The level and quality of Value-at-Risk disclosure by commercial banks

In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996–2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility.

Diffusion of corporate governance practices : the Dutch response to pressures for shareholder value

As part of a larger literature focused on identifying and relating the antecedents and consequences of diffusing organizational practices/ideas, recent research has debated the international adoption of a shareholder-value-orientation (SVO). The debate has financial economists characterizing the adoption of an SVO as performance-enhancing and thus inevitable, with behavioral scientists disputing both claims, invoking institutional differences. This study seeks to provide some resolution to the debate (and advance current understanding on the diffusion of practices/ideas) by developing a socio-political perspective that links the antecedents and consequences of an SVO. In particular, we introduce the notion of misaligned elites and misfitted practices in our analysis of how and why differences in the technical and cultural preferences of major owners will influence a firm’s adoption and (un)successful implementation of an SVO among the largest 100 corporations in the Netherlands from 1992-2006. We conclude with a discussion of the implications of our perspective and our findings for future research on corporate governance and the diffusion of organizational practices/ideas.

Controlling chaos? The value and the challenges of applying complexity theory to project management

The literature abounds with descriptions of failures in high-profile projects and a range of initiatives has been generated to enhance project management practice (e.g., Morris, 2006). Estimating from our own research, there are scores of other project failures that are unrecorded. Many of these failures can be explained using existing project management theory; poor risk management, inaccurate estimating, cultures of optimism dominating decision making, stakeholder mismanagement, inadequate timeframes, and so on. Nevertheless, in spite of extensive discussion and analysis of failures and attention to the presumed causes of failure, projects continue to fail in unexpected ways. In the 1990s, three U.S. state departments of motor vehicles (DMV) cancelled major projects due to time and cost overruns and inability to meet project goals (IT-Cortex, 2010). The California DMV failed to revitalize their drivers’ license and registration application process after spending $45 million. The Oregon DMV cancelled their five year, $50 million project to automate their manual, paper-based operation after three years when the estimates grew to $123 million; its duration stretched to eight years or more and the prototype was a complete failure. In 1997, the Washington state DMV cancelled their license application mitigation project because it would have been too big and obsolete by the time it was estimated to be finished. There are countless similar examples of projects that have been abandoned or that have not delivered the requirements.

Adding a receding horizon to Locally Weighted Regression for learning robot control

There have been notable advances in learning to control complex robotic systems using methods such as Locally Weighted Regression (LWR). In this paper we explore some potential limits of LWR for robotic applications, particularly investigating its application to systems with a long horizon of temporal dependence. We define the horizon of temporal dependence as the delay from a control input to a desired change in output. LWR alone cannot be used in a temporally dependent system to find meaningful control values from only the current state variables and output, as the relationship between the input and the current state is under-constrained. By introducing a receding horizon of the future output states of the system, we show that sufficient constraint is applied to learn good solutions through LWR. The new method, Receding Horizon Locally Weighted Regression (RH-LWR), is demonstrated through one-shot learning on a real Series Elastic Actuator controlling a pendulum.

Maximising the manufacturer performance value through lean initiatives using cost based model

Numerous tools and techniques have been developed to eliminate or reduce waste and carry out lean concepts in the manufacturing environment. However, appropriate lean tools need to be selected and implemented in order to fulfil the manufacturer needs within their budgetary constraints. As a result, it is important to identify manufacturer needs and implement only those tools, which contribute maximum benefit to their needs. In this research a mathematical model is proposed for maximising the perceived value of manufacturer needs and developed a step-by-step methodology to select best performance metrics along with appropriate lean strategies within the budgetary constraints. With the help of a case study, the proposed model and method have been demonstrated.

Multicast traffic filtering for sampled value process bus networks

Ethernet is a key component of the standards used for digital process buses in transmission substations, namely IEC 61850 and IEEE Std 1588-2008 (PTPv2). These standards use multicast Ethernet frames that can be processed by more than one device. This presents some significant engineering challenges when implementing a sampled value process bus due to the large amount of network traffic. A system of network traffic segregation using a combination of Virtual LAN (VLAN) and multicast address filtering using managed Ethernet switches is presented. This includes VLAN prioritisation of traffic classes such as the IEC 61850 protocols GOOSE, MMS and sampled values (SV), and other protocols like PTPv2. Multicast address filtering is used to limit SV/GOOSE traffic to defined subsets of subscribers. A method to map substation plant reference designations to multicast address ranges is proposed that enables engineers to determine the type of traffic and location of the source by inspecting the destination address. This method and the proposed filtering strategy simplifies future changes to the prioritisation of network traffic, and is applicable to both process bus and station bus applications.

A social marketing approach to value creation in a Well-Women’s health service

Understanding consumer value is imperative in health care as the receipt of value drives the demand for health care services. While there is increasing research into health-care that adopts an economic approach to value, this paper investigates a non-financial exchange context and uses an experiential approach to value, guided by a social marketing approach to behaviour change. An experiential approach is deemed more appropriate for government health-care services that are free and for preventative rather than treatment purposes. Thus instead of using an illness-paradigm to view health services outcomes, we adopt a wellness paradigm. Using qualitative data gathered during 25 depth interviews the authors demonstrate how social marketing thinking has guided the identification of six themes that represent four dimensions of value (functional, emotional, social and altruistic) evident during the health care consumption process of a free government service.

Aligning the drivers in the value chain - a new cane payment system for Mackay Sugar

For the 2005 season, Mackay Sugar and its growers agreed to implement a new cane payment system. The aim of the new system was to better align the business drivers between the mill and its growers and as a result improve business decision making. The technical basis of the new cane payment system included a fixed sharing of the revenue from sugar cane between the mill and growers. Further, the new system replaced the CCS formula with a new estimate of recoverable sugar (PRS) and introduced NIR for payment analyses. Significant mill and grower consultation processes led to the agreement to implement the new system in 2005 and this consultative approach has been reflected in two seasons of successful operation.

Use of precision time protocol to synchronize sampled value process buses

Transmission smart grids will use a digital platform for the automation of high voltage substations. The IEC 61850 series of standards, released in parts over the last ten years, provide a specification for substation communications networks and systems. These standards, along with IEEE Std 1588-2008 Precision Time Protocol version 2 (PTPv2) for precision timing, are recommended by the both IEC Smart Grid Strategy Group and the NIST Framework and Roadmap for Smart Grid Interoperability Standards for substation automation. IEC 61850, PTPv2 and Ethernet are three complementary protocol families that together define the future of sampled value digital process connections for smart substation automation. A time synchronisation system is required for a sampled value process bus, however the details are not defined in IEC 61850-9-2. PTPv2 provides the greatest accuracy of network based time transfer systems, with timing errors of less than 100 ns achievable. The suitability of PTPv2 to synchronise sampling in a digital process bus is evaluated, with preliminary results indicating that steady state performance of low cost clocks is an acceptable ±300 ns, but that corrections issued by grandmaster clocks can introduce significant transients. Extremely stable grandmaster oscillators are required to ensure any corrections are sufficiently small that time synchronising performance is not degraded.

Incremental entrepreneurship : best practice professionalization across generations

This chapter will introduce Australia’s Dennis family – a case of ‘incremental entrepreneurship’ in the business transition from the first to the second generation. Following the second generation’s formal involvement and ownership in the business, Dennis Family Corporation (DFC) undertook a major professionalization process to formalize the family business and ensure its continued success. The members of the second generation have successfully sustained the entrepreneurial spirit of their family business (albeit in a different style), adding value to the firm in an ‘incremental’ manner. Throughout the chapter there will be a strong emphasis on the family element of DFC and the roles that each family member has played. Bert Dennis, as the founder and incumbent leader of the firm, has witnessed major changes to the business he built from the ground up. His children, in particular his son Grant Dennis as the primary next generation issue champion, have seen the changes from another perspective – ensuring the business remains within the family into the second generation and beyond. The professionalization process was sparked by a commitment from the second generation to continue to ‘make a real go’ of the family business rather than simply liquidating and distributing the assets. The dedication of all the family members to this objective has ensured the success of this process, and ultimately, the longevity of the firm. Although DFC has become more ‘professional’, it has not lost its entrepreneurial character; rather, it has improved the ways in which entrepreneurialism is fostered and pursued in the company. In essence, this case outlines how the implementation of appropriate governance and management practices has allowed the Dennis family to overcome the challenges and maximize the opportunities associated with owning and operating a multigenerational family fi rm. From a theoretical perspective, this case uses the concepts of entrepreneurial orientation (EO) (Lumpkin and Dess 1996) and the resource- based view (RBV) (Habbershon and Williams 1999; Barney 1991; Wernerfelt 1984) to demonstrate how the fi rm has leveraged its familiness to foster an enduring spirit of entrepreneurship and to maintain a sustained competitive advantage.

Retrospective evaluation and prospective value-add : a review of R&D investment in Australia

This paper describes a lead project currently underway through Australia’s Sustainable Built Environment National Research Centre evaluating diffusion mechanisms and impacts of R&D investment in the Australian built environment. Through a retrospective analysis of R&D investment trends and industry outcomes, and a prospective assessment of industry futures using strategic foresighting, a future-focussed industry R&D roadmap and pursuant policy guidelines will be developed. This research aims to build new understandings and knowledge relevant to R&D funding strategies, research team formation and management, dissemination of outcomes and industry uptake. Each of these issues are critical due to: the disaggregated nature of the built environment industry; intense competition; limited R&D investment; and new challenges (e.g. IT, increased environmental expectations). This paper details the context within which this project is being undertaken and the research design. Findings of the retrospective analysis of past R&D investment in Australia will be presented at this conference.

Value management : an extension of quantity surveying services in Malaysia

Value Management (VM) initially started in early 1940s in the US manufacturing industry has increasingly becoming popular within the construction industry community internationally. It has been widely accepted as an important tool in the management of projects. The structured, systematic and multi-disciplinary approach in decision making process is a niche for VM in delivering better value for money project to the client investment. It would appear to be gaining some momentum as an essential management tool in the Malaysian construction sector especially in the quantity surveying practice. Quantity surveyors increasing involvement in VM provides an opportunity for the profession to re-model some of its traditional services in a more positive light and develop leading-edge skills and promote the profession. International practice has associated VM to be part of services offered in the quantity surveying practice; especially in UK has proven to be a natural progression of QS profession. The introduction of VM as early 1980’s in Malaysia combined with increasing demand for construction project to facilitate nation progress is shedding a positive light for quantity surveying profession to take lead in developing VM as one of their niche area. Therefore, the quantity surveying profession having the opportunity to take lead of this service which reflect their traditional attributes for providing the best value-for-money advise to the client. This paper shall discuss on the development of VM in Malaysia and the challenges VM face services in QS firm to remain ahead of their competitors.