Second-Order Statistics of κ−µ Shadowed Fading Channels

In this paper, novel closed-form expressions for the level crossing rate and average fade duration of κ − μ shadowed fading channels are derived. The new equations provide the capability of modeling the correlation between the time derivative of the shadowed dominant and multipath components of the κ − μ shadowed fading envelope. Verification of the new equations is performed by reduction to a number of known special cases. It is shown that as the shadowing of the resultant dominant component decreases, the signal crosses lower threshold levels at a reduced rate. Furthermore, the impact of increasing correlation between the slope of the shadowed dominant and multipath components similarly acts to reduce crossings at lower signal levels. The new expressions for the second-order statistics are also compared with field measurements obtained for cellular device-to-device and body-centric communication channels, which are known to be susceptible to shadowed fading.

The Valuation Implications of Enterprise Risk Management Maturity

Enterprise Risk Management (ERM) is the discipline by which enterprises monitor, analyze, and control risks from across the enterprise, with the goal of identifying underlying correlations and thus optimizing the risk-taking behavior in a portfolio context. This study analyzes the valuation implications of ERM Maturity. We use data from the industry leading Risk and Insurance Management Society Risk Maturity Model over the period from 2006 to 2011, which scores firms on a five-point maturity scale. Our results suggest that firms that have reached mature levels of ERM are exhibiting a higher firm value, as measured by Tobin's Q. We find a statistically significant positive relation to the magnitude of 25 percent. Upon decomposition of the maturity score, we find that the most important aspects of ERM from a valuation perspective relate to the level of top–down executive engagement and the resultant cascade of ERM culture throughout the firm. Firms that have successfully integrated the ERM process into both their strategic activities and everyday practices display superior ability in uncovering risk dependencies and correlations across the entire enterprise and as a consequence enhanced value when undertaking the ERM maturity journey ceteris paribus.