Dépouillements

Corporate governance, debt, and investment policy during the great depression / John R. Graham in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2083-2100 Titre : Corporate governance, debt, and investment policy during the great depression Type de document : texte imprimé Auteurs : John R. Graham, Auteur ; Sonali Hazarika, Auteur ; Krishnamoorthy Narasimhan, Auteur Année de publication : 2012 Article en page(s) : pp. 2083-2100 Note générale : Management Langues : Anglais (eng) Mots-clés : Corporate  governance  Capital  structure  Investment  policy  Great  depression  Stock  market  value Résumé : We study a period of severe disequilibrium to investigate whether board characteristics are related to corporate investment, debt usage, and firm value. During the 1930–1938 Depression era, when the corporate sector was shocked by an unprecedented downturn, we document a relation between board characteristics and firm performance that varies in economically sensible ways: Complex firms (that would benefit more from board advice) exhibit a positive relation between board size and firm value, and simple firms exhibit a negative relation between board size and firm value. Moreover, simple firms with large boards do not downsize adequately in response to the severe economic contraction: they invest more (or shrink less) and use more debt during the 1930s. We document similar effects for the number of outside directors on the board. Finally, we also find that companies with properly aligned governance structures are more likely to replace the company president following poor performance. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Corporate governance, debt, and investment policy during the great depression [texte imprimé] / John R. Graham, Auteur ; Sonali Hazarika, Auteur ; Krishnamoorthy Narasimhan, Auteur . - 2012 . - pp. 2083-2100. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2083-2100 Mots-clés : Corporate  governance  Capital  structure  Investment  policy  Great  depression  Stock  market  value Résumé : We study a period of severe disequilibrium to investigate whether board characteristics are related to corporate investment, debt usage, and firm value. During the 1930–1938 Depression era, when the corporate sector was shocked by an unprecedented downturn, we document a relation between board characteristics and firm performance that varies in economically sensible ways: Complex firms (that would benefit more from board advice) exhibit a positive relation between board size and firm value, and simple firms exhibit a negative relation between board size and firm value. Moreover, simple firms with large boards do not downsize adequately in response to the severe economic contraction: they invest more (or shrink less) and use more debt during the 1930s. We document similar effects for the number of outside directors on the board. Finally, we also find that companies with properly aligned governance structures are more likely to replace the company president following poor performance. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

How do acquirers retain successful target CEOs? / Julie Wulf in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2101-2114 Titre : How do acquirers retain successful target CEOs? : The role of governance Type de document : texte imprimé Auteurs : Julie Wulf, Auteur ; Harbir Singh, Auteur Année de publication : 2012 Article en page(s) : pp. 2101-2114 Note générale : Management Langues : Anglais (eng) Mots-clés : Organizational  studies  Strategy  Motivation–incentives  Finance  Corporate  finance Résumé : The resource-based view argues that acquisitions can build competitive advantage partially through retention of valuable human capital of the target firm. However, making commitments to retain and motivate successful top managers is a challenge when contracts are not enforceable. Investigating the conditions under which target chief executive officers (CEOs) are retained in a sample of mergers in the 1990s, we find greater retention of better-performing and higher-paid CEOs—both measures of valuable human capital. We also show that the performance-retention link is stronger when the acquirer's governance provisions support managers and when the acquirer's CEO owns more equity. Although it is not common for acquirers to retain target CEOs, we argue that they are more likely to do so when their governance environment maintains managerial discretion. Based on a joint analysis of retention and governance, our findings are largely consistent with a managerial human capital explanation of retention. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] How do acquirers retain successful target CEOs? : The role of governance [texte imprimé] / Julie Wulf, Auteur ; Harbir Singh, Auteur . - 2012 . - pp. 2101-2114. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2101-2114 Mots-clés : Organizational  studies  Strategy  Motivation–incentives  Finance  Corporate  finance Résumé : The resource-based view argues that acquisitions can build competitive advantage partially through retention of valuable human capital of the target firm. However, making commitments to retain and motivate successful top managers is a challenge when contracts are not enforceable. Investigating the conditions under which target chief executive officers (CEOs) are retained in a sample of mergers in the 1990s, we find greater retention of better-performing and higher-paid CEOs—both measures of valuable human capital. We also show that the performance-retention link is stronger when the acquirer's governance provisions support managers and when the acquirer's CEO owns more equity. Although it is not common for acquirers to retain target CEOs, we argue that they are more likely to do so when their governance environment maintains managerial discretion. Based on a joint analysis of retention and governance, our findings are largely consistent with a managerial human capital explanation of retention. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

Monte carlo algorithms for default timing problems / Kay Giesecke in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2115-2129 Titre : Monte carlo algorithms for default timing problems Type de document : texte imprimé Auteurs : Kay Giesecke, Auteur ; Baeho Kim, Auteur ; Shilin Zhu, Auteur Année de publication : 2012 Article en page(s) : pp. 2115-2129 Note générale : Management Langues : Anglais (eng) Mots-clés : Simulation  Probability  Stochastic  model  applications  Financial  institutions  Banks Résumé : Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity-based point process models. The algorithms extend the conventional thinning scheme to the case where the event intensity is unbounded, a feature common to many standard model formulations. Numerical results illustrate the performance of the algorithms for a familiar top-down model and a novel bottom-up model of correlated default risk. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Monte carlo algorithms for default timing problems [texte imprimé] / Kay Giesecke, Auteur ; Baeho Kim, Auteur ; Shilin Zhu, Auteur . - 2012 . - pp. 2115-2129. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2115-2129 Mots-clés : Simulation  Probability  Stochastic  model  applications  Financial  institutions  Banks Résumé : Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity-based point process models. The algorithms extend the conventional thinning scheme to the case where the event intensity is unbounded, a feature common to many standard model formulations. Numerical results illustrate the performance of the algorithms for a familiar top-down model and a novel bottom-up model of correlated default risk. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

Efficient two-dimensional packing algorithms for mobile WiMAX / Andrea Lodi in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2130-2144 Titre : Efficient two-dimensional packing algorithms for mobile WiMAX Type de document : texte imprimé Auteurs : Andrea Lodi, Auteur ; Silvano Martello, Auteur ; Michele Monaci, Auteur Année de publication : 2012 Article en page(s) : pp. 2130-2144 Note générale : Management Langues : Anglais (eng) Mots-clés : Mobile  WiMAX  Two-dimensional  packing  Computational  complexity  Experimental  analysis Résumé : We present the result of research, developed within Nokia Siemens Networks, to solve the downlink sub-frame allocation problem in Mobile WiMAX (IEEE 802.16) technology in its full complexity, while simultaneously fulfilling real-life constraints on processing power and delay. We describe the IEEE 802.16 standard, and introduce two system models. A theoretical analysis of the two-dimensional packing problems originated by such models shows that they are both 𝒩𝒫-hard in the strong sense. From a practical point of view, the processing budget for scheduling in the base station was estimated to be 1 ms on a state-of-the-art PC. Thus, we introduce two highly efficient heuristics that were developed to handle the system practically. A thorough computational analysis of their optimization characteristics and a system-level evaluation in realistic scenarios proved that the algorithms offer significant capacity gain in Mobile WiMAX systems that translate to increased operator revenues. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Efficient two-dimensional packing algorithms for mobile WiMAX [texte imprimé] / Andrea Lodi, Auteur ; Silvano Martello, Auteur ; Michele Monaci, Auteur . - 2012 . - pp. 2130-2144. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2130-2144 Mots-clés : Mobile  WiMAX  Two-dimensional  packing  Computational  complexity  Experimental  analysis Résumé : We present the result of research, developed within Nokia Siemens Networks, to solve the downlink sub-frame allocation problem in Mobile WiMAX (IEEE 802.16) technology in its full complexity, while simultaneously fulfilling real-life constraints on processing power and delay. We describe the IEEE 802.16 standard, and introduce two system models. A theoretical analysis of the two-dimensional packing problems originated by such models shows that they are both 𝒩𝒫-hard in the strong sense. From a practical point of view, the processing budget for scheduling in the base station was estimated to be 1 ms on a state-of-the-art PC. Thus, we introduce two highly efficient heuristics that were developed to handle the system practically. A thorough computational analysis of their optimization characteristics and a system-level evaluation in realistic scenarios proved that the algorithms offer significant capacity gain in Mobile WiMAX systems that translate to increased operator revenues. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

A multiechelon inventory problem with secondary market sales / Alexandar Angelus in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2145-2162 Titre : A multiechelon inventory problem with secondary market sales Type de document : texte imprimé Auteurs : Alexandar Angelus, Auteur Année de publication : 2012 Article en page(s) : pp. 2145-2162 Note générale : Management Langues : Anglais (eng) Mots-clés : Inventory  theory  Multiechelon  Stock  disposals  Secondary  markets  Dynamic  programming  Optimal  policy  Heuristics  Echelon  base-stock  policy Résumé : We consider a finite-horizon, multiechelon inventory system in which the surplus of stock can be sold (i.e., disposed) in the secondary markets at each stage in the system. What are called nested echelon order-up-to policies are shown to be optimal for jointly managing inventory replenishments and secondary market sales. Under a general restriction on model parameters, we establish that it is optimal not to both sell off excess stock and replenish inventory. Secondary market sales complicate the structure of the system, so that the classical Clark and Scarf echelon reformulation no longer allows for the decomposition of the objective function under the optimal policy. We introduce a novel class of policies, referred to as the disposal saturation policies, and show that there exists a disposal saturation policy, determined recursively by a single base-stock level at each echelon, that achieves the decomposition of this problem. The resulting optimal replenishment policy is shown to be the echelon base-stock policy. We demonstrate the heuristic performance of this disposal saturation policy through a series of numerical studies: except at extreme ranges of model parameters, the policy provides a very good approximation to the optimal policy while avoiding the curse of dimensionality. We also conduct numerical studies to determine the value of the secondary markets for multistage supply chains and assess its sensitivity to model parameters. The results provide potentially useful insights for companies seeking to enter or develop secondary markets for supply chains. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] A multiechelon inventory problem with secondary market sales [texte imprimé] / Alexandar Angelus, Auteur . - 2012 . - pp. 2145-2162. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2145-2162 Mots-clés : Inventory  theory  Multiechelon  Stock  disposals  Secondary  markets  Dynamic  programming  Optimal  policy  Heuristics  Echelon  base-stock  policy Résumé : We consider a finite-horizon, multiechelon inventory system in which the surplus of stock can be sold (i.e., disposed) in the secondary markets at each stage in the system. What are called nested echelon order-up-to policies are shown to be optimal for jointly managing inventory replenishments and secondary market sales. Under a general restriction on model parameters, we establish that it is optimal not to both sell off excess stock and replenish inventory. Secondary market sales complicate the structure of the system, so that the classical Clark and Scarf echelon reformulation no longer allows for the decomposition of the objective function under the optimal policy. We introduce a novel class of policies, referred to as the disposal saturation policies, and show that there exists a disposal saturation policy, determined recursively by a single base-stock level at each echelon, that achieves the decomposition of this problem. The resulting optimal replenishment policy is shown to be the echelon base-stock policy. We demonstrate the heuristic performance of this disposal saturation policy through a series of numerical studies: except at extreme ranges of model parameters, the policy provides a very good approximation to the optimal policy while avoiding the curse of dimensionality. We also conduct numerical studies to determine the value of the secondary markets for multistage supply chains and assess its sensitivity to model parameters. The results provide potentially useful insights for companies seeking to enter or develop secondary markets for supply chains. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

Stochastic capacity investment and flexible vs. dedicated technology choice in imperfect capital markets / Onur Boyabatlı in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2163-2179 Titre : Stochastic capacity investment and flexible vs. dedicated technology choice in imperfect capital markets Type de document : texte imprimé Auteurs : Onur Boyabatlı, Auteur ; L. Beril Toktay, Auteur Année de publication : 2012 Article en page(s) : pp. 2163-2179 Note générale : Management Langues : Anglais (eng) Mots-clés : Capacity  Flexibility  Financing  Newsvendor  Limited  liability  Market  imperfection Résumé : This paper analyzes the impact of endogenous credit terms under capital market imperfections in a capacity investment setting. We model a monopolist firm that decides on its technology choice (flexible versus dedicated) and capacity level under demand uncertainty. Differing from the majority of the stochastic capacity investment literature, we assume that the firm is budget constrained and can relax its budget constraint by borrowing from a creditor. The creditor offers technology-specific loan contracts to the firm, after which the firm makes its technology choice and subsequent decisions. Capital market imperfections impose financing frictions on the firm. Our analysis contributes to the capacity investment literature by extending the theory of stochastic capacity investment and flexible versus dedicated technology choice to understand the impact of capital market imperfections, and by analyzing the impact of demand uncertainty (variability and correlation) on the operational decisions and the performance of the firm under different capital market conditions. We demonstrate that the endogenous nature of credit terms in imperfect capital markets may modify or reverse conclusions concerning capacity investment and technology choice obtained under the perfect market assumption and we explain why. The theory developed in this paper suggests some rules of thumb for the strategic management of the capacity and technology choice in imperfect capital markets. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Stochastic capacity investment and flexible vs. dedicated technology choice in imperfect capital markets [texte imprimé] / Onur Boyabatlı, Auteur ; L. Beril Toktay, Auteur . - 2012 . - pp. 2163-2179. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2163-2179 Mots-clés : Capacity  Flexibility  Financing  Newsvendor  Limited  liability  Market  imperfection Résumé : This paper analyzes the impact of endogenous credit terms under capital market imperfections in a capacity investment setting. We model a monopolist firm that decides on its technology choice (flexible versus dedicated) and capacity level under demand uncertainty. Differing from the majority of the stochastic capacity investment literature, we assume that the firm is budget constrained and can relax its budget constraint by borrowing from a creditor. The creditor offers technology-specific loan contracts to the firm, after which the firm makes its technology choice and subsequent decisions. Capital market imperfections impose financing frictions on the firm. Our analysis contributes to the capacity investment literature by extending the theory of stochastic capacity investment and flexible versus dedicated technology choice to understand the impact of capital market imperfections, and by analyzing the impact of demand uncertainty (variability and correlation) on the operational decisions and the performance of the firm under different capital market conditions. We demonstrate that the endogenous nature of credit terms in imperfect capital markets may modify or reverse conclusions concerning capacity investment and technology choice obtained under the perfect market assumption and we explain why. The theory developed in this paper suggests some rules of thumb for the strategic management of the capacity and technology choice in imperfect capital markets. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

Securitization and real investment in incomplete markets / Vishal Gaur in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2180-2196 Titre : Securitization and real investment in incomplete markets Type de document : texte imprimé Auteurs : Vishal Gaur, Auteur ; Sridhar Seshadri, Auteur ; Marti G. Subrahmanyam, Auteur Année de publication : 2012 Article en page(s) : pp. 2180-2196 Note générale : Management Langues : Anglais (eng) Mots-clés : Incomplete  markets  Securitization  Financial  innovation  Real  options  Project  financing Résumé : We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given reservation prices. The cash flows thus generated are not spanned by the securities traded in the financial market and cannot be valued uniquely. The intermediary purchases claims against these cash flows, pools them together, and sells tranches of primary or secondary securities to the investors. We derive necessary and sufficient conditions under which projects are undertaken due to the intermediary's actions, and firms are amenable to the pool proposed by the intermediary, compared to the no-investment option or the option of forming alternative pools. We also determine the structure of the new securities created by the intermediary and identify how it exploits the arbitrage opportunities available in the market. Our results have implications for valuation of real investments, synergies among them, and their financing mechanisms. We illustrate these implications using an example of inventory decisions under random demand. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Securitization and real investment in incomplete markets [texte imprimé] / Vishal Gaur, Auteur ; Sridhar Seshadri, Auteur ; Marti G. Subrahmanyam, Auteur . - 2012 . - pp. 2180-2196. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2180-2196 Mots-clés : Incomplete  markets  Securitization  Financial  innovation  Real  options  Project  financing Résumé : We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given reservation prices. The cash flows thus generated are not spanned by the securities traded in the financial market and cannot be valued uniquely. The intermediary purchases claims against these cash flows, pools them together, and sells tranches of primary or secondary securities to the investors. We derive necessary and sufficient conditions under which projects are undertaken due to the intermediary's actions, and firms are amenable to the pool proposed by the intermediary, compared to the no-investment option or the option of forming alternative pools. We also determine the structure of the new securities created by the intermediary and identify how it exploits the arbitrage opportunities available in the market. Our results have implications for valuation of real investments, synergies among them, and their financing mechanisms. We illustrate these implications using an example of inventory decisions under random demand. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

How do financial firms manage risk? / Kristine Watson Hankins in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2197-2212 Titre : How do financial firms manage risk? : Unraveling the interaction of financial and operational hedging Type de document : texte imprimé Auteurs : Kristine Watson Hankins, Auteur Année de publication : 2012 Article en page(s) : pp. 2197-2212 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Corporater  finance  Financial  institutions  Banks  Risk  management Résumé : This paper investigates how firms manage risk by examining the relationship between financial and operational hedging using a sample of bank holding companies. Risk management theory holds that capital market imperfections make cash flow volatility costly. I investigate whether financial firms consider this cost or focus exclusively on managing tradable exposures. After documenting that acquisitions provide operational hedging by reducing potentially costly volatility, I find that postacquisition financial hedging declines even after controlling for the specific underlying risks. In addition, the decrease in financial hedging is related to the acquisition's level of operational hedging. Larger increases in operational hedging are followed by larger declines in financial hedging. These results indicate that firms in this sample manage aggregate risk, not just tradable exposures, and that operational hedging can substitute for financial hedging. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] How do financial firms manage risk? : Unraveling the interaction of financial and operational hedging [texte imprimé] / Kristine Watson Hankins, Auteur . - 2012 . - pp. 2197-2212. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2197-2212 Mots-clés : Finance  Corporater  finance  Financial  institutions  Banks  Risk  management Résumé : This paper investigates how firms manage risk by examining the relationship between financial and operational hedging using a sample of bank holding companies. Risk management theory holds that capital market imperfections make cash flow volatility costly. I investigate whether financial firms consider this cost or focus exclusively on managing tradable exposures. After documenting that acquisitions provide operational hedging by reducing potentially costly volatility, I find that postacquisition financial hedging declines even after controlling for the specific underlying risks. In addition, the decrease in financial hedging is related to the acquisition's level of operational hedging. Larger increases in operational hedging are followed by larger declines in financial hedging. These results indicate that firms in this sample manage aggregate risk, not just tradable exposures, and that operational hedging can substitute for financial hedging. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

Evaluating value-at-risk models with desk-level data / Jeremy Berkowitz in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2213-2227 Titre : Evaluating value-at-risk models with desk-level data Type de document : texte imprimé Auteurs : Jeremy Berkowitz, Auteur ; Peter Christoffersen ; Denis Pelletier, Auteur Année de publication : 2012 Article en page(s) : pp. 2213-2227 Note générale : Management Langues : Anglais (eng) Mots-clés : Risk  management  Backtesting  Volatility  Disclosure Résumé : We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use a comprehensive Monte Carlo study to assess which of these many tests have the best finite-sample size and power properties. Our desk-level data set provides importance guidance for choosing realistic P/L-generating processes in the Monte Carlo comparison of the various tests. The conditional autoregressive value-at-risk test of Engle and Manganelli (2004) performs best overall, but duration-based tests also perform well in many cases. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12/2213.abstract [article] Evaluating value-at-risk models with desk-level data [texte imprimé] / Jeremy Berkowitz, Auteur ; Peter Christoffersen ; Denis Pelletier, Auteur . - 2012 . - pp. 2213-2227. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2213-2227 Mots-clés : Risk  management  Backtesting  Volatility  Disclosure Résumé : We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use a comprehensive Monte Carlo study to assess which of these many tests have the best finite-sample size and power properties. Our desk-level data set provides importance guidance for choosing realistic P/L-generating processes in the Monte Carlo comparison of the various tests. The conditional autoregressive value-at-risk test of Engle and Manganelli (2004) performs best overall, but duration-based tests also perform well in many cases. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12/2213.abstract

Multiechelon procurement and distribution policies for traded commodities / Ankur Goel in Management science, Vol. 57 N° 12 (Décembre 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2228-2244 Titre : Multiechelon procurement and distribution policies for traded commodities Type de document : texte imprimé Auteurs : Ankur Goel, Auteur ; Genaro J. Gutierrez, Auteur Année de publication : 2012 Article en page(s) : pp. 2228-2244 Note générale : Management Langues : Anglais (eng) Mots-clés : Commodity  procurement  Commodity  markets  Marginal  convenience  yield  Multiechelon  inventory  management Résumé : We consider a firm that procures and distributes a commodity from spot and forward markets under randomly fluctuating prices; the commodity is distributed downstream to a set of nonhomogeneous retailers to satisfy random demand. We formulate a model that allows one to compute approximate, but near optimal, procurement and distribution policies for this system, and we explore the value of the commodity's market in providing managers with (a) additional flexibility in procurement and (b) information on price dynamics generated through the trading of futures contracts. Our results indicate that the presence of the commodity market and the information that it conveys may lead to significant reductions in inventory-related costs; however, to obtain these benefits, both the spot procurement flexibility and the term structure of prices generated by the commodity market must be incorporated in the formulation of the operating policy. Managerial insights on the procurement strategy as a function of variability in prices and demand are also discussed. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc [article] Multiechelon procurement and distribution policies for traded commodities [texte imprimé] / Ankur Goel, Auteur ; Genaro J. Gutierrez, Auteur . - 2012 . - pp. 2228-2244. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 12 (Décembre 2011) . - pp. 2228-2244 Mots-clés : Commodity  procurement  Commodity  markets  Marginal  convenience  yield  Multiechelon  inventory  management Résumé : We consider a firm that procures and distributes a commodity from spot and forward markets under randomly fluctuating prices; the commodity is distributed downstream to a set of nonhomogeneous retailers to satisfy random demand. We formulate a model that allows one to compute approximate, but near optimal, procurement and distribution policies for this system, and we explore the value of the commodity's market in providing managers with (a) additional flexibility in procurement and (b) information on price dynamics generated through the trading of futures contracts. Our results indicate that the presence of the commodity market and the information that it conveys may lead to significant reductions in inventory-related costs; however, to obtain these benefits, both the spot procurement flexibility and the term structure of prices generated by the commodity market must be incorporated in the formulation of the operating policy. Managerial insights on the procurement strategy as a function of variability in prices and demand are also discussed. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/12.toc

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