The names of the authors are in alphabetical order and do not reflect an unequal contribution to the paper. D/2001/7012/16

In financial market risk measurement, Value-at-Risk (VaR) techniques have proven to be a very useful and popular tool. Unfortunately, most VaR estimation models suffer from major drawbacks: the lognormal (Gaussian) modeling of the returns does not take into account the observed fat tail distribution and the non-stationarity of the financial instruments severely limits the efficiency of the VaR predictions. In this paper, we present a new approach to VaR estimation which is based on ideas from the field of information theory and lossless data compression. More specifically, the technique of context modeling is applied to estimate the VaR by conditioning the probability density function on the present context. Tree-structured vector quantization is applied to partition the multi-dimensional state space of both macroeconomic and microeconomic priors into an increasing but limited number of context classes. Each class can be interpreted as a state of aggregation with its own statistical and dynamic behavior, or as a random walk with its own drift and step size. Results on the US S&P500 index, obtained using several evaluation methods, show the strong potential of this approach and prove that it can be applied successfully for, amongst other useful applications, VaR and volatility prediction. The October 1997 crash is indicated in time.

Abstract not found

The discrete time/cost trade-off problem assumes the duration of project activities to be discrete, nonincreasing functions of the amount of a single nonrenewable resource. The problem has been studied under three possible objectives. The so-called deadline problem involves the scheduling of project activities in order to minimize the total cost of the project while meeting a given deadline. The budget problem aims at minimizing the project duration without exceeding a given budget. A third objective involves the generation of the complete efficient time/cost profile over the set of feasible project durations. In this paper we describe a solution procedure for the deadline problem in which three special cases of time-switch constraints are involved. These constraints impose a specified starting time on the project activities and force them to be inactive during specified time periods. We propose a branch-and-bound algorithm and a heuristic procedure which both make use of a lower bound calculation for the discrete time/cost trade-off problem (without time-switch constraints). The procedures have been coded in Visual C++, version 6.0 under Windows 2000 and have been validated on a randomly generated problem set. We also discuss an illustrative example based on a real-life situation.

Faced with the question whether the Belgian failure prediction models by Ooghe, Joos and De Vos (1991) can be easily applied in all industries and for all sizeclasses, this study compares the performance of the OJD models across 18 different industries and different sizeclasses. After a brief theoretical review of the logistic regression modelling technique, which was used to design the OJD 1991 models, and the performance measures that are used to evaluate these models, we report type I and type II error rates corresponding with the original cut-off points of the models. Furthermore, we calculate new optimal cut-off points, as well as Ginicoefficients. Finally we report the reductions in unweighted error rates when using the new cut-off points instead of the original ones, and the graphs of the trade-off functions. As can be concluded from the performance results and the trade-off functions, there’s a wide range of performances for the different industries. However, we notice that the OJD 1991 models perform best for classical manufacturing industries- such as chemicals, paper and printing, textiles and apparel, paper and printing and metal- and financial services., while the models show the worst performance for service industries- such as real estate, hotel,

The purpose of this study is to investigate managers’ perception about the effectiveness of the linkage between the Balanced Scorecard and variable remuneration. Kaplan and Norton (1996,2000) propose to use the Balanced Scorecard not only as a tool for communicating and monitoring strategy but also as a tool for evaluating and rewarding managers. So far little research has been performed on the effectiveness of Balanced Scorecard-based reward systems. This paper reports on the perceived impact of linking variable remuneration to the Balanced Scorecard using an exploratory field study in a Belgian manufacturing division of a Danish petrochemical company. The study first reviews the management control literature addressing reward systems, performance target setting and the impact of performance measurement attributes on manager’s motivation. Then we analyze the empirical data collected via in-depth interviews, supplemented with an in-company survey. Based on these data we were able to formulate hypotheses and build a model on the motivational impact of a BSC-based variable remuneration system.

Abstract not found

Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise to the standard score encompassing test, while the condition on the second extension induces a so-called reversed score encompassing test. A similar logic is applied to the likelihood ratio, generating a likelihood ratio and a reversed likelihood ratio encompassing test. The ensued test statistics can be based on simulations if certain calculations are too difficult to carry out analytically. We study the first order asymptotic properties of the proposed test statistics under general conditions.

Abstract Existing monetary growth theories predict either negative or neutral effects from inflation on human capital. In this paper we develop a simple alternative model, which can generate positive effects. Our empirical analysis for 93 countries in 1975-1995 tends to confirm these positive effects. Using recent GMM panel data procedures, we find that rising inflation basically stimulates human capital. A negative effect can be observed only at extremely high inflation rates. A representative threshold may be 100%. For inflation rates below 15%, the effect of rising inflation seems insignificant. The latter result can also be rationalized from our model. JEL Classification: E31, J24, O40

In this paper we introduce the concept of due date assignment in the project scheduling literature. Despite the fact that due date assignment problems belongs to the core of the machine scheduling literature, no attempts have been made to tackle this problem in a project scheduling environment. However, of obvious practical importance, an optimal assignment of due dates is of primary interest to the project manager. In a recent research paper on project scheduling with due dates, the problem has been restricted to considering projects with pre-assigned due dates. In reality, due dates are the results of negotiations, rather than simply dictated by the client of the project. In this paper we consider this negotiation process and take a contractor’s point of view who faces the problem of assigning due dates to a particular project, based on the negotiation arguments of the client. We show that the problem under study can be solved by means of the combination of different ideas from the operations research community.