Business Commons^™

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 …

Corporate Social Responsibility And Ceo Risk-Taking Incentives, Zhichuan Li

Business Publications

We examine how firms adjust CEO risk-taking incentives in response to risk environments associated with their corporate social responsibility (CSR) standing. We find strong evidence that as a firm's CSR status improves (declines), increasing (decreasing) its risk-taking capacity, the firm responds by adjusting compensation contracts to increase (decrease) CEO risk-taking incentives (Vega). One channel of the adjustment is through stock option grants. Further analyses indicate that the positive CSR-Vega association is stronger in firms with better corporate governance and in industries where riskiness is more important. Our evidence indicates that firms are not passive in response to changes in CSR …

Derivative Initiative: Does The Use Of Financial Derivatives Influence Firm Value In The Philippine Context?, Julia Alfonso D. Arrastia, Christina Angela N. Balagot, Joseph Anthony C. Go, Dominique Ann Philomena V. Lacuna

Angelo King Institute for Economic and Business Studies (AKI)

Firms use financial derivatives as a way to hedge risky transactions to avoid financial risks. Studies have focused on firms’ use of financial derivatives in developed countries. However, there is limited research done on emerging markets like the Philippines because these economies have only recently adapted advanced reporting standards that obligate the disclosure of the nature and extent of risks resulting from the use of financial instruments. We used Tobin’s Q ratio to proxy for firm value and determine the presence of a hedging premium. Because derivatives are used by firms to hedge against currency risks, interest rate risks, and …

Hedging Season: The Effect Of Hedging Using Financial Derivatives On Firm Value Of Publicly-Listed Non-Financial Firms In The Philippines, Julio Alfonso D. Arrastia, Christina Angela N. Balagot, Joseph Anthony C. Go, Dominique Ann Philomena V. Lacuna

Angelo King Institute for Economic and Business Studies (AKI)

Firms use financial derivatives as a way to hedge risky transactions to avoid financial risks. Studies have focused on firms’ use of financial derivatives in developed countries. However, there is limited research done on emerging markets like the Philippines because these economies have only recently adapted advanced reporting standards that obligate the disclosure of the nature and extent of risks resulting from the use of financial instruments. We used Tobin’s Q ratio to proxy for firm value and to determine the presence of a hedging premium. Because derivatives are used by firms to hedge against currency risks, interest rate risks, …

A Framework For Adaptive Capacity In Complex Systems, Abdulrahman Alfaqiri

Engineering Management & Systems Engineering Theses & Dissertations

Complex systems are characterized by their high level of inter-connectivity, ambiguity, and emergence. Therefore, a failure in one element of a system (e.g. cyber layer) due to external or internal disturbances can lead to a cascade effect that may influence all elements of the system. Consequently, the complex system will not be able to perform its functional performance. Threats related to complex systems are very dynamic, fast, complex and damage can be severe. Thus, to respond to the dynamic and unpredictable nature of these threats, complex systems need to be highly adaptive to survive and thrive in the face of …

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 …

An Assessment Of Practical Hands-On Lab Activities In Network Security Management, Te-Shun Chou, Nicholas Hempenius

Journal of Cybersecurity Education, Research and Practice

With the advancement in technology over the past decades, networks have become increasingly large and complex. In the meantime, cyberattacks have become highly sophisticated making them difficult to detect. These changes make securing a network more challenging than ever before. Hence, it is critical to prepare a comprehensive guide of network security management for students assist them in becoming network security professionals.

The objective of this paper is to introduce a variety of techniques related to network security management, such as Simple Network Management Protocol (SNMP), event management, security policy management, risk management, access control, and remote monitoring. With the …

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 …

Compensation Strategies That Support Commercial Banks’ Effective Risk Management Practices, Elias Kagumya

Walden Dissertations and Doctoral Studies

Compensation structures with relatively high levels of contingent pay encouraged managers to engage in excessive risk-taking behavior at financial institutions, which contributed to the global financial crisis of 2008. The purpose of this study, guided by the theory of the firm, was to explore compensation strategies that some executives in Uganda used to support effective risk-management practices. This multiple case study was an in-depth inquiry into compensation strategies that encouraged prudent risk-taking behavior. The target population comprised 5 risk-management executives from 5 separate commercial banks who had successfully implemented compensation strategies that supported risk management practices. Data were collected through …

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 …