The effect of corporate sustainability performance on the relationship between corporate efficiency strategy and corporate financial performance

Past research has shown the importance of corporate sustainability performance to corporate financial performance. However, little is known about the mediating effect of corporate sustainability performance on the relationship between efficiency strategy and corporate financial performance. This study fills the gap by investigating the relationship between efficiency strategy, sustainability performance and corporate financial performance of the service and the industry sectors in Jordan. Corporate efficiency strategy is measured through two dimensions, namely socio-efficiency and ecoefficiency. Corporate sustainability performance is also measured through two dimensions, namely corporate social performance and corporate environmental performance, while the measurement of the corporate financial performance is based on ROI (return on investment), ROA (return on asset), sales growth and profit growth. The data were obtained by means of a mail survey sent directly to company managers involved in social and environmental performance. The questionnaires were sent to 232 service and industry companies listed on the Amman Stock Exchange in 2011, and 101 or 43.5 percent of them responded. The analysis used the linear and multiple regressions of analysis of the data. The study contributed to the sustainability literature by showing that sustainability performance and efficiency strategy lead to greater financial performance. Corporate sustainability performance was found to be partially mediating the relationship between efficiency strategy and the financial performance model. The findings of this study, while contributing to the body of knowledge of the importance of sustainability performance, also assist the company managers in their sustainability efforts and in applying efficiency strategy to company operations

Credit Default Swap and Liquidity

The recent global economic downturn that erupted in the mid 2007 saw an increase of the Credit Default Swaps (CDS) by hundred basis points and severe liquidity crunch in the financial sector of the United States. The recession phase highlighted the importance of the liquidity for the investors and underlined the importance of understanding the connection between the liquidity of the market and the credit markets. In depth, this study tries to understand the relation between the liquidity risk in the CDS market and the credit risk. Along the same line of this study, a study conducted on the different Swiss and German companies revealed that credit risk is not the direct originator of the liquidity risk, but it created by a negative credit shock. In addition, this paper focuses on the causes that intensified the global crisis of (2007) as well as the macro-prudential policies are highlighted that will prevent a similar type of crisis in the future. Keywords: Credit Risk, Liquidity, Financial Crisis. JEL Classifications: G31, G33

A model for optimizing hooked end steel fibre reinforcements in cracked cement composites

The addition of metallic fibres in concrete is a widely used technique to increase its resistance to crack opening, energy absorption capacity, and durability. The properties of the resulting composite strongly depend on the geometry of the fibres, which usually dispose of an hooked end, as well as on the mechanical properties of both the fibre and the concrete. The optimization of the fibre reinforcement mechanisms can only be achieved by an approach that takes into account adequately these aspects. Therefore, in this work, a computational model incorporating the key features of a hooked end fibre embedded in a cement matrix is proposed. The fibre is modelled as a Timoshenko beam, whereas a cohesive interface is used to model the interaction with the surrounding concrete. Different failure mechanisms are defined including fibre debonding or fibre tensile rupture and concrete spalling at fibre exit point. The model is calibrated by using the results of an experimental campaign conducted by authors. A multi-step optimization algorithm is used to find the optimal geometry and model’s constitutive parameters that maximize the peak pull-out force and the energy absorption capacity in a fibre pull-out test. The analysis suggests that the use of concrete with high strength has the potential to increase both peak force and energy absorption capacity by designing the proper geometry of the fibreFEDER through the Operational Program for Competitiveness Factors - COMPETE and Internationalization Program (POCI), under the project NG_ TPfib POCI-01-0247-FEDER-03371

Proposal of models for pricing options embedded in retirement insurance polices in Brazil.

Este trabalho de pesquisa quantitativa em gestão de operações de seguradoras apresenta o desenvolvimento de modelos matemáticos para apreçamento de opções embutidas em produtos de previdência. O problema de pesquisa se refere à opção concedida aos participantes de planos de previdência aberta, que permite a conversão de um saldo futuro de poupança em renda vitalícia sobre condições pré-estabelecidas. Os modelos apresentados têm o intuito de determinar o valor e as sensibilidades do passivo gerado, considerando os riscos financeiros envolvidos. O problema é tratado em duas etapas. Inicialmente, apresenta-se a modelagem dos riscos assumidos pela seguradora e identificam-se as características da opção concedida, permitindo, sob hipóteses a respeito das condições de investimento e mortalidade, a utilização de modelos consolidados de apreçamento de opções financeiras na determinação do passivo em questão. Na segunda parte, analisa-se a utilização de modelos de otimização da carteira de ativos que deve proteger a instituição lançadora do passivo de eventuais oscilações no valor de suas obrigações. Além disso, aplica-se o modelo de apreçamento à determinação da taxa de carregamento para participantes representativos, analisando-se as mudanças em seu valor decorrentes de variações nas taxas de juros e nas volatilidades dos ativos objeto. Por fim, apresenta-se a aplicação dos modelos à situação real de uma empresa seguradora. A análise dos resultados obtidos mostra que, embora o valor inicial do passivo seja relativamente baixo, sua alta sensibilidade em relação às taxas de juros e as dificuldades de hedge devido ao prazo dos passivos tornam o problema relevante do ponto de vista da instituição seguradora.This work, which consists of quantitative research within operations management, presents the development of mathematical models for pricing options embedded in Brazilian insurance retirement-related products. The problem studied refers to the financial option that an insurance company writes to its clients who purchase open ended retirement plans. Such option allows the participant to purchase, in the date of his or her retirement, an annuity under terms and conditions defined at the date the participant adheres to the plan. Models presented intend to calculate the value and sensibilities of the liability incurred, considering the financial risks involved. The problem is approached in two steps. Firstly, risks acquired by the insurance company are modeled and the characteristics of the option written to the participant are identified. This allows, under certain assumptions for investment choices and mortality behavior, the use of option pricing models traditional in Finance Theory to determine the value of liabilities. Secondly, the use of portfolio optimization models to hedge the insurance company against changes in the value of liabilities is analyzed. Moreover, the pricing model is applied to calculate the adequate fee to be applied to each contribution an individual makes to the plan (known as taxa de carregamento). Changes to such adequate fees resulting from changes in interest rate and volatility levels are also analyzed. Finally, the models presented are applied to a real problem of an insurance company. Results achieved indicate that, although the current value of liabilities is relatively small, the significant sensitivity to decreases in interest rates and hedge difficulties stemming from the long maturity of liabilities make the problem relevant from the perspective of the insurance company

Sources thermoacoustiques conductives et convectives: emission en champ libre et amplification acoustique dans le tube e Rijke

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : T 77986 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

Water vapor transmission and waterproofing performance of concrete sealer and coating systems

This paper reports the water vapor transmission and waterproofing performance of a silane-based penetrating sealer (PS), two cementitious coatings (CC1 and CC2), and a polymeric coating (PC). The sealer and coating products were applied on 100-mm concrete cubes. In total, fifteen concrete cubes including the control specimens were prepared. The treated concrete cubes were tested to determine the ability of the selected products to improve waterproofing and to transmit water vapor. The correlation between water vapor transmission and waterproofing performance was also examined. Experimental results revealed that the cementitious coating CC2 had the lowest degree of water vapor transmission but the highest degree of waterproofing performance. In contrast, the highest degree of water vapor transmission but the lowest degree of waterproofing performance were observed for the cementitious coating CC1. The penetrating sealer PS provided greater water vapor transmission but lower waterproofing ability than the polymeric coating PC and the cementitious coating CC2. The best-performing coating with regard to water vapor transmission and waterproofing was the polymeric coating PC. Furthermore, the water vapor transmission and waterproofing performance of the sealer and coating systems were strongly correlated; this suggests that one of these two properties can be predicted by testing the other

Flowing ability of self-consolidating concrete and its binder paste and mortar components incorporating rice husk ash

This paper presents the flowing abilities of various self-consolidating concretes (SCCs) and their binder paste and mortar components. The binder pastes and mortars were formulated from the concrete mixtures and tested for flowing ability with respect to flow time and flow spread, respectively, at various dosages of high-range water reducing admixture (HRWRA). The concrete mixtures were prepared with different water (W) to binder (B) ratios and rice husk ash (RHA) contents. The flowing ability of the concretes was measured with regard to slump flow, orimet flow time and flow spread, and inverted slump cone flow time and flow spread. The test results reveal that the W:B ratio, RHA content, and HRWRA dosage significantly influenced the flowing abilities of the binder pastes, mortars, and concretes. In addition, the flowing ability of the SCCs was well correlated with the flowing abilities of their binder paste and mortar components, except for the mortars including RHA

A model for pricing options embedded in pension products in Brazil

Este artigo apresenta um modelo para determinação do passivo e do risco financeiro associado às opções implícitas atreladas a produtos de previdência complementar no Brasil (PGBL/VGBL). Propõe-se uma modelagem específica para o problema através da caracterização da opção financeira embutida nos produtos de previdência com possibilidade de conversão do saldo final do participante em benefício vitalício sob termos predeterminados. Modelam-se também as características financeiras desse passivo, tais como duração, convexidade e fluxo de caixa equivalentes, que podem ser utilizadas para otimização da carteira de ativos associada a essa obrigação. Por fim, apresentam-se os resultados e a análise de sensibilidade da aplicação da modelagem proposta para o caso específico de um fundo de previdência complementar aberta.This paper presents a model to assess liabilities and financial risks created by options embedded in retirement related investment products in Brazil (PGBL/VGBL). A specific model that characterizes the financial option embedded in insurance products is presented. These products guarantee the conversion of final participant balance in retirement income at predefined terms. Financial characteristics of this liability such as duration, convexity and equivalent cash flows are also modeled. These characteristics can be useful as inputs to optimization models for the assets portfolio backing such liabilities. Finally, results and sensitivity analysis of an application of the model to a Brazilian open-end retirement related fund are presented