The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Alexander Shapiro - One of the best experts on this subject based on the ideXlab platform.
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value at Risk based Risk management optimal policies and asset prices
Review of Financial Studies, 2001Co-Authors: Suleyman Basak, Alexander ShapiroAbstract:This paper analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-Risk exposure using a given Risk-management model. We focus on the industry standard, the Value-at-Risk (VaR) based Risk management, and find that VaR Risk Managers often optimally choose a larger exposure to Risky assets than non Risk Managers, and consequently incur larger losses, when losses occur. We suggest an alternative Risk management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR Risk Managers in a pure-exchange economy amplifies the stock-market volatility at times of down markets (and low output) and attenuates the volatility at times of up markets.
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value at Risk based Risk management optimal policies and asset prices
Review of Financial Studies, 2001Co-Authors: Suleyman Basak, Alexander ShapiroAbstract:This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-Risk exposure using Value-atRisk (VaR). We find that VaR Risk Managers often optimally choose a larger exposure to Risky assets than non-Risk Managers and consequently incur larger losses when losses occur. We suggest an alternative Risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR Risk Managers amplifies the stock-market volatility at times of down markets and attenuates the volatility at times of up markets. In recent years, we have witnessed an unprecedented surge in the usage of Risk management practices, with the Value-at-Risk (VaR)–based Risk management emerging as the industry standard by choice or by regulation [Jorion (1997), Dowd (1998), Saunders (1999)]. VaR describes the loss that can occur over a given period, at a given confidence level, due to exposure to market Risk. The wide usage of the VaR-based Risk management (VaR-RM) by financial as well as nonfinancial firms [Bodnar et al. (1998)] stems from the fact that VaR is an easily interpretable summary measure of Risk 1 and also has an appealing rationale, as it allows its users to focus attention on “normal market conditions” in their routine operations. However, evidence abounds that in practice VaR estimates not only serve as summary statistics for decision makers but are also used as a tool to manage and control Risk—where economic agents struggle to maintain the VaR of their market
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value at Risk based Risk management optimal policies and asset prices
2001Co-Authors: Suleyman Basak, Alexander ShapiroAbstract:This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-Risk exposure using Value-at-Risk (VaR). We find that VaR Risk Managers often optimally choose a larger exposure to Risky assets than non Risk Managers, and consequently incur larger losses, when losses occur. We suggest an alternative Risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR Risk Managers amplifies the stock-market volatility at times of down markets and attenuates the volatility at times of up markets.
Yuval Millo - One of the best experts on this subject based on the ideXlab platform.
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how do Risk Managers become influential a field study of toolmaking in two financial institutions
Management Accounting Research, 2015Co-Authors: Matthew Hall, Anette Mikes, Yuval MilloAbstract:This paper, based on a five-year longitudinal study at two UK-based banks, documents and analyzes the practices used by Risk Managers as they interact and communicate with Managers in their organizations. Specifically, we examine how Risk Managers (1) establish and maintain interpersonal connections with decision makers; and how they (2) adopt, deploy and reconfigure tools—practices that we define collectively as toolmaking. Using prior literature and our empirical observations, we distinguish between activities to which toolmaking was not central, and those to which toolmaking was important. Our study contributes to the accounting and management literature by highlighting the central role of toolmaking in explaining how functional experts may compete for the attention of decision makers in the intraorganizational marketplace for managerially relevant information. Specifically, as Risk management becomes more tool-driven and toolmaking may become more prevalent, our study provides a more nuanced understanding of the nature and consequences of Risk management in contemporary organizations. An explicit focus on toolmaking extends accounting research that has hitherto focused attention on the structural arrangements and interpersonal connections when explaining how functional experts can become influential.
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how do Risk Managers become influential a field study of toolmaking and expertise in two financial institutions
Social Science Research Network, 2012Co-Authors: Matthew Hall, Anette Mikes, Yuval MilloAbstract:In this study, we examine transformations in the influence of Risk Managers in two large UK banks over a period of six years. Our analysis highlights that a process we term toolmaking, whereby experts create, articulate and shape tools that embody their expertise, is central to the way in which the Risk Managers in our study garner influence in their organizations. Based on our field study, we identify two dimensions that help to explain experts’ organizational influence: their ability to (a) incorporate their expertise into highly communicable tools; and (b) develop a personal involvement in the deployment and interpretation of those tools in important decision-making forums. Based on experts’ ability to combine and balance these two processes, we distinguish analytically among four positions of influence they can occupy — compliance expert, technical champion, trusted advisor, and engaged toolmaker — and trace the movements of experts between these positions. Our empirical findings and theoretical framework contribute to our understanding of the nature of expert influence and how and why functional groups, such as Risk Managers, can become influential.
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how do Risk Managers become influential a field study in two financial institutions
2011Co-Authors: Matthew Hall, Anette Mikes, Yuval MilloAbstract:This paper, based on a five-year longitudinal study at two UK-based banks, documents and analyzes the practices used by Risk Managers as they aim to gather and establish influence in their organizations. Specifically, we examine how influence-seeking Risk Managers (1) establish and maintain interpersonal connections with decision makers; and how they (2) adopt, deploy and reconfigure tools – practices that we define collectively as toolmaking. Using prior literature and our empirical observations, we distinguish between influence activities to which toolmaking was not central, and those to which toolmaking was important. As for the influence activities which imply toolmaking, we can outline the contours of three modes of operation, which describe experts operating as Compliance Experts, Engaged Toolmakers or Technical Champions, depending on the communicability of the tools and on the extent to which the experts are involved in practices related to those tools. Our study contributes to the accounting and management literature on influence-gathering, underlining that toolmaking plays a vital role in explaining how functional experts may compete in the intraorganizational marketplace for influential ideas and the attention of decision makers. Specifically, as Risk management becomes more tool-driven and toolmaking may become more prevalent, our study provides a more nuanced understanding of the nature and consequences of Risk Managers’ influence activities. An explicit focus on toolmaking extends accounting research that has hitherto focused attention on the structural arrangements and interpersonal connections when explaining the emergence of the influential financial expert. *Corresponding Author: Anette Mikes (amikes@hbs.edu) Acknowledgements The authors are grateful for the comments they have received from Michel Anteby, Henri C. Dekker, John Elder, Robin J. Ely, Dominique Hamel, Martin Giraudeau, Jean-Pascal Gond, Sarah Kaplan, Bertrand Malsch, Andrea Mennicken, Karthik Ramanna, Steve Salterio, David Smith, Wim A. Van der Stede, the Editor and two anonymous reviewers. The authors also thank participants at the workshop on Management Accounting as Social and Organizational Practice (2011), the 2012 Contemporary Accounting Research conference, and departmental seminars at the London School of Economics, University of Amsterdam, Universite de Lausanne, Harvard Business School, University of Technology Sydney and Monash University.
Suleyman Basak - One of the best experts on this subject based on the ideXlab platform.
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value at Risk based Risk management optimal policies and asset prices
Review of Financial Studies, 2001Co-Authors: Suleyman Basak, Alexander ShapiroAbstract:This paper analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-Risk exposure using a given Risk-management model. We focus on the industry standard, the Value-at-Risk (VaR) based Risk management, and find that VaR Risk Managers often optimally choose a larger exposure to Risky assets than non Risk Managers, and consequently incur larger losses, when losses occur. We suggest an alternative Risk management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR Risk Managers in a pure-exchange economy amplifies the stock-market volatility at times of down markets (and low output) and attenuates the volatility at times of up markets.
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value at Risk based Risk management optimal policies and asset prices
Review of Financial Studies, 2001Co-Authors: Suleyman Basak, Alexander ShapiroAbstract:This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-Risk exposure using Value-atRisk (VaR). We find that VaR Risk Managers often optimally choose a larger exposure to Risky assets than non-Risk Managers and consequently incur larger losses when losses occur. We suggest an alternative Risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR Risk Managers amplifies the stock-market volatility at times of down markets and attenuates the volatility at times of up markets. In recent years, we have witnessed an unprecedented surge in the usage of Risk management practices, with the Value-at-Risk (VaR)–based Risk management emerging as the industry standard by choice or by regulation [Jorion (1997), Dowd (1998), Saunders (1999)]. VaR describes the loss that can occur over a given period, at a given confidence level, due to exposure to market Risk. The wide usage of the VaR-based Risk management (VaR-RM) by financial as well as nonfinancial firms [Bodnar et al. (1998)] stems from the fact that VaR is an easily interpretable summary measure of Risk 1 and also has an appealing rationale, as it allows its users to focus attention on “normal market conditions” in their routine operations. However, evidence abounds that in practice VaR estimates not only serve as summary statistics for decision makers but are also used as a tool to manage and control Risk—where economic agents struggle to maintain the VaR of their market
-
value at Risk based Risk management optimal policies and asset prices
2001Co-Authors: Suleyman Basak, Alexander ShapiroAbstract:This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-Risk exposure using Value-at-Risk (VaR). We find that VaR Risk Managers often optimally choose a larger exposure to Risky assets than non Risk Managers, and consequently incur larger losses, when losses occur. We suggest an alternative Risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR Risk Managers amplifies the stock-market volatility at times of down markets and attenuates the volatility at times of up markets.
Matthew Hall - One of the best experts on this subject based on the ideXlab platform.
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how do Risk Managers become influential a field study of toolmaking in two financial institutions
Management Accounting Research, 2015Co-Authors: Matthew Hall, Anette Mikes, Yuval MilloAbstract:This paper, based on a five-year longitudinal study at two UK-based banks, documents and analyzes the practices used by Risk Managers as they interact and communicate with Managers in their organizations. Specifically, we examine how Risk Managers (1) establish and maintain interpersonal connections with decision makers; and how they (2) adopt, deploy and reconfigure tools—practices that we define collectively as toolmaking. Using prior literature and our empirical observations, we distinguish between activities to which toolmaking was not central, and those to which toolmaking was important. Our study contributes to the accounting and management literature by highlighting the central role of toolmaking in explaining how functional experts may compete for the attention of decision makers in the intraorganizational marketplace for managerially relevant information. Specifically, as Risk management becomes more tool-driven and toolmaking may become more prevalent, our study provides a more nuanced understanding of the nature and consequences of Risk management in contemporary organizations. An explicit focus on toolmaking extends accounting research that has hitherto focused attention on the structural arrangements and interpersonal connections when explaining how functional experts can become influential.
-
how do Risk Managers become influential a field study of toolmaking and expertise in two financial institutions
Social Science Research Network, 2012Co-Authors: Matthew Hall, Anette Mikes, Yuval MilloAbstract:In this study, we examine transformations in the influence of Risk Managers in two large UK banks over a period of six years. Our analysis highlights that a process we term toolmaking, whereby experts create, articulate and shape tools that embody their expertise, is central to the way in which the Risk Managers in our study garner influence in their organizations. Based on our field study, we identify two dimensions that help to explain experts’ organizational influence: their ability to (a) incorporate their expertise into highly communicable tools; and (b) develop a personal involvement in the deployment and interpretation of those tools in important decision-making forums. Based on experts’ ability to combine and balance these two processes, we distinguish analytically among four positions of influence they can occupy — compliance expert, technical champion, trusted advisor, and engaged toolmaker — and trace the movements of experts between these positions. Our empirical findings and theoretical framework contribute to our understanding of the nature of expert influence and how and why functional groups, such as Risk Managers, can become influential.
-
how do Risk Managers become influential a field study in two financial institutions
2011Co-Authors: Matthew Hall, Anette Mikes, Yuval MilloAbstract:This paper, based on a five-year longitudinal study at two UK-based banks, documents and analyzes the practices used by Risk Managers as they aim to gather and establish influence in their organizations. Specifically, we examine how influence-seeking Risk Managers (1) establish and maintain interpersonal connections with decision makers; and how they (2) adopt, deploy and reconfigure tools – practices that we define collectively as toolmaking. Using prior literature and our empirical observations, we distinguish between influence activities to which toolmaking was not central, and those to which toolmaking was important. As for the influence activities which imply toolmaking, we can outline the contours of three modes of operation, which describe experts operating as Compliance Experts, Engaged Toolmakers or Technical Champions, depending on the communicability of the tools and on the extent to which the experts are involved in practices related to those tools. Our study contributes to the accounting and management literature on influence-gathering, underlining that toolmaking plays a vital role in explaining how functional experts may compete in the intraorganizational marketplace for influential ideas and the attention of decision makers. Specifically, as Risk management becomes more tool-driven and toolmaking may become more prevalent, our study provides a more nuanced understanding of the nature and consequences of Risk Managers’ influence activities. An explicit focus on toolmaking extends accounting research that has hitherto focused attention on the structural arrangements and interpersonal connections when explaining the emergence of the influential financial expert. *Corresponding Author: Anette Mikes (amikes@hbs.edu) Acknowledgements The authors are grateful for the comments they have received from Michel Anteby, Henri C. Dekker, John Elder, Robin J. Ely, Dominique Hamel, Martin Giraudeau, Jean-Pascal Gond, Sarah Kaplan, Bertrand Malsch, Andrea Mennicken, Karthik Ramanna, Steve Salterio, David Smith, Wim A. Van der Stede, the Editor and two anonymous reviewers. The authors also thank participants at the workshop on Management Accounting as Social and Organizational Practice (2011), the 2012 Contemporary Accounting Research conference, and departmental seminars at the London School of Economics, University of Amsterdam, Universite de Lausanne, Harvard Business School, University of Technology Sydney and Monash University.
Michael D Moran - One of the best experts on this subject based on the ideXlab platform.
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Air Pollution and Public Health: A Guidance Document for Risk Managers
Journal of Toxicology and Environmental Health Part A, 2008Co-Authors: Lorraine Craig, Quentin Chiotti, Bart Croes, Anthony Hedley, Stephanie Gower, Jeffrey R Brook, Daniel Krewski, Alan Krupnick, Michal Krzyzanowski, Michael D MoranAbstract:This guidance document is a reference for air quality policymakers and Managers providing state-of-the-art, evidence-based information on key determinants of air quality management decisions. The document reflects the findings of five annual meetings of the NERAM (Network for Environmental Risk Assessment and Management) International Colloquium Series on Air Quality Management (2001-2006), as well as the results of supporting international research. The topics covered in the guidance document reflect critical science and policy aspects of air quality Risk management including i) health effects, ii) air quality emissions, measurement and modeling, iii) air quality management interventions, and iv) clean air policy challenges and opportunities.
