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    ABSTRACT: We estimate the probability of delinquency and default for a sample of credit card loans using intensity models, via semi-parametric multiplicative hazard models with time-varying covariates. It is the first time these models, previously applied for the estimation of rating transitions, are used on retail loans. Four states are defined in this non-homogenous Markov chain: up-to-date, one month in arrears, two months in arrears, and default; where transitions between states are affected by individual characteristics of the debtor at application and their repayment behaviour since. These intensity estimations allow for insights into the factors that affect movements towards (and recovery from) delinquency, and into default (or not). Results indicate that different types of debtors behave differently while in different states. The probabilities estimated for each type of transition are then used to make out-of-sample predictions over a specified period of time.
    European Journal of Operational Research 07/2014; 236(2):685–694. DOI:10.1016/j.ejor.2013.12.026
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    Environmental Science & Technology 05/2013; 47(10). DOI:10.1021/es4011338
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    ABSTRACT: In this paper the authors describe the implementation of an ecologically inspired Digital Business Ecosystem (DBE) to promote and improve business collaboration by allowing Small and Medium sized Enterprises (SMEs) to find partners for interaction. Building on the analysis of how biologically-inspired computing is useful to represent business interactions and how small firms can benefit from this, the authors employ a methodology for defining ecological interactions among agents (SMEs) in a multi-agent system for the implementation of MADBE, an open-source Multi-Agent DBE. With MADBE, SMEs are able to publish their characteristics, services and needs and the system, using an intelligent protocol of interaction, simulates business interactions and suggests the optimal collaborative links between the participant firms that ultimately can derive in new joint ventures.
    Digital Ecosystems and Technologies Conference (DEST), 2011 Proceedings of the 5th IEEE International Conference on; 07/2011
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    ABSTRACT: In this paper, a semi-Markov decision model of a two-location inventory system with holdout transshipment policy is reviewed under the assumption of phase-type exponential replenishment lead time rather than exponential lead time. The phase-type exponential lead time more closely approximates fixed lead time as the number of phases increases. Unlike past research in this area which has concentrated on the simple transshipment policies of complete pooling or no pooling, the research presented in this paper endeavors to develop an understanding of a more general class of transshipment policy. In addition, we propose an effective method to approximate the dynamic holdout transshipment policy.
    European Journal of Operational Research 06/2011; 211(3):650-657. DOI:10.1016/j.ejor.2011.01.001
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    ABSTRACT: We analyze the implications of European bank consolidation on the default risk of acquiring banks. For a sample of 134 bidding banks, we employ the Merton distance to default model to show that, on average, bank mergers are risk neutral. However, for relatively safe banks, mergers generate a significant increase in default risk. This result is particularly pronounced for cross-border and activity-diversifying deals as well as for deals completed under weak bank regulatory regimes. Also, large deals, which pose organizational and procedural hurdles, experience a merger-related increase in default risk. Our results cast doubt on the ability of bank merger activity to exert a risk-reducing and stabilizing effect on the European banking industry.
    Journal of Banking & Finance 04/2011; 35(4-35):902-915. DOI:10.1016/j.jbankfin.2010.09.001
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    ABSTRACT: Many studies have reported a relationship between urban air pollution levels and respiratory health problems. However, there are notable variations in results, depending on modeling approach, covariate selection, period of analysis, etc. To help clarify these factors we compare and apply two estimation approaches: model selection and Bayesian model averaging, to a new data base on 11 Canadian cities spanning 1974–1994. During this interval pollution levels were typically much higher than the present. Our data allow us to compare monthly hospital admission rates for all lung diagnostic categories to ambient levels of five common air contaminants, while controlling for income, smoking and meteorological covariates. In the most general specifications we find the here-observed health effects of air pollution are very small and insignificant, with signs that are typically opposite to conventional expectations. Smoking effects are robust across specifications. Considering the fact that we are examining an interval of comparatively high air pollution levels, and the contrast between our results and those that have been published previously, we conclude that extra caution should be applied to results estimated on short and/or recent data panels, and to those that do not control for model uncertainty and socioeconomic covariates.
    Environmental Modelling and Software 07/2010; 25(7-25):873-885. DOI:10.1016/j.envsoft.2010.01.010
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    ABSTRACT: After an initial burst of enthusiasm in the 1990 s, community-based forest management (CBFM) is increasingly being viewed with a critical eye. Evidence suggests that many programs have failed to promote their stated objectives of sustainability, efficiency, equity, democratic participation and poverty reduction. A large volume of academic literature now exists on CBFM, examining both the success and failure of such initiatives in a wide variety of countries. Through analysis of key themes, concepts and issues in CBFM, this article provides a review of CBFM initiatives in tropical developing countries for policymakers, practitioners and planners wishing to gain an understanding of this wide-ranging, interdisciplinary academic literature. The article identifies key institutions and incentives that appear to significantly affect the success or failure of CBFM initiatives. In particular, it reports that consideration of institutional and socioeconomic factors along with personal characteristics of key stakeholders such as beliefs, attitudes, financial resources and skills are important determinants of CBFM outcomes. However, local incentive structures also appear to be important. There is increasing recognition in the literature of the need to consider the conditions under which local politicians entrusted with carrying out CBFM initiatives will deem it worthwhile to invest their scarce time and resources on environmental governance.
    Environmental Management 06/2010; 45(6):1312-31. DOI:10.1007/s00267-010-9489-z
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    ABSTRACT: New public management accountability is increasingly being introduced into health-care systems throughout the world - albeit with mixed success. This paper examines the successful introduction of new management accounting systems among general practitioners (GPs) as an aspect of reform in the Italian health-care system. In particular, the study examines the critical role played by the novel concept of an 'ethical budget' in engaging the willing cooperation of the medical profession in implementing change. Utilizing a qualitative research design, with in-depth interviews with GPs, hospital doctors and managers, along with archival analysis, the present study finds that management accounting can be successfully implemented among medical professionals provided there is alignment between the management imperative and the ethical framework in which doctors practise their profession. The concept of an 'ethical budget' has been shown to be an innovative and effective tool in achieving this alignment.
    Health Services Management Research 05/2010; 23(2):76-83. DOI:10.1258/hsmr.2009.009024
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    ABSTRACT: We analyze the takeover premiums paid for a sample of domestic and cross-border bank takeovers in the European Union between 1997 and 2007. We find that acquiring banks value profitable, high-growth and low risk targets. We also find that the strength of bank regulation and supervision as well as deposit insurance regimes in Europe have measurable effects on takeover pricing. Stricter bank regulatory regimes and stronger deposit insurance schemes lower the takeover premiums paid by acquiring banks. This result, presumably in anticipation of higher compliance costs, is driven by domestic deals. Similar qualitative results are found for both the entire sample and the sample of publicly traded targets.
    SSRN Electronic Journal 01/2010; DOI:10.1016/j.jbankfin.2011.03.009
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    ABSTRACT: We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three-factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios. We find that two factors - innovations about future inflation and innovations about future real interest rates - explain the cross-section of expected corporate bond returns in our sample. Our model provides an alternative to the ad hoc risk factor models used, for example, in evaluating the performance of bond mutual funds.
    SSRN Electronic Journal 06/2009; 33(6):996-1004. DOI:10.1016/j.jbankfin.2008.10.011
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