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Article
Publication date: 31 May 2006

Mi Ae Kim

Recently, domestic market participants have a growing interest in synthetic Collateralized Debt Obligation (CDO) as a security to reduce credit risk and create new profit…

22

Abstract

Recently, domestic market participants have a growing interest in synthetic Collateralized Debt Obligation (CDO) as a security to reduce credit risk and create new profit. Therefore, the valuation method and hedging strategy for synthetic CDO become an important issue. However, there is no won-denominated credit default swap transactions, which are essential for activating synthetic CDO transaction‘ In addition, there is no transparent market information for the default probability, asset correlation, and recovery rate, which are critical variables determining the price of synthetic CDO.

This study first investigates the method of estimating the default probability, asset correlation coefficient, and recovery rate. Next, using five synthetiC CDO pricing models‘ widely used OFGC (One-Factor Non-Gaussian Copula) model. OFNGC (One-Factor Non-Gaussian Copula) model such as OFDTC (One-Factor Double T-distribution Copula) model of Hull and White (2004) or NIGC (Normal Inverse Gaussian Copula) model of Kalemanova et al.(2005), SC<Stochastic Correlation) model of Burtschell et al.(2005), and FL (Forward Loss) model of Bennani (2005), I Investigate and compare three points: 1) appropriateness for portfolio loss distribution, 2) explanation for standardized tranche spread, 3) sensitivity for delta-neutral hedging strategy. To compare pricing models, parameter estimation for each model is preceded by using the term structure of iTraxx Europe index spread and the tranch spreads with different maturities and exercise prices Remarkable results of this study are as follows. First, the probability for loss interval determining mezzanine tranche spread is lower in all models except SC model than OFGC model. This result shows that all mαdels except SC model in some degree solve the implied correlation smile phenomenon, where the correlation coefficient of mezzanine tranche must be lower than other tranches when OFGC model is used. Second, in explaining standardized tranche spread, NIGC model is the best among various models with respect to relative error. When OFGC model is compared with OFDTC model, OFOTC model is better than OFGC model in explaining 5-year tranche spreads. But for 7-year or 10-year tranches, OFDTC model is better with respect to absolute error while OFGC model is better with respect to relative error. Third, the sensitivity sign of senior tranctle spread with respect to asset correlation is sometime negative in NIG model while it is positive in other models. This result implies that a long position may be taken by the issuers of synthet.ic COO as a correlation delta-neutral hedging strategy when OFGC model is used, while a short position may be taken when NIGC model is used.

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Journal of Derivatives and Quantitative Studies, vol. 14 no. 1
Type: Research Article
ISSN: 2713-6647

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Article
Publication date: 25 June 2020

Minghua Wei and Feng Lin

Aiming at the shortcomings of EEG signals generated by brain's sensorimotor region activated tasks, such as poor performance, low efficiency and weak robustness, this paper…

221

Abstract

Purpose

Aiming at the shortcomings of EEG signals generated by brain's sensorimotor region activated tasks, such as poor performance, low efficiency and weak robustness, this paper proposes an EEG signals classification method based on multi-dimensional fusion features.

Design/methodology/approach

First, the improved Morlet wavelet is used to extract the spectrum feature maps from EEG signals. Then, the spatial-frequency features are extracted from the PSD maps by using the three-dimensional convolutional neural networks (3DCNNs) model. Finally, the spatial-frequency features are incorporated to the bidirectional gated recurrent units (Bi-GRUs) models to extract the spatial-frequency-sequential multi-dimensional fusion features for recognition of brain's sensorimotor region activated task.

Findings

In the comparative experiments, the data sets of motor imagery (MI)/action observation (AO)/action execution (AE) tasks are selected to test the classification performance and robustness of the proposed algorithm. In addition, the impact of extracted features on the sensorimotor region and the impact on the classification processing are also analyzed by visualization during experiments.

Originality/value

The experimental results show that the proposed algorithm extracts the corresponding brain activation features for different action related tasks, so as to achieve more stable classification performance in dealing with AO/MI/AE tasks, and has the best robustness on EEG signals of different subjects.

Details

International Journal of Intelligent Computing and Cybernetics, vol. 13 no. 2
Type: Research Article
ISSN: 1756-378X

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Article
Publication date: 6 February 2017

Se-Young Ju, Jin-Ju Ko, Hee-Sun Yoon, Su-Jin Seon, Yu-Ri Yoon, Da-In Lee, So-Yeon Kim and Hye-Ja Chang

The purpose of this paper is to examine the efficacy of microbial elimination using different sanitizers in raw vegetables (cherry tomatoes, spring onions, Chinese chives, and…

389

Abstract

Purpose

The purpose of this paper is to examine the efficacy of microbial elimination using different sanitizers in raw vegetables (cherry tomatoes, spring onions, Chinese chives, and chicory) and to analyze the efficacy of Escherichia coli O157:H7 reduction by type of sanitizer and vegetable.

Design/methodology/approach

To assess the sanitizing effects of microbial elimination by variety of vegetable, the samples were grouped into four different washing methods: control (no sanitizer), 100 ppm chlorine, 100 ppm electrolyzed water, and 200 ppm electrolyzed water after prewashing. Subsequently, quantitative microbiological experiments were conducted to assess aerobic mesophilic plate count (APC), coliform, E. coli, and Bacillus cereus, and sensory changes of the sanitized vegetables were tested. Thereafter, measurement of the sanitizing effects on bacterial reduction after inoculation with E. coli O157:H7 was conducted.

Findings

The microbial levels of four types of vegetables ranged from 3.37 to 5.24 log CFU/g for APC, 2.41 to 5.57 log CFU/g for E. coli, 0.25 to 5.40 log CFU/g for coliform, and 0.83 to 5.44 log CFU/g for B. cereus. After three types of sanitizing treatments, microbial reduction effects showed 0.94-1.84 log CFU/g for APC, 0.56-1.00 log CFU/g for E. coli, 0.18-1.26 log CFU/g for coliform, and 0.56-1.23 log CFU/g for B. cereus (p<0.05). In sensory evaluation, there were no significant differences in taste and flavor between with and without sanitizing treatments. Regarding bacterial reduction after inoculation with E. coli O157:H7, the microbial reduction on vegetables was shown to be in the range of 0.27-1.57 log CFU/g with 100 ppm sodium hypochlorite, 0.66-3.07 log CFU/g with 100 ppm electrolyzed water, and 0.79-2.55 log CFU/g with 200 ppm electrolyzed water. Chicory, cherry tomato, and spring onion showed significant reduction levels of E. coli O157:H7 after sanitation (p<0.05).

Originality/value

This study revealed that different sanitization methods are required for different types of vegetables. Electrolyzed water treatment (100 ppm) is a more effective and safe method of washing raw vegetables. Given that the main purpose of sanitizing fresh-cut produce is to maximally reduce microorganism levels, different methods of sanitizing fresh-cut produce with an adequate washing method should be used according to vegetable type.

Details

British Food Journal, vol. 119 no. 2
Type: Research Article
ISSN: 0007-070X

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Article
Publication date: 1 July 2005

Rutger Muurling and Thorsten Lehnert

Employee Stock Options are the most widely used incentive compensation tool, and prior research has shown their advantages. However, research among different peer groups…

735

Abstract

Employee Stock Options are the most widely used incentive compensation tool, and prior research has shown their advantages. However, research among different peer groups, different time frames, different research methodologies, and the constantly changing public opinion prevents unanimous agreements on the various benefits of Employee Stock Options. In this paper we apply a number of research hypotheses tested in recent US studies to a European sample of EuroStoxx 50 companies. Due to the globalisation, the similar accounting regulations and the IT and telecommunications revolu tions, Europe and the United States have grown closer together than ever before and are expected to display similar business practices. This assessment should be especially relevant for the large European companies, which mostly have a dual listing in the United States and are therefore essentially forced to manage according to American practices. How ever, the results differ significantly from the existing US research, providing insufficient grounds to accept previous findings for European companies.

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Managerial Finance, vol. 31 no. 7
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 June 2005

Sadrudin A. Ahmed, Alain d’Astous and Christian Champagne

This article presents the results of a survey of 202 male Taiwanese consumers. In this study, consumer judgements of two technological products varying in their level of…

899

Abstract

This article presents the results of a survey of 202 male Taiwanese consumers. In this study, consumer judgements of two technological products varying in their level of complexity made in highly, moderately, and newly industrialised countries were obtained in a multi‐attribute context. The results show that the country‐of‐origin image of moderately and newly industrialised countries was less negative for technologically simpler products (i.e. a television) than they were for technologically complex products (i.e. a computer). It appears that the negative image of moderately and newly industrialised countries can be attenuated by making Taiwanese consumers more familiar with products made in these countries and/or by providing them with other product‐related information such as brand name and warranty. Newly industrialised countries were perceived more negatively as countries of design than as countries of assembly, especially in the context of making technologically complex products. The image of foreign countries as producers of consumer goods was positively correlated with education. The more familiar consumers were with the products of a country, the more favourable was their evaluation of that country. Consumer involvement with purchasing a technologically complex product such as a computer was positively associated with the appreciation of products made in moderately industrialised countries. Managerial and research implications are derived from these results.

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Asia Pacific Journal of Marketing and Logistics, vol. 17 no. 2
Type: Research Article
ISSN: 1355-5855

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Article
Publication date: 1 June 1998

Florence R. Kirk, Gerald J. Lobo and Stephen R. Fritsche

Outlines previous research on the relationship between stock returns and earnings and investigates the effects of divergence between security analysts’ earnings forecasts on this…

260

Abstract

Outlines previous research on the relationship between stock returns and earnings and investigates the effects of divergence between security analysts’ earnings forecasts on this relationship. Uses cross‐sectional analysis, time series and variable parameter models on 1981‐88 US data to see whether the stock returns‐earnings coefficient decreases with increased disagreement between analysts and shows that it does. Considers the implications for policy makers and accounting research design; and consistency with other research.

Details

Managerial Finance, vol. 24 no. 6
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 December 2005

Chandrasekhar Krishnamurti, Aleksandar Sevic and Zeljko Sevic

This article questions the validity of regression models when high correlations exist between independent variables and presents the application of VAR as an alternative technique…

877

Abstract

This article questions the validity of regression models when high correlations exist between independent variables and presents the application of VAR as an alternative technique through the comparison of two groups of selected stocks that represent components of Dow Jones and S&P 500 indices, respectively. The results indicate that panel regressions face serious specification problems, while the impulse response function underlines that the shock to the volume innovation has a mostly positive impact on the volatility in both S&P and Dow Jones sample, but the tendency cannot be easily accounted for. The positive impact of volatility shocks on the inter market depth is rather unexpected, but it may be associated with an increase in volume that does not enormously enhance the spread up to the point where it will be too costly for market‐makers to trade, and accordingly, quickly narrows the spread to absorb new liquidity influx in the market. In the Granger causality tests Dow Jones stocks with comparatively larger average volume depth values and price levels provide slightly stronger relations between analyzed variables compared to the stocks included in the S&P sample.

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Managerial Finance, vol. 31 no. 12
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 December 2020

Jung-Hwan Kim, Minjeong Kim, Jungmin Yoo and Minjung Park

The purpose of the study is to investigate how mental imagery evoked from sensory in-store experience influences consumer anticipatory emotion, perceived ownership and decision…

3357

Abstract

Purpose

The purpose of the study is to investigate how mental imagery evoked from sensory in-store experience influences consumer anticipatory emotion, perceived ownership and decision satisfaction which eventually impact positive consumer responses such as behavioural intent. In this study, gender difference is proposed as a moderator to completely understand the role of mental imagery in the in-store decision-making process.

Design/methodology/approach

Using a market research agency in South Korea, an online survey was employed to collect data. A total of 455 useable respondents (men = 224 and women = 231) largely living in the two most populous provinces in South Korea (i.e. Seoul and Gyeonggi provinces) completed the survey. A number of path analyses were conducted to test hypotheses.

Findings

The results of the study showed that mental imagery evoked from sensory product experience played a critical part in facilitating the consumer decision-making process by influencing anticipatory emotion and perceived ownership. The relationship among anticipatory emotion, perceived ownership, decision satisfaction and behavioural intent was significant except for the relationship between perceived ownership and behavioural intent. This study further indicated that the way mental imagery influences the in-store decision-making process differs between men and women.

Originality/value

The effect of mental imagery in a physical retail context is largely ignored. This study addressed the crucial role of mental imagery in a physical apparel retail setting and examined its impact on consumer decision-making processes. By exploring how to enhance consumers' in-store sensory shopping experiences through mental imagery to influence their positive shopping outcomes, this study offers vital insights into how retailers operating physical stores can successfully utilize their stores.

Details

International Journal of Retail & Distribution Management, vol. 49 no. 3
Type: Research Article
ISSN: 0959-0552

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Article
Publication date: 1 September 2005

Rachel Ashworth, Tom Entwistle, Julian Gould‐Williams and Michael Marinetto

This monograph contains abstracts from the 2005 Employment Research Unit Annual Conference Cardiff Business School,Cardiff University, 6‐7th September 2005

2699

Abstract

This monograph contains abstracts from the 2005 Employment Research Unit Annual Conference Cardiff Business School, Cardiff University, 6‐7th September 2005

Details

Management Research News, vol. 28 no. 9
Type: Research Article
ISSN: 0140-9174

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Expert briefing
Publication date: 4 March 2021

President Moon Jae-in has fulfilled his manifesto pledge to reform the country’s powerful prosecution service, with sweeping legislation that transfers most of its investigative…

Details

DOI: 10.1108/OXAN-DB259962

ISSN: 2633-304X

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