Correlation products and risk management issues

Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning that the price sensitivity of one risk factor is a function of the level of another risk factor. This article outlines the pricing and hedging of one type of correlation product, the differential swap, to show how nonseparable risk may escape traditional methods of assessing the risk of institutions' portfolios. The article considers the implications of correlation products for supervisory and institutional practices and concludes with a brief discussion of some ways nonseparable risk may be managed.Derivative securities ; Risk ; Swaps (Finance) ; Hedging (Finance)

Los patrones de dependencia en los cambios de régimen: América Central en perspectiva comparada

El presente ensayo aborda la aplicación de las ideas sobre los patrones de dependencia para el estudio de los cambios de régimen político nacional. En primera instancia, se revisan los componentes centrales de la explicación de los patrones de dependenci

The Ambiguity of Simplicity

A system's apparent simplicity depends on whether it is represented classically or quantally. This is not so surprising, as classical and quantum physics are descriptive frameworks built on different assumptions that capture, emphasize, and express different properties and mechanisms. What is surprising is that, as we demonstrate, simplicity is ambiguous: the relative simplicity between two systems can change sign when moving between classical and quantum descriptions. Thus, notions of absolute physical simplicity---minimal structure or memory---at best form a partial, not a total, order. This suggests that appeals to principles of physical simplicity, via Ockham's Razor or to the "elegance" of competing theories, may be fundamentally subjective, perhaps even beyond the purview of physics itself. It also raises challenging questions in model selection between classical and quantum descriptions. Fortunately, experiments are now beginning to probe measures of simplicity, creating the potential to directly test for ambiguity.Comment: 7 pages, 6 figures, http://csc.ucdavis.edu/~cmg/compmech/pubs/aos.ht

Prediction, Retrodiction, and The Amount of Information Stored in the Present

We introduce an ambidextrous view of stochastic dynamical systems, comparing their forward-time and reverse-time representations and then integrating them into a single time-symmetric representation. The perspective is useful theoretically, computationally, and conceptually. Mathematically, we prove that the excess entropy--a familiar measure of organization in complex systems--is the mutual information not only between the past and future, but also between the predictive and retrodictive causal states. Practically, we exploit the connection between prediction and retrodiction to directly calculate the excess entropy. Conceptually, these lead one to discover new system invariants for stochastic dynamical systems: crypticity (information accessibility) and causal irreversibility. Ultimately, we introduce a time-symmetric representation that unifies all these quantities, compressing the two directional representations into one. The resulting compression offers a new conception of the amount of information stored in the present.Comment: 17 pages, 7 figures, 1 table; http://users.cse.ucdavis.edu/~cmg/compmech/pubs/pratisp.ht

Toward a new social contract theory in organization science

Includes bibliographic references (p. 23-29)

Information Accessibility and Cryptic Processes: Linear Combinations of Causal States

We show in detail how to determine the time-reversed representation of a stationary hidden stochastic process from linear combinations of its forward-time $\epsilon$-machine causal states. This also gives a check for the $k$-cryptic expansion recently introduced to explore the temporal range over which internal state information is spread.Comment: 6 pages, 9 figures, 2 tables; http://users.cse.ucdavis.edu/~cmg/compmech/pubs/iacplcocs.ht

Perception of work performance by workers and supervisors.

Thesis (Ph.D.)--Boston UniversityWork performance is an area of major interest for psychologists in their study of human behavior. The present study will investigate two important problems in this area. Phase I is concerned with criterion development. It is postulated that the bases which supervisors utilize in judging work performance are dependent upon the occupational group of which they are members as well as membership in the supervisory group, i.e. that membership in these groups to some extent determines the direction which supervisory expectations take with respect to work performance. It is hypothesized that the consistency of performance expectations of supervisory judges is a function of the homogeneity of the groups from which these judges are drawn. [TRUNCATED