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.     

Financial services ads and viewer response profiles: Psychometric properties of a shortened scale

Schlinger's Viewer Response Profile is a widely used tool in advertising research, in both commercial and academic environments. It is used in ad testing to gauge viewer reactions to television commercials. Initial research on its psychometric properties was critical of the scale; however, more recent work using more sophisticated statistical techniques and larger, more realistic, samples has been much more complimentary. This article reports on the use of a shorter version of the Schlinger scale to test financial services advertisements. The findings generally indicate that the scale can be used with confidence in that environment, and that the shorter scale generally performed well. The limitations of the study are acknowledged, managerial implications are discussed, and avenues for future research are identified.     

Risk aversion and framing effects

We present a new experimental evidence of how framing affects decisions in the context of a lottery choice experiment for measuring risk aversion. We investigate framing effects by replicating the Holt and Laury’s (Am. Econ. Rev. 92:1644–1655, 2002) procedure for measuring risk aversion under various frames. We first examine treatments where participants are confronted with the 10 decisions to be made either simultaneously or sequentially. The second treatment variable is the order of appearance of the ten lottery pairs. Probabilities of winning are ranked either in increasing, decreasing, or in random order. Lastly, payoffs were increased by a factor of ten in additional treatments. The rate of inconsistencies was significantly higher in sequential than in simultaneous treatment, in increasing and random than in decreasing treatment. Both experience and salient incentives induce a dramatic decrease in inconsistent behaviors. On the other hand, risk aversion was significantly higher in sequential than in simultaneous treatment, in decreasing and random than in increasing treatment, in high than in low payoff condition. These findings suggest that subjects use available information which has no value for normative theories, like throwing a glance at the whole connected set of pairwise choices before making each decision in a connected set of lottery pairs.     

Stillen darf nicht weh tun!

Die meisten frisch gebackenen Mütter wollen stillen. Schlie?lich ist Muttermilch die beste Nahrung für das Baby. Leider trüben Schmerzen die Stillbeziehung nicht selten so sehr, dass Mütter vorzeitig frustriert abstillen. Das muss nicht sein, wenn die Pflegepraxis auch das Schmerzmanagement als selbstverst?ndlichen Teil der W?chnerinnenbetreuung betrachtet.     

Gut beraten

Beratungsaufgaben nehmen heute im T?tigkeitsfeld von Pflegefachkr?ften einen immer breiteren Raum ein. Doch was umfasst pflegerische Beratung und wie lassen sich Beratungskompetenzen erlernen?     

Informieren – Anleiten – Dokumentieren

Die M?glichkeiten, eine Patientenschulung zu strukturieren sind vielf?ltig. Ob Methodenmix oder eine bestimmte Methode – Sie haben die Qual der Wahl. Das Ziel, die Erlangung von Kompetenzen zum eigenst?ndigen Umgang mit gesundheits spezifischen Problemen, sollte jedoch nicht aus den Augen verloren werden.