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1 – 10 of over 13000This paper shows a new methodology for evaluating the value and sensitivity of autocall knock-in type equity-linked securities. While the existing evaluation methods, Monte Carlo…
Abstract
This paper shows a new methodology for evaluating the value and sensitivity of autocall knock-in type equity-linked securities. While the existing evaluation methods, Monte Carlo simulation and finite difference method, have limitations in underestimating the knock-in effect, which is one of the important characteristics of this type, this paper presents a precise joint probability formula for multiple autocall chances and knock-in events. Based on this, the calculation results obtained by utilizing numerical and Monte Carlo integration are presented and compared with those of existing models. The results of the proposed model show notable improvements in terms of accuracy and calculation time.
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Joshua Graff Zivin, Lisa B. Kahn and Matthew Neidell
In this chapter, we examine the impact of pay-for-performance incentives on learning-by-doing. We exploit personnel data on fruit pickers paid under two distinct compensation…
Abstract
In this chapter, we examine the impact of pay-for-performance incentives on learning-by-doing. We exploit personnel data on fruit pickers paid under two distinct compensation contracts: a standard piece rate plan and one with an extra one-time bonus tied to output. Under the latter, we observe bunching of performance just above the bonus threshold, suggesting workers distort their behavior in response to the discrete bonus. Such bunching behavior increases as workers gain experience. At the same time, the bonus contract induces considerable learning-by-doing for workers throughout the productivity distribution who presumably hope to one day hit the target, and these improvements significantly outweigh the losses to the firm from the bunching. In contrast, under the standard piece rate contract, we find minimal evidence of bunching and only small performance improvements at the bottom of the productivity distribution. Our results suggest that contract design can help foster learning on the job, underscoring the importance of dynamic considerations in principle-agent models.
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Christophe Letot, Pierre Dehombreux, Edouard Rivière-Lorphèvre, Guillaume Fleurquin and Arnaud Lesage
The purpose of this paper is to highlight the need for degradation data in order to improve the reliability and the mean residual life estimation of a specific item of equipment…
Abstract
Purpose
The purpose of this paper is to highlight the need for degradation data in order to improve the reliability and the mean residual life estimation of a specific item of equipment and to adapt the preventive maintenance tasks accordingly.
Design/methodology/approach
An initial reliability model which uses a degradation-based reliability model that is built from the collection of hitting times of a failure threshold. The proposed maintenance model is based on the cost/availability criterion. The estimation of both reliability and optimum time for preventive maintenance are updated with all new degradation data that are collected during operating time.
Findings
An improvement for the occurrences of maintenance tasks which minimizes the mean cost per unit of time and increases the availability.
Practical implications
Inspection tasks to measure the degradation level should be realized at least one time for each item of equipment at a specific time determined by the proposed methodology.
Originality/value
The introduction of a criterion which helps the maintainer to decide to postpone or not the preventive replacement time depending on the measured degradation level of a specific item of equipment.
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A self‐help guide to achieving success in business. Directed more towards the self‐employed, it is relevant to other managers in organizations. Divided into clear sections on…
Abstract
A self‐help guide to achieving success in business. Directed more towards the self‐employed, it is relevant to other managers in organizations. Divided into clear sections on creativity and dealing with change; importance of clear goal setting; developing winning business and marketing strategies; negotiating skills; leadership; financial skills; and time management.
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Joel A.C. Baum and Bill McKelvey
The potential advantage of extreme value theory in modeling management phenomena is the central theme of this paper. The statistics of extremes have played only a very limited…
Abstract
The potential advantage of extreme value theory in modeling management phenomena is the central theme of this paper. The statistics of extremes have played only a very limited role in management studies despite the disproportionate emphasis on unusual events in the world of managers. An overview of this theory and related statistical models is presented, and illustrative empirical examples provided.
M. Amin Sabet and Behnam Ghavami
With continuous scaling of digital circuit CMOS technology, the vulnerability of these circuits are significantly increasing against the soft errors. On the other hand, the…
Abstract
Purpose
With continuous scaling of digital circuit CMOS technology, the vulnerability of these circuits are significantly increasing against the soft errors. On the other hand, the effects of process variation in the electrical properties of nano-scale circuits, have introduced the statistical methods as an unavoidable choice for the soft error rate (SER) estimation. The purpose of this paper is to provide a statistical soft error rate (SSER) estimation approach for combinational circuits in the presence of process variation.
Design/methodology/approach
In this paper a new method is proposed for the SSER estimation of combinational circuits based on the Bayesian networks (BNs). This allows to factor the joint probability distributions over variables in a circuit graph. The distribution of the initial transient fault pulse is estimated by the pre-characterization tables. Timing signals are propagated by BN theory and the probability distribution of electrical and timing masking are calculated.
Findings
Simulation results for some benchmark circuits show that the proposed method is accurate with 3.7 percent difference with the Monte-Carlo SPICE simulation and with orders of magnitude improvement in runtime.
Originality/value
The proposed framework is the scheme giving the low estimation time with plausible accuracy compared to other schemes. The comparison exhibits that the designer can save its estimation time in terms of performance and complexity. The deterministic-based methods also are able to evaluate the SER of combinational circuit, yet in an unacceptable time.
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Adam Biggs, Greg Huffman, Joseph Hamilton, Ken Javes, Jacob Brookfield, Anthony Viggiani, John Costa and Rachel R. Markwald
Marksmanship data is a staple of military and law enforcement evaluations. This ubiquitous nature creates a critical need to use all relevant information and to convey outcomes in…
Abstract
Purpose
Marksmanship data is a staple of military and law enforcement evaluations. This ubiquitous nature creates a critical need to use all relevant information and to convey outcomes in a meaningful way for the end users. The purpose of this study is to demonstrate how simple simulation techniques can improve interpretations of marksmanship data.
Design/methodology/approach
This study uses three simulations to demonstrate the advantages of small arms combat modeling, including (1) the benefits of incorporating a Markov Chain into Monte Carlo shooting simulations; (2) how small arms combat modeling is superior to point-based evaluations; and (3) why continuous-time chains better capture performance than discrete-time chains.
Findings
The proposed method reduces ambiguity in low-accuracy scenarios while also incorporating a more holistic view of performance as outcomes simultaneously incorporate speed and accuracy rather than holding one constant.
Practical implications
This process determines the probability of winning an engagement against a given opponent while circumventing arbitrary discussions of speed and accuracy trade-offs. Someone wins 70% of combat engagements against a given opponent rather than scoring 15 more points. Moreover, risk exposure is quantified by determining the likely casualties suffered to achieve victory. This combination makes the practical consequences of human performance differences tangible to the end users. Taken together, this approach advances the operations research analyses of squad-level combat engagements.
Originality/value
For more than a century, marksmanship evaluations have used point-based systems to classify shooters. However, these scoring methods were developed for competitive integrity rather than lethality as points do not adequately capture combat capabilities. The proposed method thus represents a major shift in the marksmanship scoring paradigm.
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Florian Kiesel and Jonathan Spohnholtz
The creditworthiness of corporates is most visible in credit ratings. This paper aims to present an alternative credit rating measure independently of credit rating agencies. The…
Abstract
Purpose
The creditworthiness of corporates is most visible in credit ratings. This paper aims to present an alternative credit rating measure independently of credit rating agencies. The credit rating score (CRS) is based on the credit default swap (CDS) market trading.
Design/methodology/approach
A CRS is developed which is a linear function of logarithmized CDS spreads. This new CRS is the first one that is completely independent of the rating agency. The estimated ratings are compared with ratings provided by Fitch Ratings for 310 European and US non-financial corporates.
Findings
The empirical analysis shows that logarithmized CDS spreads and issuer credit ratings by agencies have a linear relationship. The new CRS provides market participants with an alternative risk assessment, which is solely based on market factors, and does not rely on credit rating analysts. The results indicate that our CRS is able to anticipate agency ratings in advance. Moreover, the analysis shows that the trading volume has only a limited influence in the anticipation of rating changes.
Originality/value
This study shows a new approach to measure the creditworthiness of firms by analyzing CDS spreads. This is highly relevant for regulation, firm monitoring and investors.
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Zobair Ibn Awal, M. Rafiqul Islam and Mazharul Hoque
This paper aims to investigate the marine vehicle accident characteristics in the inland waterways of Bangladesh, with particular emphasis on collision type accidents.
Abstract
Purpose
This paper aims to investigate the marine vehicle accident characteristics in the inland waterways of Bangladesh, with particular emphasis on collision type accidents.
Design/methodology/approach
Accident data were collected from different sources such as the daily newspapers, reports of Department of Shipping (DOS) and Bangladesh Inland Water Transport Authority (BIWTA). The accidents are analysed according to different variables such as vehicle type, time distribution, spatial distribution, weather condition, nature of casualties, and others.
Findings
The study revealed that the leading causes of accidents were collision between ships, trawlers and country boats and loss of stability due to Nor'wester (a seasonal storm that appears from the north and western directions). Of the accidents, 80 per cent involve cargo vehicles hitting other vehicles. Collisions have increased dramatically over the last decade and the number of fatalities has increased significantly.
Research limitations/implications
Many accidents in Bangladesh often remain under‐reported owing to limited exposure to the media, which is probably because the victims represent the poorer segment of society. This under‐reporting appears to be a major barrier for accident analysis and prevention.
Originality/value
The paper provides an explicit idea on the characteristics of accidents, so that the problem can be easily comprehended and necessary action can be taken by different stakeholders, such as operators, law enforcement agencies, designers, users and others concerned in order to come up with a coordinated action plan to stop these severe incidents.
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Zeyu Xing and Rustam Ibragimov
Rapid stock market growth without real economic back-up has led to the 2015 Chinese Stock Market Crash with thousands of stocks hitting the down limit simultaneously multiple times…
Abstract
Rapid stock market growth without real economic back-up has led to the 2015 Chinese Stock Market Crash with thousands of stocks hitting the down limit simultaneously multiple times. The authors provide a detailed analysis of structural breaks in heavy-tailedness and asymmetry properties of returns in Chinese A-share markets due to the crash using recently proposed robust approaches to tail index inference. The empirical analysis points out to heavy-tailedness properties often implying possibly infinite second moments and also focuses on gain/loss asymmetry in the tails of daily returns on individual stocks. The authors further present an analysis of the main determinants of heavy-tailedness in Chinese financial markets. It points out to liquidity and company size as being the most important factors affecting the returns’ heavy-tailedness properties. At the same time, the authors do not observe statistically significant differences in tail indices of the returns on A-shares and the coefficients on factors affecting them in the pre-crisis and post-crisis periods.
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