Asset portfolio securitizations and cyclicality of regulatory capital

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) relative to the Supervisory Formula Approach, (iii) given the RBA for a point-in-time rating methodology relative to a rate-and-forget rating methodology, and (iv) under the passive reinvestment rule relative to alternative rules. Capital requirements of the individual tranches reveal that the volatility of aggregated capital charges for the securitized portfolio is triggered by the most senior tranches. This is due to the fact that senior tranches are more sensitive to the macroeconomy. An empirical analysis provides evidence that current credit ratings are time-constant and that economic losses for securitizations have exceeded the required capital in the recent financial crisis.     

Intra-organizational Networks and Performance: A Review

Intra-organizational network research had its first heyday during the empirical revolution in social sciences before World War II when it discovered the informal group within the formal organization. These studies comment on the classic sociological idea of bureaucracy being the optimal organization. Later relational interest within organizational studies gave way to comparative studies on the quantifiable formal features of organizations. There has been a resurgence in intra-organizational networks studies recently as the conviction grows that they are critical to organizational and individual performance. Along with methodological improvements, the theoretical emphasis has shifted from networks as a constraining force to a conceptualization that sees them as providing opportunities and finally, as social capital. Because of this shift it has become necessary not only to explain the differences between networks but also their outcomes, that is, their performance. It also implies that internal and external networks should no longer be treated separately.Research on differences between intra-organizational networks centers on the influence of the formal organization, organizational demography, technology and environment. Studies on outcomes deal with diffusion and adaptation of innovation; the utilization of human capital; recruitment, absenteeism and turnover; work stress and job satisfaction; equity; power; information efficiency; collective decision making; mobilization for and outcomes of conflicts; social control; profit and survival of firms and individual performance.Of all the difficulties that are associated with intra-organizational network research, problems of access to organizations and incomparability of research findings seem to be the most serious. Nevertheless, future research should concentrate on mechanisms that make networks productive, while taking into account the difficulties of measuring performance within organizations, such as the performance paradox and the halo-effect.     

The dynamics of asset lifetime under technological change

The variable lifetime of assets is analyzed in a serial replacement problem. Technological change impacts the maintenance cost and new asset cost. The optimal asset lifetime appears to be constant only when both costs decrease with the same rate. We identify cases when the technological change decreases or increases the optimal lifetime.     

Cost of capital for incentives on capacity expansion investments

In this paper, the expression for the cost of capital is derived when capacity expansion investments and replacement investments exhibit differences in their effective prices. It is shown that the cost of capital derived by perturbing the optimal stock path should be constructed under an opportunity cost criterion.     

Portfolio Selection Problem with Minimax Type Risk Function

The investor's preference in risk estimation of portfolio selection problems is important as it influences investment strategies. In this paper a minimax risk criterion is considered. Specifically, the investor aims to restrict the standard deviation for each of the available stocks. The corresponding portfolio optimization problem is formulated as a linear program. Hence it can be implemented easily. A capital asset pricing model between the market portfolio and each individual return for this model is established using nonsmooth optimization methods. Some numerical examples are given to illustrate our approach for the risk estimation.     

Evaluation of the quality of clinical laboratories in the Slovak Republic: conceptual and contextual remarks

The paper demonstrates conceptual parallels and relationships between intellectual capital measurement methods and the evaluation of quality in clinical laboratories in the Slovak Republic. It explores further the contextual links of those parallels with the tangibility (or intangibility) of quality indicators of laboratory diagnostics. It also highlights the problems which laboratory staff in Slovakia are confronted with. Presented at the conference Quality in the Spotlight, March 2007, Antwerp, Belgium.     

企业集团资本增值域的选择与优化

企业集团是资本的集合体，它在资本本质的推动下，不断寻求资本增值的最大化。但是我国企业集团由于受经济体制转换期的影响，以及自身经验的不足，未能正确定位集团的发展领域，从而未能实现资本的增值。文章根据我国企业集团当前存在的问题，结合项目实践中的体会，讨论了如何正确认识资本增值域，以及如何正确选择与优化资本增值域     

Sequential smoothing for turning point detection with application to financial decisions

A fundamental problem in financial trading is the correct and timely identification of turning points in stock value series. This detection enables to perform profitable investment decisions, such as buying‐at‐low and selling‐at‐high. This paper evaluates the ability of sequential smoothing methods to detect turning points in financial time series. The novel idea is to select smoothing and alarm coefficients on the gain performance of the trading strategy. Application to real data shows that recursive smoothers outperform two‐sided filters at the out‐of‐sample level. Copyright © 2012 John Wiley & Sons, Ltd.     

金融危机后中国跨境短期资本流动与人民币汇率及资产价格波动关联研究

基于综合资产收益率平价理论构建理论模型,研究探讨了中国跨境短期资本流动规模与资产价格及人民币汇率预期变动之间的动态关系.然后在此基础上通过建立VAR模型,采用格兰杰因果检验以及脉冲响应分析等方法实证分析了2010年7月至2015年6月中国跨境短期资本流动、人民币汇率预期波动、利率、房价和股价变动之间的关联关系.实证结果表明:中国房地产市场、股票市场上涨会吸引短期跨境资本流入;美元利率上升和人民币贬值预期会引致短期跨境资本的流出;短期跨境资本流入会造成国内利率降低,但对房地产市场、股票市场的影响不显著;中国房地产市场与股票市场之间会有联动效应,人民币的贬值预期也会引致房地产价格下降.