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.     

Assessing corporate social performance: Strategies of legitimation and conflicting ideologies

Our study started with an action research project carried out within an organization specialized in the assessment of corporate social performance (CSP), in a French context: we were asked to achieve a critical analysis of the rating grid used by this organization for the domain of corporate governance. Assessing CSP has become in France an issue around which an organizational field has emerged in the mid 90s. The quest for legitimacy appears as a powerful driver for all the organizations in this field, but the strategies that social analysis and rating organizations deploy to achieve this aim differ significantly. Using a Weberian methodology, we have identified two ideal types of strategy: conservative (perpetuating the societal status quo) and activist (trying to impel change). We argue that these differences in strategies reflect ideological oppositions. Here also we have typified two opposite ideologies: utilitarian and non-utilitarian. Conservative strategies appear to be embedded in a utilitarian ideology; in the short term, they may seem more successful than activist strategies, but in the long term, their future appears more uncertain.     

Einzelbesprechungen

Ohne Zusammenfassung     

What do we know about consumers' ontological security in disaster scenarios?

While prior consumer studies have adopted various theoretical perspectives to explain individuals' reactions to disasters, scant attention has been paid to the role of ontological security in shaping those responses. This study attempts to fill this knowledge gap by qualitatively exploring ontological security in two contexts: man-made and natural disasters. To this end, we conducted 35 focus groups in the UK, Germany, and France to address how people reacted to terrorist attacks and the COVID-19 pandemic respectively. Through thematic analysis, three themes emerged: fear versus anxiety, oneself versus others, and materialistic versus experiential purchases. Man-made disasters appear to elicit fear, concern for self, and a preference for materialistic purchases, whereas natural disasters seem to trigger anxiety, concern for others, and a preference for experiential purchases. Both types of disasters seem to evoke a desire to escape from reality. In closing, we discuss both transitory and prolonged threats to ontological security and how they shape individuals' behaviours while restoring their security.