Wirtschaftswachstum und Wohlfahrtsstaat

Ohne Zusammenfassung     

Delta-hedging correlation risk?

While the Gaussian copula model is commonly used as a static quotation device for CDO tranches, its use for hedging is questionable. In particular, the spread delta computed from the Gaussian copula model assumes constant base correlations, whereas we show that the correlations are dynamic and correlated to the index spread. It might therefore be expected that a dynamic model of credit risk, which is able to capture the dependence between the base correlations and the index spread, will have better hedging performances. In this paper, we compare delta hedging of spread risk based on the Gaussian copula model, to the implementation of jump-to-default ratio computed from the dynamic local intensity model. Theoretical and empirical analysis are illustrated by using the market data in both before and after the subprime crisis. We observe that delta hedging of spread risk outperforms the implementation of jump-to-default ratio in the pre-crisis period associated with CDX.NA.IG series 5, and the two strategies have comparable performance for crisis period associated with CDX.NA.IG series 9 and 10. This shows that, although the local intensity model is a dynamic model, it is not sufficient to explain the joint dynamic of the index spread and the base correlations, and a richer dynamic model is required to obtain better hedging results. Moreover, although different specifications of the local intensity can be fitted to the market data equally well, their hedging results can be significant different. This reveals substantial model risk when hedging CDO tranches.     

The impact of individualism on buyer–supplier relationship norms,trust and market performance: An analysis of data from Brazil and the U.S.A.

This study focuses on the impact of the cultural dimension of individualism, face-to-face communication and the effect of relational norms such as supplier involvement and trust on the market performance of buyer firms. We use the culture literature and social exchange theory to test hypotheses using a sample of Brazilian and US manufacturing firms. The data were analyzed using variance-based structural equation modeling, employing nonlinear partial least squares regression. Our findings indicate that individualism is negatively related to the involvement of suppliers in the production process but is not associated with trust in suppliers. In addition face-to-face communication seems to have a positive effect on supplier involvement and trust.     

Inertia Risk: Improving Economic Models of Catastrophes*

We model endogenous catastrophic risk in a new way. We call it “inertia risk”, which accounts for delays between physical variables and the hazard rate – a characteristic often observed in reality. The added realism significantly affects optimal policies relative to the standard model of catastrophic risk. The probability of a catastrophe occurring at some point in time can span the entire interval [0,1], and is not 0 or 1 as is typical in standard models. Inertia risk can also generate path dependences. We illustrate the implications for policy in a simple model of climate change.     

May business mentors act as opportunity brokers and enablers among university students?

Networks are recognized as a central component of the entrepreneurial process, in particular with regard to opportunity identification and exploitation. In this study, we specifically analyze the role of mentors who are in business as opportunity brokers and enablers among university students with entrepreneurial intentions. Our investigation on 1022 students from 13 French-language universities based in Canada, France, Belgium and Algeria indicates that mentors in business, contrary to other mentors, support opportunity identification and exploitation among university students. Although student gender, entrepreneurial experience and education have a more pronounced effect, mentoring is the only element that can be controlled for through the creation of formal support programs. These results call on public authorities, and universities in particular, to implement formal mentoring programs to support students who are interested in starting their own business, and who would not otherwise have access to business mentors in their environment.