Showing 1 - 6 of 6
(VF)L'objet de cette recherche est de tenter d’expliquer les systèmes de décision et de contrôle lors des projets d’investissement. Pour cela, cette recherche met en évidence le rôle de l'architecture organisationnelle (répartition des droits sur la gestion de décision et sur le...
Persistent link: https://www.econbiz.de/10004991533
(VF)Plusieurs théoriciens et praticiens montrent que l’évaluation semble jouer un rôle relativement secondaire dans le processus d’investissement dans la mesure où elle intervient à titre de contrôle ex ante lors d'une phase de ratification. De ce fait, si on admet que l'efficience de...
Persistent link: https://www.econbiz.de/10004991534
Within the theoretical framework of organizational architecture, this paper attempts to explain the decentralization of investment decision. To do so, it highlights the role of the allocation of decision rights and control as a factor explaining the effectiveness of investment management. Thus,...
Persistent link: https://www.econbiz.de/10010674653
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10005857739
We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...
Persistent link: https://www.econbiz.de/10005858362
We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...
Persistent link: https://www.econbiz.de/10005858903