Measuring and Optimizing Portfolio Credit Risk: A Copula‐based Approach*

In this work, we present a methodology for measuring and optimizing the credit risk of a loan portfolio taking into account the non‐normality of the credit loss distribution. In particular, we aim at modelling accurately joint default events for credit assets. In order to achieve this goal, we build the loss distribution of the loan portfolio by Monte Carlo simulation. The times until default of each obligor in portfolio are simulated following a copula‐based approach. In particular, we study four different types of dependence structure for the credit assets in portfolio: the Gaussian copula, the Student's t‐copula, the grouped t‐copula and the Clayton n‐copula (or Cook–Johnson copula). Our aim is to assess the impact of each type of copula on the value of different portfolio risk measures, such as expected loss, maximum loss, credit value at risk and expected shortfall. In addition, we want to verify whether and how the optimal portfolio composition may change utilizing various types of copula for describing the default dependence structure. In order to optimize portfolio credit risk, we minimize the conditional value at risk, a risk measure both relevant and tractable, by solving a simple linear programming problem subject to the traditional constraints of balance, portfolio expected return and trading. The outcomes, in terms of optimal portfolio compositions, obtained assuming different default dependence structures are compared with each other. The solution of the risk minimization problem may suggest us how to restructure the inefficient loan portfolios in order to obtain their best risk/return profile. In the absence of a developed secondary market for loans, we may follow the investment strategies indicated by the solution vector by utilizing credit default swaps.     

Estimation of Crop Yields and Insurance Premiums Using a Shrinkage Estimator

We explore the estimation of crop yields and insurance premiums using a hierarchical Bayes small area estimator. The estimator is evaluated for Area Yield Production (AYP) policy using quasi-simulated corn yields in the United States. Its performance in producing reliable mean county yield and premium estimates is compared to that of a naive estimator. We also investigate the impact of these efficiency improvements on the residual losses between a farm-level policy and AYP. The proposed estimator is found to be substantially more efficient and less biased than the naive estimator.     

On the endogeneity of Cournot-Nash and Stackelberg equilibria: games of accumulation

We characterize equilibria of games with two properties: (i) Agents have the opportunity to adjust their strategic variable after their initial choices and before payoffs occur; but (ii) they can only add to their initial amounts. The equilibrium set consists of just the Cournot-Nash outcome, one or both Stackelberg outcomes, or a continuum of points including the Cournot-Nash outcome and one or both Stackelberg outcomes. A simple theorem that uses agents’ standard one-period reaction functions and the one-period Cournot-Nash and Stackelberg equilibria delineates the equilibrium set. Applications include contribution, oligopoly, and rent-seeking games.     

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Wirtschaftsdienst - Prices for energy and food are currently rising extraordinarily sharply. Households with low net incomes in particular are being burdened by the price increases, in some cases...     

Women in Business in Late Nineteenth-Century Chile: Class,Marital Status,and Economic Autonomy

This article analyzes Chilean women’s entrepreneurial activity in the 1877–1908 period examining two official data sources representing different socioeconomic business niches – the national trademark registry, which represents the elite among business people, and the Santiago business license registry, which includes the non-elite. The analysis reveals an economy with women engaging increasingly in business in an expanding range of sectors. By the 1890s, women managed nearly a quarter of Santiago’s firms and 5 percent of elite firms nationally. Widows appeared overrepresented among elite businesses and underrepresented among those of the non-elite. These results suggest that institutions constraining entrepreneurship among married women were more strongly enforced among the elite than among other social classes. The evidence thus suggests that during late nineteenth century there was an increase in the economic autonomy exercised by unmarried women and widows of all socioeconomic strata, but also by married women among the non-elite.     

Understanding Structural Divergence in European Manufacturing

The heterogeneity among European manufacturing systems has widened in the last 15 years under the competitive pressure of new industrial powers within and outside the EU boundaries and as a result of the 2008 global recession. This paper describes this transformation, in terms of the sectoral composition and the geographical concentration of industrial activities. It also analyses how cross-country differences in export performance, in the dynamics of domestic demand and in the exposure to low-cost import competition have contributed to the divergence in fortunes in European manufacturing.     

Researchers’ willingness to engage in knowledge and technology transfer activities: an exploration of the underlying motivations

Increasingly, universities have become conscious of their important role as centres of knowledge generation and diffusion. Accordingly, they have put in place policies, methods and resources to increase knowledge and technology transfer (KTT) activities. However, succeeding in this endeavour is not that easy. An active involvement of researchers is fundamental. Literature examining researchers’ attitude towards KTT activities is limited, offering a partial view on the subject. This study aims at bringing new light to this issue. First, we identify those factors that influence researchers’ willingness to engage in KTT activities. From a comprehensive literature review, we distinguish between intrinsic motivations, extrinsic motivations and university support and services as critical elements. A scale is developed and validated. Second, the scale is applied to the case of R&D contracts. The sample consists of 249 researchers from one of the biggest Spanish universities. Results suggest that the proposed scale has a good fit, indicating that it can be considered as a good instrument for measuring researchers’ willingness to get involved in KTT activities. Policy implications and directions for future research are provided.     

Taxing and Regulating Vices*

We study the optimal taxation and regulation of sin goods – goods that are enjoyable to consume but also create future negative health consequences – within a setting in which individuals are time-inconsistent (and thus consume too much), regulation makes the consumption of sin goods less pleasurable, and taxation involves administrative and compliance costs. In contrast to previous literature, we find that regulation can be beneficial even when corrective taxes are available and individuals are homogeneous. Moreover, despite the inefficiencies associated with the use of both instruments, the consumption of the sin good might fall short of the first best. The results are robust to consumers’ heterogeneity.     

Using value analysis to support knowledge transfer in the multi-project setting

This paper investigates how formalized methodologies can effectively support the implementation of knowledge transfer practices in the multi-project setting. We propose a knowledge collection and transfer model grounded on the Value Analysis technique, empirically developed and validated through an action research in the shipbuilding industry. The proposed model facilitates decision making across multiple projects in the cruise ship design by stimulating the reuse of the available knowledge base and the exploitation of information needed to identify design solutions to solve the trade-off between functional requirements and available resources.