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Risk aggregation, dependence structure and diversification benefit

Bürgi, Roland; Dacorogna, Michel M; Iles, Roger - Volkswirtschaftliche Fakultät, … - 2008

aggregating the various risks that compose it. This can only be done through modelling of their dependence. It is a well known …, in times of crisis the dependence between risks increases. Experience has shown that very large loss events almost always … methods of modelling dependence and their influence on diversification benefits. We show that the latter strongly depend on …

Persistent link: https://www.econbiz.de/10009246890

Estimating the risk-adjusted capital is an affair in the tails

Canestraro, Davide; Dacorogna, Michel - Volkswirtschaftliche Fakultät, … - 2010

support their business. The RAC depends on both the distribution and the dependence functions that are applied among the risks … shortfall. We highlight the behavior of different capital allocation principles according to the dependence assumptions and the …

Persistent link: https://www.econbiz.de/10009246898

Relazioni di canale e strategie di acquisto delle imprese commerciali. Potere e stabilità nella grande distribuzione britannica

Musso, Fabio - Volkswirtschaftliche Fakultät, … - 1999

This work highlights the ways in which relationships between large retailers and suppliers develop themselves dependinf on of various types of suppliers. Suppliers diffrentiate among each other on the basis of size, the competitive structure of the market to which they belong. The case of...

Persistent link: https://www.econbiz.de/10011107775

Decoupling: Myth or Reality?

Bernhardt, Thomas - Volkswirtschaftliche Fakultät, … - 2010

When, in the mid-2000s, large parts of the global South experienced an impressive economic boom, the idea that a number of emerging market economies were “decoupling” from the industrialized economies in the North gained considerable prominence. The financial and economic crisis that...

Persistent link: https://www.econbiz.de/10011108190

Potere e stabilità nei rapporti di fornitura della grande distribuzione britannica

Musso, Fabio - Volkswirtschaftliche Fakultät, … - 1996

A partire dalla metà degli anni sessanta si è verificato in tutte le economie occidentali un graduale cambiamento nella composizione e nel funzionamento dei canali di distribuzione dei beni di consumo. L'evoluzione si è manifestata attraverso una maggiore concentrazione orizzontale in tutti i...

Persistent link: https://www.econbiz.de/10011111432

The “wrong skewness” problem: a re-specification of Stochastic Frontiers.

Bonanno, Graziella; De Giovanni, Domenico; Domma, Filippo - Volkswirtschaftliche Fakultät, … - 2015

and flexible specification of the SF model, introducing dependence between the two error components and asymmetry …) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …

Persistent link: https://www.econbiz.de/10011240205

Smart Cities and a Stochastic Frontier Analysis: A Comparison among European Cities

Mundula, Luigi; Auci, Sabrina - Volkswirtschaftliche Fakultät, … - 2013

The level of interest in smart cities is growing, and the recent literature on this topic (Holland, 2008; Caragliu et al., 2009, Nijkamp et al., 2011 and Lombardi et al., 2012) identifies a number of factors that characterise a city as smart, such as economic development, environment, human capital,...

Persistent link: https://www.econbiz.de/10011260505

(In)Efficiency of Matching - The Case of A Post-transition Economy

Jeruzalski, Tomasz; Tyrowicz, Joanna - Volkswirtschaftliche Fakultät, … - 2009

This paper approaches the question of efficiency in job placement using regional data for Polish regions (policy relevant NUTS 4 level) over the time span of 2000-2008. Using a unique data set we estimate the matching function using stochastic frontier as well as difference-in-difference...

Persistent link: https://www.econbiz.de/10005078678

Knock-on effect of non-manufacturing regulation on manufacturing sectors efficiency and productivity

Fioramanti, Marco - Volkswirtschaftliche Fakultät, … - 2011

Since the mid of nineties European countries are registering an anemic growth of economic activity, in large part due to the dynamic of productivity. In 2010 the European Council adopted a new Agenda, Euro2020, which aim is to boost growth also improving European competitiveness. Regulation is...

Persistent link: https://www.econbiz.de/10009226952

Efficiency of financial micro intermediation in the WAEMU countries: A stochastic frontier production analysis.

BABATOUNDE, Latoundji Alain - Volkswirtschaftliche Fakultät, … - 2010

This paper investigates the efficacy and technical efficiency of financial micro intermediation in the productive process of the WAEMU economies over the period 2002-2007 using a stochastic frontier production model with technical inefficiency effects. Four specific variables of the financial...

Persistent link: https://www.econbiz.de/10009294942