Business Commons^™

Historical Perspectives In Volatility Forecasting Methods With Machine Learning, Zhiang Qiu, Clemens Kownatzki, Fabien Scalzo, Eun Sang Cha

Seaver College Research And Scholarly Achievement Symposium

Volatility forecasting in the financial market plays a pivotal role across a spectrum of disciplines, such as risk management, option pricing, and market making. However, volatility forecasting is challenging because volatility can only be estimated, and different factors influence volatility, ranging from macroeconomic indicators to investor sentiments. While recent works suggest advances in machine learning and artificial intelligence for volatility forecasting, a comprehensive benchmark of current statistical and learning-based methods for such purposes is lacking. Thus, this paper aims to provide a comprehensive survey of the historical evolution of volatility forecasting with a comparative benchmark of key landmark models. We …

Risks In Grantmaking: A Study Of Australian Foundations, Daniel Archibald, Reza Tajaddini, Mary Dunkley

The Foundation Review

In the pursuit of more effective giving, the nonprofit sector has been increasingly advocating for foundations to take on more risk in their grantmaking. This article investigates the risk experience in the charitable funding process and the approaches taken to mitigate unwanted risks. Failure to adequately manage such risks can negatively influence the legacy of a foundation and the effectiveness of the programs and projects it funds.

Particularly, this article contributes to the improvement of managing the risks that arise in the grantmaking process by identifying those key risks faced by different types of foundations, thus helping to prioritize the …

Risky Business: Reopening Recreational Sport Facilities During Covid-19, Leeann M. Lower-Hoppe, Annemarie Farrell, Alina Cioletti, Ali Talcott, Mackenzie Rector, Shea M. Brgoch, Robert J. Barcelona

Journal of Applied Sport Management

At the onset of COVID-19, sport and fitness administrators shut down facilities to mitigate viral spread. To reopen facilities, safety protocols and policies reflecting risk mitigation strategies were established. This case study adopted the International Standards Organization’s risk management framework to explore strategies for reopening collegiate recreational sport facilities during the pandemic. Document analysis was employed to analyze the reopening plans of four collegiate recreation departments across North America. The reopening plans focused on the risk assessment and treatment process and used a phased approach, with strategies moving from risk avoidance to risk reduction and transfer. Common risk management strategies …

The Power Of Protective Factors: A Framework For Mental Health Action And Education, Rich Stowell

Journal of Nonprofit Innovation

Mental health advocates, practitioners, and research have long used the framework of risk factors and protective factors to understand mental health. This article examines the origins of the concept of protective factors and describes how it contributes to the applications of resources in the mental health space.

Hedging Cryptos With Bitcoin Futures, Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Haerdle

Sim Kee Boon Institute for Financial Economics

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two extensions of the traditional approach: first, different dependence structures are modelled by different copulae, such as the Gaussian, Student-t, Normal Inverse Gaussian and Archimedean copulae; second, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to find the optimal hedge ratio. Extensive out-of-sample tests using the data from the time …

Ownership Of Esg Characteristics, Mark E. Bateman, Lisa R. Goldberg

School of Public Service Faculty Publications

A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors' Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.

Let It Burn: A Case Study On The Risk Management Practices Of Burning Man Project, Ethan S. De La Torre

Experience Industry Management

Risk management can be defined as a decision-making process of planning, identifying, analyzing, developing a response for, and controlling potential risks with the goal of minimizing the negative impacts of those risks. Risk management is an essential practice for all events, especially large-scale, live entertainment events. The purpose of this study was to examine the risk management practices for Burning Man. The instrument utilized in this study was a best practices guide developed by the researcher. Data were collected prior to, during, and following Burning Man 2022: Waking Dreams. Sources of data include printed material and online sources published by …

Optimizing Cybersecurity Budgets With Attacksimulation, Alexander Master, George Hamilton, J. Eric Dietz

Faculty Publications

Modern organizations need effective ways to assess cybersecurity risk. Successful cyber attacks can result in data breaches, which may inflict significant loss of money, time, and public trust. Small businesses and non-profit organizations have limited resources to invest in cybersecurity controls and often do not have the in-house expertise to assess their risk. Cyber threat actors also vary in sophistication, motivation, and effectiveness. This paper builds on the previous work of Lerums et al., who presented an AnyLogic model for simulating aspects of a cyber attack and the efficacy of controls in a generic enterprise network. This paper argues that …

Yung Kee: A Roast Goose Chase, Singapore Management University

Perspectives@SMU

How a Hong Kong culinary landmark emerged stronger following a bitter family feud over succession disputes

Protect Your Patients And Yourself: The Complete And Honest Medical History, Mitchell Gardiner Dmd

The Journal of the Michigan Dental Association

This feature article emphasizes the critical role of obtaining a complete and honest medical history in dental practice. Reflecting on the evolution of clinicians' diligence since dental school, the article underscores the potential risks associated with inadequate medical histories. The legal and ethical responsibilities in gathering comprehensive patient information are highlighted, emphasizing the impact on patient well-being and the dentist's vulnerability to legal challenges. The complexities of patients' truthfulness, especially regarding sensitive topics, are discussed, urging clinicians to establish trust for accurate disclosures. The article concludes with practical recommendations, stressing the ongoing need for thorough medical history reviews and the …

Impact Of Internal Corporate Social Responsibility Factors On The Employee’S Innovation Climate In The Medical Diagnostics Industry, Sofia M. Beglari

Theses and Dissertations

This study examined the relationship between employee-driven corporate social responsibility (CSR) factors and employee innovation in U.S. medical diagnostic companies during the respiratory syndrome coronavirus (COVID) pandemic. This study examined what employee-driven CSR factors affect such motivation of employees toward innovation. The research population was employees who have worked in operation, quality control, research, technical, and management departments of medical diagnostics companies in the United States of America. The investigator used a survey questionnaire for this correlation design study. Employees’ responses were analyzed based on education level, gender, and job function using descriptive analysis, t-test, and ANOVA-test. The theoretical framework …

Lessons Learned: Greg Feldberg, Sandra Ward, Rosalind Z. Wiggins

Journal of Financial Crises

Greg Feldberg was a senior supervisory financial analyst at the Board of Governors of the Federal Reserve experienced in regulating large banks when he was recruited to the Financial Crisis Inquiry Commission (FCIC) where he worked from 2010-11, becoming its Director of Research. The FCIC was a bipartisan commission charged with investigating the causes of the global financial crisis of 2007-09. Feldberg shared thoughts about some of the challenges faced by the commission and why its report is important. This "Lessons Learned" is based on an interview with Mr. Feldberg.

Strategies Worker-Owned Cooperatives Use To Remain Profitable During Economic Downturns, Termaine Davis

Walden Dissertations and Doctoral Studies

New managers of worker-owned cooperatives who fail to adapt to changing conditions can threaten the organization’s viability. Some new managers of worker-owned cooperatives may lack the strategies they need to maintain consistent employment levels during economic downturns. Grounded in the expected utility theory, the purpose of this qualitative multiple case study was to explore the strategies used by managers of worker-owned cooperatives to maintain consistent employment levels during sustained periods of low revenue. Participants comprised seven managers of worker-owned cooperatives with a minimum of 5 years’ experience in the Midwest of the United States managing cooperatives during sustained periods of …

Uncertainty > Risk: Lessons For Legal Thought From The Insurance Runoff Market, Tom Baker

All Faculty Scholarship

Insurance ideas inform legal thought: from tort law, to health law and financial services regulation, to theories of distributive justice. Within that thought, insurance is conceived as an ideal type in which insurers distribute determinable risks through contracts that fix the parties’ obligations in advance. This ideal type has normative appeal, among other reasons because it explains how tort law might achieve in practice the objectives of tort theory. This ideal type also supports a restrictive vision of liability-based regulation that opposes expansions and supports cutbacks, on the grounds that uncertainty poses an existential threat to insurance markets.

Prior work …

Strategies Worker-Owned Cooperatives Use To Remain Profitable During Economic Downturns, Termaine Davis

Walden Dissertations and Doctoral Studies

New managers of worker-owned cooperatives who fail to adapt to changing conditions can threaten the organization’s viability. Some new managers of worker-owned cooperatives may lack the strategies they need to maintain consistent employment levels during economic downturns. Grounded in the expected utility theory, the purpose of this qualitative multiple case study was to explore the strategies used by managers of worker-owned cooperatives to maintain consistent employment levels during sustained periods of low revenue. Participants comprised seven managers of worker-owned cooperatives with a minimum of 5 years’ experience in the Midwest of the United States managing cooperatives during sustained periods of …

Teres: Tail Event Risk Expectile Shortfall, Andrija Mihoci, Wolfgang Karl Hardle, Cathy Yi-Hsuan Chen

Sim Kee Boon Institute for Financial Economics

We propose a generalized risk measure for expectile-based expected shortfall estimation. The generalization is designed with a mixture of Gaussian and Laplace densities. Our plug-in estimator is derived from an analytic relationship between expectiles and expected shortfall. We investigate the sensitivity and robustness of the expected shortfall to the underlying mixture parameter specification and the risk level. Empirical results from the US, German and UK stock markets and for selected NASDAQ blue chip companies indicate that expected shortfall can be successfully estimated using the proposed method on a monthly, weekly, daily and intra-day basis using a 1-year or 1-day time …

Buffer Zones And The Recreational Golf Sector: A Negligence Case Content Analysis, Natalie Bird

Graduate Theses and Dissertations

Buffer zones are a risk management method used within sport and recreation to protect participants and spectators from avoidable injury. Within the recreational golf sector, buffer zone standards do not exist. This poses a problem as golf courses in the recreational sector serve a wide range of customers in terms of age, skill level, and experience. A legal case content analysis of 1,561 golf negligence lawsuits aimed to answer research questions related to locations of incidents, circumstances that led to injury, and injuries or damages that were the result of errant golf shots. A Westlaw search provided the data for …

Risk Management In The Indonesian Archival Institution, Dyah Srirahayu, Endang Fitriyah Mannan, Ria Triwastuti

Library Philosophy and Practice (e-journal)

An archival institution is one of the institutions that functions as an organization that does not have a priceless archive rescue organization. Like other organizations, archival institutions also experience risks that will affect their operational processes or important records they manage. The purpose of risk management is to minimize the failure received by the institution due to existing risks. This study is to understand how the conditions of risk management in archival institutions, the risks they face and the impacts that occur. This study also aims to map risks in archival institutions ranging from mild to severe impacts, so that …

Shipbuilding Supply Chain Framework And Digital Transformation: A Project Portfolios Risk Evaluation, Rafael Diaz, Katherine Smith, Rafael Landaeta, Antonio Padovano

VMASC Publications

Program portfolio managers in digital transformation programs have a need for knowledge that can guide decisions related to the alignment of program investments with the sustainability and strategic objectives of the organization. The purpose of this research is to illustrate the utility of a framework capable of clarifying the cost-benefit tradeoffs stemming from assessing digitalization program investment risks in the military shipbuilding sector. Our approach uses Artificial Neural Network to quantify benefits and risks per project while employing scenario analysis to quantify the effects of operational constraints. A Monte Carlo model is used to generate data samples that support the …

Management-Based Regulation, Cary Coglianese, Shana M. Starobin

All Faculty Scholarship

Environmental regulators have embraced management-based regulation as a flexible instrument for addressing a range of important problems often poorly addressed by other types of regulations. Under management-based regulation, regulated firms must engage in management-related activities oriented toward addressing targeted problems—such as planning and analysis to mitigate risk and the implementation of internal management systems geared towards continuous improvement. In contrast with more restrictive forms of regulation which can impose one-size-fits-all solutions, management-based regulation offers firms greater operational choice about how to solve regulatory problems, leveraging firms’ internal informational advantage to innovate and search for alternative measures to achieve the intended …

Jpmorgan Chase London Whale E: Supervisory Oversight, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

As a diversified financial service provider and the largest United States bank holding company, JPMorgan Chase (JPM) is supervised by multiple regulatory agencies. JPM’s commercial bank subsidiaries hold a national charter and therefore are regulated by the Office of the Comptroller of the Currency (OCC). Since the bank’s Chief Investment Office (CIO) invested the surplus deposits of JPM’s commercial bank units, the OCC was also CIO’s primary regulator. During the critical period from late January through March 2012, when CIO traders undertook the failed derivatives strategy that ultimately cost the bank $6 billion, JPM did not provide the OCC with …

The Lehman Brothers Bankruptcy B: Risk Limits And Stress Tests, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

Investment banks are in the business of taking calculated risks. Risk management infrastructure facilitates the safe pursuit of profits and the balancing of associated risks. By 2006, Lehman Brothers was thought to have a very respectable risk management system, and even its regulator, the Securities and Exchange Commission, viewed its risk framework as being fully compliant with regulatory requirements. In its public disclosures, Lehman characterized its risk controls as “meaningful constraints on its risk taking” and evidence of its continued financial stability. Beginning in late 2006, however, Lehman began dismantling its carefully crafted risk management framework as it pursued a …

How Liability Insurers Protect Patients And Improve Safety, Tom Baker, Charles Silver

All Faculty Scholarship

Forty years after the publication of the first systematic study of adverse medical events, there is greater access to information about adverse medical events and increasingly widespread acceptance of the view that patient safety requires more than vigilance by well-intentioned medical professionals. In this essay, we describe some of the ways that medical liability insurance organizations contributed to this transformation, and we catalog the roles that those organizations play in promoting patient safety today. Whether liability insurance in fact discourages providers from improving safety or encourages them to protect patients from avoidable harms is an empirical question that a survey …

Risk And Return Comparisons Of Pre-Harvest Marketing Strategies, John Leander Turner V

Graduate Theses and Dissertations

This paper analyzes risk and returns associated with pre-harvest corn grain marketing strategies for the state of Arkansas. Farming is characterized by a volatile environment. Numerous risks are taken by producers in order to provide commodities that are bought and sold by various parties in the supply chain. Price, yield, and production costs vary daily and can have large variation between years. Risk and Return Comparisons of Pre-harvest Marketing Strategies examines the effectiveness of using pre-harvest marketing strategies to enhance returns and to mitigate inherent price risk in the Memphis cash corn market. Thirteen strategies are compared to the October …

How Do Financial Institutions In China Mitigate Risks In Securitization Markets?, Tiantian Lyu

Honors College Theses

Asset securitization as the essential financial tool has increased the liquidity of underlying assets and promoted rapid economic development. In 2008, the outbreak of Subprime Mortgage Crisis that brought by the collapse of securitization triggered the U.S. securitization market to realize the risks involved in structured financial products, and thus facilitated the development of risk controlling tools. Through the analysis of securitization process, drivers, and credit rating agencies, the study concentrates on the formation of risks and modeling evaluation with evidence in both China and the U.S. markets. Statistical analysis was conducted on Chinese securitized products combining with risk management …

Regulation And The Marginalist Revolution, Herbert J. Hovenkamp

All Faculty Scholarship

The marginalist revolution in economics became the foundation for the modern regulatory State with its “mixed” economy. Marginalism, whose development defines the boundary between classical political economy and neoclassical economics, completely overturned economists’ theory of value. It developed in the late nineteenth century in England, the Continent and the United States. For the classical political economists, value was a function of past averages. One good example is the wage-fund theory, which saw the optimal rate of wages as a function of the firm’s ability to save from previous profits. Another is the theory of corporate finance, which assessed a corporation’s …

Optimizing Regulation For An Optimizing Economy, Cary Coglianese

All Faculty Scholarship

Much economic activity in the United States today emanates from technological advances that optimize through contextualization. Innovations as varied as Airbnb and Uber, fintech firms, and precision medicine are transforming major sectors in the economy by customizing goods and services as well as refining matches between available resources and interested buyers. The technological advances that make up the optimizing economy create new challenges for government oversight of the economy. Traditionally, government has overseen economic activity through general regulations that aim to treat all individuals equally; however, in the optimizing economy, business is moving in the direction of greater individualization, not …

Critical Risk Assessment And Management In Pharmaceutical Industry, Abida Zameer

Dissertations and Theses

Background

Proper implementation of principles of project risk management is well known to minimize the impact of threats to any project. However, the determination of critical success factors which threat the success of pharmaceutical projects at baseline are usually uncertain.

Methods

Data was collected using self-administered structured questionnaire generated solely for the purpose of the current research. The questionnaire was administered via e-mail to professionals employed in the pharmaceutical industry located in Boston area using www.surveymonkey.com. The introduction and purpose of the questionnaire was described in the message accompanying the questionnaire.

Results:

Out of the 14 critical success factors listed …

Transforming The Insurance Sector In Nigeriain Using The Fss 2020 Platform, Chris O. Muo

Bullion

The National lnsurance Commission (NAICOM) is the statutory Regulatory body of insurance business created to ensure the effective administration, supervision and regulation of insurance business and regulate transactions between insurers and reinsurers within and outside Nigeria. FSS 2020 Insurance Sector, in collaboration with NAICOM aims to deepen the insurance market; ensure lnsurance credibility and protect policy holders; Embed governance and risk management framework for the lnsurance Companies; Enhance access to finance (financial inclusion) with business development support and new products; and risk-based capitalization of lnsurance Companies.

Foundations Don’T Know What They’Re Risking, Maya Winkelstein, Shelley Whelpton

The Foundation Review

Critical gaps exist in philanthropy’s definitions of and approach to risk management. This article describes the scope of the problem and a framework for philanthropists to adopt risk-management practices that better equip the sector to address the challenges of our time.

In 2015, the Open Road Alliance surveyed hundreds of funders and grantees to explore questions about risk and contingency funding. The next year, Open Road partnered with Arabella Advisors for a qualitative analysis of existing foundation policies and procedures related to risk. The combined results suggest a need for contingency funding – and a lack among most funders and …