What makes countries initiate WTO disputes on food-related issues?

This paper analyses relevant determinants for the probability to initiate a dispute on policy measures under the World Trade Organization (WTO) dispute settlement system. The empirical analysis differs from existing assessments by focusing on agro-food-related disputes and provides a more in-depth analysis of specific country and sectoral characteristics not considered in previous studies. Contrary to recent analyses of overall trade disputes, the results show that some determinants such as legal capacity and monetary means are not statistically significant. Own protectionist behaviour, endured protectionism, and the duration of WTO membership, however, could be identified as relevant determinants with the expected direction of impact.     

Elicitability and identifiability of set-valued measures of systemic risk

Finance and Stochastics - Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g....     

A supermartingale relation for multivariate risk measures

The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are characterized as the worst-case dual variables in the dual representation of the risk measure. Examples of multivariate risk measures satisfying the supermartingale property are given. Crucial for obtaining the results are dual representations of scalarizations of set-valued dynamic risk measures, which are of independent interest in the fast growing literature on multivariate risks.     

Autonomous bureaucrats in independent bureaucracies? Loyalty perceptions within supreme audit institutions

The independence of Supreme Audit Institutions (SAIs) is essential to their effectiveness, yet the actual autonomy of SAIs auditors can be questioned. To whom do SAI officials owe their loyalty? To what extent are their loyalty perceptions reflected in their auditing reports? Our comparative study triangulates interviews, direct observations, and documents and, based on Q methodology, constructs four types of SAI officials who disavow traditional loyalties to political appointees or external stakeholders but abide to Constitutional and professional rules as well as to their respective audit institutions. Loyalty perceptions reflect SAIs’ associational contexts and are related to different work outcomes.     

Coherent hedging in incomplete markets

In incomplete financial markets, not every contingent claim can be perfectly replicated by a self-financing strategy. In this paper, we minimize the risk that the value of the hedging portfolio falls below the payoff of the claim at time T. We use a coherent risk measure, introduced by Artzner et al., to measure the risk of the shortfall. The dynamic optimization problem of finding a self-financing strategy that minimizes the coherent risk of the shortfall can be split into a static optimization problem and a representation problem. We will deduce necessary and sufficient optimality conditions for the static problem using convex duality methods. The solution of the static optimization problem turns out to be a randomized test with a typical 0–1 structure. Our results improve those obtained by Nakano. The optimal hedging strategy consists of superhedging a modified claim that is the product of the original payoff and the solution to the static problem.