Search results for "Structuring"
showing 10 items of 219 documents
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
2017
We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging portfolio. Using linear programming duality we also compute the risk premium. The model applies to coupon-indexed and principal-indexed bonds, and allows the analysis of bonds with different design parameters (coupon, target GDP growth rate, and maturity). We calibrate for UK and US instruments and carry out a sensitivity analysis of prices and risk premia to the risk factors and bond design parameters. We also compare coupon-indexed and principal-indexed bonds. Results …
Asset and Liability Modelling for Participating Policies with Guarantee
2008
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeoffs in structuring such policies, and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearized through closed form solutions of the dynamic equations. Thus large-scale problems are solved with standard methods. We report on an empirical analysis of policies offered by Italian insurers. The optimized model results are in general agreement with current industry practices. However, some inefficiencies are identified and potential im…
Economía en juego
2019
[EN] This article describes an innovative strategy aimed at teaching the subject “Political Economy”, in the University Degree in Political Science and Public Administration. Although the central methodology revolves mainly around “gamification”, it also requires activities as traditional as “taking notes” or “paying attention during class”. In addition, it provides the added value of demanding to expand and structure the information collected on the basis of structuring descriptors (glossary). Through a RPG –economic and political espionage at Bandung Conference– students collect, complete and organize the information offered by the teacher and return it through oral communications before …
The prometeia model for managing insurance policies with guarantees
2008
Publisher Summary This chapter discusses the development of a scenario-based optimization model for asset and liability management for the participating policies with guarantees and bonus provisions offered by Italian insurers. The changing landscape of the financial services in Italy sets the backdrop for the development of this system which was the result of a multi-year collaborative effort between academic researchers, the research staff at Prometeia in Bologna, and end-users from diverse Italian insurers. It also presents and discusses the model and its key feature, and introduces several extensions. The resulting system allows the analysis of the tradeoffs facing an insurance firm in …
Exchange Rate and Interest-Rate Driven Competitive Advantages in the EMU
2002
Real exchange and interest rates may still fluctuate inside the EMU and give rise to changes in competitiveness. We find, in contrast to what is generally expected, no convergence in these variables after the introduction of the euro. On the contrary, a divergence is found that is extraordinary when compared to the preceding 40 years. The magnitude of the divergence should urge on a wave of restructuring in the EMU, conditioned upon adequate policy responses. The worst-case scenario involves a flight to structural support and protectionism, challenging the whole idea of the EMU.
L’actionnariat des salariés influencet-il la rémunération des dirigeants ?
2017
International audience; Cet article étudie la relation entre les composantes variables de la rémunération en actions de l’entreprise des dirigeants et des actionnaires salariés. En utilisant un échantillon de données issu du SBF 120 sur la période 2004-2009, nous étudions en particulier : (i) la relation entre le montant des stock-options attribuées aux dirigeants et l’actionnariat salarié ; (ii) la relation entre le rapport du montant des stock-options sur la rémunération totale des dirigeants et l’actionnariat salarié. La relation est significativement négative dans les deux cas montrant que l’actionnariat salarié tend à limiter la composante stok-options de la rémunération des dirigeants…
L’actionnariat des salariés influence-t-il la rémunération des dirigeants ?
2017
International audience; Cet article étudie la relation entre les composantes variables de la rémunération en actions de l’entreprise des dirigeants et des actionnaires salariés. En utilisant un échantillon de données issu du SBF 120 sur la période 2004-2009, nous étudions en particulier : (i) la relation entre le montant des stock-options attribuées aux dirigeants et l’actionnariat salarié ; (ii) la relation entre le rapport du montant des stock-options sur la rémunération totale des dirigeants et l’actionnariat salarié. La relation est significativement négative dans les deux cas montrant que l’actionnariat salarié tend à limiter la composante stok-options de la rémunération des dirigeants…
International competitiveness, job creation and job destruction—An establishment-level study of German job flows
2010
Abstract This study investigates the impact of international competitiveness on net employment, job creation, job destruction, and gross job flows for a representative sample of German establishments from 1993 to 2005. We find a statistically significant but economically small effect of real exchange rate shocks on employment, comparable to the one found in studies for the United States. However, contrary to the United States, the employment adjustment (among surviving firms) operates mainly through the job creation rather than the job destruction rate. Job destruction occurs essentially through discrete events such as restructuring, outsourcing and bankruptcy. We suggest that these finding…
Planning in Collaborative Stigmergic Workspaces
2011
The paper investigates how the engineered capabilities of structuring the knowledge encoded in collaborative workspaces affect the collective intelligence of its users. The investigation is made for the particular case of collaborative planning and is grounded on the theoretical framework of stigmergic systems. The knowledge structure encoded in collaborative workspaces in the form of a conceptual hierarchical task network is analysed by building a multi-agent simulation to evaluate the performance of different planning strategies. The results show that different representational complexities of collaborative planning knowledge have a great impact over the collective intelligence when the u…
REPRESENTATIONS OF BOUNDARIES IN THE CONTEXT OF PRIVATE AND PUBLIC RELATIONSHIPS: LATVIAN EXAMPLE
2012
In social practice boundaries often have been perceived and used as a tool of structuring of the space. Spatial structures appear as representations of different activities and patterns as public and private relationships. Formal regulations, public attitudes forming on the basis of values system, acceptance and rejection of norms create different forms of individual adaptation cases which are representing in planning practise and landscape as a contradictory public and private relationships. Baltic coastal areas, Riga agglomeration, settlements structure, local suburban land transformation processes are some of the areas have been explored. What are public and private in using of space, w…