Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ΔCoVaR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. Inaddition, we develop a series of testing procedures, based on ΔCoVaR, toidentify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemicx importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

A Quantitative Methodology for Vetting Dark Network Intelligence Sources for Social Network Analysis

Social network analysis (SNA) is used by the DoD to describe and analyze social networks, leading to recommendations for operational decisions. However, social network models are constructed from various information sources of indeterminate reliability. Inclusion of unreliable information can lead to incorrect models resulting in flawed analysis and decisions. This research develops a methodology to assist the analyst by quantitatively identifying and categorizing information sources so that determinations on including or excluding provided data can be made. This research pursued three main thrusts. It consolidated binary similarity measures to determine social network information sources\u27 concordance and developed a methodology to select suitable measures dependent upon application considerations. A methodology was developed to assess the validity of individual sources of social network data. This methodology utilized source pairwise comparisons to measure information sources\u27 concordance and a weighting schema to account for sources\u27 unique perspectives of the underlying social network. Finally, the developed methodology was tested over a variety of generated networks with varying parameters in a design of experiments paradigm (DOE). Various factors relevant to conditions faced by SNA analysts potentially employing this methodology were examined. The DOE was comprised of a 24 full factorial design augmented with a nearly orthogonal Latin hypercube. A linear model was constructed using quantile regression to mitigate the non-normality of the error terms

Informaatioepäsymmetriat ja signalointi - Mitä todella tiedämme?

During the past three decades, the concepts of information asymmetry and signaling have been widely applied in the research of the fields of economics, finance, marketing, and even business. The disciplinary orientations and application areas of the related research have become diverse, but the scientific discourses related to information asymmetry and signaling have not been studied comprehensively from the perspective of management before. The aim of the present study is to shape the de facto structure of the recent information asymmetry and signaling discourses, based on contemporary bibliometric methodology. The research aims to provide answers to the following questions. (i) How are the discourses manifested in the publication of scientific research? (ii) How are the discourses tied to the existing body of research? (iii) What are the key theoretical perspectives, antecedents and methodological approaches applied in the discourses, and how are they related to each other? (iv) What are the key disciplinary research orientations in the discourses? (v) How are the recent information asymmetry and signaling discourses related to each other? Altogether 872 information asymmetry and signaling related articles published in 59 quality journals between 1992 and 2001 were selected as the population of source data. In addition to acquiring the bibliographic data for these articles, an article-by-article identification of key theories, antecedents, and methods was conducted. Descriptive analysis, citation analysis, and conceptual network analysis were performed on the data. The results of the analysis indicate that the concepts of information asymmetry and signaling have been relatively actively applied in contemporary management research, being widely distributed in terms of disciplinary orientation and authorship. Generally, the most central contextual fields are economics and finance. The signaling discourse has been rather active also on the fields of marketing and business. Organization and behavioral sciences clearly have the least linkages to the discourses. Capital markets, game theory, corporate finance, agency theory, and bargaining have been the most central theoretical perspectives in the discourses. Equilibrium, pricing, contracting, performance, and uncertainty/risk have been the key research antecedents. About 8 to 10 clear streams were found from inside of each of the discourses. It also appears that the information asymmetry and signaling discourses overlap less than expected. The reliability and validity of the results were carefully discussed, and suggestions for further research were proposed.Viimeisen kolmen vuosikymmenen aikana informaatioepäsymmetrian sekä signaloinnin käsitteitä on useasti käytetty kansantaloustieteen, rahoituksen, markkinoinnin ja jopa liiketoiminnan tutkimuksessa. Em. käsitteisiin liittyvän tutkimuksen tieteelliset suuntaukset ja sovelluskohteet ovat ajan mittaan tulleet hyvin moninaisiksi. Informaatioepäsymmetriaan ja signalointiin liittyviä tieteellisiä diskursseja ei ole kuitenkaan tähän mennessä tutkittu kattavasti yrityksen johtamisteorioiden näkökulmasta. Tämän tutkimuksen tavoitteena on hahmottaa viimeaikaan sijoittuvien informaatioepä-symmetria- ja signalointidiskurssien faktuaalista rakennetta käyttäen ajanmukaisia bibliometrisiä analyysimenetelmiä. Tutkimus pyrkii tuottamaan vastauksia seuraaviin kysymyksiin. (i) Miten em. diskurssit ilmenevät tieteellisen tutkimuksen julkaisussa? (ii) Miten diskurssit sitoutuvat olemassa olevaan tutkimustietoon? (iii) Mitkä ovat diskurssien keskeiset teoriat, antesedentit ja metodit, ja millaiset ovat näiden väliset liitokset? (iv) Mitkä ovat diskurssien sisällä olevat keskeiset suuntaukset? (v) Mikä on informaatioepä-symmetria- ja signalointidiskurssien suhde toisiinsa? Tutkimusaineistoksi valittiin perusjoukko, joka muodostui 872 artikkelista, jotka oli julkaistu 59 laadukkaassa tieteellisessä aikakauslehdessä vuosina 1992 - 2001. Ko. artik-keleista hankittiin ensin niihin liittyvä bibliografinen data, ja sitten artikkelit käytiin yksitellen läpi keskeisten teorioiden, antesedenttien ja metodien tunnistamiseksi. Tämän jälkeen analysointimenetelminä käytettiin kuvailevaa analyysiä, sitaatioanalyysiä sekä käsitteellistä verkostoanalyysiä. Tehtyyn analyysiin pohjautuen voidaan todeta, että käsitteitä informaatioepäsymmetria ja signalointi on käytetty suhteellisen aktiivisesti viimeaikaisessa liikkeenjohdon tutkimuk-sessa. Diskurssit ovat jakautuneet laajalle tieteellisten suuntausten sekä tutkijoiden suhteen. Yleisellä tasolla kansantaloustiede ja rahoitus ovat keskeisimmät kontekstu-aaliset alueet. Signalointiin liittyvä diskurssi on ollut suhteellisen aktiivista myös markkinointi- sekä liiketoi-mintatutkimuksen alueilla. Organisaatio- ja käyttäytymistieteillä on selvästi heikoimmat yhteydet ko. diskursseihin. Rahoitusmarkkinat, peliteoria, yrityksen rahoitus, agenttiteoria sekä huutokauppateoria ovat olleet diskurssien keskeisimpiä teorioita. Tasapainotila, hinnoittelu, sopimukset, tuloksellisuus sekä epävarmuus/riski ovat olleet keskeisimpiä tutkimusantesedentteja. Noin 8 - 10 selvää suuntausta oli löydettävissä diskurssien sisältä. Analyysin perusteella informaatioepäsymmetriaan ja signalointiin liittyvät diskurssit ovat oletettua vähemmän päällekkäisiä. Tutkimuksen luotettavuutta pohdittiin tarkoin, ja aiheita jatkotukimukselle ehdotettiin

Mathematical Fuzzy Logic in the Emerging Fields of Engineering, Finance, and Computer Sciences

Mathematical fuzzy logic (MFL) specifically targets many-valued logic and has significantly contributed to the logical foundations of fuzzy set theory (FST). It explores the computational and philosophical rationale behind the uncertainty due to imprecision in the backdrop of traditional mathematical logic. Since uncertainty is present in almost every real-world application, it is essential to develop novel approaches and tools for efficient processing. This book is the collection of the publications in the Special Issue “Mathematical Fuzzy Logic in the Emerging Fields of Engineering, Finance, and Computer Sciences”, which aims to cover theoretical and practical aspects of MFL and FST. Specifically, this book addresses several problems, such as:- Industrial optimization problems- Multi-criteria decision-making- Financial forecasting problems- Image processing- Educational data mining- Explainable artificial intelligence, etc

Team production and firm dynamics with search and matching models

Defence date: 10 October 2023Examining board: Prof. Philipp Kircher, (Cornell University, supervisor); Prof. Russell W. Cooper, (European University Institute, co-supervisor); Prof. Pieter Gautier, (Vrije Universiteit Amsterdam); Prof. Leo Kaas, (Goethe University Frankfurt)This thesis investigates various aspects of the effects of technological change, capital subsidies, and firm dynamics on labor reallocation, wage inequality, the gender pay gap and, coworker learning in Italy. The first chapter uses a matching model that partitions the workforce into white and blue-collar workers, and firms hire both types while optimizing their labor composition based on a quality-quantity trade-off. Technological change leads to increased capital investment, affecting labor composition and wage distribution. Results from simulation modeling on Italian data show that worker-capital complementarities drive inequality changes within firms, while worker-capital complementarities, worker-teammates complementarity, and compositional effects account for shifts in the between-firms component. The second chapter further investigates the impact of capital subsidies on the gender pay gap, highlighting the distribution of the pay gap between and within firms over time. A theoretical model explains the connection between pay gap distribution, capital intensity and skill pay gap. Reducing capital rental prices can decrease gender pay gap by allowing female workers to sort into better-matched jobs at the expense of an increased skill gap. The last chapter explores coworker learning opportunities, acknowledging firms as the ultimate arrangers of a worker’s group of colleagues. A firm dynamics general equilibrium model with human capital spillovers among colleagues is used. The model human capital allocation is efficient, as it balances learning and production complementarities based on firm productivity level. Using employer-employee data, the study reveals stylized facts on coworker spillovers conditional on firm growth and size, emphasizing the importance of a large pool of small growing firms to generate coworker learning opportunities.1. Firm Wage Inequality: Capital-Skill Complementarity and Labor Reallocation -- 2. The Gender Pay Gap Between and Within Firms: Implications from Capital-Skill Complementarity and Sorting -- 3. Coworker Learning with Firm Dynamics -- A. Appendix to chapter 1 -- B. Appendix to chapter 2 -- C. Appendix to chapter

LIPIcs, Volume 274, ESA 2023, Complete Volume

LIPIcs, Volume 274, ESA 2023, Complete Volum