 2007–2008: warnings for the future of the German trade union movement?

The authors review the strike that took place during 2007–08 that was called by the oldest existing German trade union, the professional union of train drivers Gewerkschaft Deutscher Lokführer (GDL). In so doing, the outcome of the strike is analysed, together with the dynamics of relationship between the GDL, the industrial union TRANSNET, the Gewerkschaft der Bahnbeamten und Anwärter (DBDA), the union of the civil servants employed by the German railway, and the railway company Deutsche Bahn (DB AG). These relationships are examined as paradigmatic of politics of a particularistic organisation like GDL and for politics of an encompassing organisation like TRANSNET. These relationships raise the question: would the growth of professional unions in Germany lead to an erosion of the German system of industrial relations, which currently is still relatively stable due to the predominance of encompassing industrial unions?     

In the footsteps of Anne Frank,The Beatles and Vincent Van Gogh: a review and discussion of personal legacy trails

ABSTRACT

This article focuses on a review and discussion of personal legacy trails. A detailed analysis and reconstruction of tourism in the footsteps of Anne Frank and the management of the involved sites form the main case study here. The short life of Anne Frank in perilous times has attracted the attention of millions of readers as well as visitors to the places closely associated with her life path: Frankfurt, her birth place in 1929, Aachen, Amsterdam (including her place in hiding 1942–1944), Transit Camp Westerbork, Concentration Camp Auschwitz and at last Concentration Camp Bergen-Belsen, where she and her sister Margot died in March 1945. A general discussion of the importance of personal legacy trails follows in the last third of the paper. This section examines cases of the popularized legacy of well-known artists and musicians in local/regional settings, such as The Beatles in Liverpool, and tourism in the search of Van Gogh’s Provence. Finally, the commonalities in the personal legacy trails of ordinary US citizens is discussed and shown for the visitation of the Vietnam Veterans Memorial on the Washington Mall and for the Wall of Honor on Ellis Island.     

Interceptability of telecommunications: Is US and Dutch law prepared for the future?

For many decades, governments have successfully intercepted telecommunications to collect information about—potential—criminals and terrorists. A crucial part of contemporary policy is legislation that requires telecommunications providers to make their networks and services interceptable. This paper discusses two examples of interceptability legislation: the Communications Assistance for Law Enforcement Act (CALEA) in the US and the Telecommunications Act in the Netherlands, in order to focus on basic questions, considerations, and trade-offs relevant to designing legal interceptability laws.     

Does the stock market value bank diversification?

This paper investigates whether or not functionally diversified banks have a comparative advantage in terms of long-term performance/risk profile compared to their specialized competitors. To that end, this study uses market-based measures of return potential and bank risk. We calculate the franchise value over time of European banks as a measure of their long-run performance potential. In addition, we measure risk as both the systematic and the idiosyncratic risk components derived from a bank stock return model. Finally, we analyze the return/risk trade-off implied in different functional diversification strategies using a panel data analysis over the period 1989–2004. A higher share of non-interest income in total income affects banks’ franchise values positively. Diversification of revenue streams from distinct financial activities increases the systematic risk of banks while the effect on the idiosyncratic risk component is non-linear and predominantly downward-sloping. These findings have conflicting implications for different stakeholders, such as investors, bank shareholders, bank managers and bank supervisors.     

Modeling the dynamics of strategic fit: a normative approach to strategic change

This study develops and tests a dynamic perspective on strategic fit. Drawing from contingency and resource‐based arguments in the strategy and organizational theory literatures, we propose a distinctive analytical approach to identify environmental and organizational contingencies that should predict changes in a firm's strategy and the performance implications of such changes. We test our model using extensive longitudinal data from over 4000 U.S. savings and loan institutions during a period when many S&Ls considered changing strategic direction. The findings support our model of dynamic strategic fit. Specifically, we find that (1) the timing, direction, and magnitude of strategic changes can be logically predicted based on differences in specific environmental forces and organizational resources, and (2) organizations that deviated from our model's prediction of dynamic strategic fit (i.e., changed more or changed less than our model prescribed) experienced negative performance consequences. We conclude by discussing the implications of our approach and findings for future research on strategic fit and strategic change. Copyright © 2000 John Wiley & Sons, Ltd.     

Performance implications of delayed competitive responses: evidence from the U.S. retail industry

The timing of competitive actions and responses is a key management concern that has important performance consequences. This study focuses on the timing and consequences of competitive responses. Theory predicts a negative linear relationship between response delay and responder performance mirrored by an opposing positive linear relationship between response delay and first mover performance. In contrast, our study suggests that response delay has a curvilinear relationship with responder performance, and a linear relationship with first mover performance. We test our propositions using retail industry data and discuss the implications. Copyright © 2008 John Wiley & Sons, Ltd.     

The Effect of Sales Assistance on Purchase Decisions: An analysis using retail video data

Quantitative Marketing and Economics - We investigate the role of sales assistance in driving customer’s purchase decision using unique observational video data from a cosmetics retail chain....     

Matching collective and competitive strategies

This paper discusses possibilities for combining collective and competitive strategies. Combinations can be problematic if competitive intentions are disclosed through the information links resulting from collective strategies. After describing how different collective strategies may lead to an uncontrolled disclosure of strategic information, a typology evaluating the feasibility of strategy combinations is developed. The typology's implications for research and managerial practice are discussed.