Articles

"L' Ile de la Tentation" ... de la violation de l'article L 120-2 du Code du travail

M. SERNA

Blog Dalloz

28 February 2008

Departments: Tax & Law


A New Approach to Comparing VaR Estimation Methods

C. PERIGNON, D. Smith

Journal of Derivatives

Winter 2008, vol. 16, n°2, pp.54-66

Departments: Finance, GREGHEC (CNRS)

Keywords: Value-at-Risk, Bank Trading Revenue, Backtesting, Coverage Test

http://dx.doi.org/10.2139/ssrn.981207


Value-at-risk (VaR), despite its known shortcomings, has become established as the most commonly used measure of risk exposure. But many variants of procedures for implementing VaR exist. Some variants use historical data with or without simulations, while others assume parametric models, such as GARCH, with parameters estimated from past data. And, of course, different users might focus on different VaR cutoffs: 5%, 1%, and so on. Perignon and Smith use an innovative method of extracting daily values for bank revenues from their annual reports to explore which VaR methods empirically work best. A second innovation discussed in the article is how to measure the accuracy of tail estimation at multiple points in the tail. The results suggest that, in estimating VaR for banks, parametric methods work best

A tractable method to measure utility and loss aversion in prospect theory

M. ABDELLAOUI, H. Bleichrodt, O. L'HARIDON

Journal of Risk & Uncertainty

June 2008, vol. 36, n°3, pp.245-266

Departments: Economics & Decision Sciences, GREGHEC (CNRS)


This paper provides an efficient method to measure utility under prospect theory. Our method minimizes both the number of elicitations required to measure utility and the cognitive burden for subjects, being based on the elicitation of certainty equivalents for two-outcome prospects. We applied our method in an experiment and were able to replicate the main findings on prospect theory, suggesting that our method measures what it is intended to. Our data confirmed empirically that risk seeking and concave utility can coincide under prospect theory. Utility did not depend on the probability used in the elicitation, which offers support for the validity of prospect theory. Loss aversionProspect theoryUtility measurement

Absorptive Capacity and Source-Recipient Complementarity in Designing New Products: An Empirically Derived Framework

C. Abecassis-Moedas, S. BEN MAHMOUD-JOUINI

Journal of Product Innovation Management

2008, vol. 25, n°5, pp.473-490

Departments: Informations Systems and Operations Management, GREGHEC (CNRS)


Numerous publications are dedicated to absorptive capacity and new product development (NPD). Most are centered on the recipient team, and very few consider the effects of the source team knowledge characteristics on the knowledge absorption and the NPD performance. This paper analyzes the type of the external knowledge sourced from outside the organization and the process through which it is used by the recipient firm and the effect on NPD performance. This is done through a specific type of source team knowledge, the design, and through the NPD process in industries (clothing and construction) where it plays a key role. NPD cases were analyzed and clustered in three categories of design absorption processes. From these categories, a conceptual framework of the source-recipient knowledge complementarity and its impact on the NPD performance is proposed. The main result is that the complementarity between the recipient and the source knowledge is a critical aspect of the absorption process and therefore of the NPD performance. From a managerial perspective, this research highlights the role of design in the NPD process and how the combination of design knowledge with prior knowledge (marketing or technological) is related to NPD performance.

Acción, decisión y competencias deliberativas en el Presupuesto Participativo de Porto Alegre

L. E. CUENCA BOTEY

Revista de Ciencias Sociales

2008, vol. 3, n°121, pp.133-148

Departments: GREGHEC (CNRS)



JavaScriptSettings