This paper addresses the problem of scheduling multipletime and priority sensitive tasks efficiently in an environmentwhere the number of resources is limited and the resourceshave varying capabilities and restricted capacities.We use a help desk environment as our working model,however, the...

We discuss information needs of marketers on the World-Wide Web and present a classificationof types of information one can possibly get about Web site visits based on its ease of gathering.We then analyze how information needs can be satisfied using different categories of informationgathered...

We adopt the view of organizations as information processingentities. As such, we propose that various exogenous and endogenousfactors should affect the performance of organizations with respect toinformation processing tasks. We present a methodology for modelingorganizational structures and...

The breadth and dynamics of the recent financial crisis have led to efforts to develop forward-looking tools to monitor systemic risk. In this article, the authors propose a new measure that is an extension of the absorption ratio (AR) introduced in 2010 by Kritzman, Li, Page, and Rigobon. Using...

For investment projects with low probabilities of success, long time horizons, and large capital requirements, traditional financing sources such as private and public equity may not be ideal. Nevertheless, such projects may yield attractive risk-adjusted returns when combined into a single...

Longevity risk is the risk that the promised recipient of lifetime cashflows ends up living much longer than originally anticipated, thus causing a shortfall in funding. A related risk, reimbursement risk is the risk that providers of health insurance face when new and expensive drugs are...

We introduce a new approach for identifying and monitoring systemic risk that combines network analysis and tail risk contribution (TRC). Network analysis provides great flexibility in representing and exploring linkages between institutions, but can be overly general in describing the risk...

There has been a growing recognition that issues of data quality, which are routine in practice, can materially affect the assessment of learned model performance. In this paper, we develop some analytic results that are useful in sizing the biases associated with tests of discriminatory model...

Prudent credit risk management within a bank requires that a number of agents within the firm communicate, agree and act in a concerted fashion to manage credit risk both at the individual exposure level and at the broader portfolio level. This can be challenging given the nature of credit...

In this article, we outline some concepts relating to the use of stress testing in credit risk management. We begin by providing a simple taxonomy of stress scenarios and discussing the trade-offs that different approaches require for implementation. Our taxonomy is modeled after one that is...