Beyond cash-additive risk measures: when changing the numéraire fails

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the cash-additive case by a change of numéraire. However, discounting does not work in all financially relevant situations, especially when the eligible asset is a defaultable bond. In this paper, we fill this gap by allowing general eligible assets. We provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures based on value-at-risk and tail value-at-risk on L ^p spaces, as well as to shortfall risk measures on Orlicz spaces. We pay special attention to the property of cash subadditivity, which has been recently proposed as an alternative to cash additivity to deal with defaultable bonds. For important examples, we provide characterizations of cash subadditivity and show that when the eligible asset is a defaultable bond, cash subadditivity is the exception rather than the rule. Finally, we consider the situation where the eligible asset is not liquidly traded and the pricing rule is no longer linear. We establish when the resulting risk measures are quasiconvex and show that cash subadditivity is only compatible with continuous pricing rules.     

Economic feasibility analysis for electrical generation from biogas in waste disposal sites in Mexico City

This article highlights the main aspects related to energy generation from biogas in a controlled landfill of Mexico City in order to determine profits and environmental benefits. The designed structures and public policies to provide waste management services in Mexico City have been exceeded. A significant increase in demand has led the government of Mexico City to base public services on rudimentary techniques using obsolete equipment. The modernization of waste disposal facilities and the diversification of services linked to waste treatment can offer several business opportunities to optimize energy generation from solid wastes. The use of landfills to dispose large amounts of waste enables the energy generation from biogas. The energy generated can diversify the electricity market and provide economic benefits to landfills managers to cover operational costs.     

On the Consequences of Market Orientation across Varied Environmental Dynamism and Competitive Intensity Levels

Many firms attempt to develop market‐oriented attitudes and behaviors because of their presumably positive consequences for performance. A market orientation can provide the cultural basis for successful differentiation strategies focused on customer satisfaction. However, inconclusive evidence regarding the relationship between market orientation and performance demands an analysis of possible moderators. This paper therefore analyzes the moderating role of environmental characteristics in the market orientation–performance relationship. Heterogeneous methodologies and measures could explain some diversity in empirical results. Moreover, both the market orientation–performance relationship and the moderating effects of environment dynamism, turbulence, hostility, and complexity may depend on more general characteristics of the environment. A complete diagnostic of the moderating effect of the environment must analyze phenomena in different socioeconomic and political–regulatory contexts. Therefore, the authors (1) analyze the moderating role of environmental dynamism and competitive intensity; (2) consider a broad range of performance measures, distinguished as effectiveness, efficiency, and adaptability measures and as financial and operational measures; and (3) focus on a priority 1 region of the European Union, characterized by small and medium‐sized enterprises that face a global competitive scenario from a disadvantaged local environment. The empirical results support the positive relationship between market orientation and performance and indicate the relationship is inhibited by competitive intensity, which contrasts with existing arguments and empirical results.     

Adaptation of the Attitude Behavioural Scale section of a PATT instrument for the Omani context

International Journal of Technology and Design Education - This study is about the adaptation of the Attitude Behavioural Scale (ABS) section of a Pupils’ Attitudes Towards Technology (PATT)...     

Optimal dividends under a drawdown constraint and a curious square-root rule

Finance and Stochastics - In this paper, we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint,...     

Autarky in Franco's Spain: The costs of a closed economy

Between the 1940s and 1970s, Spain used a variety of economic policies that hindered international trade. Because the mix of tariffs, quotas, administrative barriers, and exchange rate regimes varied greatly over time, the quantification of the effect of the various trade policies on international trade in this period is particularly elusive. In this paper, we use historical bilateral trade flows and a structural gravity model to quantify the evolution of Spain's border thickness, a summary measure of its barriers to international trade. We find that Spain's borders in the period 1948–75 were thicker than those of any other country in Western Europe, even after the liberalization of trade that started in 1959. These comparatively higher impediments to international trade implied substantial negative effects on consumer welfare. We estimate that accumulated welfare costs over the period 1948–75 exceed 20 per cent of a year's total consumption.     

Macroeconomic forecasting in times of crises

We propose a parsimonious semiparametric method for macroeconomic forecasting. Based on ideas of clustering and similarity, we partition the series into blocks, search for the closest blocks to the latest block of observations, and forecast with the matched blocks. In a real-time forecasting exercise, we show that our approach does especially well for labor market and other key macro variables. Our method outperforms parametric linear, nonlinear, time-varying, and combination forecasts for the period 1999–2015 and particularly in the Great Recession. When adding financial spreads, our method delivers further improvements for labor market variables and capacity utilization.     

Crowdfunding: a bibliometric analysis

International Entrepreneurship and Management Journal - This paper presents a quantitative vision of the study of crowdfunding, through a bibliometric analysis of the most relevant publications....