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Will Switching from the VAR to the Expected Shortfall Provide the Efficiency in the Capital Adequacy? Evidence from the FX Positions
Muzaffer Akat and Cahit Memis
DOI: 10.15604/ejbm.2018.06.02.001
Abstract
The banks have to measure the market risk daily for the calculation of their capital adequacy. According to the Fundamental Review of Trading Book (FRTB) market risk revision, which was released in 2016 by the Basel Committee on Banking Supervision (BCBS), the expected shortfall (ES) will replace the value-at-risk (VaR) approach in order to capture the tail risks. In this paper, various risk management methodologies have been compared based on their performances using both the VaR and the ES. The data are based on three different currencies (USD/TRY, EUR/TRY, and EUR/USD) for the period from Jan 2nd, 2007 to Jan 4th, 2017. The methodologies have been applied to several portfolios of assets, ranging from a linear one (pure FX Position) to highly non-linear one (complex derivative securities on FX). The binomial backtest method is used for comparing backtesting performance and the empirical results indicate that the ES method, in lieu of the VaR methods, ensures the significant reduction in the capital adequacy for the semi-parametric models. In addition, the ES yields a considerable capital adequacy reduction compared to the VaR in linear portfolios. The reduction in loses strengths as the portfolios get more non-linear. These findings mainly highlight the importance of the convexity and the subadditivity features of the non-linear portfolios.
Keywords: Expected Shortfall, Value at Risk, Backtesting Methods, Risk Management, Capital Adequacy, FX Portfolios
The Italian Regulation about Administrative Responsibility of Organizations as Declination of Corporate Social Responsibility
Pietro Pavone, Giuseppe Miceli and Francesco Zappia
DOI: 10.15604/ejbm.2018.06.02.002
Abstract
In a complex system such as the one where the modern enterprise is frequently operating, the search for a balance among tools available at a managerial and organizational level can lead to new paths in order to create valuable assets for the whole stakeholder community. The organizational tools offered by the Italian legislator thanks to D.Lgs. no. 231/2001 are suitable to create the so called “shared value” which is indispensable to support and develop a robust Corporate Social Responsibility over time. The aim of present paper is to trace the theoretical foundations of corporate social responsibility and corporate governance then interpret these concepts within a Management, Organization and Control Model proposed by the above mentioned law. The main variables that affect the development of the cited Model are being analyzed and a correct classification is being suggested within an integrated control system.
The Influence of Knowledge Sharing on Service Innovation Performance: An Empirical Study on Hotel in North Borneo, Indonesia
Cheng-Wen Lee and Nurul Hidayat
DOI: 10.15604/ejbm.2018.06.02.003
Abstract
This research is conducted on tourism industry especially hotel in North Borneo Indonesia. To improve the performance of service innovation, companies need knowledge gained from knowledge sharing activities (knowledge donating and knowledge collecting). The study was tested with 182 employees working at the hotel company in North Borneo Indonesia. The data were collected using survey method with questionnaire. The survey responses submitted by respondents in this study indicate that the influence of knowledge sharing on the performance of service innovation shows significant results.
Keywords: Knowledge Sharing, Knowledge Collecting, Knowledge Donating, Service Innovation Performance
Classification of Household Users Using Information Technologies Based on C5.0 Algorithm
Guner Gozde Teksin and Munevver Turanli
DOI: 10.15604/ejbm.2018.06.02.004
Abstract
The use of machine learning and decision tree methods with respect to modelling of big data has been increasing gradually. The data mining has focused on some methods for obtaining the useful information from big data which has not been recognized. The data mining and statistics concentrates upon the identification of structure. The concept of machine learning which evolved out of data mining as a need consists of models and algorithms which analyzes big data and may make significant deductions from data by benefitting from statistics and software. It provides convenience to modelling the big data that the decision tree methods are nonparametric methods. In this paper, the classification tree was created based on C5.0 algorithm by using R programming language.
Keywords: Big Data, Data Mining, Machine Learning, Decision Trees, Classification Tree, C5.0 Algorithm, Cookies
“There Is Nothing Either Good or Bad, But Thinking Makes It So” – Cross-Cultural Perception And Cooperation in Bangladesh – It’s Not About Culture
Coen Heijes
DOI: 10.15604/ejbm.2018.06.02.005
Abstract
This paper seeks to understand the dynamics of cross-cultural cooperation between Dutch expatriates and their Bangladeshi counterparts. As research on expatriates in Bangladesh is still lacking, an exploratory approach was chosen, in order to gain in-depth knowledge. It was found that national culture might be less important in the Bangladeshi context. Rather having a positive attitude and knowledge of the language was found to be important for effective management control in Bangladesh. Next to this, the cultural distance between the Netherlands and Bangladesh is larger from the perception of the expat and smaller from the perception of the Bangladeshi counterpart.
Keywords: Bangladesh, Perception, Cross Cultural, Culture, Expat
Evaluating the Impact of Reward Policies on Employee Productivity and Organizational Performance in Hospitals
Catalin Stefan Rotea, Monica Logofatu, and Cristina Claudia Ploscaru
DOI: 10.15604/ejbm.2018.06.02.006
Abstract
Managers from healthcare area considered employees’ reward and performance as key elements of the work due to the challenges posed by the emigration phenomenon of employees, which leads to reduced patient satisfaction and a poor image of health care units. The number of jobs available in health care continues to increase, while the total number of employees in the medical sector has fallen. Satisfactory reward is a continuing concern for organizational managers, especially from the healthcare industry. The purpose of this paper is to build methodological support to explore reward policies that managers from healthcare areas can implement to improve employees’ productivity and organizational efficiency in providing healthcare services. In the research, data collection will consist of direct observations and investigations made at a hospital level. Research findings could improve the quality of patient care, as highly motivated hospital staff can have a more patient-friendly interaction, leading to improved quality of care and better outcomes. In addition, the results could improve relations between managers of health organizations and external stakeholders that affect organizational social responsibility (National Health Insurance Agency from Romania, local community, NGOs advocating for patient rights, trade unions, etc.).
Keywords: Healthcare Area, Reward, Productivity, Performance, Hospitals
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