Free-play impact by customer segment

Little is known about the effectiveness of casino free-play campaigns, despite hundreds of millions of dollars in annual redemptions. These costly play incentives are awarded to individual players, based largely on management’s evaluation of their historical play. Extant campaign-level research suggests these incentives may not be effective in driving spend per visit, but there has been no attempt to examine efficacy across player tiers (e.g., light, medium, and heavy users). Analysis of 365 days of performance data from a Las Vegas Strip casino produced varied results across tiers, but all tier-level findings indicated a failure to recover the face value of the free-play incentives. While no support was garnered for the house money effect, the results were consistent with the notion of loss aversion. The methodological approach outlined herein provides the means to critically evaluate free-play offers at the tier level, fast-tracking campaign optimization via more targeted revisions.     

A new approach to measuring riskiness in the equity market: Implications for the risk premium

We introduce a new approach to measuring riskiness in the equity market. We propose option implied and physical measures of riskiness and investigate their performance in predicting future market returns. The predictive regressions indicate a positive and significant relation between time-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P 500 index option implied volatility (VIX), aggregate idiosyncratic volatility, and a large set of macroeconomic variables. We also provide alternative explanations for the positive relation by showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high expected returns.     

Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting,incorporating realized measures

This paper extends the joint Value-at-Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2019), by incorporating a realized measure to drive the tail risk dynamics, as a potentially more efficient driver than daily returns. Furthermore, we propose and test a new model for the dynamics of the ES component. Both a maximum likelihood and an adaptive Bayesian Markov chain Monte Carlo method are employed for estimation, the properties of which are compared in a simulation study. The results favour the Bayesian approach, which is employed subsequently in a forecasting study of seven financial market indices. The proposed models are compared to a range of parametric, non-parametric and semi-parametric competitors, including GARCH, realized GARCH, the extreme value theory method and the joint VaR and ES models of Taylor (2019), in terms of the accuracy of one-day-ahead VaR and ES forecasts, over a long forecast sample period that includes the global financial crisis in 2007–2008. The results are favorable for the proposed models incorporating a realized measure, especially when employing the sub-sampled realized variance and the sub-sampled realized range.     

Advertising a second-price auction

This study examines a symmetric private-value second-price auction model in which the seller solicits bidders at a cost, sets a reserve price, and receives a payoff which is a convex combination of revenue and welfare. The bidder’s valuations are drawn from a distribution with a decreasing hazard rate and non-decreasing virtual valuations. We find that at equilibrium the seller adopts an advertising policy which minimizes the uncertainty over the number of participants, and sets a reserve price which only depends on the distribution of valuations and the weight on revenue in the objective function. A welfare-maximizing seller is shown to advertise more than a revenue-maximizing seller, and a ceteris paribus increase in the advertising level is proved to increase the expected winner’s rent.     

场外衍生交易主协议提前终止金额计算问题研究

本文以ISDA主协议中的提前终止金额计算条款为主要分析对象,结合2008年发生的雷曼系公司破产事件及其他典型案例,论证了1992年版ISDA协议项下市场报价法(国内银行所签ISDA协议基本都约定以该方法计算提前终止金额)和损失法存在的重大缺陷,以及向2002年版ISDA协议项下终止款项法过渡的必然性,并对国内银行今后应如何处理ISDA协议和NAFMII协议项下的提前终止金额计算问题提出了政策建议。     

New standard regulations regarding allocation to the safety reserve in Sweden

Abstract

This paper describes a statistical investigation of observed loss ratios and run-offs for a number of Swedish insurance companies within different lines of business. The main aim of the investigation was to revise existing upper limits for allocation to the so-called safety reserve, which is an untaxed contingency reserve. The effort was successful in that new rules were established by the Swedish Supervisory Authority in accordance with the results of the investigation. This paper also contains an exposition of the general principles underlying the Swedish safety reserve.     

意识形态对企业家人力资本的影响路径——以广东温氏食品集团为例

意识形态是社会存在反映,也是一种重要的非正式制度。在回顾意识形态与企业家关系的相关理论的基础上,分析意识形态对企业家人力资本的影响路径。研究认为,意识形态对企业家人力资本的影响也由此可依次分为三个阶段：企业家对意识形态感知的认识阶段;企业家理性判断是否将共有意识形态纳入已有认知结构的评价阶段;共有的意识形态转化为个性化意识形态的实现阶段。论文结合广东温氏集团案例,揭示意识形态影响企业家人力资本的阶段性路径特征,提出针对意识形态对企业家人力资本影响的阶段性特点的阶段性战略,认识阶段增强企业家角色偏好,评价阶段降低企业家对意识形态判断的交易成本,实现阶段打造企业家声誉等,以期从而促进企业家人力资本提升。     

风险溢价、预期损失与预测贷款损失准备金

在信贷市场完全信息的假设下,以贷款风险溢价为基础计提的贷款损失准备金能够完全覆盖贷款预期损失.而在经济或行业处于繁荣或上升时期,银行扩张贷款总量、增加长期贷款、放松贷款标准的行为,实际上低估了贷款预期损失.应用马尔科夫链预测理论构建的预测贷款准备金模型,克服了预期现金流折现法、动态准备金法和压力测试准备金法存在的实施难度大、监管制约等缺陷,能够保持银行经营的稳定以及客观地反映盈利状况,可以作为改革贷款准备金政策的参考.     

Forecasting value at risk and expected shortfall with mixed data sampling

I propose applying the Mixed Data Sampling (MIDAS) framework to forecast Value at Risk (VaR) and Expected shortfall (ES). The new methods exploit the serial dependence on short-horizon returns to directly forecast the tail dynamics of the desired horizon. I perform a comprehensive comparison of out-of-sample VaR and ES forecasts with established models for a wide range of financial assets and backtests. The MIDAS-based models significantly outperform traditional GARCH-based forecasts and alternative conditional quantile specifications, especially in terms of multi-day forecast horizons. My analysis advocates models that feature asymmetric conditional quantiles and the use of the Asymmetric Laplace density to jointly estimate VaR and ES.     

Risk Behaviours and Grazing Land Management: A Framed Field Experiment and Linkages to Range Land Condition

We use a framed field experiment considering hypothetical stocking rate decisions made by grazing enterprise managers and estimate non‐linear multinomial logit models for a range of nested non‐expected utility and expected utility models. The risk and decision‐bias parameters for five models estimated for individual responses are shown to be significantly related to land condition but in ways which suggest behavioural aspects of decision making are critical in understanding land management and stocking rate decisions. Our results show that individual heterogeneity in decision making amongst farming groups is likely to be a significant source of variation in farming intensity and technology adoption decisions. This heterogeneity does not appear to be a reflection of socio‐demographic characteristics. Furthermore, decision functions appear to be biased toward selection of simpler representative functions (e.g. Expected Utility) for sample averages. This suggests that experimental findings that Expected Utility is representative for actual decisions may be due to sample averaging rather than reflect actual behaviour.