An R Package for Value at Risk and Expected Shortfall

Value at risk and expected shortfall are the two most popular measures of financial risk. But the available R packages for their computation are limited. Here, we introduce an R contributed package written by the authors. It computes the two measures for over 100 parametric distributions, including all commonly known distributions. We expect that the R package could be useful to researchers and to the financial community.     

A Theory of Optimal Inheritance Taxation

This paper derives optimal inheritance tax formulas that capture the key equity‐efficiency trade‐off, are expressed in terms of estimable sufficient statistics, and are robust to the underlying structure of preferences. We consider dynamic stochastic models with general and heterogeneous bequest tastes and labor productivities. We limit ourselves to simple but realistic linear or two‐bracket tax structures to obtain tractable formulas. We show that long‐run optimal inheritance tax rates can always be expressed in terms of aggregate earnings and bequest elasticities with respect to tax rates, distributional parameters, and social preferences for redistribution. Those results carry over with tractable modifications to (a) the case with social discounting (instead of steady‐state welfare maximization), (b) the case with partly accidental bequests, (c) the standard Barro–Becker dynastic model. The optimal tax rate is positive and quantitatively large if the elasticity of bequests to the tax rate is low, bequest concentration is high, and society cares mostly about those receiving little inheritance. We propose a calibration using micro‐data for France and the United States. We find that, for realistic parameters, the optimal inheritance tax rate might be as large as 50%–60%—or even higher for top bequests, in line with historical experience.     

Nonparametric Estimation of the Probability of Detection of Flaws in an Industrial Component,from Destructive and Nondestructive Testing Data,Using Approximate Bayesian Computation

We consider the problem of estimating the probability of detection (POD) of flaws in an industrial steel component. Modeled as an increasing function of the flaw height, the POD characterizes the detection process; it is also involved in the estimation of the flaw size distribution, a key input parameter of physical models describing the behavior of the steel component when submitted to extreme thermodynamic loads. Such models are used to assess the resistance of highly reliable systems whose failures are seldom observed in practice. We develop a Bayesian method to estimate the flaw size distribution and the POD function, using flaw height measures from periodic in‐service inspections conducted with an ultrasonic detection device, together with measures from destructive lab experiments. Our approach, based on approximate Bayesian computation (ABC) techniques, is applied to a real data set and compared to maximum likelihood estimation (MLE) and a more classical approach based on Markov Chain Monte Carlo (MCMC) techniques. In particular, we show that the parametric model describing the POD as the cumulative distribution function (cdf) of a log‐normal distribution, though often used in this context, can be invalidated by the data at hand. We propose an alternative nonparametric model, which assumes no predefined shape, and extend the ABC framework to this setting. Experimental results demonstrate the ability of this method to provide a flexible estimation of the POD function and describe its uncertainty accurately.     

Some Epidemiological Characteristics of Perpetrators and Victims of Incest in Contemporary Ghana: Analysis of Media Reports

ABSTRACT

In Ghana, incest is considered sinful, taboo, and illegal. However, recent media reports show that incest has become a daily reality in Ghana. This study is a situational analysis of the pattern of incest in Ghana as reported in the media from January 2008 through July 2015. Qualitative content analysis was conducted on 48 incest news reports in Ghana. The findings showed that father–daughter incest was most frequent across the study period. Forty-seven females aged 3 to 25 years and a male aged 3 years were identified as victims. Generally, the incest lasted between 1 day and 13 years before disclosure. Perpetrators employed psychological and/or physical methods to coerce their victims. Marital difficulties, diabolical control, and seduction by victim featured prominently as alleged motives behind the abuse. The study observes that the recent increase in father–daughter incest warrants an immediate shift of research attention onto men’s mental health in Ghana.     

Deux définitions de la collégialité et leur articulation: le cas d’un diocèse catholique

Against the background of the conflict observed between managers and professionals, two definitions of collegiality are identified: on the one hand, as a specific organizational form (bottom up) and, on the other, as a procedure of bureaucratic management (top down). A study of networks of priests in a catholic diocese in France is used to explore how these two definitions are related. Questions are raised about the effects of a too narrow organizational rationalization that uses collegiality only as a top down, bureaucratic managerial procedure. This always entails the risk of making the work done by experts sterile because it overlooks the first type of collegiality, which is based on the nature of the nonroutine tasks that members perform jointly thanks to an endogenous organizational structure of a bottom up type.     

Écrire la loi. Un travail de bureau pour hauts fonctionnaires du ministère de l’Écologie

This article analyses the process of the drafting of the Bachelot Bill on technological risks, passed on 30 July 2003 but initiated by Lionel Jospin's government immediately following the AZF factory disaster in September 2001. It focuses on the practical work of the civil servants at the Ministry of Ecology responsible for setting the orientations of the reform, transcribing them into legal provisions and ensuring that they would be supported and passed in Parliament. The analysis approaches the task by tracking both the successive versions of the bill and the multiple documents used in the preparation of these versions. This immersion in the administrative production of law provides a better understanding of the relations between the civil service and the political authorities, and shows how the boundary between these two worlds of practice is difficult to draw in the legal drafting process.     

Vaccine clinical trials with dynamic borrowing of historical controls: Two retrospective studies

Traditional vaccine efficacy trials usually use fixed designs with fairly large sample sizes. Recruiting a large number of subjects requires longer time and higher costs. Furthermore, vaccine developers are more than ever facing the need to accelerate vaccine development to fulfill the public's medical needs. A possible approach to accelerate development is to use the method of dynamic borrowing of historical controls in clinical trials. In this paper, we evaluate the feasibility and the performance of this approach in vaccine development by retrospectively analyzing two real vaccine studies: a relatively small immunological trial (typical early phase study) and a large vaccine efficacy trial (typical Phase 3 study) assessing prophylactic human papillomavirus vaccine. Results are promising, particularly for early development immunological studies, where the adaptive design is feasible, and control of type I error is less relevant.     

Temporal discounting of gains and losses of time: An experimental investigation

This paper investigates “asymmetries” between non-monetary gains and losses in intertemporal choice. We considered gains and losses of spare/working time with respect to a reference duration defined in a working contract. Specifically, we elicited a behavioral model of intertemporal choice that accounts for a gain/loss-dependent discounting function and a reference-dependent utility. Additionally, we did not impose preference for the present (positive discounting) and allowed for both decreasing and increasing impatience. While our results are standard regarding the discount of money (our baseline treatment), our subjects heavily discounted gains of time. More patience was observed for losses of time and a sizable portion of subjects even exhibited negative discounting, i.e. they preferred to expedite losses of time. Our econometric estimations also reveal a much larger heterogeneity of behavior in terms of both utility and discounting for gains and losses of spare time as compared to money.     

Middle Managers’ Work in Recession and Austerity: A Longitudinal Study

Although researchers have explored the impacts of structural changes on managerial work, few insights have been generated into whether the turbulent economic environment induced by a recession and/or an extended period of austerity accelerate known changes to managerial work and/or whether recession/austerity are revealing or causing previously unknown effects. This paper explores and analyses middle managers’ reflections on how, if at all, their work is fundamentally changed by economic pressures such as recession and/or by choices of executives to impose such pressures during and post recession (commonly referred to as ‘austerity measures’). The findings suggest that middle managers responded to the recession and ongoing economic austerity in a differentiated manner, with the initial responses being largely positive. Responses became negative over time, with examples of disillusionment and cynicism, as middle managers believed that their superiors were using the disguise of recession and austerity to introduce changes that impacted profoundly on their working lives and those of their subordinates.     

A Simplified Approach to Risk Assessment Based on System Dynamics: An Industrial Case Study

Seveso plants are complex sociotechnical systems, which makes it appropriate to support any risk assessment with a model of the system. However, more often than not, this step is only partially addressed, simplified, or avoided in safety reports. At the same time, investigations have shown that the complexity of industrial systems is frequently a factor in accidents, due to interactions between their technical, human, and organizational dimensions. In order to handle both this complexity and changes in the system over time, this article proposes an original and simplified qualitative risk evaluation method based on the system dynamics theory developed by Forrester in the early 1960s. The methodology supports the development of a dynamic risk assessment framework dedicated to industrial activities. It consists of 10 complementary steps grouped into two main activities: system dynamics modeling of the sociotechnical system and risk analysis. This system dynamics risk analysis is applied to a case study of a chemical plant and provides a way to assess the technological and organizational components of safety.