Capturing downside risk in financial markets: the case of the Asian Crisis

Using data on Asian equity markets, we observe that during periods of financial turmoil, deviations from the mean-variance framework become more severe, resulting in periods with additional downside risk to investors. Current risk management techniques failing to take this additional downside risk into account will underestimate the true Value-at-Risk with greater severity during periods of financial turnoil. We provide a conditional approach to the Value-at-Risk methodology, known as conditional VaR-x, which to capture the time variation of non-normalities allows for additional tail fatness in the distribution of expected returns. These conditional VaR-x estimates are then compared to those based on the RiskMetrics™ methodology from J.P. Morgan, where we find that the model provides improved forecasts of the Value-at-Risk. We are therefore able to show that our conditional VaR-x estimates are better able to capture the nature of downside risk, particularly crucial in times of financial crises.     

Managing requirements capture within a global telecommunications company

Many firms engage in research activities with the purpose of finding information about the future state of technology, competition and the market. In parallel, companies absorb knowledge through a variety of social and political processes that also influence decision‐making. Such activities enhance understanding of a firm's internal and external environment, so that it can develop and evaluate new product or service ideas more effectively. How firms manage this process is critical to define and prioritise new product development ideas – how organisations find the 'right' idea is critical to ensure future market success. This paper seeks to gain a better understanding of how the knowledge used to create new products and services is acquired, what organisational structures facilitate or impinge this process and how individuals and groups within organisations behave in the very early stages of new product development. An in-depth case study of a global telecommunications company is presented and the management processes for a number of different projects in various divisions of the company are compared and discussed.     

Characterizing the Role of Design in New Product Development: An Empirically Derived Taxonomy*

This article empirically explores the nature of the role of design in the new product development process. The investigation adopts a multiple case study methodology. Data were collected through a six‐month interview program carried out with mid‐size to large U.K. manufacturing companies. The researchers articulate the scope and detailed nature of actions undertaken by design across all phases of the new product development process. Design functional, integration, and leadership actions are unraveled from the data. A taxonomy characterizing three roles for design in new product development is developed and explained. In the first role, design is explored as a functional specialism. The second categorization develops the role of design as part of a multifunctional team. The third role depicts the designer as process leader. Detailed actions and skills associated with each role are discussed and illustrated. Contextual factors explaining and influencing each design role are unraveled. These are articulated as speed of development process, innovativeness of the product development effort, and use of external design agencies. The implications of these findings for the development of design skills and capabilities are discussed in terms of recruitment, training, and educational policies.     

Credit History and the FHA–Conventional Choice

Models explaining whether households choose conventional or FHA mortgage financing typically use differential insurance premiums, loan-to-value (LTV) and payment-to-income underwriting standards, and local economic conditions to explain household behavior. Using a large and geographically diverse sample, we expand the standard choice model by including measures of borrower credit history. We find that the ability of a homebuyer to avoid credit problems is an important part of the FHA–conventional choice. In addition, credit scores of FHA borrowers are worse on average than those of conventional borrowers, but as LTV increases credit scores of conventional borrowers deteriorate.     

Information Gathering and Changes in Threat and Opportunity Perceptions*

abstract Managers need to make sense of emerging strategic issues that could significantly impact their businesses. While models of this sensemaking process suggest that information gathering affects interpretations (which affect action and performance), researchers have argued that our understanding of the role of information in changing interpretations is underdeveloped. This paper investigates the role of the time managers spend searching for information and the diversity of the information they find in changing managers’ perceptions that an equivocal, strategic issue represents a threat and opportunity for their businesses. The methodology involves a longitudinal research design in which managers recorded multiple, process‐oriented measures of their information gathering activity. Results suggest that time spent searching for information leads to changes towards seeing the issue as more of a threat, while the diversity of information found leads to changes towards seeing it as less of a threat. We found no effect of information gathering on opportunity perceptions.     

An Experimental Investigation of Retention and Rotation Requirements

We provide results from an experiment designed to assess whether mandatory rotation and/or retention of auditors increases auditors' independence by reducing their willingness to issue reports biased in favor of management. Auditors' reporting is compared across the following four regimes: one that does not require either rotation or retention, a second that requires retention only, a third that requires rotation only, and a fourth that requires both rotation and retention. We find that the rotation requirements in the third and fourth regimes decreased auditor-subjects' willingness to issue biased reports, relative to the two regimes in which rotation was not imposed. In these other two regimes, however, many manager-subjects voluntarily retained the same auditor-subjects over multi-periods. While the long running interactions between manager- and auditor-subjects resulted in more favorable reports by auditor-subjects (a lower level of independence), the established relationships also induced manager-subjects to make higher investments.     

Inflation Targeting in Practice: Models,Forecasts, and Hunches

This paper reviews the role that model-based forecasts play in the monetary policy process in the United Kingdom, with particular reference to the Bank of England’s new quarterly model and continuing research into other statistical approaches. The Bank’s models provide a consistent framework for considering alternative scenarios and risks but judgement always plays a large role in constructing forecasts. It is hard to say precisely how important forecasts are in driving policy decisions, but there is some evidence that the rethink of key issues during the forecast round has been a source of policy surprises. Forecasts also play a central part in communicating the Monetary Policy Committee’s thinking to the outside world. But forecasts are highly fallible. So the MPC’s forecast centered approach to inflation targeting has gone hand in hand with a determined effort to illustrate the wide range of uncertainties around its central projections.Distinguished address presented at the Fifty-Ninth International Atlantic Economic Conference, March 9–13, 2005, London, England. I am most grateful to Jens Larsen, James Bell, Fabrizio Zampolli, and Robin Windle for research support; and to Charlie Bean, Peter Andrews, Spencer Dale, Phil Evans, Laura Piscitelli, and other colleagues at the Bank of England for helpful comments.     

2005/06Heimtextil国际家居流行趋势解读

法兰克福公司家纺流行趋势研究小组在国际家用纺织品行业的支持下,自16年前开始在展会上推出当年国际家纺的流行趋势,而今,流行趋势发布已经成为Heimtextil的一大看点,也成为Heimtextil确立其第一大国际家用纺织品展会的权威性和导向性的重要举措.     

Diane Coyle: Cogs and Monsters: what economics is,and what it should be Princeton University Press, 2021

Business Economics -