Using a panel of Credit Default Swap (CDS) spreads and supply chain links, we observe that both favorable and unfavorable credit shocks propagate through supply chains in the CDS market. Particularly, the three-day cumulative abnormal CDS spread change (CASC) is 63 basis points for firms whose...

We present two tutorials: (1) a finance tutorial for OM researchers and (2) an OM tutorial for finance researchers. We complement the textbook treatment of important ideas from one discipline with examples of applications to the other discipline. Our goal is to lower the entry cost for new...

Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits...

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Risks are traditionally defined as the combination of probability and severity, but are actually characterized by additional factors. We believe the characteristics of risks include uncertainties, dynamics, dependence, clusterings and complexities, which motivate the utilization of various...