Search results

This article investigates the effect of modeling extreme events on the calculation of minimum capital risk requirements for three LIFFE futures contracts. The use of internal models will be permitted under the European Community Capital Adequacy Directive II and will be widely adopted in the near future for determining capital adequacies. Close scrutiny of competing models is required to avoid a potentially costly misallocation of capital resources, to ensure the safety of the financial system. The authors propose a semi‐parametric approach, for which extreme risks are modeled using a generalized Pareto distribution, and smaller risks are characterized by the empirically observed distribution function. The primary finding of comparing the capital requirements based on this approach with those calculated from both the unconditional density and from a conditional density (a GARCH(1,1) model), is that for both in‐sample and out‐of‐sample tests, the extreme value approach yields superior results. This is attributable to the fact that the other two models do not explicitly model the tails of the return distribution.

This paper describes the implementation of a role-play exercise to illustrate the influence of followership styles and effective communication on leader-follower relationship formation and development. We provide the pedagogical theory and evidence behind using role-plays in classroom settings, followed by a literature review pertaining to leader-member relations and followership on which this role-play is based. The activity aims to fulfill multiple objectives: (a) to explain the importance of effectively managing-up the hierarchy, (b) to use effective communication skills in challenging and conflict laden situations, and (c) to expand self- awareness and explore own implicit assumptions. We further provide the session plan for using the role-play including the instructions, timing, and role handouts, and discuss potential outcomes.

This is a resource guide for librarians who wish to gather books and other materials to use in promoting National Women's History Week or, as it will be soon, National Women's History Month. The emphasis is on history rather than on current women's issues. Most of the materials cited have appeared within the past ten years, but a few important older works are included as well.