Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

The Impact of Human Asset Specificity on the Sourcing of Application Services

The question concerning the circumstances under which it is advantageous for a company to outsource certain information systems functions has been a controversial issue for the last decade. While opponents emphasize the risks of outsourcing based on the loss of strategic potentials and increased transaction costs, proponents emphasize the strategic benefits of outsourcing and high potentials of cost-savings. This paper brings together both views by examining the conditions under which both the strategic potentials as well as savings in production and transaction costs of developing and maintaining software applications can better be achieved in-house as opposed to by an external vendor. We develop a theoretical framework from three complementary theories and test it empirically based on a mail survey of 139 German companies. The results show that insourcing is more cost efficient and advantageous in creating strategic benefits through IS if the provision of application services requires a high amount of firm specific human assets. These relationships, however, are partially moderated by differences in the trustworthiness and intrinsic motivation of internal versus external IS professionals. Moreover, capital shares with an external vendor can lower the risk of high transaction costs as well the risk of loosing the strategic opportunities of an IS.

A Question of Title: Property Rights and Asset Values

This paper examines the impact of land title systems on property values. The predominant system in the U.S., the recording system, awards title to claimants over current possessors, whereas the Torrens registration system awards title to the current owner. In theory, the registration system maximizes property value, all else equal, but in practice, the systems differ depending on the risk of a claim and administrative costs. A natural experiment in Cook County, Illinois, where both systems have existed since 1897, allows a test of the theory. The results, based on commercial and industrial properties, reveal that parcels tend to self-select into the two systems based on the predictions of the theory.

International Transfer Pricing for Goods and Intangible Asset Licenses in a Decentralized Multinational Corporation: Review and Extensions

We review and extend the core literature on international transfer price manipulation to avoid or evade taxes. Under negotiated transfer pricing with a viable bargaining structure, including performance evaluation disconnected from the transfer price, divisions voluntarily exchange accurate information to obtain firm-wide optimality, a result not dependent on restraint from exercising internal market power. For intangible licenses, a larger optimal profit shift for a given tax rate change strengthens incentives for transfer pricing abuse. In practice, an intangible's arm's length range is viewed as a guideline, a context where incentives for abuse materialize. Transfer pricing for intangibles obliges greater tax authority scrutiny.

Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

The asset/liability structure of the Philippine banks and non-bank financial institutions in 2000s : a preliminary study for financial access analyses

Based on the consolidated statements data of the universal/commercial banks (UKbank) and non-bank financial institutions with quasi-banking licenses, this paper presents a keen necessity of obtaining data in detail on both sides (assets and liabilities) of their financial conditions and further analyses. Those would bring more adequate assessments on the Philippine financial system, especially with regard to each financial subsector's financing/lending preferences and behavior. The paper also presents a possibility that the skewed locational and operational distribution exists in the non-UKbank financial subsectors. It suggests there may be a significant deviation from the authorities' (the BSP, SEC and others) intended/anticipated financial system in the banking/non-bank financial institutions' real operations.

Asset composition of the Philippines' universal and commercial banks : monetary policy or self-discipline?

The central bank of the Philippines (Bangko Sentral ng Pilipinas, BSP) has improved its monetary policy measures since the 2000s. After rationalizing the country's banking sector since late-1990s, its monetary policy and the uniiversal/commercial banks' (UCBs) behavior in allocating their assets has changed since mid-2000s. Though further and more detailed studies are nesessary, based on the results of simple correlation analyses conducted in this paper suggest a possible mixture of the country's monetary policy and their own decision-making in asset allocations, instead of a "follow-through" attitude.

A Process Asset Library to support Software Process Improvement in Small Settings

A main factor to the success of any organization process improvement effort is the Process Asset Library implementation that provides a central database accessible by anyone at the organization. This repository includes any process support materials to help process deployment. Those materials are composed of organization's standard software process, software process related documentation, descriptions of the software life cycles, guidelines, examples, templates, and any artefacts that the organization considers useful to help the process improvement. This paper describe the structure and contents of the Web-based Process Asset Library for Small businesses and small groups within large organizations. This library is structured using CMMI as reference model in order to implement those Process Areas described by this model.

An Integrated Approach to Strategic Asset Management

This paper focuses on identifying and analysing the elements of Strategic Management for infrastructure and engineering assets. These elements are contended to involve an understanding of governance, corporate policy, corporate objectives, corporate strategy and interagency collaboration and will in turn, allow the ability determine a broader and more comprehensive framework for engineering asset management, ie a ‘staged approach’ to understanding how assets are managed within organisations. While the assets themselves have often been the sole concern for good management practices, other social and contextual elements have come into the mix in order to promote strategic asset management. The development of an integrated approach to asset management is at the base of the research question. What are the considerations and implications for adopting and implementing an integrated strategic asset management (ISAM) framework? While operational matters have been given prominence, a subset of corporate governance, Asset Governance, details the policies and processes needed to acquire, utilise, maintain and account for an organisation’s assets. Asset governance stems from the organisation’s overarching corporate governance principles; as a result it defines the management context in which engineering asset management is implemented. This aspect will be examined to determine the appropriate relationship between organisational strategic management and strategic asset management to further the theoretical engagement with the maturity of strategy,policy and governance for infrastructure and engineered assets. Asset governance stems from the organisation’s overarching corporate governance principles; as a result it defines the management context in which engineering asset management is implemented. The research proceeds by a document analysis of corporate reports and policy recommendations in terms of infrastructure and engineered assets. The paper concludes that incorporating an integrated asset management framework can promote a more robust conceptualisation of public assets and how they combine to provide a comprehensive system of service outcomes.

People and Facility Management. The team: the main asset of any management

From the moment we enter a large office building until we leave it, we receive a lot of attentions served by the management of services to the user. However, it is usually quite inappreciable the work that is being developed to keep things running smoothly.The services provided in a building are carried out by people. However, we often tend to forget these people when we talk about the tasks that make that a building operates properly 24 hours a day, 365 days a year.But, for example, what would happen if one day the service provided by the reception in a large building did not function as it should? What would it be like if one day the person performing the service of maintenance of the building's cleaning were not at his post? How would the working day develop if there were not a correct air handling system?People are the foundation of the proper functioning of a building. The work of the Facilities Manager and the Facility Management is the management of their functions: the responsible management of the team.

People, management and social responsability. The team: the main asset of any management

People, management and social responsability. The team: the main asset of any management. En colaboración con Dña. Montserrat Castellanos Moreno. Profesora Asociada de la Universidad Europea. Journal of Management and Marketing. Thomson Reuters. Zilina. Slovakia

People and Facility Management. The team: The main asset of any management

From the moment we enter a large office building until we leave it, we receive a lot of attentions served by the management of services to the user. However, it is usually quite inappreciable the work that is being developed to keep things running smoothly. The services provided in a building are carried out by people. However, we often tend to forget these people when we talk about the tasks that make that a building operates properly 24 hours a day, 365 days a year. But, for example, what would happen if one day the service provided by the reception in a large building did not function as it should? What would it be like if one day the person performing the service of maintenance of the building's cleaning were not at his post? How would the working day develop if there were not a correct air handling system? People are the foundation of the proper functioning of a building. The work of the Facilities Manager and the Facility Management is the management of their functions: the responsible management of the team.

Impact assessment of an integrated approach for thermal power generation plants asset management in the current energy market

El sector energético, en España en particular, y de forma similar en los principales países de Europa, cuenta con una significativa sobrecapacidad de generación, debido al rápido y significativo crecimiento de las energías renovables en los últimos diez años y la reducción de la demanda energética, como consecuencia de la crisis económica. Esta situación ha hecho que las centrales térmicas de generación de electricidad, y en concreto los ciclos combinados de gas, operen con un factor de utilización extremadamente bajo, del orden del 10%. Además de la reducción de ingresos, esto supone para las plantas trabajar continuamente fuera del punto de diseño, provocando una significativa pérdida de rendimiento y mayores costes de explotación. En este escenario, cualquier contribución que ayude a mejorar la eficiencia y la condición de los equipos, es positivamente considerada. La gestión de activos está ganando relevancia como un proceso multidisciplinar e integrado, tal y como refleja la reciente publicación de las normas ISO 55000:2014. Como proceso global e integrado, la gestión de activos requiere el manejo de diversos procesos y grandes volúmenes de información, incluso en tiempo real. Para ello es necesario utilizar tecnologías de la información y aplicaciones de software. Esta tesis desarrolla un concepto integrado de gestión de activos (Integrated Plant Management – IPM) aplicado a centrales de ciclo combinado y una metodología para estimar el beneficio aportado por el mismo. Debido a las incertidumbres asociadas a la estimación del beneficio, se ha optado por un análisis probabilístico coste-beneficio. Así mismo, el análisis cuantitativo se ha completado con una validación cualitativa del beneficio aportado por las tecnologías incorporadas al concepto de gestión integrada de activos, mediante una entrevista realizada a expertos del sector de generación de energía. Los resultados del análisis coste-beneficio son positivos, incluso en el desfavorable escenario con un factor de utilización de sólo el 10% y muy prometedores para factores de utilización por encima del 30%. ABSTRACT The energy sector particularly in Spain, and in a similar way in Europe, has a significant overcapacity due to the big growth of the renewable energies in the last ten years, and it is seriously affected by the demand decrease due to the economic crisis. That situation has forced the thermal plants and in particular, the combined cycles to operate with extremely low annual average capacity factors, very close to 10%. Apart from the incomes reduction, working in out-of-design conditions, means getting a worse performance and higher costs than expected. In this scenario, anything that can be done to improve the efficiency and the equipment condition is positively received. Asset Management, as a multidisciplinary and integrated process, is gaining prominence, reflected in the recent publication of the ISO 55000 series in 2014. Dealing Asset Management as a global, integrated process needs to manage several processes and significant volumes of information, also in real time, that requires information technologies and software applications to support it. This thesis proposes an integrated asset management concept (Integrated Plant Management-IPM) applied to combined cycle power plants and develops a methodology to assess the benefit that it can provide. Due to the difficulties in getting deterministic benefit estimation, a statistical approach has been adopted for the cot-benefit analysis. As well, the quantitative analysis has been completed with a qualitative validation of the technologies included in the IPM and their contribution to key power plant challenges by power generation sector experts. The cost- benefit analysis provides positive results even in the negative scenario of annual average capacity factor close to 10% and is promising for capacity factors over 30%.

El Prado, de territorio a escenario : la construcción del espacio en un lugar tangible y su significado

"Si el hombre es el cuidador de las palabras y sólo de ellas emerge el sentido de las cosas, la arquitectura tiene un cometido preciso: hacer de las condiciones ya dadas de cada lugar palabras que signifiquen las cualidades de la existencia, y que desvelen la riqueza y contenidos que en ellas se contienen potencialmente" Ignasi Solá Morales. Lugar: permanencia o producción, 1992. Esta tesis surge tanto del afán por comprender la identidad de uno de los espacios más representativos de mi ciudad, asumido familiarmente pero que plantea muchas dudas respecto a su caracterización, como de la preocupación personal respecto a la aparente hegemonía del modelo urbano de la "ciudad genérica", crudamente expuesto por Rem Koolhaas a finales del siglo XX, que pone en crisis la ciudad histórica. El territorio, espacio físico concreto, y la memoria asociada a este, obliterados, son considerados como punto de partida para confrontarlos con la proclamación del nuevo modelo de "ciudad genérica", de raíz eminentemente económica y tecnológica. La realidad tangible de un espacio, aparentemente forjado en base a los valores denostados por el nuevo modelo propuesto, se estudia desde las premisas opuestas. La idea del no-lugar, teorizado por Marc Augé y tomado como modelo por Koolhaas, supone éste emancipado tanto de las preexistencias históricas como de su ubicación física concreta, planteando un tipo de espacio de representación al margen del territorio y la memoria. Sin pretender adoptar una postura resistente u opuesta, sino antitética y complementaria, se toman aquí las premisas de Koolhaas para contrastarlas con una porción del territorio a medio camino entre la arquitectura y la ciudad, a fin de desarrollar una reflexión que sirva de complemento y contrapeso al paradigma espacial que la “ciudad genérica” implica y cuya inmediatez y supuesta anomia parecen anular cualquier intención interpretativa al neutralizar los centros históricos y proclamar el agotamiento de la historia. El planteamiento de una teoría dicotómica frente al espacio y las teorías arquitectónicas asociadas a este ya fue formulado por Colin Rowe y Fred Koetter a finales de los años setenta del siglo pasado. Se plantea aquí la idea de una “ciudad tangible” como opuesta a la idea de la "ciudad genérica" enunciada por Koolhaas. Tomando el territorio y la memoria como referencia principal en un lugar concreto y huyendo de la premisa de la inmediatez del instante y el "presente perpetuo" proclamado por Koolhaas, del que según él seríamos prisioneros, se establece una distancia respecto al objeto de análisis que desarrolla el estudio en la dirección opuesta al supuesto origen del mismo, planteando la posibilidad de reactivar una reflexión en torno al territorio y la memoria en el seno del proceso global de habitación para poner de manifiesto determinados mecanismos de configuración de un espacio de representación al margen de la urgencia del presente, reactivando la memoria y su relación con el territorio como punto de partida. Desde de la reconstrucción hipotética del territorio, partiendo de la propia presencia física del mismo, su orografía, la paleo-biología, las analogías etológicas, los restos arqueológicos, la antropología o la historia, se reivindica la reflexión arquitectónica como disciplina diversa y privilegiada en cuanto al análisis espacial, tratando de discernir el proceso mediante el cual el Prado pasó de territorio a escenario. La organización cronológica del estudio y la incorporación de muy diversas fuentes, en su mayoría directas, pretende poner de manifiesto la condición transitiva del espacio de representación y contrastar el pasado remoto del lugar y su construcción con el momento actual, inevitablemente encarnado por el punto de vista desde el cual se desarrolla la tesis. El Prado parece albergar, agazapado en su nombre, la raíz de un origen remoto y olvidado. Si como enunciaba Ignasi Solá-Morales la función de la arquitectura es hacer aflorar los significados inherentes al lugar, esta tesis se plantea como una recuperación de la idea del vínculo entre el territorio y la memoria como fuente fundamental en la definición de un espacio de representación específico. El escrutinio del pasado constituye un acto eminentemente contemporáneo, pues el punto de vista y la distancia, inevitablemente condicionados por el presente, determinan la mirada. El culto contemporáneo a la inmediatez y la proclamación de la superación de los procesos históricos han relegado el pasado, en cierto grado, a depósito de restos o referente a superar, obviando su ineluctable condición de origen o momento anterior condicionante. Partiendo de la reconstrucción del lugar sobre el cual se halla el Prado ubicado y reconsiderando, según las premisas desarrolladas por la moderna historiografía, fundamentalmente desarrolladas por la Escuela francesa de los Annales, la cotidianeidad y lo anónimo como fuente de la que dimanan muchos de los actuales significados de nuestros espacios de representación, tomando como punto de partida un lugar remoto y olvidado, se estudia como se fue consolidando el Prado hasta devenir un lugar insigne de referencia asociado a los poderes fácticos y el espacio áulico de la capital de las Españas en el siglo XVII. El proceso mediante el cual el Prado pasó de territorio a escenario implica la recuperación de la memoria de un espacio agropecuario anónimo y el análisis de cómo, poco a poco, se fue depositando sobre el mismo el acervo de los diversos pobladores de la región que con sus particularidades culturales y sociales fueron condicionando, en mayor o menor grado, un lugar cuyo origen se extiende retrospectivamente hasta hace más de dos mil años, cuando se considera que pudo darse la primera habitación a partir de la cual, de manera ininterrumpida, el Prado ha venido siendo parte de lo que devino, más tarde, Madrid. La llegada de nuevos agentes, vinculados con estructuras de poder y territoriales que trascendían la inmediatez del territorio sobre el que se comenzó a erigir dicho lugar, sirven para repasar los diferentes depósitos ideológicos y culturales que han ido conformando el mismo, reivindicando la diversidad y lo heterogéneo del espacio de representación frente a la idea homogeneizadora que el modelo genérico implica. La constitución del Prado como un espacio de referencia asociado al paganismo arcaico a partir de la praxis espacial cotidiana, su relación con las estructuras defensivas de Al-Andalus y la atalaya Omeya, la apropiación del los primitivos santuarios por parte la iglesia, su relación con un determinado tipo de espiritualidad y las órdenes religiosas más poderosas de la época, la preferencia de Carlos V por Madrid y sus vínculos con la cultura europea del momento, o la definitiva metamorfosis del lugar a partir del siglo XVI y el advenimiento de un nuevo paganismo emblemático y estetizado, culminan con el advenimiento de lo económico como representación del poder en el seno de la corte y la erección del Palacio del Buen Retiro como manifestación tangible de la definitiva exaltación del Prado a espacio de representación áulico. Decía T.S. Elliot que la pugna por el espacio de la memoria constituye el principal rasgo del clasicismo, y el Prado, ciertamente, participa de ese carácter al que está profundamente asociado en la conciencia espacial de los madrileños como lugar de referencia. Acaso la obliteración del territorio y la memoria, propuestas en la “ciudad genérica” también tengan algo que ver con ello. ABSTRACT "If man is the caretaker of words and only they provide the sense of things, the architecture has a precise mission: to make out from the given conditions of each place words that mean the qualities of existence, and which unveil the wealth and content they potentially contain " Ignasi Solá Morales. Place: permanence or production, 1992. This thesis arises from both the desire to understand the identity of one of the most representative spaces of my city, assumed in a familiar way but that raises many doubts about its characterization, and from a personal concern about the apparent hegemony of the urban model of the "generic city " so crudely exposed by Rem Koolhaas in the late twentieth century that puts a strain on the historic city. The obliteration of the territory, specific physical space, and its associated memory, are considered as a starting point to confront them with the proclamation of the new model of "generic city" raised from eminently economic and technological roots. The tangible reality of a space, apparently forged based on the values reviled by the proposed new model, is studied from opposite premises. The idea of non-place, theorized by Marc Augé and modeled by Koolhaas, implies the emancipation from both historical preexistences and physical location, posing a type of space representation outside the territory and memory. Without wishing to establish a confrontational or opposite position, but an antithetical and complementary stance, the premises of Koolhaas are here taken to contrast them with a portion of territory halfway between architecture and the city, to develop a study that will complement and counterbalance the spatial paradigm that the "generic city" means and whose alleged immediacy and anomie appear to nullify any interpretative intention by neutralizing the historic centers and proclaiming the exhaustion of history. The approach of a dichotomous theory versus space and architectural theories associated with this were already formulated by Colin Rowe and Fred Koetter during the late seventies of last century. The idea of a "tangible city" as opposed to the idea of the "generic city" enunciated by Koolhaas arises here. Taking the territory and memory as the main reference in a particular place and trying to avoid the premise of the immediacy of the moment and the "perpetual present" proclaimed by Koolhaas, of which he pleas we would be prisoners, a distance is established from the object of analysis developing the study in the opposite direction to the alleged origin of it, raising the possibility of reactivating a reflection on the territory and memory within the overall process of inhabiting to reveal certain representational space configuration mechanisms outside the urgency of the present, reviving the memory and its relationship with the territory as a starting point. From the hypothetical reconstruction of the territory, starting from its physical presence, geography, paleo-biology, ethological analogies, archaeological remains, anthropology or history, architecture is claimed as a diverse as privileged discipline for spatial analysis, trying to discern the process by which the Prado moved from territory to stage. The chronological organization of the study and incorporating a variety of sources, most direct, aims to highlight the transitive condition of representational space and contrast the remote past of the place and its construction with the current moment, inevitably played by the view point from which the thesis develops. The Prado seems to harbor, in its name, the root of a remote and forgotten origin. If, as Ignasi Sola-Morales said, the aim of architecture is to bring out the meanings inherent in the site, this thesis is presented as a recovery of the idea of the link between the territory and memory as a key source in defining a specific space of representation. The scrutiny of the past is an eminently contemporary act, for the view and distance inevitably conditioned by the present, determine the way we look. The contemporary cult of immediacy and the proclamation of overcoming historical processes have relegated the past, to some extent, to remains deposit or a reference to overcome, ignoring its ineluctable condition as origin or previous constraint. From rebuilding the site on which the Prado is located and reconsidering everyday life and the anonymous as a source of many arising current meanings of our space of representation, according to the premises developed by modern historiography mainly developed by the French school of Annales, trying to recover the remote and forgotten is attempted, the thesis studies how el Prado was consolidated to become the most significant place of Madrid, deeply associated with the power in the capital of Spain during the XVII century. The process by which the Prado evolved from territory to stage involves the recovery of the memory of an anonymous agricultural space and the analysis of how, little by little, the influence of the various inhabitants of the region with their own and how their cultural and social peculiarities was deposited through time on the common ground and how that determined, to a greater or lesser degree, a place whose origin retrospectively extends over more than two thousand years ago, when we can consider the first inhabiting from which, without interruption, the Prado has come to be part of what became, later, Madrid. The arrival of new players, linked to power structures and territorial issues which transcended the immediacy of the territory on which the place begun to be a characteristic space, serve to review the different ideological and cultural deposits that have shaped the place, claiming diversity and heterogeneous space of representation before the homogenizing idea which the generic model implies. The constitution of the Prado as a benchmark associated with the archaic paganism developed from the ancient everyday spatial praxis, its relationship with the defensive structures of Al-Andalus and the Umayyad watchtower, the appropriation of the early sanctuaries by the roman church, its relationship with a certain type of spirituality and the most powerful religious orders of the time, the preference of Carlos V towards Madrid and its links with the European culture of the moment and the final metamorphosis of the place during the sixteenth century, end at the moment on which the advent of the economic as a representation of power within the court and the erection of the Palacio del Buen Retiro, as a tangible manifestation of the ultimate exaltation of courtly Prado space representation, happened in the mid XVII century. T. S. Elliot said that the struggle for memory space is the main feature of classicism, and the Prado certainly shares part of that character deeply associated in the mental spatial structure of the locals as a landmark. Perhaps the obliteration of territory and memory proposed in the "generic city" might also have something to do with that.

The Asset Quality Review and Capital Needs: Why re-capitalise banks with public money? CEPS Policy Brief No. 311, 19 December 2013

It is generally assumed that any capital needs discovered by the Asset Quality Review the ECB is scheduled to finish by the end of 2014 should be filled by public funding (= fiscal backstop). This assumption is wrong, however. Banks that do not have enough capital should be asked to obtain it from the market; or be restructured using the procedures and rules recently agreed. The Directorate-General for Competition at the European Commission should be particularly vigilant to ensure that no further state aid flows to an already oversized European banking system. The case for a public backstop was strong when the entire euro area banking system was under stress, but this is no longer the case. Banks with a viable business model can find capital; those without should be closed because any public-sector re-capitalisation would likely mean throwing good money after bad.