bluuebunny/crossref_metadata_2025_split huggingface dataset:
Fuzzy random‐coefficient volatility models with financial applications
Authors: Thiagarajah K. , Thavaneswaran A. 
Published: January 2007

PurposeThe purpose of this research is to introduce a class of FRC (fuzzy random coefficient) volatility models and to study their moment properties. Fuzzy option values and the superiority of fuzzy forecasts over minimum mean‐square forecasts are also discussed in some detail.Design/methodology/approachFuzzy components are assumed to be triangular fuzzy numbers. Buckley's data‐driven method is used to determine the spread of the triangular fuzzy numbers by using standard errors of the estimated parameters.FindingsThe fuzzy kurtosis of various volatility models is obtained in terms of fuzzy coefficients. Fuzzy option values and fuzzy forecasts are illustrated with examples. Fuzzy forecast intervals are narrower than the corresponding MMSE forecast intervals.Originality/valueThis paper will be of value to econometricians and to anyone with an interest in financial volatility models.
Approximating the growth optimal portfolio with a diversified world stock index
Authors: Le Truc , Platen Eckhard 
Published: January 2007

PurposeThis paper aims to construct and compare various total‐return world stock indices based on daily data.Design/methodology/approachBecause of diversification, these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio.FindingsThe paper constructs a diversified world stock index that outperforms a number of other indices and argues that it is a good proxy for the growth optimal portfolio.Originality/valueThe diversified world stock index has applications to derivative pricing and investment management.
Securitization and risk: empirical evidence on US banks
Authors: Uzun Hatice , Webb Elizabeth 
Published: January 2007

PurposeThis paper aims to offer a comprehensive comparison of the characteristics between banks that securitize and banks that do not and to provide evidence of the capital arbitrage theory of securitization.Design/methodology/approachFirst, the fundamental financial similarities and differences between banks that securitize assets and banks that do not participate in the securitization market are tested. Second, variables that help predict whether a bank securitizes assets are analyzed. Third, the determinants of securitization extent in banks that securitize assets are investigated – for general securitization extent and for specific type of asset securitized. Using a sample of 112 banks that securitize different assets, a matched sample of banks that do not securitize based on entity type and size is created. A quarterly panel data set of these banks dating back to 2001 is used.FindingsThe results indicate that bank size is a significant determinant of whether a bank securitizes. Further, overall securitization extent is negatively related to the bank's capital ratio (in support of capital arbitrage theory), but this result is primarily driven by credit card securitization.Originality/valueUtilizing a unique data set of quarterly data from bank Call Reports; the panel data set is large relative to past studies. A matched sample approach was used to test fundamental financial similarities and differences between securitizing and non‐securitizing banks. In addition to aggregated securitization, an examination was made of how different classes of assets affect the banks' risk‐based capital ratios and test the capital arbitrage theory of securitization.
Mapping corporate drift towards default
Authors: Bandyopadhyay Arindam 
Published: January 2007

PurposeThe purpose of this paper is to develop a hybrid logistic model by using the inputs obtained from BSM equity‐based option model described in the companion paper, “Mapping corporate drift towards default – Part 1: a market‐based approach” that can more accurately predict corporate default.Design/methodology/approachIn a set of logistic regressions, the ability of the market value of assets, asset volatility and firm's leverage structure measures to predict future default is investigated. Next, a check is made as to whether accounting variables and other firm specific characteristics can provide additional significant information in assessing the real world credit quality of a firm in a multifactor modelFindingsFrom analysis of 150 publicly‐traded Indian corporates over the year 1998 to 2005 it was found that in a volatile equity market like India, one needs to enhance the BSM model with other accounting information from financial statements and develop hybrid models. The results in this paper indicate that a mix of asset volatility, market value of asset and firm's leverage structure along with other financial and non financial factors can give us a more accurate prediction of corporate default than the ratio‐based reduced form model.Originality/valueThe hybrid model developed in this paper allows us to integrate information from the structural model as well as profitability of firms, liquidity risk, other firm specific supplementary information and macroeconomic factors to predict real world corporate distress potential through a multivariate analysis.
The impact of capital structure on the performance of microfinance institutions
Authors: Kyereboah‐Coleman Anthony 
Published: January 2007

PurposeThe purpose of this paper is to examine the impact of capital structure on the performance of microfinance institutions.Design/methodology/approachPanel data covering the ten‐year period 1995‐2004 were analyzed within the framework of fixed‐ and random‐effects techniques.FindingsMost of the microfinance institutions employ high leverage and finance their operations with long‐term as against short‐term debt. Also, highly leveraged microfinance institutions perform better by reaching out to more clientele, enjoy scale economies, and therefore are better able to deal with moral hazard and adverse selection, enhancing their ability to deal with risk.Originality/valueThis is the first study of its kind in the sector, especially within sub‐Saharan Africa.
Conflicts of interest chief compliance officers face in implementing compliance programs for investment funds and investment advisers
Authors: Majewski Thomas M. 
Published: January 2007

PurposeThis paper aims to discuss some of the more significant conflicts that a chief compliance officer (“CCO”) may face in implementing a compliance program and to offer suggestions intended to reduce the conflicts and strengthen the advisory firm's compliance program.Design/methodology/approachDiscusses the CCO's degree of independence from the financial adviser, identifies the areas where conflicts of interest most frequently arise, and provides advice on managing potential conflicts.FindingsPotential conflict‐of‐interest problem areas include security valuation, trade allocations, affiliated transactions between the firm and its clients or among the firm's clients, soft dollar transactions, investment performance reporting, and personal trading activities of investment personnel. The CCO should work with the advisory firm's senior management to identify potential violations of the firm's compliance program and establish disciplinary actions as well as escalation procedures for compliance violations. Conflicts can be reduced if the CCO reports to the board of directors of the advisory firm or that firm's parent. The CCO review process should be handled by someone other than an officer whom the CCO monitors. The CCO should seek independent outside sources to help identify and resolve compliance issues.Originality/valueProvides a guide to potential conflicts of interest from a lawyer who advises investment funds and investment advisers.
Compensating mutual fund advisers: a return to the basics of properly structured performance fees
Authors: Thomas F. Scott , Jaye John C. 
Published: January 2007

PurposeThe article seeks to outline the requirements under the Investment Company Act of 1940 (the “Investment Company Act”), the Investment Advisers Act of 1940 (the “Advisers Act”) and related US Securities and Exchange Commission (the “SEC”) rules and interpretive guidance for structuring performance‐based fees for investment advisers and sub‐advisers to registered investment companies (or mutual funds).Design/methodology/approachThe article discusses the appropriate structure and timing for performance fees and describes in detail how SEC standards for structuring performance fees have evolved over time. The article explains recent SEC enforcement actions against investment advisers for improperly structured performance fees, and notes that the use of performance fees has once again become a focus of SEC scrutiny.FindingsThe article concludes that, despite a common perception that performance fees create an effective incentive to improve fund performance by more closely aligning the interests of the adviser and fund shareholders than traditional fee arrangements, there is minimal empirical evidence proving that the use of performance fees translates into superior fund performance. Investment advisers who charge performance fees to mutual fund clients should consider reevaluating the structure and payment process for the performance fees in light of recent SEC scrutiny and enforcement actions, adviser compliance obligations under Rule 206(4)‐7 of the Advisers Act, and fund compliance obligations under Rule 38a‐1 of the Investment Company Act.Originality/valueThe article provides a concise overview of the regulatory requirements for structuring performance fees charged by mutual fund advisers.
Updates on the corporate attorney‐client privilege
Authors: Brodsky David M. 
Published: January 2007

PurposeThis paper seeks to describe and assess recent legal developments that affect the corporate attorney‐client privilege.Design/methodology/approachDiscusses and analyzes the corporate attorney‐client privilege and work product doctrine and the role of such protections in US society; discusses how recent developments including policies of the US Department of Justice and the evolving role of corporate auditors have adversely affected these protections, and shows how some of these developments can be ameliorated so as to preserve the important principles underlying the corporate attorney‐client privilege.FindingsThe upsurge of investigations into alleged corporate criminality has reignited the debate over the value of the privilege and the ability to have confidential communications between corporations and clients. Although judicial decisions do not favor adoption of a “selective waiver” doctrine, concerns have also been raised that legislative adoption of a selective waiver in this current culture‐of‐waiver environment may practically prevent companies from ever being able to assert a privilege again in governmental investigations.Originality/valueA useful update on developments affecting the attorney‐client privilege and work product doctrine from a lawyer who specializes in securities litigation and governmental enforcement and is a member of the New York State Bar Association Task Force on the Attorney Client Privilege as well as Liaison from the Corporate Counsel Consortium to the American Bar Association Task Force on the Attorney Client Privilege.
Towards best management practices for implementing manufacturing flexibility
Authors: Boyle Todd A. 
Published: January 2007

PurposeThe purpose of this research is to develop a framework and an initial list of best management practices for implementing manufacturing flexibility.Design/methodology/approachTo identify these practices, recent frameworks (i.e. 1988 and onward) for implementing manufacturing flexibility in organizations are reviewed. Based on this review, the major management practices for implementing flexibility are identified and synthesized into a new framework.FindingsThis framework suggests that manufacturing flexibility should be implemented using a three‐stage approach, labeled: identifying required flexibility (i.e. identifying and justifying the flexibility types, measurements and tools needed to achieve the required manufacturing flexibility), achieving required flexibility (i.e. acquiring and implementing the organizational and technological tools needed to achieve the required manufacturing flexibility) and managing required flexibility (i.e. monitoring and changing the required flexibility types and levels, in light of changing uncertainty and competitive, manufacturing and marketing strategies). Based on this framework, a number of potential best management practices are identified.Research limitations/implicationsThis report is conceptual in nature. Future research will focus on empirically testing the practices presented in order to develop a more complete and rigorous list of best management practices for implementing manufacturing flexibility.Practical implicationsThis research provides manufacturing managers with a starting point for developing a formal process for identifying, implementing, and monitoring manufacturing flexibility, thus ensuring that the manufacturing flexibility that exists is continually meeting the manufacturing and competitive strategies of the organization. Various conceptual relationships are identified by the presence of arrows in the framework. As a result, the implications of the conceptual framework for researchers is that it provides a very good starting point for conducting exploratory and confirmatory research on the process of managing manufacturing flexibility.Originality/valueThis research synthesizes existing frameworks for implementing manufacturing flexibility in organizations, and addresses a gap in the research, specifically the need to identify and empirically test best management practices for implementing manufacturing flexibility.
Lean viewed as a philosophy
Authors: Bhasin Sanjay , Burcher Peter 
Published: January 2007

PurposeThe purpose of this paper is to act as a meticulous conceptual paper probing the contemporary view towards lean and illustrate that, despite its discernible benefits, the implementation record suffers as the prevailing opinion fails to encapsulate that an aspiring lean enterprise shall only succeed if it views lean as a philosophy rather than another strategy.Design/methodology/approachThe paper is based on a thorough literature search concerning the success and failure of lean implementations and acts as a precursor for one of the authors utilising a combination of methodologies; namely, interviewing, survey questionnaire and participant observation in attempting to prove his PhD hypothesis.FindingsEvidently, a cocktail of factors are needed for lean success; not only is it necessary to implement most of the technical tools but an organisation's culture needs transforming too. Furthermore, the alterations need to be implemented throughout an organisation's value chain. Lean has a major strategic significance, though its implementation procedure, HRM implications, general approach to the supplier base coupled with the overall universal conviction of viewing lean as a set of tactics rather than embracing it as a philosophy advocates that this contributes to the relatively low number of successful lean initiatives.Originality/valueThe paper would prove invaluable to lean practitioners through its summation of the intricacies towards lean enterprise success and academic researchers by focusing their attention towards the necessary cultural implications.
The effect of the government's manufacturing automation promotion policy in Taiwan
Authors: Chang Tien‐Hsiang , Chiou Chyou‐Huey , Fu Hsin‐Pin , Chao Pei 
Published: January 2007

PurposeThe adoption of automation has been suggested as one source to establish the competitiveness of manufacturing industries. The importance of government's role in promoting the automation adoption has been recognized. The Industrial Development Bureau (IDB) of the Ministry of Economic Affairs in Taiwan has been promoting the “Manufacturing Automation Promotion Policy (MAPP)” for more than 10 years. From the perspective of the government agent, whether the MAPP was effective is the most concerned issue. However, there is no research on evaluating the performance of MAPP undertaken by the government. This study aims to fill the gap.Design/methodology/approachThis study employed survey method; and a questionnaire was delivered to prospect respondents through the IDB promotion team.FindingsAccording to the analytical results, it was found that responding department has a significant impact on understanding automation policy and the need for technical personnel; enterprise size significantly affects needs for technical personnel.Practical implicationsThe research findings show, by implication, that the MAPP conducted by the Taiwan's IDB has been effective to a certain degree. Several suggestions for further advancing the effectiveness of the MAPP are made.Originality/valueThis study is the first research to examine the performance effectiveness of MAPP conducted by Taiwan's IDB. After a comprehensive literature, this study suggests that the program effectiveness can be evaluated in terms of awareness of MAPP, understanding of MAPP, benefits of MAPP, perceiving automation policy as incentive, needs for policy assistance, and needs for technical personnel.
Improving a manufacturing process by mapping and simulation of critical operations
Authors: Kumar Sameer , Phrommathed P. 
Published: January 2007

PurposeThis study aims to demonstrate the application of process mapping and simulation, using popular software tools, by examining a paper sheet cutting operation.Design/methodology/approachAn integrated approach is utilized to model a sheeting operation at Advance Agro, PCL, Thailand, a pulp and paper manufacturer. The sheeting operation is one of the most critical operations. The redesigned sheeting operation resulted in setup time reduction. This was carried out by studying the process map, data analysis, and simulation of the redesigned operation (using Visio, Excel and Arena software) before a real implementation at the manufacturing plant. The simulation of redesigned sheeting process showed increase in productivity and annual cost savings.FindingsCase experiences indicate that combining process mapping and data analysis with simulation is beneficial. The computer‐based integrated approach successfully reduces the risk of ineffectiveness of the redesigned critical manufacturing operation. In the new improved operation, higher machine utilization results in both reduced lead time and availability of more free time for operators to carry out quality inspections leading to better quality products.Practical implicationsThe computer simulation of redesigned sheeting operation showed existing machines can handle more orders and result in higher production and lower unit cost than the existing sheeting operation. The productivity increase for the manufacturer with the new sheeting strategy was expected to be worth US $450,000 annually.Originality/valueThe study makes a business case that process improvement can be effectively accomplished with an integrated approach of using widely available inexpensive and user‐friendly computer‐based tools. It also showcases a good practice in manufacturing system redesign.
Evolution of a worldwide production network
Authors: Kuhn Joachim 
Published: January 2007

PurposeThe aim of this paper is the design of a strategic‐operational decision support to justify a specific network configuration. Based on cost/earnings equations regarding quality, time and cost restrictions, the equations on the operational level get linked to the business strategy of globalisation.Design/methodology/approachThe methodology is based on literature and empirical analysis reflecting internal and external benchmarking with other European‐based car manufacturers. Thus, it combines theoretical aspects with practical evidence.FindingsThe findings include a comparison of the traditional production strategy with an agile production. As shown for this industry sector, the future concentration of production will be with third party manufacturers (3PM) or in certain cases still with the OEM.Research limitations/implicationsFurther, research is embedded in comparing the agility approach with the different cultural elements like power distance or uncertainty avoidance, particularly for the automotive industry as one of the few globally favoured industry sectors. Another research field is addressed with the degree of customization: how much is really appreciated by the customer and therefore needs a flexible manufacturing approach?Practical implicationsThe practical implication lies in the decision support to design a global network of manufacturing locations. Moreover, the practitioner gets an insight for the limits of agility in the automotive sector.Originality/valueThe value of this paper is given by bridging the scientific approach and practical constraints resulting in a state‐of‐the‐art decision‐making for network design in the automotive industry.
Managing product variety in multinational corporation supply chains
Authors: Er Mahendrawathi , MacCarthy Bart 
Published: January 2007

PurposeFor manufacturing enterprises, today's business environment is characterised by globally dispersed supply and manufacturing networks. In addition, the level of variety in products continues to increase in almost all sectors. Greater understanding of the management of product variety in international operations is required. Aims to discuss this issue.Design/methodology/approachA generic simulation model representing a multinational corporation (MNC) supply chain is used to investigate the impact on supply chain performance of increasing product variety in combination with supply lead‐time and demand uncertainty in an international setting. The simulation focuses on the upstream activities of production planning, inbound supply and manufacturing. The structure and logic of the simulation model are based on insights obtained from an empirical study of real MNC supply networks.FindingsThe study shows that increasing the level of product variety has a detrimental impact on supply chain performance. In the presence of supply lead‐time and demand uncertainty, high levels of variety result in much longer flow times and much higher system inventory relative to more stable conditions. The impact is greatest when variety involves critical materials which are required early in the production process and that entail long set‐up times.Research limitations/implicationsThe study could be extended to incorporate more advanced inventory control models, the inclusion of downstream activities, multiple manufacturing sites and multiple potential supply routes.Practical implicationsImplications for the selection of suppliers and for inventory control policies are discussed in the context of international operations. The potential value of postponement strategies and the need in some cases for fundamental product and process redesign to mitigate the negative impacts of variety are highlighted.Originality/valueManaging product variety in the context of international operations has received very little attention to date in the research literature. This study quantifies the potential impact of increasing product variety on supply chain performance in an international setting.