Grey Advantage: New strategies for the old

With nearly one fifth of the population of the industrialized world soon to be beyond a traditional retirement age, businesses need to re-appraise their attitudes towards both older workers and older customers. Whilst some public and private sector organizations may have signalled such intentions, the gap between the rhetoric and reality of ‘third age’ employment and grey market development is still substantial. Analysing the ‘Age-Quake’, this article reviews current ageing population trends and associated business agendas. Using case study analysis, it then challenges three perceived ‘grey discontinuities’, as well as the traditional perception of simplistic step-change declines in physical and mental abilities and economic activity at the traditional retirement age. Deriving from this, the article challenges the older received wisdom by offering the individual assessment of ‘third-agers’ in terms of abilities as employees and tastes as customers as two generic strategies to assist managers in the strategic alignment of their organizations in pursuit of “grey advantage”.     

基于投影降维技术的期权组合非线性VaR模型

高维期权组合VaR值的计算时间和计算工作量随着市场风险因子维数的增加而迅速增加.为此,引入投影降维技术,用少数几个风险因子来解释高维期权组合总的风险,并结合快速卷积方法,建立了基于投影降维技术的市场风险因子呈厚尾分布情形下的期权组合非线性VaR模型,达到减少计算时间和计算工作量的目的,同时期权组合价值变化的信息又没有太大的损失.数值结果表明,投影降维技术能够达到与快速卷积方法、Monte-Carlo方法差不多的估算精度,而计算效率明显优于快速卷积方法、Monte-Carlo方法,计算时间和计算工作量明显减少.     

中国燃油期货市场的VaR与ES风险度量

近年来,我国燃油期货市场取得快速发展,但有关该市场波动特征和风险状况的研究却非常缺乏。以上海期货交易所燃油期货价格指数为例,分别在多头和空头两种头寸状况以及5种不同分位数水平下,运用条件覆盖检验、非条件覆盖检验等后验分析方法,实证对比了不同风险测度模型对VaR和ES两种不同风险指标估计的精度差异。研究结果表明:在我国燃油期货市场的风险测度估计中考虑国际燃油价格波动因素有助于获得更为精准的风险测度精度;在综合考虑了模型对价格变化动力学的刻画效果以及对极端风险的测度精度等因素后,FIGARCH_CST-SST模型是一个相对合理的风险测度模型选择。     

Two-period pricing and ordering policy for the dominant retailer in a two-echelon supply chain with demand uncertainty

Retailing channels are increasingly being dominated by ‘power’ retailers who are in a position to dictate prices and ordering schedules to manufacturers and suppliers. A dominant retailer, such as Wal-Mart, has the ‘power’ to decide retail prices of products because there are so many manufacturers who are keen to sell their products through or to such a large and powerful retailer. Several products, such as electronic products, can be sold in the market for some periods during their lifecycles before they retreat, except when they are not popular with consumers after been introduced. Therefore, in case of such products, the retailer should not just consider a single-period pricing and ordering policy. It should make dynamic pricing and ordering decisions based on market demand forecast, in order to obtain maximum cumulative profit from the product during its lifecycle. In this study, we consider this scenario and construct a two-period model to discuss pricing and ordering problems for a dominant retailer with demand uncertainty in a declining price environment. We show that the maximum expected profit function is continuous concave, so the optimal solution to pricing and ordering policy exists and it is the one and only. We also analyze sensitivity of retailer's expected profit to the effects of parameters of price-discount sharing scheme and market demand.     

可违约零息债券风险综合度量Monte Carlo方法

可违约零息债券同时面临着违约风险和市场风险(利率风险)这两类主要风险.相对于传统的不同类风险独立度量方法,也不同于割裂两类风险再进行加总或通过Copula函数关联,本文在信用风险强度定价模型的基础上,同时考虑信用风险、市场风险和两类风险之间的相关关系,建立了计算可违约零息债券综合风险VaR的Monte Carlo方法,得出同一个风险计算期下反映两类风险的损失分布和同一个某置信度的损失分布的分位点,进而能求得风险综合VaR值,这样可在同一个框架下同时捕捉可违约零息债券的两类风险,这里,给出了MonteCarlo模拟方法具体技术细节,包括违约时间和基础状态向量过程的模拟.最后运用本文的风险综合度量模型对短期融资券的综合风险进行计算,得出风险综合VaR值,并与利率风险独立度量VaR值和信用风险独立度量VaR值进行比较分析.     

考虑事件风险的在险价值研究

本文讨论了考虑事件风险的资产的在险价值方法,并以此对上海股票指数作了实证研究。这种方法用跳跃来描述事件风险,用跳跃-扩散过程来描述收益率过程。通过模拟退火算法来估计模型参数,利用随机模拟方法求得资产收益率的模拟分布,进而计算组合的在险价值。通过对上海指数的实证研究表明,资产的事件风险是不可忽略的,考虑事件风险的在险价值更加合理。     

稳健非参数VaR建模及风险量化研究

参数VaR模型被广泛应用于风险测量中,然而需要给出具体的结构形式,这就容易发生模型错误设定的灾难,使风险计量的精确性易于产生较大偏差。针对参数VaR模型的设定误差问题,本文构建了SQ-ARCH和Nop-Quantile两个非参数VaR模型,诣在提高传统风险计量模型的灵活性、稳定性和准确性。采用稳健的分位数回归方法,得到了计算这两个VaR模型的具体表达式并给出了模型估计的算法和步骤。Monte Carlo模拟发现无论模型正确还是错误设定非参数VaR模型比参数ARCH类VaR模型更稳健。此外,把这两个稳健非参数VaR模型应用于我国股票市场风险量化的实证分析中。研究结果表明稳健非参数VaR模型比参数ARCH类VaR模型度量风险更准确。     

风险价值方法及其实证研究

本文详细讨论了风险价值模型,并提出了两种新的计算方法即完全参数方法和半参数方法,它们本质上是历史模拟方法或参数方法和极值理论的结合运用。通过实证研究,表明该方法优于目前流行的RiskMetrics方法。     

基于EVT-POT-SV-MT模型的极值风险度量

针对金融资产收益的异常变化,采用SV-MT模型对风险资产的预期收益做风险补偿并捕捉收益序列的厚尾性、波动的异方差性等特征,将收益序列转化为标准残差序列,通过SV-MT模型与极值理论相结合拟合标准残差的尾部分布,建立了一种新的金融风险度量模型——基于EVT-POT-SV-MT的动态VaR模型.通过该模型对上证综指做实证分析,结果表明该模型能够合理有效地度量上证综指收益的风险.     

Strategizing in an Unpredictable Climate: Exploring Corporate Strategies to Cope with Regulatory Uncertainty

Government regulation of business activities is increasing rapidly, exposing firms to considerable uncertainty and requiring managers to decide on appropriate strategic postures. To help managers make informed decisions, this study compiles a comprehensive overview of strategies to cope with regulatory uncertainty and illustrates their interdependencies and how they can be combined into overall coping postures, as well as offering management guidelines on deciding which to adopt. A literature review identifies a considerable variety of coping strategies, and we apply unique data from a worldwide cross-industry survey to categorize each into one of three types - offensive, defensive or passive. We find that firms aiming to cope with the uncertainty associated with post-Kyoto regulation typically adopt one of four strategic postures, each characterized by a specific combination of these types: ‘daredevils’ rely solely on offensive strategies; ‘coordinators’ combine them with defensive ones, ‘hedgers’ pursue strategies from all three categories while ‘gamblers’ choose not to specifically cope with uncertainty at all. We exemplify the strategies characteristic of each posture, and illustrate their interdependencies by means of case studies in the European airline industry. We identify two main factors managers should consider particularly when deciding on their firm’s strategic posture: the level of regulatory uncertainty they perceive and the firm’s exposure to future regulations, and find that the higher the level of uncertainty, the broader the range of strategies applied, and the more future regulation seems likely to affect a firm, the more actively it seeks to cope with the associated uncertainty.     

非对称Laplace分布下的均值-VaR模型

非对称Laplace分布可以描述分布的尖峰厚尾和有偏特征,被许多学者用来拟合金融资产的历史收益率数据,进而测算金融资产的尾部风险,然而非对称Laplace分布下的投资组合研究尚不成熟。因此本文在非对称Laplace分布设定下给出VaR的解析表达式,并建立均值-VaR模型研究投资组合选择问题。在理论上我们证明该模型是凸优化问题,可以转化为二次规划问题进行求解,从而可得到模型全局最优的解析解。进一步地,我们分别得到存在无风险资产和不存在无风险资产时投资组合前沿的解析式。最后基于上证50指数及其成份股的历史数据进行实证分析,研究结果表明本文构建的模型在实践中的投资表现良好。     

Globalisation, International Configurations and Strategic Implications: The Case of Retailing

In contrast to the old debate between national and more globally orientated strategies, recent typologies, as outlined by Calori and others in a recent issue of this journal, have begun to uncover subtler international strategies applicable to less patently global industries. This article investigates whether such typologies can be adapted to a service sector such as retailing and analyses performance differences across the whole set of these new categorisations, segregating some of the main sectors. Focusing on clothing where scale economies were lower, we present a case study demonstrating how this approach can still yield strategic insights and recommendations at an early stage in internationalisation, even for players located in more peripheral locations such as Norway. We confirm ‘continental leadership’ strategies (under consideration) can be associated with slightly better profitability for retailers more generally; but we warn that this is riskier for clothing retailers, for whom market share emerges as a less critical driver. The most profitable retail strategy configuration is the bold ‘global shaper’ strategy. However, taking into account the case company’s resource position within the clothing sector, our approach recommends consideration of the ‘quasi-global’ strategic configuration, associated with an improvement of just under 2% return on investment. This perspective also aids ‘strategic benchmarking’ (illustrated against high performers H&M and Zara), setting an agenda for operational improvements.     

The individualized corporation: An interview with Sumantra Ghoshal

Sumantra Ghoshal discusses the main features of his and Christopher Bartlett's new book, The Individualized Corporation, leading on to some of his current thinking on management issues in multinational corporations.Much of the book is devoted to describing the new corporate model, and to suggesting how such a company can be built and managed. Ghoshal points out that the major challenge to an individualized corporation is to manage people. A successful firm has a ‘smell of the place’ which motivates and invigorates its people. It also is capable of joint learning and a transformation process that progressively involves rationalization, revitalization and continuous self-renewal: the last of these is called in the book ‘cooking sweet and sour’.Reflecting Ghoshal's evolving thinking, the book moves well beyond managerial specifics to the realm of corporate philosophy. Management doctrine is changing from the old model of strategy, structure and systems to one built on purpose, process and people - a doctrine which embodies a new moral contact with employees.Looking at the future, Ghoshal insists we need an institutional theory of the firm, which recognizes their role as social institutions and also the role of management in distinguishing the visible hand of companies from the invisible hand of markets. This, and an inquiry into the management of the process of change - at a managerial, micro-level of analysis - is his new personal intellectual challenge.     

The impact of human resource management on organisational performance: Theory and research

This article by Jean-Marie Hiltrop, considers some of the models which have studied the link between HRM and organisational performance. As yet, there is little real evidence, but it is growing and indicates that corporate HRM policies and practices - including ‘best’ practices - are associated with high (financial) performance, and can encourage employee behaviour and attitudes towards strengthening the competitive strategy of an organisation. But such ‘best’ practices can vary widely and even contradict each other. Questions are raised in the article about these ‘best’ practices.The first part of the article looks at the relevant theoretical models, and the second part reviews the findings of recent empirical studies which have evaluated the effects of distinctive HR practices on organisational outcomes.     

基于VaR方法的中国石油企业跨国并购的价格风险评价

以VaR方法中的历史模拟ARMA预测方法(HSAF)为基本分析方法,以WTI原油现货价格为基本分析变量,衡量了中国石油企业在进行海外并购时面临的价格风险.研究结论表明,在97.6%的置信水平下,预测期内的VaR预测值比实际值要大得多,并且大多数情况下预测值是实际值的1～2倍.最后,对降低中国石油企业跨国并购市场风险提出了若干建议.     

基于GARCH模型和SV模型的VaR 比较

简单介绍了VaR的含义及计算方法,指出推测市场因子的波动情况是计算VaR的关键.通过对比GARCH和SV模型,得出SV模型更能刻画金融市场的实际特征.将随机波动SV模型应用于VaR的计算,最后作实证研究.通过与GARCH模型下的结果对比,说明基于SV模型计算的VaR更具有动态性和准确性,VaR更贴切地反映了金融市场的风险水平.     

具有VaR约束的跟踪误差投资组合鲁棒优化模型

本文在跟踪误差投资组合优化模型基础上,考虑投资组合的风险价值VaR和收益的不确定性,建立了具有VaR约束的跟踪误差投资合鲁棒优化模型。以国内证券市场为背景,运用线性矩阵不等式(LMI)方法进行了实证计算,并与基准组合、跟踪误差投资组合模型和无VaR约束的跟踪误差投资组合鲁棒模型的投资结果进行了比较。实证结果表明,在给定证券集的条件下,具有VaR约束的跟踪误差投资组合鲁棒优化模型优于其它模型。     

基于GARCH模型和SV模型的VaR 比较

简单介绍了VaR 的含义及计算方法,指出推测市场因子的波动情况是计算VaR 的关 键. 通过对比GARCH 和SV 模型,得出SV 模型更能刻画金融市场的实际特征. 将随机波动SV 模型应用于VaR 的计算,最后作实证研究. 通过与GARCH 模型下的结果对比,说明基于SV 模 型计算的VaR 更具有动态性和准确性,VaR 更贴切地反映了金融市场的风险水平     

极端情况下对我国股市风险的实证研究

准确地度量风险是对风险进行有效管理的前提也是投资者做出合理的投资决策的基础,然而在极端事件频繁发生的情况下,传统的VaR计算方法难以准确地度量股市风险,极值理论却可以很好地解决这一问题。本文特别关注了由2007年美国"次贷" 危机所引发的全球金融危机爆发时我国股市的风险度量问题,考虑到全球股市间极端事件的联动效应,利用基于极值理论的POT模型对上证综指日收益率的尾部数据直接建模拟合分布,进而计算出风险值VaR和CVaR,通过比较危机前后的风险值,发现随着金融危机的到来,我国股市的风险有了一定程度的释放。     

基于随机波动模型的VaR的计算

简单介绍了VaR的含义及计算方法,指出推测市场因子的波动情况时计算VaR的关键。首次将随机波动SV模型应用于VaR的计算,说明了基于SV模型下的VaR之更具有动态性和准确性。做实验分析结果表明,SV模型准确反映了市场因子的波动情形,此时的VaR更贴切的反映了金融市场的风险水平。