bluuebunny/crossref_metadata_2025_split huggingface dataset:
Value‐at‐risk with info‐gap uncertainty
Authors: Ben‐Haim Yakov 
Published: January 2007

PurposeTo study the effect of Knightian uncertainty – as opposed to statistical estimation error – in the evaluation of value‐at‐risk (VaR) of financial investments. To develop methods for augmenting existing VaR estimates to account for Knightian uncertainty.Design/methodology/approachThe value at risk of a financial investment is assessed as the quantile of an estimated probability distribution of the returns. Estimating a VaR from historical data entails two distinct sorts of uncertainty: probabilistic uncertainty in the estimation of a probability density function (PDF) from historical data, and non‐probabilistic Knightian info‐gaps in the future size and shape of the lower tail of the PDF. A PDF is estimated from historical data, while a VaR is used to predict future risk. Knightian uncertainty arises from the structural changes, surprises, etc., which occur in the future and therefore are not manifested in historical data. This paper concentrates entirely on Knightian uncertainty and does not consider the statistical problem of estimating a PDF. Info‐gap decision theory is used to study the robustness of a VaR to Knightian uncertainty in the distribution.FindingsIt is shown that VaRs, based on estimated PDFs, have no robustness to Knightian errors in the PDF. An info‐gap safety factor is derived that multiplies the estimated VaR in order to obtain a revised VaR with specified robustness to Knightian error in the PDF. A robustness premium is defined as a supplement to the incremental VaR for comparing portfolios.Practical implicationsThe revised VaR and incremental VaR augment existing tools for evaluating financial risk.Originality/valueInfo‐gap theory, which underlies this paper, is a non‐probabilistic quantification of uncertainty that is very suitable for representing Knightian uncertainty. This enables one to assess the robustness to future surprises, as distinct from existing statistical techniques for assessing estimation error resulting from randomness of historical data.
Trade size, trade frequency, and the volatility‐volume relation
Authors: Song Frederick (Fengming) , Tan Hui , Wu Yunfeng 
Published: January 2007

PurposeThe Chinese stock market is a typical emerging market with special features that are very different from those of mature markets. The objective of this study is to investigate whether and how these features affect the volatility‐volume relation for Chinese stocks.Design/methodology/approachThis paper examines the roles of the number of trades, size of trades, and share volume in explaining the volatility‐volume relation in the Shanghai Stock Exchange with high frequency trade data used.FindingsThe results confirm that the volatility‐volume relation is driven mainly by the number of trades on the Chinese stock market. The number of trades explains the volatility‐volume relation better than the size of trades. Furthermore, some results are obtained that differ from those of mature markets, such as the US market. The results show that the second largest sized trades affect the volatility more than other trades on the Chinese market.Originality/valueThe results show that, in the Shanghai Stock Exchange, informed traders camouflage their private information or manipulation behavior through the second largest sized trades. The results may have important implications for work explaining the volatility‐volume relation on the Chinese stock market, further providing a reference by which to regulate emerging markets.
Ask not for whom the bell tolls, it may toll for you next: intensified anti‐money‐laundering enforcement transforms the regulatory landscape
Authors: Santangelo Betty , Jacobs Margaret A. 
Published: January 2007

PurposeDiscusses the most significant criminal prosecutions and regulatory actions in response to recent anti‐money laundering compliance lapses and the resulting concern in the financial community.Design/methodology/approachReviews earlier criminal enforcement actions; the recent prosecution of Riggs Bank; non‐criminal regulatory enforcement actions toward Banco de Chile, Korea Exchange Bank, Arab Bank, and Gulf Corporation; additional consent orders and supervisory agreements requiring enhancement of PATRIOT Act and Bank Secrecy Act compliance systems at more than 20 banks; broker‐dealer actions; and other actions.FindingsConcludes that both law enforcement and regulators have embraced stricter anti‐money‐laundering enforcement standards despite some criticism from the financial industry, and that recent criminal enforcement actions bear careful analysis by the financial community; predicts that regulators and law enforcement officials will broaden their scope from banking institutions to include broker‐dealers and other non‐bank institutions as well; and recommends that all financial institutions devote greater resources to establish effective anti‐money‐laundering policies and procedures, particularly in the areas of due diligence for high‐risk customers and suspicious activity reporting (SAR).Originality/valueA detailed review of recent anti‐money‐laundering violations and enforcement actions along with practical recommendations for financial institutions by two expert compliance lawyers with a specialty in anti‐money‐laundering.
The New York Stock Exchange and cooperation: another precinct heard from
Authors: Indek Ben A. , Mixter Christian J. , Southerling E. Andrew 
Published: January 2007

PurposeTo discuss the implications of Information Memorandum No. 05‐65, issued on September 14, 2005, in which the NYSE's Division of Enforcement explains to the Exchange community its thinking on the meaning and virtues of corporate cooperation with regulators.Design/methodology/approachDiscusses cooperation in the context of Securities and Exchange Commission Seaboard Report and the Department of Justice Thompson Memorandum; describes the eight standards of “extraordinary cooperation” in the Information Memorandum; and discusses pitfalls such as the lack of any guarantee that a member organization and the exchange will agree on what behavior constitutes extraordinary cooperation, the need to balance prompt reporting of a problem with the need for thorough investigation, and the problem that a member firm may feel pressured to waive attorney‐client privilege to earn “cooperation points.”FindingsThe Information Memorandum is noteworthy because it attempts to fit the concept of “creditworthy” cooperation into the framework of a self‐regulatory organization by defining a new goal of “extraordinary cooperation,” and also highlights some of the dicier aspects of the “cooperative” regime under which corporate America has lived for the past four years.Originality/valueProvides helpful interpretation of NYSE Information Memorandum No. 05‐65 and its implications for a member firm that faces an investigation.
The perils of electronic communication: results of a financial services industry survey
Authors: Johns Paul 
Published: January 2007

PurposeThis article discusses the perils of electronic communication, the regulators' response to its proliferation, the findings of a recent survey by Orchestria, and the traditional solutions most companies are adopting.Design/methodology/approachDiscusses results of a survey that illustrates the uncontrollable nature of electronic communication; recent financial services regulations concerning document retention, activity supervision, and communication approval; archiving and other costs of electronic communication; the inadequacy of many companies' risk mitigation strategies; and a recommended active policy management approach.FindingsThe challenge that management and compliance staff face with unstructured communication is twofold: 1. the speed and informality with which messaging systems are used by employees to make assertions and promises and to transfer data, and 2. the almost total absence of management visibility and control over the content of such communications. In the current regulatory climate, not knowing what employees are communicating to each other, clients, suppliers, and other contacts is a significant risk.Originality/valueAlerts financial services companies to the risks inherent in employees' unrestricted use of all the different electronic communications media and recommends a proactive approach to manage those risks.
Securities offering reform proposal
Authors: Sirignano David A. , Farrell Stephen P. 
Published: January 2007

PurposeTo summarize changes to the communication, registration, and offering process under the Securities Act of 1933 as adopted by the Securities and Exchange Commission on June 29, 2005 – three changes that will modify and significantly enhance the communication, registration, and offering process under the Securities Act of 1933, which according to the Commission are intended to eliminate “unnecessary and outmoded restrictions” on registered offerings. This article highlights the key provisions contained in the new rule release that are likely to affect the conduct of registered offerings.Design/methodology/approachDiscusses benefits of automatic shelf registration, new provisions that will liberalize written communications before and during registered securities offerings, new disclosure liability rules, a new “access equals delivery” model, a separate requirement that investors be notified that they have purchased securities in a registered offering, a provision that allows reporting issuers to incorporate by reference previously filed Exchange Act reports into a Securities Act registration statement, a slight expansion of safe harbors available for broker‐dealers to publish research that constitutes an offer around the time of a registered offering, and changes in Exchange Act report disclosure.FindingsThe Securities and Exchange Commission intends the new rules to make the make the communication, registration, and offering process under the Securities Act of 1933 more efficient and to eliminate unnecessary and outmoded restrictions on registered offerings.Originality/valueA practical guide to the new communication, registration, and offering rules.
The EU Market Abuse Directive: understanding the implications
Authors: Mangelsdorf Alan 
Published: January 2007

PurposeTo discuss the implications of the European Union Market Abuse Directive, which was adopted in December 2002, came into force at the close of 2003, and was adopted by member states in 2004.Design/methodology/approachExamines four key questions: What does the Market Abuse Directive mean to the operating model of the financial institution? How does the financial institution deal with the specific requirements of MAD organizationally, technically, and culturally? How can activities to address the MAD be integrated into current trading compliance, anti‐money‐laundering, and supervision policies and projects? What does MAD mean to the future of European compliance and what areas of focus will be needed next after this first initial step?FindingsWithout clear guidance from central regulators, a clear understanding of what is correct and what is incorrect behavior and consistent penalties, the MAD will do little but add more paperwork to the financial institution. The MAD, should not be seen as a single event that needs to be solved. Rather it needs to be part of an integrated strategy supported by enterprise technology. In this way, the MAD is merely a set of incremental requirements to an already robust strategy. The deployment of compliance and its supporting technology must be cross border and cross business unit, and must incorporate activities across the whole spectrum of compliance and operational risk exposure. Compliance, if effectively managed at a strategic level, pays for itself in a matter of months. It should not be considered cost of sale.Originality/valueShould serve not only as a resource for compliance professionals in their efforts to address MAD, but also as tool to help enlighten non‐compliance staff on the challenges and focus the MAD requires.
Incorporating work factors in design for disassembly in product design
Authors: Desai Anoop , Mital Anil 
Published: January 2007

PurposeThis paper seeks to present a methodology to design products for disassembly. This would facilitate end‐of‐life product disassembly with a view to maximizing material usage in the supply chain at a low cost to the environment.Design/methodology/approachThe methodology presented in the paper draws on fundamentals related to task analysis and motion time measurement. The methodology was practically applied to disassemble several different consumer products with significant savings in time.FindingsSeveral improvements in product design resulted from various perspectives including functionality, assembly, aesthetics and disassembly.Research limitations/implicationsThe paper identifies several areas of future research including design optimization and designing work fixtures for disassembly.Originality/valueThis work presents in part an improvement in current methodologies related to disassembly as well as original work based on task analysis and suggestion of design alternatives. The paper is therefore valuable to practitioners and researchers alike.
Information subsystem congestion analysis of a wide area‐networked manufacturing system using mobile agents
Authors: Ahmed I. , Sadiq M.J. 
Published: January 2007

PurposeThe manufacturing paradigm is shifting from being a central system to a distributed system and is increasingly becoming dependent on wide area networks for the management of information services. The information subsystem employed in a manufacturing setting is susceptible to getting congested when used in a wide area network setting during peak hours. The issue of information and control subsystem integration and the characterization of network congestion have been researched in this paper using faded information field architecture.Design/methodology/approachA wide area network was simulated with all its associated components like routers, switches, gateways, etc. by programming a simulation engine. The simulation engine mimicked a wide area network employed in a manufacturing enterprise.FindingsThe architecture holds the promise to address the integration and congestion issues in a manufacturing system by employing autonomous decentralized and autonomous information fading techniques. Results show the effectiveness of the proposed technique in addressing the issue of network congestion in a distributed wide area network.Originality/valueThe issue of information and control subsystems of a manufacturing system has been reported earlier. However, the network‐centric problems like congestion during peak hours of operation have not been addressed in these emerging paradigms. The research reported in this paper focuses on the congestion issue and could be useful to wide area networked manufacturing system designers and managers.
Investigating the efficacy of exercising JIT practices to support pull production control in a job shop environment
Authors: Li Jing‐Wen 
Published: January 2007

PurposeSimulation experiment was employed to investigate the schemes for coordinating JIT practices to promote performance upgrade in a job shop environment with the pull system.Design/methodology/approachThe four related essential JIT practices (job shop JIT practices) investigated include: cellular manufacturing (CM), operations overlapping (OPOVR), reduction of set‐up/processing time variability (variability reduction) and set‐up time reduction (STR).FindingsExperiment findings suggest that coordination of CM and STR should be given the priority. While the extent of STR effected by CM substantially influences the efficacy of adopting a cellular layout, the choice of adopting a functional layout (FL) is more likely to be affected by the STR resulted from improvement of set‐up operations (set‐up improvement). Variability reduction tends to be more effective for a cellular layout. For a cellular layout without OPOVR, the effectiveness of reducing set‐up time variability is prominent and almost impervious to the extent of set‐up improvement. For a FL, the effect of variability reduction is minor; reduction of set‐up time variability is effective in this case only for a set‐up to processing time ratio of 20 or larger. The findings of this study do not justify the implementation of OPOVR in the shop environment, even with the support of the other three job shop JIT practices.Originality/valueThis study is notable in integrating STR into the job shop JIT practices to achieve overall performance improvement. In addition, the resulting strategies for variability reduction are essential for adapting the pull system to job shop manufacturing. Therefore, the findings of this study form systematic guidelines enabling exercise of the job shop JIT practices coherently to promote reform of job shop manufacturing.
Applying a strategic planning process to several supply chain partners
Authors: Sadler Ian , Gough Richard 
Published: January 2007

PurposeThe ability of a team from a manufacturer and its partners to formulate strategic plans for supply chains is investigated. The research aims to improve the process of formulate strategic plans for supply chains is investigated. The research aims to improve the process of formulation using the strategic operations and logistics planning (SOLP) process.Design/methodology/approachSOLP involves researchers facilitating many meetings of the planning team in an action research setting at their premises. Combining knowledge from operations strategy and socio‐technical systems (STS), participant observation and semi‐structured surveys are used to obtain rich data. Team members derive order‐winning criteria and design policies along the supply chain for several product groups, using the process to craft strategies whilst researchers study it. One application included managers from supply chain partners whilst the other was limited to manufacturer managers. Working within the corporate plans of the focal company, the formulation is carried out by middle managers.FindingsCarrying out the process twice at a heavy fabrication business (HFB) in Australia demonstrated that a team of chain managers can formulate strategic operations plans for a complete heavy industry chain. Extensive support, in the form of worksheets and facilitation, is important to formulation and extent of implementation of the plans. A case is made that assistance is probably necessary for full implementation of those plans.Research limitations/implicationsWhilst limited to cases in a heavy manufacturer, the research is believed to be applicable to a range of medium‐sized supply chains.Practical implicationsThe need for the team to include supply chain partners and the effect of member's capability and authority is investigated. The extent of implementation and the effect of team attributes on execution is studied.Originality/valueThe research demonstrates that a team of chain managers can, with suitable support, formulate strategic operations plans for a complete heavy industry chain. The case sheds some light on the benefits, or drawbacks, of having members of other chain partners present.
Thoughts on e‐government
Authors: Themistocleous Marinos , Sarikas Omiros D. 
Published: January 2007

PurposeWhile private companies have continued to take advantage of information and communications technology to improve their businesses, services offered by government organisations have remained deficient over the years. Aims to provide an introduction to the papers within the journal issue which focus on this theme.Design/methodology/approachProvides an outline of the themes of the papers.FindingsNotes that in seven the papers, contexts and problems associated with change instigated by e‐government initiatives are explored. These relate to the intersection of theory, method, empirical findings and novel systems. They discuss practices, methods and barriers associated with the challenge of realising the vision of e‐government.Originality/valueProvides an introduction to the papers on e‐government, an evolving multidimensional and multidisciplinary field, where many mutually interdependent factors impact on its success, acceptance and perceived benefits.
An enterprise application integration methodology for e‐government
Authors: Janssen Marijn , Cresswell Anthony M. 
Published: January 2007

PurposeAchieving goals of better integrated and responsive government services requires moving away from stand alone applications toward more comprehensive, integrated architectures. As a result there is a mounting pressure to integrate disparate systems to support information exchange and cross‐agency business processes. There are substantial barriers that governments must overcome to achieve these goals and to profit from enterprise application integration (EAI).Design/methodology/approachIn the research presented here we develop and test a methodology aimed at overcoming the barriers blocking adoption of EAI. This methodology is based on a discrete‐event simulation of public sector structure, business processes and applications in combination with an EAI perspective.FindingsThe testing suggests that our methodology helps to provide insight into the myriad of existing applications, and the implications of EAI. Moreover, it helps to identify novel options, gain stakeholder commitment, let them agree on the sharing of EAI costs, and finally it supports collaborative decision‐making between public agencies.Practical implicationsThe approach is found to be useful for making the business case for EAI projects, and gaining stakeholder commitment prior to implementation.Originality/valueThe joint addressing of the barriers of public sector reform including the transformation of the public sector structure, gaining of stakeholders' commitment, understanding EAI technology and dependencies between cross‐agency business processes, and a fair division of costs and benefits over stakeholders.
Realising e‐government in the UK: rural and urban challenges
Authors: Choudrie Jyoti , Weerakkody Vishanth , Jones Stephen 
Published: January 2007

PurposeThe considerable success achieved with information and communications technologies (ICTs) within the private sector has influenced various stakeholders (including the government) to link up public sector services with the internet revolution. This is being achieved by making expeditious attempts to provide online public sector products and services on a nationwide basis. However, there are certain regions and groups of the populace in a country where this aim will not be achieved. Aims to focus on this.Design/methodology/approachUsing two comparative case studies and a combination of qualitative and quantitative data, this research identifies the challenges being faced by the UK government in ensuring e‐government products and services to both the rural and urban areas. The London Borough of Hillingdon is used to illustrate the case of the urban area, whilst Conwy County Borough Council is the rural case.FindingsThe research found that while citizens' backgrounds influenced accessibility to e‐government services in the urban area, geographic location related issues were posing problems to the same in the rural area.Practical implicationsWhile illustrating a digital divide, this implies that the UK government still has challenges to overcome, as it has to obtain and convince the citizens to attain internet access that will allow them to acquire the online products and services offered by the government. Amongst other challenges to be encountered are how to overcome the organisational and technical issues that could impede the desired integration of business processes and technologies across government institutions for effective e‐governance.Originality/valueAddresses issues that the UK has to overcome in providing online public sector products and services offered by the government.