bluuebunny/crossref_metadata_2025_split huggingface dataset:
Investigation for Synthetic Collateralized Debt Obligation
Authors: Kim Mi Ae 
Published: September 2020

Recently, domestic market participants have a growing interest in synthetic Collateralized Debt Obligation (CDO) as a security to reduce credit risk and create new profit. Therefore, the valuation method and hedging strategy for synthetic CDO become an important issue. However, there is no won-denominated credit default swap transactions, which are essential for activating synthetic CDO transaction‘ In addition, there is no transparent market information for the default probability, asset correlation, and recovery rate, which are critical variables determining the price of synthetic CDO.
This study first investigates the method of estimating the default probability, asset correlation coefficient, and recovery rate. Next, using five synthetiC CDO pricing models‘ widely used OFGC (One-Factor Non-Gaussian Copula) model. OFNGC (One-Factor Non-Gaussian Copula) model such as OFDTC (One-Factor Double T-distribution Copula) model of Hull and White (2004) or NIGC (Normal Inverse Gaussian Copula) model of Kalemanova et al.(2005), SC<Stochastic Correlation) model of Burtschell et al.(2005), and FL (Forward Loss) model of Bennani (2005), I Investigate and compare three points: 1) appropriateness for portfolio loss distribution, 2) explanation for standardized tranche spread, 3) sensitivity for delta-neutral hedging strategy. To compare pricing models, parameter estimation for each model is preceded by using the term structure of iTraxx Europe index spread and the tranch spreads with different maturities and exercise prices Remarkable results of this study are as follows. First, the probability for loss interval determining mezzanine tranche spread is lower in all models except SC model than OFGC model. This result shows that all mαdels except SC model in some degree solve the implied correlation smile phenomenon, where the correlation coefficient of mezzanine tranche must be lower than other tranches when OFGC model is used. Second, in explaining standardized tranche spread, NIGC model is the best among various models with respect to relative error. When OFGC model is compared with OFDTC model, OFOTC model is better than OFGC model in explaining 5-year tranche spreads. But for 7-year or 10-year tranches, OFDTC model is better with respect to absolute error while OFGC model is better with respect to relative error. Third, the sensitivity sign of senior tranctle spread with respect to asset correlation is sometime negative in NIG model while it is positive in other models. This result implies that a long position may be taken by the issuers of synthet.ic COO as a correlation delta-neutral hedging strategy when OFGC model is used, while a short position may be taken when NIGC model is used.
Arbitrage Profitability of Box Spreads in the KOSPI200 Options Market
Authors: Lee Jae Ha , Hahn Deok Hee 
Published: September 2020

This study explores the arbitrage profitability of box spread strategies to test the KOSPI200 options market efficiency. using minute-by-minute data for the December 2003 - June 2004 period. The sample consists of 39.445 and 38.318 observations for small discrepancy and large discrepancy in exercise prices. respectively.
In the case of credit box spreads, there were 681 (2%) and 2.293 (6%) arbitrage observations for small and large discrepancies, while debit box spreads showed 831 (2%) and 3.098 (8%) observations for small and large discrepancies. In general, mean profit and median profit were different, and the arbitrage profit varied over time. The time to option expiration did not impact the arbitrage profit.
Also, the arbitrage profit of box spreads was significantly higher on Fridays for large discrepancy, and it varied across weekdays except the case of small-discrepancy debit box spread. Both arbitrage opportunities and profits substantially decreased as execution time increased. Our overall results suggest that the KOSPI200 options market has been efficient.
The Profitability of Technical Trading Rules in the KOSPI200 Futures Market
Authors: Park Cheol Ho 
Published: September 2020

This article investigates the profitability of technical trading rules in the KOSPI200 futures market from 1997 through 2006 after accounting for transaction costs, risk. and data-snooping problems. To effectively mitigate data - snooping problems resulted from survivorship bias, we largely expand the full set of technical trading rules handled in the previous literature and measure statistical significance of technical trading performance using White’s (2000) Bootstrap Reality Check (BRC) methodology and Hansen’s (2005) Superior Predictive Ability (SPA) test that can take account of interdependency across individual technical trading rules.
The results indicate that under the net return criterion the best trading rule generates the highest mean net return of about 32% per annum during the sample period but the trading return is statistically insignificant when the effect of data-snooping is considered. Similar results are found under the Sharpe ratio criterion. These findings suggest that substantial technical trading profits may be obtained due to chance rather than the Inherent predictability of technical trading rules.
According to Time-moneyness in Option Market on Stock Price Volatility
Authors: Ohk Ki Yool , Jang Woo Ae 
Published: September 2020

The purpose of this study is to examine the impact of the trade-activities in option market on stock market volatility by using KOSPI 200 daily data. First. we divided the option Volume from open interest. then classify the unexpected volume from expected volume to group the trade-activities In option market according to Investor's type. The result of test find that the unexpected volume of call option and the stock volatility have positive relationship. while one of put option and the stock volatility do not have statistically significant relation.
Then. we also divide the option volume Into the classified option volume according to time-maturity. We expect that the informed trader and uninformed trader trade the classified option differently. As a result. in the case of the call ootlon. the trade-activity of the unexpected volume in deep in the money option and deep out 이 the money option has positive relation with the stock volatility. and the at the money option below a month to maturity has positive relation with the stock volatility. This result shows that the informed trader prefer deep in the money option. deep out of the money option and at the money option below a month to maturity among the various option series. But. In the case of put option, it is so hard to find the result of the Informed trader's behavior.
The Issues and Improvement Plans of Pricing and Accounting of the Structured Derivatives : The Case of Zero-Coupon Callable Bond
Authors: Yang Jeong Phil , Chang Uk , Choi Young Soo 
Published: September 2020

This study aims to deal with the valuation and accounting of complex derivative instruments. This study attempts to propose a convergence plan by presenting a pricing (fair value evaluation) alternative that considers the accounting process. In this paper, we choose a ZCCB as a representative structured derivative and conduct a case study.
Regarding the expected maturity of ZCCB, there is a need to adjust the historical expected maturity by reflecting the implied expected maturity. As a result of simulation and empirical analysis, it can be seen that the greatest feature of the expected maturity distribution is the Bi-Modal distribution redeemed immediately after the non-call period or at the maturity of the ZCB. Therefore, when using expected maturity, it would be more meaningful to use ZCB maturity date or just after non-call period date rather than the average.
Regarding whether ZCCB's SPPI test is satisfied, the ZCCB return rate is determined according to market input variables and bond issuance conditions and is already fixed at issuance, so it can be judged that the SPPI condition is satisfied.
Overpriced Puts Puzzle in KOSPI 200 Options Market
Authors: Choi Byungwook 
Published: September 2020

The purpose of this paper is to examine the argument that the put options traded in the exchanges are too high, compared to the asset prices based on the classical CAPM model, and thus the short position of the put option would make a significant profit from trading. In order to explore the earlier report, this paper, using the KOSPI 200 index options market price, estimates the historical rate of return on several option trading strategies such as naked option, protective put, covered call, straddle, and strangle. Secondly this paper compares the historical rates of return on the option trading strategies and Sharpe ratios with those generated by Monte-Carlo simulation and examines whether the historical option returns are inconsistent with Black-Scholes model, Jump-diffusion model, Stochastic Volatility model, or Stochastic Volatility with Jump model. Thirdly, this paper computes the optimal asset allocation ratio among the risk-free asset, risky assets, and option trading strategies in the viewpoint of rational investors who maximize the CRRA utility function.
The results show that the historical returns on short position of ATM and OTM puts are too high to explain based on the classical CAPM, and the optimal allocation ratios among put, risky asset, and the risk-free asset are different from those derived using Monte-Carlo simulation.
CDS Premium and Jump Risk in Stock Market
Authors: Chang Kook-Hyun , Yoon Byung-Jo 
Published: September 2020

This paper tries to empirically investigate whether the jump risk of Korean stock market may be statistically useful in explaining the Korean CDS (5Y) premium rate. This paper uses the jump-diffusion model with heteroscedasticity to estimate the conditional volatility of KOSPI from 7/2/2007 to 7/30/2010.
The total volatility of Korean stock market is decomposed into a heteroscedasticity and a jump risk by using the jump-diffusion model. The finding is that the jump risk in stead of heteroscedasticity in Korean stock market can explain the Korean CDS premium rate.
The Pricing and Hedging using the Implied Information Conditioned on Martingale Restriction and Market Efficiency
Authors: Kim Moo Sung , Kang Tae Hun 
Published: September 2020

This article empirically tests the time-correlation of implied information reflecting the return dynamics of KOSPI 200 markets in the view of the decision making and market efficiency. Because option prices are not perfectly correlated with each other and with the underlying asset, the information contents of the option are different from those of the underlying market price. And, under the non-complete of the market and the limited arbitrage, the information implied in option (underlying) market price may be more useful in the option (underlying) market than in the underlying (option) market.
The estimation results show that the time-correlation of incremental information are existed in performance of out-of-sample pricing and delta hedging conditioned on MR, a result which is not suggestive of the informational efficiency of the KOSPI 200 market. But, the decision marking using the systematic pattern may not be useful due to the option pricing models that allows moments of higher order than two reflecting the source of which the risk-neutrality assumption is strongly rejected by the data.
Implied Volatility of the KOSPI 200 Index Option Market
Authors: Cho Dam 
Published: September 2020

This paper analyzes implied volatilities (IVs), which are computed from trading records of the KOSPI 200 index option market from January 2005 to December 2014, to examine major characteristics of the market pricing behavior. The data includes only daily closing prices of option transactions for which the daily trading volume is larger than 300 contracts. The IV is computed using the Black-Scholes option pricing model. The empirical findings are as follows;
Firstly, daily averages of IVs have shown very similar behavior to historical volatilities computed from 60-day returns of the KOSPI 200 index. The correlation coefficient of IV of the ATM call options to historical volatility is 0.8679 and that of the ATM put options is 0.8479.
Secondly, when moneyness, which is measured by the ratio of the strike price to the spot price, is very large or very small, IVs of call and put options decrease days to maturity gets longer. This is partial evidence of the jump risk inherent in the stochastic process of the spot price.
Thirdly, the moneyness pattern showed heavily skewed shapes of volatility smiles, which was more apparent during the global financial crises period from 2007 to 2009. Behavioral reasons can explain the volatility smiles. When the moneyness is very small, the deep OTM puts are priced relatively higher due to investors’ crash phobia and the deep ITM calls are valued higher due to investors’ overconfidence and confirmation biases. When the moneyness is very large, the deep OTM calls are priced higher due to investors’ hike expectation and the deep ITM puts are valued higher due to overconfidence and confirmation biases.
Fourthly, for almost all moneyness classes and for all sub-periods, the IVs of puts are larger than the IVs of calls. Also, the differences of IVs of deep OTM put ranges minus IVs of deep OTM calls, which is known to be a measure of crash phobia or hike expectation, shows consistent positive values for all sub-periods. The difference in the financial crisis period is much bigger than in other periods. This suggests that option traders had a stronger crash phobia in the financial crisis.
Prospects of the fourth industrial revolution for the hospitality industry: a literature review
Authors: Osei Benjamin Appiah , Ragavan Neethiahnanthan Ari , Mensah Henry Kofi 
Published: September 2020

PurposeThe economy of today has moved toward the fourth industrial revolution (FIR), which is characterized by the adoption of technologies such as cyber-physical systems, internet of things, big data, artificial intelligence and robotics. Globally, there is a lot of awareness created on the influence of the FIR on all industries, including hospitality and tourism. A plethora of studies on FIR have been conducted in the setting of manufacturing industries. Nonetheless, there seems to be in-exhaustive and non-consensual agreement among researchers as to the development and prospects of the FIR for service industries. Therefore, the aim of this paper was to comprehensively review the prospects of the FIR for the hospitality and tourism industry.Design/methodology/approachAs a result of the novelty and gaps associated with the FIR in the hospitality literature, the authors explored the concept of FIR using a comprehensive literature review approach. Specifically, this paper reviews existing literature from diverse academic backgrounds, and annotates issues with regard to the evolution and prospects of the FIR for the hospitality industry.FindingsEmphatically, the development and principles of FIR were expatiated. Additionally, an exegesis was carried out on the prospects (positives and challenges) of FIR for the hospitality industry. Finally, practical and social implications were also discussed.Originality/valueIt still remains a discourse among scholars and industry stakeholders as to the prospects of the FIR. This paper clarifies the confusion among researchers and bridges the literature gaps. Moreover, this review serves as a theoretical foundation for future research on the impact of FIR on the hospitality industry.
Inclusive organizations: developmental reciprocity through authentic leader-employee relationships
Authors: Moore Jeffrey R. , Maxey Everon C. , Waite Alina M. , Wendover Joseph D. 
Published: September 2020

PurposeBuilding on previous research that focused on Walgreens inclusive managers in South Carolina and Georgia, we studied leadership practices in Connecticut where effective and inclusive teams are developed.Design/methodology/approachUsing the case study approach, interviews with over 90% of the managers in a Walgreens distribution center where over a third of its workforce of 500 employees has a disability were conducted.FindingsCreating an inclusive workplace dramatically altered the culture of the distribution center. Our findings highlighted how managers transitioned from a telling and demanding autocratic style with a focus on production numbers to an inclusive management leadership style with a focus on investing in people and balancing teams. Additional discoveries include the role of complexity leadership concepts as essential to inclusive management attributes. Our findings point to a new driver in inclusive organizations: resolving employee performance and attitude issues.Originality/valueWith 200 disabled employees in the distribution center, managers and employees applied complexity leadership, enabling adaptive behaviors that helped form relationships focused on shared decision-making and problem solving. Managers showed mindfulness and empathy in building authentic relationships. Employee openness and the creation of safe attachments allowed leaders to gain greater engagement with employees, higher adaptability, innovation and resiliency. Inclusion was perceived as a benefit to managers as well as to employees, changing the organizational culture toward authentic relationships while exceeding performance metrics.
Nigerian budgetary response to the COVID-19 pandemic and its shrinking fiscal space: financial sustainability, employment, social inequality and business implications
Authors: Ejiogu Amanze , Okechukwu Obiora , Ejiogu Chibuzo 
Published: September 2020

PurposeThis article aims to explore the Nigerian government's budgetary response to the COVID-19 pandemic as well as the economic and social implications of the pandemic response.Design/methodology/approachOur analysis is based on a review of secondary evidence such as Nigerian Federal Government budget documents, policy documents, Central Bank of Nigeria circulars, news media articles, World Bank and International Monetary Fund reports, reports from Big Four accounting firms and policy think-tanks.FindingsThe authors highlight how increased borrowing to fund COVID-19 related economic and social interventions have significantly squeezed Nigeria's fiscal space. The authors also highlight that while some interventions provide short-term economic relief to the poor and small businesses, other interventions and gaps in the policy response have the potential for significant negative impact on businesses, households and unemployment. In addition, the authors highlight the potential for long-term benefits to the health sector and for private sector engagement in corporate responsibility and philanthropy.Originality/valueThe authors present a comprehensive account of the Nigerian government's budgetary response to the COVID 19 pandemic and the economic and social implications of this response.
Impact of employee value proposition on employees’ intention to stay: moderating role of psychological contract and social identity
Authors: Binu Raj Asha 
Published: September 2020

PurposeThis paper aims to examine the relationship between employee value proposition (EVP) and employees’ intention to stay and analyse how psychological contract and social identity moderate this relationship.Design/methodology/approachThe study was conducted in Indian IT sector among a sample of 268 employees using criterion sampling. Data were collected through structured questionnaires which revealed employees’ perceptions of EVP, intention to stay, psychological contract and social identity.FindingsThe empirical results reveal that employees have greater intention to stay when their organisations deliver an EVP including development value, social value and economic value. Findings indicate that psychological contract positively strengthens the impact of EVP on employees’ intention to stay. Also, when employees strongly identify with their organisation’s image, they have higher intention to stay in presence of a strong EVP.Research limitations/implicationsConsistent with the existing literature, the paper contributes an integrative model of EVP based on social exchange process, moderated by social identity and psychological contract. As the study was limited to Indian IT sector, cross-sectional nature of data is a limitation for drawing inferences about the influence or causality in general.Practical implicationsThe study provides a new perspective to managers to develop an attractive EVP to gain employees’ increased intention to stay. Employers in IT sector may adopt this comprehensive model to strategise their value propositions.Originality/valueThis paper proposes a validated conceptual framework of EVP and intention to stay, tested for moderation effects by psychological contract and social identity. This moderation model based on social exchange adds value to employer branding literature.
How career expectations influence advancement: evidence from women in the hospitality industry
Authors: Liu Ting , Gao Jie , Zhu Mingfang , Qiu Yajun 
Published: September 2020

Purpose
This study aims to examine the role of women’s career expectations (CEs) in changes in their career advancement (CA) and to determine whether these changes were because of socio-demographic factors.

Design/methodology/approach
Multiple linear regression was used to measure the relationship between women’s CEs and CA, as well as the influences that socio-demographic factors (e.g. education) have on that relationship.

Findings
Results indicated that CEs had two dimensions (i.e. career rewards and career development) and that career reward expectations had a significantly higher effect on CA than career development expectations. Furthermore, women were very likely to set higher CEs and stronger desires for CA as they became older. Results also showed that education, working years and position level were significantly related to women’s CA.

Practical implications
This study provides new insight into which aspects of women’s CA can be boosted by CEs and how these aspects may be affected by socio-demographic factors. This study can help hotels design better career management strategies to achieve the desired results. The study also provides guidance for women’s career management activities.

Originality/value
This study considers women’s CEs in hotels. The results revealed two dimensions (i.e. career rewards and career development) of CEs and uncovered the influences of socio-demographic factors on women’s CA, for example, age, education, working years and position level.
The risk of unintentional propagation of poliovirus can be minimized by using human cell lines lacking the functional CD155 gene
Authors: Koike Satoshi 
Published: September 2020

AbstractAfter eradication and containment of wild poliovirus (PV) and cessation of oral polio vaccinations, it is critical to minimize the risk of reintroducing PV into PV‐free communities via facilities that handle the virus. The potential risk of unintentional PV propagation through unidentified contaminated materials is a serious issue. This study reports the generation of HeLa and RD‐A cells deficient in functional CD155 gene (∆PVR cells); these cells are not susceptible to PV but remain susceptible to other picornaviruses. These ∆PVR cells will minimize the risk of unintentional transmission of PV and support performing the experiments more safely.