Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

We consider a nonparametric method to estimate the expected shortfall—that is, the expected loss on a portfolio of financial assets knowing that the loss is larger than a given quantile. We derive the asymptotic properties of the kernel estimators of the expected shortfall and its first-order derivative with respect to portfolio allocation in the context of a stationary process satisfying strong mixing conditions. An empirical illustration is given for a portfolio of stocks. Another empirical illustration deals with data on fire insurance losses.     

领导任职期限设置的经济解释--激励与效率损失的权衡

领导任职期限制度能激励个人在管理技能培养上进行投入,这有利于增加社会总剩余;然而,任职期限制度在提供激励的同时,也造成了潜在效率的损失。领导任职期限的设置是这二者之间权衡的结果。本文通过一个两阶段博弈的分析框架,利用动态的局部均衡权衡模型,从个人收益最大化和社会总剩余最大化的相互作用中,推导出了社会最优的领导任职期限。在我们的动态的局部均衡权衡模型中,个人投入水平是任职期限制度的内生产物。     

营销人员流失模糊综合评价研究

基于模糊综合评价模型,文章构建企业营销人员流失风险的识别系统,根据销售人员个体价值及流失风险对企业营销人员流失状况进行了分析,报告了企业营销人员流失现状;通过采用人力资源个体价值方法,进行了企业营销人员流失风险调查,反映了企业营销人员管理存在的问题;根据营销人员对企业的贡献差别,确定营销人员流失风险指数;然后,根据营销人员流失风险指数和个体价值指数的关系,将企业营销人员细分为低风险低价值人员、高风险低价值人员、高风险高价值人员和低风险高价值人员四类,并根据企业营销人员细分标准,对不同类别的营销人员制定不同的管理策略,取得营销人员细分定位管理策略的研究成果,从人力资源角度为企业降低营销人员流失率,提高企业的经营效益提供了理论依据。     

Are Investors Rational When Valuing Loss Firms?

The authors examine whether high valuation of loss firms really exists and can be explained by behavioral factors. This valuation may originate from irrational behavior of optimistic investors who prefer lottery-like stocks, or from rational expectations of firms' profitability. Using a sample of small Canadian firms going public, the authors show that both individual investors and underwriters price loss firms higher than profit firms, everything being equal. Post-IPO 3-year underperformance does not differ statistically between loss and profit firms. Investors thus apparently behave irrationally for all firms, but their irrationality does not seem greater for loss firms.     

Determinants and implications of crop production loss: An empirical exploration using ordered probit analysis

This study investigates farmers’ perception about the severity of loss for three rice crops, identifies their determinants and explores policy implications based on findings. This research employs an ordered probit model to data collected from 1800 farm households from drought-prone and groundwater depleted areas of Bangladesh. This is the first study of its kind.Severity of rice production loss, while differing across all three rice crops, was higher for rain-fed crops. This was broadly consistent with available independent evidence. Geophysical factors, household characteristics, institutional and market accessibility, and household adaptation strategy were key determinants of crop loss. The impact of these factors was specific to the crop and severity of loss.This study has several policy implications involving market, R & D and institutional support based options. Strengthening support systems for institutional and market accessibility, and science driven climate change adaptation strategy including generation and wider dissemination of drought tolerant rice varieties, and enhancing farmers’ capacity to change rice varieties on a regular basis, constitute key areas for policy intervention.     

Loss severities on residential real estate debt during the Great Recession

This study develops estimates of expected loss severities on mortgage exposures using data from Florida during the Great Recession. This paper marks the first attempt at addressing sample selectivity in the context of loss models. We also construct measures of home equity that are more accurate than those employed in previous studies. We find that failing to address sample selection and the use of noisy equity measures in loss models can bias loss estimates significantly. We also find significantly higher loss severities and a greater sensitivity of loss severity to equity than what previous studies report.     

An Empirical Analysis of the Impact of Promotional Discounts on Store Performance

The received wisdom, reflected in popular marketing textbooks, is that featuring deeply discounted items will generate additional store traffic for retailers that in turn will lead to increased sales and profits. However, there is surprisingly little systematic evidence about the impact of these deep discounts on aggregate store traffic, sales, and profits. In this paper, we study the effects of promotional discounts and their characteristics on various store performance metrics employing a store level dataset pooled over 55 weeks and 24 stores. Many findings of our study lend credence to the continued popularity of such promotions by retailers. We find that feature promotions build store traffic, especially when the categories being featured are high penetration, high frequency. Also, promotions of branded items are found to be more effective than promotions of unbranded items. Discounting on more items in a category leads to lower store margins suggesting that the cost of discounting a large proportion of items in a category may not be justified by the profits generated by the sale. Using the coefficients from our model estimates, various counterfactuals provide insights into strategic change in level of discounts across categories. We discuss several implications of our findings for retailers.     

Drawing up the official adjustment rules for damage assessment in agricultural insurance: Results of a Delphi survey for fruit crops in Spain

This paper presents the results of an innovative use of the Delphi technique to obtain quantitative information for the evaluation of the Official Adjustment Rules for Damage Assessment in agricultural insurance. An efficient insurance system must guarantee that loss adjustment is performed fairly and transparently, so that the continual review and modification of adjustment rules becomes especially important. The present study develops and applies a methodology based on the subjective information compiled by experts to evaluate the modification of the Specific Loss Adjustment Rule for Fruit Crops under real market conditions.The results show that the method employed comes forward as a valid option to provide reliable information, as well as other economic and social advantages, in the absence of alternative statistical sources. The validity of the study has been proved by its utility, as the results were extremely useful for drawing up a new Official Adjustment Rule. This application opens up an interesting field of development for this technique, which will enable the proposed methodology to be applied to similar studies in the context of agricultural insurance loss adjustment.     

我国车险费率厘定的实证研究——基于广义线性模型的分析

目前,我国的机动车保险业进入快速发展阶段。科学、公平的费率厘定方法,对我国车险行业健康发展具有积极意义。从索赔频率和索赔额度两个方面利用广义线性模型估计保险费率,分析了从车、从人、从地三个因素的变动对索赔频率和索赔额度的影响。     

Optimistic bias in management forecasts by Japanese firms to avoid forecasting losses

Listed firms in Japan are effectively compelled to report management forecasts of sales, ordinary income, and net income along with actual earnings and sales each year. Prior studies report that Japanese managers tend to announce optimistic forecasts of earnings. We show that a large part (61.6%) of the overall optimistic bias in management earnings forecasts in Japan can be explained by loss forecast avoiding behavior of a small fraction (5.25%) of firms. Such behavior is caused in part by the view of the main bank and power group that the management forecast of earnings is the manager's earnings target. Our findings suggest that the Japanese stock market recognizes such loss forecast avoidance and accordingly discounts new information in management forecasts.