Time-consistency of risk measures: how strong is such a property?

Decisions in Economics and Finance - Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations (see Delbaen in Memoriam Paul-André...     

Revising the Corporate Social Performance Model – Towards Knowledge Creation for Sustainable Development

The objective of this paper is to offer a revision of the corporate social performance (CSP) model. CSP exemplifies how corporate social responsibility translates into an organization's practice by focusing on three key features of performance: principles, processes and outcomes. However, the development of the model has not kept pace with the literature on social and environmental responsibility. This study builds on an argument that if corporate social responsibility in general – in which CSP plays an important role – is to respond to the challenges of sustainable development, the CSP of businesses could be more profoundly planned in order to design knowledge outcomes that contribute to meeting those challenges. The paper thus answers the recent call for the development of a CSP model by revising some of the key elements in the existing model and also by adding a knowledge creation dimension. Copyright © 2013 John Wiley & Sons, Ltd and ERP Environment     

Quality improvement and redesign of performance measurement systems: an application to the academic field

The increasing competition both in the public and private sectors gave rise to a growing interest in quality improvement and in designing and implementing Performance Measurement Systems (PMS). Academic organizations also recognized the need for implementing performance measurement systems. Some recent works on PMS in the higher education make use of the Kaplan and Norton’s Balanced Scorecard (BSC) to translate the characteristic strategic goals (e.g. research and teaching excellence) into performance measures. However, a PMS needs to be updated when external or internal changes influence the organization modus operandi. In this way a continuous quality improvement of organization performance is required. This paper describes a methodology based on the BSC model to redesign a current PMS. In detail, a reference BSC-check matrix is proposed. A “mapping analysis” of the current PMS is developed to understand if all the operational aspects involved in goals achievement are considered and if proper indicators have been defined. As an example, the methodology is applied to a Department of the authors’ own University. The paper shows also how the proposed approach can be extended to other contexts.     

The environmental,social and economic effects of recent technological changes in sugarcane on the State of São Paulo,Brazil

From 2007 to 2017, the Agro‐Environmental Protocol of the Sugar and Energy Sector was in force, an agreement between sugarcane mill owners and the State Government of São Paulo, Brazil, proposing to eliminate sugarcane burning as a method to facilitate the harvest. Simultaneously, the sugarcane harvest was becoming widely mechanized while, under the interests of capital accumulation, the mills were entering the information and communication technology era and providing the agricultural processes with more precise and immediate management and technological controls, similar to those implemented in the mills' administrative and industrial operations in the 1990s. Short‐term factors, including environmental factors, favoured sugarcane technological changes. As a result, there was a mass layoff of rural workers and an increasing number of people/workers in agricultural mechanization, transportation and maintenance of machinery and administrative as well. The whole process highlighted the differences between mills, resulting in small and medium sugarcane farmers and mills to become the most impacted, in operational and financial terms, by the accelerating mechanization of the sugarcane industry as a whole.     

The physics of the city: pedestrians dynamics and crowding panic equation in Venezia

In this paper we present the physics of the city, a new approach in order to investigate the urban dynamics. In particular we focus on the citizens’ mobility observation and modeling. Being in principle the social dynamics not directly observable, our main idea is that observing the human mobility processes we can deduce some features and characteristics of social dynamics. We define the automata gas paradigm and we write a crowding equation able to predict, in a statistical sense, the threshold between a selforganized crowd and a chaotic one, which we interpret as the emergence of a possible panic scenario. We show also some specific results obtained on the Venezia pedestrian network. Firstly, analyzing the network we estimate the Venice complexity, secondly measuring the pedestrian flow on some bridges we find significant statistical correlations, and by the experimental data we design two different bridges flow profiles depending from the pedestrian populations. Furthermore considering a reduced portion of the city, i.e. Punta della Dogana, we build up a theoretical model via a Markov approach, with a stationary state solution. Finally implementing some individual characteristics of pedestrians, we simulate the flows finding a good agreement with the empirical distributions. We underline that these results can be the basis to construct an E-governance mobility system.     

On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

In this paper, we propose a general technique to develop first- and second-order closed-form approximation formulas for short-maturity options with random strikes. Our method is based on a change of numeraire and on Malliavin calculus techniques, which allow us to study the corresponding short-maturity implied volatility skew and to obtain simple closed-form approximation formulas depending on the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches for two-asset and three-asset spread options such as Kirk’s formula or the decomposition method presented in Alòs et al. [Energy Risk, 2011, 9, 52–57]. This methodology is not model-dependent, and it can be applied to the case of random interest rates and volatilities.     

A multivariate jump-driven financial asset model

We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behaviour of a series of stocks or indexes and to study a multi-firm, value-based default model. Starting from an independent Brownian world, we introduce jumps and other deviations from normality, including non-Gaussian dependence. We use a stochastic time-change technique and provide the details for a Gamma change. The main feature of the model is the fact that—opposite to other, non-jointly Gaussian settings—its risk-neutral dependence can be calibrated from univariate derivative prices, providing a surprisingly good fit.     

In search of a theory of debt management

The complete market approach to government debt management argues that a portfolio of non-contingent bonds at different maturities should be chosen so that fluctuations in market value offset changes in expected future deficits. However, this approach recommends huge fluctuations in positions, enormous changes in portfolios for minor changes in maturities and no presumption it is always optimal to issue long and invest short term in a wide array of model specifications. These extreme, volatile and unstable features are undesirable for two reasons. Firstly fragility of portfolios to small changes in assumptions means that it is often better to follow a balanced budget rather than issue the optimal debt portfolio under some possibly misspecified model. Secondly for even miniscule transaction costs, governments prefer a balanced budget rather than the large positions complete markets recommends. The complete market recommendations conflict with a number of features we believe are integral to bond market incompleteness, e.g. transaction costs, liquidity effects, robustness, etc. and which need to be explicitly incorporated into the portfolio problem.     

Spatial stochastic frontier models: controlling spatial global and local heterogeneity

In the last decade special attention has been focused on estimating a firm’s efficiency and productivity; Stochastic Frontier Analysis (SFA) has been one of the most used techniques that allows the separation of inefficiency from stochastic noise, assuming homogeneous technology is available to all producers and that there is independence between observations. However, this second assumption is violated data are spatial auto-correlated, thus biasing statistical inference. Attention has, therefore, shifted to models that allow the controlling of heterogeneity introducing, in the model or in the error term, contextual variables correlated with inefficiency. In our paper we propose viewing the spatial external factors (natural or artificial) in a new way: instead of identifying ex-ante a multitude of determinants, often statistically and economically difficult to detect, we suggested using an original methodology that, following a classical SFA approach, splits efficiency into three components: the first one is linked to the spatial lag, the second one to the DMU’s specificities, and the third to the error term. Finally, we tested our method using simulated data and examined the Italian wine sector, testing the ability to control spatial, global and local heterogeneity.