Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula

Credit derivatives pricing models before Basel III ignored losses in market value stemming from higher probability of counterparty default. We propose a general credit derivatives pricing model to evaluate a Credit Default Swap (CDS) with counterparty risk, including the Credit Valuation Adjustment (CVA) in order to optimize the economic capital allocation. We work from the model proposed by Luciano (2003, Working Paper, International Center of Economic Research) and the general pricing representation established by Sorensen and Bollier (Financial Analysts Journal 1994;50(3):23–33) to provide a model close to the market practice, easy to implement and fitting with Basel III framework. We approach the dependence between counterparty risk and that of the reference entity with a technical tool: the copula, in particular, the mixture one that combines common “extreme” copulas. We study the CDS's vulnerability in extreme dependence cases. By varying Spearman's rho, the mixture copula covers a broad spectrum of dependence and ensures closed form prices. We end up with an application on real market data.     

Unpacking systemic innovation capacity as strategic ambidexterity: How projects dynamically configure capabilities for agricultural innovation

Problems in agriculture and land use are increasingly recognised as complex, uncertain, operating at multiple levels (field to global value chains) and involving social, economic, institutional, and technological change. This has implications for how projects navigate complexity to achieve impact. However, few studies have systematically evaluated how project actors engage with other actors to configure capabilities and resources across multiple levels in agricultural innovation systems (AIS), from the individual to the network, to mobilise and build systemic innovation capacity. An analytical framework conceptualising the nested configuration of capabilities at multiple levels in the AIS is applied to two projects that successfully tackled agricultural and land management problems of differing complexity: (i) improving lamb survival; and (ii) sustainable land management in New Zealand. Findings indicate that innovation capacity constitutes project actors interacting with other AIS actors to configure capabilities and resources at different levels of the AIS in order to leverage positive project path dependencies and break path dependencies that are created by existing and historical capability configurations. Project actors also balance exploiting existing innovation capabilities, as well as using adaptive capability for exploring and creating new capability configurations to respond to emerging circumstances. This implies that projects should have strategic ambidexterity in terms of how they combine exploiting existing and exploring new networks to access, combine, create, or disconnect certain capabilities to address ‘capability voids’ in AIS. This requires support to projects to constantly scrutinise, through reflexive monitoring by dedicated facilitators, specific agriculture and land use policies connected to major sustainable development models (e.g. climate smart agriculture, urban farming, smart farming). The can help assess whether the AIS provides the right mix of capabilities and whether this is adequately supported by innovation policy, to realize transformative policy objectives.     

The Effects of Productivity Shocks,Financial Shocks,and Monetary Policy on Exchange Rates: An Application of the Currency Crisis Model and Implications for Emerging Market Crises

What kind of shock affects exchange rate dynamics? How much of an effect does the monetary policy have on exchange rates? To answer these questions empirically based on the currency crisis model, I use panel data on 51 emerging countries from 1980 to 2011, identify shocks, and apply instrumental variable methods. I found that both productivity shocks and shocks to a country’s risk premium affect exchange rates and a 1 percentage point increase in the policy interest rate is associated with a 1 percentage point appreciation of domestic currency. I further apply this method to Asian and Latin-American crises.     

行业报刊市场化经营之管见

在非时政类报刊陆续走向市场的大环境下,行业报刊的市场化势在必行。行业报刊的市场化经营,必须建立一支既懂行业报刊新闻业务,更懂行业报刊经营管理的人才队伍;必须建立与行业报刊市场化相适应的运作机制;必须注重实施行业报刊产业链发展战略。     

Container yard template planning under uncertain maritime market

A yard template determines the assignment of spaces in a yard for arriving vessels. Fluctuation of demand for freight transportation brings new challenges for making a robust yard template when facing uncertain maritime market. A model is proposed for yard template planning considering random numbers of containers that will be loaded onto vessels that visit the port periodically. Traffic congestions and multiple schedule cycle times for vessel arrival patterns are also considered. Moreover, a meta-heuristic method is developed for solving the model in large-scale cases. Numerical experiments are conducted to validate effectiveness and efficiency of the model.     

Is the leadership style important in R&D departments in Spanish industrial companies? An empirical analysis

This paper aims to thoroughly look into the effects of the differences between the diverse leadership styles on innovative outputs (intensive, efficient and eco-efficient) in Spanish industrial companies. A questionnaire for the factories was sent and was received between the months of September 2013 and June 2014. A total of 142 valid questionnaires were received. Several regression models were used in the empirical analysis. The results show that charismatic leadership positively induces an intensive innovative output, at the same time as it improves firms’ eco-efficient innovative output. Likewise, the individualised consideration that characterises transformational leadership makes this leadership style produce positive results on the whole group of innovative outputs considered. At the other end of the leadership spectrum, the transactional style causes negative effects on the relationship between innovative activity and innovative outputs, and more specifically, on the efficient innovative output.     

浅议自媒体视域下高校学生管理工作创新思考

近年来,随着网络技术的飞速发展和移动互联工具在大学生中的迅速普及,"无网不在"、"每日必网"迅速成为90后大学生基本的生活方式,学生管理工作受到更加严峻的挑战。本文通过对自媒体平台工具差异化比较研究,结合高校的具体情况,提出了运用自媒体工具推进学生管理工作创新的具体举措。     

关于食品安全问题的几点思考

食品安全从社会层面来看,不仅是公共卫生问题,而是社会问题、政治问题,甚至是社会安定团结问题。因此,食品安全问题科学管治意义重大。针对目前的治理现状,笔者从立法、市场行为价值取向、执法监管及媒介引导四个角度进行了思考,并对这些问题提出了建议性意见。     

浅谈计算机专业学生企业顶岗实习期间的评价体系建立

本文通过对计算机应用技术专业学生在企业顶岗实习期间进行调查研究,总结出学生在企业顶岗实习中的管理评价体系,用以充分调动学生的积极性和主动性,更好地进行顶岗实习和实现校企合作。     

建筑施工企业工程项目合同管理的法律风险及防范

工程项目是建筑施工企业经营管理的源头和效益的源泉。加强工程项目合同管理,从源头上预防和化解法律风险,杜绝纠纷案件,是提升项目创效水平,实现项目效益的重要环节。本文论述了工程项目合同管理中容易引发的法律风险,以及就如何防范法律风险有针对性的提出了预防措施,对建筑施工企业防范法律风险有着较强的指导意义。