In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

Recent research has highlighted the importance of trust in building and maintaining business relationships. This research addresses these findings and utilizes Macneil’s norm theory to develop a model illu strating the mediating role of trust in buyer-seller relationships and compare it to the...

Based on 102 online surveys accounting for more than 3 million interviews, we show that websites are powerful purchase intent and brand builders and represent a strong opportunity to enhance customer relationships through “conversation” with the brand's best customers.

Comment choisir et instaurer une relation ? Comment adapter l'organisation pour mettre en oeuvre la stratégie retenue ? Comment analyser les nombreuses données client collectées pour prendre les meilleures décisions ? Quels outils utiliser pour soutenir la stratégie relationnelle ? Gestion...

Présentation des techniques marketing utilisées pour mieux identifier, cibler et fidéliser ses clients, et les outils disponibles sur le marché : outils de datawarehouse et de datamining, de gestion des campagnes marketing. Cette nouvelle édition intègre les réseaux sociaux, les sites...

A transdisciplinary literature review enabled us to identify a new construct in the marketing research field, i.e. Customer-Company Identification. It is defined as the process whereby customer’s beliefs about a company become self-defining and whereby he defines himself by the same attributes...

Positive outcomes of loyalty programs are clear for firms, yet little research examines customer perceptions. To address this gap, this article investigates various perceived benefits of loyalty programs using a multi-benefit framework based on utilitarian, hedonic, and relationship literature....