Efficient learning via simulation: A marginalized resample-move approach

In state–space models, parameter learning is practically difficult and is still an open issue. This paper proposes an efficient simulation-based parameter learning method. First, the approach breaks up the interdependence of the hidden states and the static parameters by marginalizing out the states using a particle filter. Second, it applies a Bayesian resample-move approach to this marginalized system. The methodology is generic and needs little design effort. Different from batch estimation methods, it provides posterior quantities necessary for full sequential inference and recursive model monitoring. The algorithm is implemented both on simulated data in a linear Gaussian model for illustration and comparison and on real data in a Lévy jump stochastic volatility model and a structural credit risk model.     

Communications About Resilience Enhancing Activities By English Local Authorities

Abstract

The Civil Contingencies Act (2004 Civil Contingencies Act. 2004. Contingency Planning Regulations 2005, London: The Stationery Office. No. 2042 Statutory Instruments [Google Scholar]) in the United Kingdom introduced new responsibilities for public authorities regarding Business Continuity Management (BCM) and other emergency planning activities. Using content analysis techniques, this study examined thirty-four English county councils' websites to examine the extent to which this online medium communicated these new responsibilities to stakeholders. Using key-word-in-context (KWIC) and content clustering, this exploratory study found that local authorities' websites were far from generic in their web-based communications about their new Civil Contingencies Act responsibilities and BCM activities, and it reveals a number of differing website traits, motivations and orientations.     

Managing Risks in Complex Projects

Dealing effectively with risks in complex projects is difficult and requires management interventions that go beyond simple analytical approaches. This is one finding of a major field study into risk management practices and business processes of 35 major product developments in 17 high‐technology companies. Almost one‐half of the contingencies that occur are not being detected before they impact project performance. Yet, the risk‐impact model presented in this article shows that risk does not affect all projects equally but depends on the effectiveness of collective managerial actions dealing with specific contingencies. The results of this study discuss why some organizations are more successful in detecting risks early in the project life cycle, and in decoupling risk factors from work processes before they impact project performance. The field data suggest that effective project risk management involves an intricately linked set of variables, related to work process, organizational environment, and people. Some of the best success scenarios point to the critical importance of recognizing and dealing with risks early in their development. This requires broad involvement and collaboration across all segments of the project team and its environment, and sophisticated methods for assessing feasibilities and usability early and frequently during the project life cycle. Specific managerial actions, organizational conditions, and work processes are suggested for fostering a project environment most conducive to effective cross‐functional communication and collaboration among all stakeholders, a condition important to early risk detection and effective risk management in complex project situations.     

企业并购活动中目标企业选择的层次分析评估研究

企业并购是企业进行资本扩张、促进企业间存量资源合理统流动的重要途径。对企业并购中的目标企企的选择、价值评估进行研究，构建我国企业并前过程中目标企业选择的评价指标体系，运用AHP法对目标企业选择进行定量化评估，将有利于企业通过并购后，实现资源的最优配置．保证企业经营机制协调、有效地运行。     

营销风险预警指标体系及综合评价方法

文章从影响营销活动的各类因素入手,根据其内容、特点及分类,构建了营销风险的预警评价指标体系;从定性与定量相结合的角度出发,应用多级模糊综合评判法对营销风险进行量化评价,对定性分析指标采用专家调查与模糊统计相结合的方法,对定量指标的处理则引入模糊数学的方法,从而实现定性指标与定量指标的结合。     

Write-down bonds,credit risk and imperfect information

A structural model of pricing Write-Down (hereafter WD) bonds under imperfect information has been developed to investigate the effect of WD bonds issuance on credit risk. Information is not only delayed but also asymmetrically distributed between managers and outside investors. We derive analytical solutions for corporate securities prices and find the issuance of WD bonds could significantly improve firm value via reducing bankruptcy cost. Our numerical results further demonstrate that the WD bonds issuance increases corporate risk tolerance and reduces the risk of bankruptcy and credit spreads under imperfect information.     

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum based on raw returns and idiosyncratic returns, respectively. After that the univariate portfolio analysis is conducted to investigate the return predictability with respect to various idiosyncratic risk metrics. Further, we perform a comparative study on the performance of the IMOM portfolios with respect to various risk metrics. At last, we explore the possible explanations to IMOM as well as risk-based IMOM portfolios. We find that 1) there are prevailing contrarian effect and IMOM effect for the whole sample; 2) the negative relations exist between most of the idiosyncratic risk metrics and the cross-sectional stock returns, and better performance is linked to idiosyncratic volatility (IVol) and maximum drawdowns (IMDs); 3) additionally, the IVol-based and IMD-based IMOM portfolios exhibit better explanatory power to the IMOM portfolios with respect to other risk metrics; 4) finally, higher profitability of IMOM as well as IVol-based and IMD-based IMOM portfolios is found to be related to upside market states, high levels of liquidity and high levels of investor sentiment.     

Diversified behavioral portfolio as an alternative to Modern Portfolio Theory

The traditional mean–variance approach has been complemented by alternative theories that use risk measures different from standard deviation of returns or involve additional distributional features of returns like skewness and kurtosis. We propose a portfolio choice model that combines different distributional characteristics of the returns in the decision-making making process, considering preferences of investors which are modeled as non-statistical uncertainties of investors using fuzzy theory. We use 20 stocks of the S&P500 from January 2013 to December 2017. We assess the obtained portfolios’ performance, and the diversified behavioral portfolios outperform than the mean–variance portfolio. This methodological proposal can be seen as a strong managerial tool to make investment portfolio decisions.     

Corporate environmental reporting: Are French firms compliant with the Task Force on Climate Financial Disclosures' recommendations?

This article deals with the practices of French corporate environmental disclosure with a focus on climate-related risks. In particular, it aims to analyse the compliance of CAC 40 firms with the recommendations of the Task Force on Climate-related Financial Disclosures (2017), an international initiative made up by Financial Stability Board to enhance financial transparency. On the basis of a content analysis of firms' reference documents spanning 2015–2018, we constructed the Climate Compliance Index (CCI) to evaluate whether firms disclose information on climate risks and opportunities about governance, strategy, risk management and metrics. Our results highlight a gradual increase of the CCI despite disparities across sectors and management areas. The content analysis allows us to develop a set of indicators frequently reported by domain and to identify and define climate risks and opportunities and their financial impacts per sector, which is a first step to improve the disclosure of non-financial information.     

试述我国企业法务制度的现实局限性和完善建议

企业发展过程中构建科学完善的法务制度对于企业和市场经济发展来说都十分必要。市场经济是法治经济,随着社会主义市场经济的发展,在激烈竞争中企业法务制度的重要性日趋显现。企业法务制度作为现代企业制度的有机组成部分,建立和完善现代企业的法务制度,妥善应对和有效化解企业法律风险,对企业依法经营管理、长远发展具有重要意义。