On the appropriateness of inappropriate VaR models

Summary The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e. g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index, the principal components models and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literature on the verification of weather forecasts (Murphy and Winkler, 1992; Murphy, 1997). Some considerations on the quantitative analysis are presented in the fourth chapter. In the last chapter, we present empirical analysis of the DAX data using XploRe. We acknowlege the support of Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 649 “Economic Risk”, MSM 0021620839 and 1K04018     

On ‘optimal’ technology and scale in industrialization: Steel-making

Questions of the appropriateness of technology transfers from industrialized countries, and of the concomitant implications for the optimal scale of operations, have formed a persistent topic in discussions of development schmes. Some of the theoretical assumptions underlying these discussions are examined on the basis of empirical observations on the establishment of steel-making facilities in developing economies. Steel mills have become regarded as part of the necessary infrastructure in many countries; thus, a sufficiently large number of installations have occurred to permit some generalizations. It is found that the achievement of optimal plant sizes, in the sense of static economic theory, proves elusive at best in the dynamic setting of ambitious growth objectives. Completely aside from political considerations, various economic factors not only militate against the projection of an optimal scale of operations, but also make a commitment to such a scale inadvisable. Besides, little evidence is found to suggest that advanced techniques are not sufficiently flexible in terms of input and size requirements to permit their transfer to developing countries. One may hazard the conclusion $\text{that market, rather than technological}$, rigidities could prevent the realization of a new industry's full potential.     

Assertion and Consensus Motives in Argumentations

Fair and non-manipulative argumentation plays a key role in contemporary German ethics and business ethics. The purpose of this paper was to examine the question whether psychological dispositions for this type of communication do exist. In three empirical studies consisting of 839 subjects it was possible to establish four argumentative motives. Furthermore, the data show that these motives are correlated with basic personality traits. These motives have also implications for social integration, rationality, use of information, time demand, and interpersonal trust in business communication. In sum, fair and non-manipulative argumentation is a realistic tool for solving everyday ethical problems. Thus, discourse ethics is not only good for theory but also good for practice. This revised version was published online in July 2006 with corrections to the Cover Date.     

Squeezing or cuddling? The impact of economic crises on management control and stakeholder management

This paper analyzes the effects of economic crises on firms’ use of management control mechanisms and on their management of stakeholder relations. Moreover, the association between stakeholder management and management control system use is analyzed. In the wake of the economic crisis of 2008/2009, many firms were faced with severe threats that called for immediate short-term action to ensure firm survival. However, short-term action like massive cost-cutting and cash generation often are blamed for going at the expense of long-term health as key stakeholder relations may be irreversibly harmed. Hence, three interrelated questions are addressed theoretically and empirically: First, we analyze the impact of the recent economic crisis on firms’ control strategies. More specifically, we investigate whether a high crisis impact on firms is associated with a shortening of reporting cycles, a more interactive use of control-relevant information, restriction of employee autonomy and a focus on liquidity and cost-cutting. Second, we examine from the viewpoint of stakeholder theory how firms can make use of active stakeholder management for crisis management. Third, we explore whether firms can take short-term measures for ensuring liquidity and cutting costs and at the same time pursue a stakeholder strategy aiming at the long-term survival of the firm. Using survey data from 204 major Austrian corporations, we provide evidence that firms significantly adjusted their control systems as a response to the economic crisis. Our data do not indicate an immanent contradiction between a “short-term finance focus” and the pursuit of a sustainable stakeholder strategy.     

Development of a New Approach to Guided Self-Help via the Internet: The Swedish Experience

ABSTRACT

This article describes the development and empirical status of guided Internet-delivered self-help. The treatment approach combines the benefits of bibliotherapy with book-length text materials and the support given online via web pages and e-mail. Interactive features such as online registrations, tests, and online discussion forums are also included. Cognitive behavior therapy (CBT) guided the research and clinical implementations of this approach, as it lends itself more easily to the self-help format compared with other presently available psychotherapy approaches. We include an overview of the research, current issues and research in service delivery, lessons learned through a program of research, and directions for future investigations.     

Forecasting industrial production using structural time series models

Industrial production data series are volatile and often also cyclical. Hence, univariate time series models which allow for these features are expected to generate relatively accurate forecasts of industrial production. A particular class of unobservable components models — structural time series models — is used to generate forecasts of Austrian and German industrial production. A widely applied ARIMA model is used as a baseline for comparison. The empirical results show that the basic structural model generates more accurate forecasts than the ARIMA model when accuracy is measured in terms of size of error or directional change; and that the basic structural model forecasts better than the structural model with a cyclical component included on the basis of numerical measures, and tracking error for month-to-month changes.     

On the personnel assignment problem

Recent papers have developed methods for personnel assignment under risk of failure. In this paper, a two-parameter model is given. It uses both mean and standard deviation in the stochastic model to bring the risk of failure under control.     

Criminal Behavior Associated with Pathological Gambling

The influence of addictive gambling behavior on criminal behavior was examined in this study. A sample of pathological gamblers from in- and outpatient treatment centers and self-help groups (n = 300) and a sample of high and low frequency gamblers from the general population and army (n = 274) completed a comprehensive questionnaire which assessed social attachment, personality, pathological gambling and criminal behavior variables. The causal analysis of a Lisrel Model leads to the following results: addictive gambling behavior is an important criminogenic factor. This predisposing factor alone cannot sufficiently explain criminal behavior associated with pathological gambling. Personality variables also directly influence the intensity of criminal behavior. Social attachment variables have only an indirect effect. As far as property offenses are concerned, it was found that the direct causal effect of addiction behavior is greater than that of personality.