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Counterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the derivative trading activity has been moving from standardized products quoted on futures‐style markets, towards customized products traded on over‐the‐counter markets, the issue of counterparty risk evaluation has increasingly gathered momentum and is now one of the hot topics in option pricing theory. The corresponding options are named vulnerable.

The implementation of credit risk models has largely relied either on the use of historical default dependence, as proxied by the correlation of equity returns, or on risk neutral equicorrelation, as extracted from CDOs. Contrary to both approaches, the purpose of this paper is to infer risk neutral dependence from CDS data, taking counterparty risk into consideration and avoiding equicorrelation. The impact of risk neutral correlation on the fees of some higher dimensional credit derivatives is also explored.

Copula functions are used in order to capture dependency. An application to market data is provided.

Both in the FtD and CDO cases, using (the correct) risk neutral measure instead of equity dependency has the same effect as the adoption of a copula with tail dependency instead of a Gaussian one. This should be important for those who resort to copulas in credit derivative pricing.

As far as is known, several attempts have been made in order to compare the behavior of different copulas in derivative pricing; however, no attempt has been made in order to extract risk neutral dependence without using the equicorrelation assumption. Therefore no attempt has been made to understand which copula features could proxy for risk neutrality, whenever risk neutral dependency cannot be inferred (for instance because CDS involving that name are not actively traded)

The Brazilian municipalities show a huge disparity in income level. The GDP per capita difference between the richest and the poorest municipalities is about 190 times, according to IBGE (2000) database. This paper aims to analyze the impacts of Brazilian municipalities institutional quality on their levels of per capita income.

Institutionalist theory provides a plausible explanation for the gap among municipalities income level. Many empirical studies based on cross-country data have found a high correlation between institutional quality and the level of economic development, but there is little research concerning the extreme inequality within the national territory and its relationship with institutional quality. The theory suggests that the institutions matter for the level of economic development because of their effects on political power distribution, generation of economic opportunities, innovation, human capital accumulation, and so on.

Overall, an increase by one point in the average quality of the institutions is able to increase the average GDP per capita around 20 percent. This means that each point of increase in the quality of the municipality institutions is able to increase the municipality GDP per capita by R$1,000 (around US$600).

This is an important research that sheds light to the importance of institutional quality at local level and its influence over growth in a developing country.

While multinational companies develop meta-level policies to address grand sustainability challenges and CEOs are increasingly showing their social activism, the hard work of concretely defending communities’ rights and the environment from business exploitation is often left to powerless individuals, known as human rights defenders (here defenders), who face severe risks for their advocacy. According to some statistics, between 2015 and 2022, defenders worldwide have been subject to over 4,000 attacks, including killings, tortures, and intimidation. In this chapter, the authors discuss the relevance of defenders to the promotion of the sustainable development goal (SDG) agenda and develop a conceptual model to predict CEOs’ reactions to defenders.

This paper investigates how (1) a work environment designed to sustain creativity (i.e. through flexible arrangements and elements of the social-organizational work environment) and (2) the amount of enacted work interactions among employees, interpreted as facilitators of new idea generation (i.e. outdegree centrality in instrumental networks), differently impact creativity and work–life balance.

The authors conducted a quantitative study in a knowledge-intensive multinational company and collected data through a survey on a sample of 207 workers.

Findings highlight that flexible work arrangements are positively related to increased work–life balance but not to creativity, whereas having access to a social-organizational work environment designed to foster creativity is associated to an increased level of idea generation, but to a reduction in work–life balance. In addition, centrality in instrumental social networks is also associated to a reduction of work–life balance. Findings thus point to a potential trade-off between structures aimed at increasing creativity and initiatives aimed at engendering work–life balance.

The research contributes to the current debate on new organizational practices for innovation and creativity, highlighting their unexpected implications for workers. The research also contributes to the literature on work–life balance by unraveling previously unexplored antecedents, i.e. social networks and the social-organizational work environment designed for creativity.