A New Approach to Comparing VaR Estimation Methods


Journal of Derivatives

hiver 2008, vol. 16, n°2, pp.54-66

Départements : Finance, GREGHEC (CNRS)

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

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


Journal of Risk & Uncertainty

juin 2008, vol. 36, n°3, pp.245-266

Départements : Economie et Sciences de la décision, 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

Départements : 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


Revista de Ciencias Sociales

2008, vol. 3, n°121, pp.133-148

Départements : GREGHEC (CNRS)

An Allais Paradox for Generalized Expected Utility Theories?

L. Placido, O. L'HARIDON

Economics Bulletin

2008, vol. 4, n°19, pp.1-6

Départements : GREGHEC (CNRS)

At the end of the tunnel there is ... darkness: The ECJ denies EC liability for WTO non-compliance

M. Schmauch, A. ALEMANNO

European Law Reporter


Départements : Droit et fiscalité, GREGHEC (CNRS)

Axiomatization of an exponential similarity function

A. Billot, I. GILBOA, D. Schmeidler

Mathematical Social Sciences

mars 2008, vol. 55, n°2, pp.107-115

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

An individual is asked to assess a real-valued variable y based on certain characteristics x = (x1,', xm), and on a database consisting of n observations of (x1,', xm, y). A possible approach to combine past observations of x and y with the current values of x to generate an assessment of y is similarity-weighted averaging. It suggests that the predicted value of y, yn+1s, be the weighted average of all previously observed values yi, where the weight of yi is the similarity between the vector xn+11,', xn+1m, associated with yn+1, and the previously observed vector, xi1,', xim. This paper axiomatizes, in terms of the prediction yn+1, a similarity function that is a (decreasing) exponential in a norm of the difference between the two vectors compared. Keywords: Similarity function; Axiom; Exponential decay

Business Related Determinants of Offshoring Intensity

S. C. SRIVASTAVA, T. S. H. Teo, P. S. Mohapatra

Information Resources Management Journal

2008, vol. 21, n°1, pp.44-58

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

Some researchers view information systems (IS) offshoring as extension of onshore IS outsourcing. However, others have the opinion that IS offshoring has its unique characteristics because of which, we cannot extend research made in onshore IS outsourcing without testing its applicability to the offshore context. This tension motivates our research to examine whether determinants of IS offshoring are indeed the same as determinants of onshore IS outsourcing? We examine the role of some firm level determinants of offshoring intensity. The four business related determinants that we analyze in this study are: business size, business cost, business financial leverage, and business performance. Results indicate a significant relationship between business size and offshoring intensity, and also between business financial leverage and offshoring intensity. Based on the results, we analyze similarities and differences between traditional onshore IS outsourcing and IS offshoring. Implications and contributions arising out of this study are also discussed

Competition for Order Flow Smart Order Routing Systems

T. FOUCAULT, A.J. Menkveld

The Journal of Finance

février 2008, vol. 63, n°1, pp.119-158

Départements : Finance, GREGHEC (CNRS)

We study changes in liquidity following the introduction of a new electronic limit order market when, prior to its introduction, trading is centralized in a single limit order market. We also study how automation of routing decisions and trading fees affect the relative liquidity of rival markets. The theoretical analysis yields three main predictions: (i) consolidated depth is larger in the multiple limit order markets environment, (ii) consolidated bid-ask spread is smaller in the multiple limit order markets environment and (iii) the liquidity of the entrant market relative to that of the incumbent market increases with the level of automation for routing decisions (the proportion of "smart routers"). We test these predictions by studying the rivalry between the London Stock Exchange (entrant) and Euronext (incumbent) in the Dutch stock market. The main predictions of the model are supportedMarket fragmentation, centralized limit order book, smart routers, trading fees, trade-throughs

Competitors' Resource-Oriented Strategies: Acting on Competitors' Resources through Interventions in Factor Markets and Political Markets


Academy of Management Review

janvier 2008, vol. 33, n°1, pp.97-121

Départements : Stratégie et Politique d’Entreprise, GREGHEC (CNRS)

Mots clés : Competition, Business Intelligence, Competitive advantage, Marketing strategy, Resource-based theory of the firm, Resource management

We argue that we can reach a better understanding of the relationships between firm resources and competitive advantage by considering actions that firms take against their rivals' resources in factor markets and political markets. We outline market and firm characteristics that facilitate the deployment of competitors' resource-oriented strategies. We then argue that the effectiveness of the firm's actions on its competitors' resources depends on the competitive responses of the rivals being attacked.