Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

A cross-linguistic comparison of address pronoun use in four European languages: Intralingual and interlingual dimensions

As part of a major ongoing project, we consider and compare contemporary patterns of address pronoun use in four major European languages- French, German, Italian and Swedish. We are specifically interested in two major aspects: intralingual behaviour, that is, within the same language community, and interlingual dimensions of address pronoun use. With respect to the former, we summarize our key findings to date. We then give consideration in a more preliminary fashion to issues and evidence relevant to the latter.

Diagnosis of Organizational Soft Problems in a Peruvian Financial Institution by Systemic Thinking

Managing financial institutions in an underdeveloped economic context has become a real challenge nowadays. In order to reach the organization`s planned goals, they have to deal with structural, behavioral and informational problems. From the systemic point of view, this situation gets even worse when the company does not present organizational boundaries and a cohesive identification for their stakeholders. Thus, European countries have some special financial lines in order to help the development of micro credit in Latin communities in an attempt to help the local economy. However, institutions like Caixa dos Andes in Peru present management problems when dealing with this complexity. Based on this, how can the systemic eye help in the diagnosis of soft problems of a Peruvian financial company? This study aims to diagnose soft problems of a Peruvian financial company based on soft variables like identity, communication and autonomy and also intends to identify possible ways to redesign its basic framework. The (VSM--Viable System Model) method from Beer (1967), applied in this diagnostic study, was used in a practical way as a management tool for organizations` analysis and planning. By describing the VSM`s five systems, the creation of a systemic vision or a total vision is possible, showing the organization`s complexity from the inside. Some company`s soft problems like double control, inefficient use of physical and human resources, low information flows, slowness, etc. The VSM presented an organizational diagnosis indicating effective solutions that do integrate its five systems.

Influence of decortication of the recipient graft bed on graft integration and tissue neoformation in the graft-recipient bed interface

The objective of the present study was to assess the influence of decortication of the posterior elements of the vertebra (recipient bed) and the nature of the bone graft (cortical or cancellous bone) on graft integration and bone, cartilage and fiber neoformation in the interface between the vertebral recipient bed and the bone graft. Seventy-two male Wistar rats were divided into four experimental groups according to the presence or absence of decortication of the posterior vertebral elements and the use of a cortical or cancellous bone graft. Group I-the posterior elements were decorticated and cancellous bone used. Group II-the posterior elements were decorticated and cortical graft was used. Group III-the posterior elements were not decorticated and cancellous graft was used. Group IV-the posterior elements were not decorticated and cortical graft was used. The animals were killed 3, 6 and 9 weeks after surgery and the interface between the posterior elements and the bone graft was subjected to histomorphometric evaluation. Mean percent neoformed bone was 40.8% in group I (decortication and cancellous graft), 39.13% in group II (decortication and cortical graft), 6.13% in group III (non-decorticated and cancellous graft), and 9.27% in group IV (non-decorticated and cortical graft) for animals killed at 3 weeks (P = 0.0005). For animals killed at 6 weeks, the mean percent was 38.53% for group I, 40.40% for group II, 10.27% for group III, and 7.6% for group IV (P = 0.0005), and for animals killed at 9 weeks, the mean was 25.93% for group I, 30.6% for group II, 16.4% for group III, and 18.73% for group IV (P = 0.0026). The mean percent neoformed cartilage tissue was 8.36% for group I, 7.46% for group II, 11.1% for group III, and 9.13% for group IV for the animals killed at 3 weeks (P = 0.6544); 6.6% for group I, 8.07% for group, 7.47% for group III and 6.13% for group IV (P = 0.4889) for animals killed at 6 weeks, and 3.13% for group I, 4.06% for group II, 10.53% for group III and 12.07% for group IV (P = 0.0006) for animals killed at 9 weeks. Mean percent neoformed fibrous tissue was 11% for group I, 6.13% for group II, 26.27% for group III and 21.87% for group IV for animals killed at 3 weeks (P = 0.0008); 7.67% for group I, 7.1% for group II, 9.8% for group III and 10.4% for group IV (P = 0.7880) for animals killed at 6 weeks, and 3.73% for group I, 4.4% for group II, 6.67% for group III and 6.8% for group IV (P = 0.0214) for animals killed at 9 weeks. The statistically significant differences in percent tissue formation were related to decortication of the posterior elements. The use of a cortical or cancellous graft did not influence tissue neoformation. Ossification in the interface of the recipient graft bed was of the intramembranous type in the decorticated animals and endochondral type in the non-decorticated animals.

Multi-level governance and social cohesion in the European Union: the assessment of local agents, a study case inside Galicia

Implementing multi-level governance has been a key priority in EU cohesion policy. This study assesses the perceived achievements and shortcomings in implementing European Social Fund by analyzing the deficits and weaknesses as well as the poor participation of local agents who are in direct contact with the beneficiaries in order to design and implement this fund, which is the main financial instrument of EU social policy.

EU Commission participation in the Troika mission: is there a European Union price to pay?

The article is intended to debate two questions regarding the involvement of the Commission in the Troika's action: firstly, considering the nature of financial assistance programs, it aims to discuss the effect of the Commission's participation in Troika negotiations on the balance of power of the EU institutions; and secondly, the article raises the issue of the Commission's liability for the results achieved by the financial assistance program, taking into account the extent of the conditions imposed, as well as the intensity of scrutiny by the Troika.

Reshaping European Union development policy: collective choices and the new global order

Abstract The European Union (EU) is one of the world´s leading donors in official development assistance (ODA) to give a strong weight in the relationship with recipient partner countries, in particular with those that are more dependent on it. Besides the material weight of its funding, the EU has retained historical ties and influence in diplomatic, political and economic terms in many of its ODA recipient partner countries (particular in Sub-Saharan Africa). Since the 2000s, the EU development policy has not only undergone major structural changes in its institutional framework but also has started to face a new international aid scenario. This paper explores why a normative-based EU development policy is being challenged by reformed EU institutions and a new global order, and how the EU is attempting to respond to this context in face of the deepest recession since the end of the Second World War.

The impact of size and age of the company on assessing financial risk

Textiles and tourism sectors are two important sectors in Portuguese economy. Its high exposure to both internal and international economy volatility transform the companies operating in these economic sectors especially vulnerable to recent economic crises in Portugal and European Union. The objective of this paper is to evaluate and understand the impact of size and age on the financial health of textile and tourism companies, measured by economic indices. An empirical based model is proposed. Its implications are derived and tested on a sample of 4061 Portuguese companies from textile and tourism sector, during the period 2005-2009. The results conclude that age has a stronger impact on the risk of failure than size. Whereas the effect of age is generally positive regarding the financial health of the company, the effect of size is less clear and depends on the age of the company.

Performance of european socially responsible funds during market crises: evidence from France

This paper investigates the performance, investment styles andmanagerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperformcharacteristics-matched conventional funds during non-crisis periods, but match the performance of their peers duringmarket downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens, since funds that use only positive screens performsimilarly to conventional funds across differentmarket conditions. SRI and conventional funds showsignificant differences in risk exposures during non-crisis periods but exhibit much more similar investment styles during crises. Furthermore,we find little evidence of significant differences inmanagerial abilities during bad economic states. Yet, during non-crisis periods, SRI and conventional fund managers exhibit significantly different style-timing abilities and these differences are also related to screening strategies.

Financial Risk Analysis of Portuguese Textile and Tourism Companies

Textile and tourism sectors are two important industries in the Portuguese economy. However, its high exposure to both internal and international economic volatility make the companies operating in these economic sectors particularly vulnerable to economic crises, such as the ones which have been impacting Portugal and the European Union. The objective of this paper is to evaluate and understand the impact of size and age on the financial health of textile and tourism companies, measured by economic indices. An empirical based model is proposed. Its implications are derived and tested on a sample of 4061 Portuguese companies from textile and tourism sectors, during the period 2005-2009. The findings suggest that age has a major impact on the risk of failure, rather than size. Whereas the effect of age is generally positive regarding the financial health of the company, the effect of size is less clear and ultimately depends on the age of the company.

Financial Risk Analysis of Portuguese Textile and Tourism Companies

Textile and tourism sectors are two important industries in the Portuguese economy. However, its high exposure to both internal and international economic volatility make the companies operating in these economic sectors particularly vulnerable to economic crises, such as the ones which have been impacting Portugal and the European Union. The objective of this paper is to evaluate and understand the impact of size and age on the financial health of textile and tourism companies, measured by economic indices. An empirical based model is proposed. Its implications are derived and tested on a sample of 4061 Portuguese companies from textile and tourism sectors, during the period 2005-2009. The findings suggest that age has a major impact on the risk of failure, rather than size. Whereas the effect of age is generally positive regarding the financial health of the company, the effect of size is less clear and ultimately depends on the age of the company.

The impact of size and age of the company on assessing financial risk.

Textiles and tourism sectors are two important sectors in Portuguese economy. Its high exposure to both internal and international economy volatility transform the companies operating in these economic sectors especially vulnerable to recent economic crises in Portugal and European Union. The objective of this paper is to evaluate and understand the impact of size and age on the financial health of textile and tourism companies, measured by economic indices. An empirical based model is proposed. Its implications are derived and tested on a sample of 4061 Portuguese companies from textile and tourism sector, during the period 2005-2009. The results conclude that age has a stronger impact on the risk of failure than size. Whereas the effect of age is generally positive regarding the financial health of the company, the effect of size is less clear and depends on the age of the company.

CROSS-COUNTRY STUDY ON THE DETERMINANTS OF BANK FINANCIAL DISTRESS

ABSTRACTBank failures affect owners, employees, and customers, possibly causing large-scale economic distress. Thus, banks must evaluate operational risks and develop early warning systems. This study investigates bank failures in the Organization for Economic Co-operation and Development, the North America Free Trade Area (NAFTA), the Association of Southeast Asian Nations, the European Union, newly industrialized countries, the G20, and the G8. We use financial ratios to analyze and explore the appropriateness of prediction models. Results show that capital ratios, interest income compared to interest expenses, non-interest income compared to non-interest expenses, return on equity, and provisions for loan losses have significantly negative correlations with bank failure. However, loan ratios, non-performing loans, and fixed assets all have significantly positive correlations with bank failure. In addition, the accuracy of the logistic model for banks from NAFTA countries provides the best prediction accuracy regarding bank failure.

The role of European "ro-ro" port terminals in the automotive supply chain management

The aim of this paper is concerned with the design and development of a functional framework for maritime mode integration in European automotive supply chain management when considering outbound distribution. Furthermore, it provides a readjustment of traditional concepts and terminology with findings that the role of ro-ro port terminals should be considered as decoupling points, poles and postponement platforms. Case studies examine relevant Western European ro-ro port terminals for cars and respective links to assembly/factories of vehicles localized in the hinterland and concludes that ro-ro port terminals reduce logistical friction and impedance, as well as promote space/time compression.

Do economic and financial firm's situation affect the quality if financial reports?

We investigate whether firms’ economic and financial situation influence the Quality of their Financial Reports (FRQ). FRQ is fundamental for investors and it affects the international capital movements [Bradshaw et al. (2004)] and Gelos and Wei (2005)]. Following Schipper and Vicent (2003) we use two issues to access earnings quality: abnormal accruals and earnings persistence. For seventeen European countries, we find evidence that the economic performance affects FRQ. Big firms and those with high current earnings exhibit better financial information. These results are robust since they don’t depend on FRQ proxy and we have the same evidence when we estimate regression with economical and financial factors separately or together. About financial situation, it seems not to affect FRQ. However, in high leveraged firms, the capital structure becomes determinant.