Estimation of multiple period expected shortfall and median shortfall for risk management

With the regulatory requirements for risk management, Value at Risk (VaR) has become an essential tool in determining capital reserves to protect the risk induced by adverse market movements. The fact that VaR is not coherent has motivated the industry to explore alternative risk measures such as expected shortfall. The first objective of this paper is to propose statistical methods for estimating multiple-period expected shortfall under GARCH models. In addition to the expected shortfall, we investigate a new tool called median shortfall to measure risk. The second objective of this paper is to develop backtesting methods for assessing the performance of expected shortfall and median shortfall estimators from statistical and financial perspectives. By applying our expected shortfall estimators and other existing approaches to seven international markets, we demonstrate the superiority of our methods with respect to statistical and practical evaluations. Our expected shortfall estimators likely provide an unbiased reference for setting the minimum capital required for safeguarding against expected loss.     

The Asian Infrastructure Investment Bank: Multilateralism on the Silk Road

Initial English-language media coverage of the Asian Infrastructure Investment Bank (AIIB) was framed in terms of strategic rivalry between China and the United States and China’s frustration with slow reform to existing multilateral development banks (MDBs). But the United States, not China, turned the AIIB into a battle for global influence, which the United States lost when key allies joined the bank.

China had a positive agenda for establishing the AIIB, particularly as part of its flagship ‘one belt, one road’ regional initiative. By establishing a multilateral lender for Asian infrastructure, China can de-politicize what can be fraught bilateral financing deals as well as boost its image in the region. This requires the AIIB being a truly multilateral institution.

The AIIB will have to meet the standards of other MDBs, particularly for safeguards, procurement and transparency. The bank will be under international scrutiny and AIIB shareholders should build the bank cautiously, initially focusing on co-financing with other MDBs. The AIIB need not mirror existing lenders, but can learn from their experience and improve on their efficiency. The AIIB will be a learning experience for China and could boost its credentials for future multilateral leadership.     

港口城市长期战略的经济回弹力、可居住性和城市规划

全球化,城市间竞争与港口城市的未来城市间的竞争在全球范围加剧,这使城市面对新的两难局面,即在保持经济回弹力同时也要为其居民创造一个可以居住的城市。大多数的城市让步于短期的压力,用公共的资源通过国外的投资换取经济增长,而忽略了环境和幸福生活空间所必需的设施。本文     

Slack and the performance of state-owned enterprises

Organizational slack has been recognized as critical to firm performance, although its impact is not always positive. Slack may be used to fuel innovation or alternatively excess resources may be squandered on pet projects. However, most research on slack is rooted in studying private firms in developed economies, especially the United States. Whether prior research on organizational slack can readily inform our understanding of state-owned enterprises’ (SOEs) behavior is questionable since SOEs prioritize goals such as social welfare and full employment differently than do the privately owned enterprises (POEs). The differences between SOEs and POEs influence their sources and use of slack due to the nature of their ownership, budget constraints, and agency relations. To bring insight to this issue we develop an institutional change lifecycle model to study the relationship between slack and the economic and social aspects of SOE performance.     

Leadership,Pragmatism and Grace: A Review

Leadership takes a central role in the public affairs agenda. This article is a review of published works on leadership focusing on the concept of grace. It discusses the role of compassion and kindness in current leadership theory and practice and whether these attributes have value in sustainable models. Findings indicate that there is conceptual confusion regarding the definition of compassion and its application in leadership practices. Kindness is not discussed within the concept of compassion and kindness itself may be viewed as a weakness in contemporary self-selected leadership characteristics. The conclusions suggest there is disconnect between contemporary models of leadership and calls for sustainable ethical leadership in the spheres of public and business environments. Compassion and kindness remain in the side-lines yet the implications for future trust and commitment are neglected in times where discretionary effort of workers and volunteers is crucial to goal achievement.     

Alternatives to traditional Medicare: Medicare Part C poised to prosper

Recent events indicate that Medicare Part C (Medicare Advantage) plans are poised to prosper. Yet many employers express hesitation to offer Medicare Advantage, formerly known as Medicare+Choice, plans to their retirees because they are concerned about the potential withdrawal of those plans if there is a reversal of federal funding rules. This article addresses those concerns. It provides a historical overview of Medicare Part C and describes the impact of the most recent agency guidance. The author cites plan trends, raises employer implications and concludes that Medicare Advantage plans will continue to expand, possibly facilitated by employers as they implement leading-edge retiree medical designs.     

连续性跟踪测试中创新的数据采集方法:处理市场研究准则与市场实况之间的必然冲突

跟踪测试的“3C”：一致性,一致性,和一致性 跟踪测试是指在多于一个时间点上,在相同的抽样人群内收集同类信息的市场研究项目。跟踪测试所得到的数据可用于评估市场的变化,这对于那些快速变化的事物尤显重要——例如厂告宣传——又或是那些微小变化都会影响业务表现的领域——例如客户满意度。为了确保跟踪测试提取出了市场上发生的真实变化,理论上每次测试都需按照相同的方式执行。例如,每次都问相同的题目。按照相同的顺序提问,访问同类型的被访,由同一组访问员进行数据采集等等。其中至关重要的是测试所使用的访问方法。通常在开始一个跟踪测试的时候有很多方法可供选择——电话访问、面访、入户访问（这个方法在中国仍被很普遍地使用）或定点访问等。     

The impact of multilateral trading facilities on price discovery: Further evidence from the European markets

This study examines relative price discovery for three major European indices, FTSE, CAC, and DAX, their futures and exchange traded funds (ETFs) using the data on 5‐minute intraday transaction prices over a four‐year period. We computed both Hasbrouck (1995) information share with error bounds and Gonzalo and Granger's (1995) common factor weights approach. Gonzalo and Granger's (1995) common factor weights suggest the index futures contracts play a dominant role in price discovery in the CAC market: the CAC 40 index futures lead the price discovery and Lyxor CAC 40 ETFs serving the second resort for information transmission. This could be due to the less frequent trading of ETFs. More importantly, CAC40 under the Gonzalo & Granger (1995) test shows upper and lower error bounds in good range may be the main reason to drive for the meaningful results. In contrast, the upper and lower bounds estimated from the Hasbrouck (1995) are far distant for most cases. Finally, FTSE and DAX markets offer compelling evidence to show that ETFs lead price discovery and spots and futures follows.     

Where is the opportunity in opportunity zones?

In December 2017, the U.S. Congress passed into law the Opportunity Zone (OZ) program. As an OZ, designated low-income census tracts provide considerable tax breaks to property investors, intending to attract investments and spur economic growth. As the success of the program is dependent on investors' responses, we analyze market reactions in a difference-in-differences framework. We identify two potential effects on property markets: tax breaks for investors and expected land value appreciation. Our results show that tax breaks are priced efficiently. Qualified properties increase by 7–20% in price, while vacant land increase up to 37%. In contrast, we find limited signs of expected land value appreciation.     

Proxy variable estimation of productivity and efficiency

We model productivity and inefficiency jointly, instead of modeling and estimating either only productivity or only inefficiency with many variable and quasi-fixed inputs. In the first model, we use a multi-step procedure. We use the proxy variable method based on the first-order condition (FOC) of expected profit maximization with respect to the single variable input to take care of the endogeneity problem arising from both productivity and inefficiency. To separate mean inefficiency from mean productivity we assume them nonparametric functions of different sets of exogenous variables. In the second model, we consider a novel system consisting of the production function and the FOCs of expected profit maximization for the multiple variable inputs. Distributional assumptions are made on all the random errors associated with the production function, the FOCs, productivity, and inefficiency functions in the second model. We use the Colombian food manufacturing data as an application of our model.