An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system.

Linking energy and maintenance management for sustainability through three American case studies

Purpose – The purpose of this paper is to present the findings and lessons learned from three case studies conducted for facilities located in California, North America. The findings aim to focus on energy and maintenance management practices and the interdependent link between energy and maintenance. Design/methodology/approach – The research is based on a positivist epistemological philosophical approach informed by action research. The research cycle was completed for each case study. A case study report was provided to each facility management team to foster collaboration with the researcher and to document case study process and results. Findings – Composite findings of the case studies include: there is an interdependent link between energy and maintenance management; reactive maintenance and energy management methods are commonly used; and more proactively operated and managed buildings require the interdependent link between energy maintenance management to be better understood. Research limitations/implications – The three case studies were located in California. Although the case study results can be generalized, determination of how to generalize and apply the results to commercial buildings outside of the USA is beyond the scope of this paper. Practical implications – Detailed discussion of the needs of the three facility management teams are discussed by identifying a current challenge, developing a solution and documenting lessons learned using the research cycle. Originality/value – The paper seeks to demonstrate the interdependencies of energy and maintenance management, two topics which are often researched interdependently. Additionally, the paper provides insight about maintenance management, a topic often cited as being under researched.

A typology of internet users based on comparative affective states: evidence from eight countries

Purpose - The role of affective states in consumer behaviour is well established. However, no study to date has empirically examined online affective states as a basis for constructing typologies of internet users and for assessing the invariance of clusters across national cultures. Design/methodology/approach - Four focus groups with internet users were carried out to adapt a set of affective states identified from the literature to the online environment. An online survey was then designed to collect data from internet users in four Western and four East Asian countries. Findings - Based on a cluster analysis, six cross-national market segments are identified and labelled "Positive Online Affectivists", "Offline Affectivists", "On/Off-line Negative Affectivists", "Online Affectivists", "Indistinguishable Affectivists", and "Negative Offline Affectivists". The resulting clusters discriminate on the basis of national culture, gender, working status and perceptions towards online brands. Practical implications - Marketers may use this typology to segment internet users in order to predict their perceptions towards online brands. Also, a standardised approach to e-marketing is not recommended on the basis of affective state-based segmentation. Originality/value - This is the first study proposing affective state-based typologies of internet users using comparable samples from four Western and four East Asian countries.

Consumer perceptions of poultry meat: a qualitative analysis

Consumer studies of meat have tended to use quantitative methodologies providing a wealth of statistically malleable information, but little in-depth insight into consumer perceptions of meat. The aim of the present study was therefore, to understand factors perceived important in the selection of chicken meat, using qualitative methodology. Focus group discussions were tape recorded, transcribed verbatim and content analysed for major themes. Themes arising implied that “appearance” and “convenience” were the most important determinants of choice of chicken meat and these factors appeared to be associated with perceptions of freshness, healthiness, product versatility and concepts of value. A descriptive model has been developed to illustrate the interrelationship between factors affecting chicken meat choice. This study indicates that those involved in the production and retailing of chicken products should concentrate upon product appearance and convenience as market drivers for their products.