...made one year after the introduction of the workstation to the market at which point the product will be replaced by newer models not covered by the warranty service subcontract. At the moment, there is uncertainty about the sales potential of the new workstation. Sales of OB1 are expected to come from two sources: (i) the successful closure by senior management of a major purchase of 2000 units by a long standing customer, (ii) the efforts of regional sales offices. Given the state of the negotiations with the long-standing customer, the current estimate of the probability of a successful closure of the major purchase is 0.5. Regional sales of OB1 would be boosted by the successful closure, and the management of Blanket Systems has estimated the regional sales potential (in addition to the major purchase), as shown in the table below. If major purchase Probability 0.2 0.3 0.3 0.2 If no major purchase Sales Probability 1000 0.25 2000 0.25 3000...
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...Impact of high-frequency trading on stock Exchanges Maastricht University | | | | School of Business & Economics | | | | Place & date: | Maastricht, 22 January 2013 | | | | Name, initials: | B.G.M. Lens | | For assessor only | | ID number: | I6048482 | | 1. Content | | Study: | International Business/Economics | | 2. Language structure | | Course code: | EBS1001 | | 3. Language accuracy | | Group number: | C | | 4. Language: Format & citing/referencing | | Tutor name: | Cigdem Akbulut | | Overall: | | Writing tutor name: | / | | Advisory grade | | Writing assignment: | High frequency trading paper | | Assessor’s initials | | Your UM email address: brianlens@gmail.com 1. Introduction On 6 May 2010 the stock market experienced a period of high instability generally known as the Flash Crash. This Flash Crash was the second largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones Industrial Average (Easley, Lopez de Prado, & O’Hara, 2010). For a few minutes, 1 trillion dollars in market value vanished. Therefore, it raised numerous alerts in the U.S. stock market and world markets. It was mainly attributed to the algorithms that nearly all high frequency traders (HFTs) use to make their stock trades. However, primarily blaming high frequency traders and their complex algorithms would ignore the other conditions that allowed the Flash Crash to occur...
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...1. Module Name: Introductory Econometrics Code: P12205 Credits: 10 Semester: Spring 2011/12 Delivery: 16 one-hour lectures + 4 one-hour workshops Aims: The main aims of this module are: to introduce students to the principles, uses and interpretation of regression analysis most commonly employed in applied economics; to provide participants with sufficient knowledge of regression methods to critically evaluate and interpret empirical research. On completion of this module students should be able to: demonstrate understanding of the assumptions and properties underlying regression analysis and the principle of ‘least squares’; interpret and manipulate the coefficients of multiple regression and performance criteria; conduct diagnostic checking of the validity of regression equations coefficients; appreciate the problems of misspecification, multicollinearity, heteroscedasticity and autocorrelation. Content: 1. Simple Regression Analysis 2. Multiple Regression Analysis 3. Dummy Variables 4. Heteroscedasticity 5. Autocorrelation Main Textbook: Dougherty, C. (2011). Introduction to Econometrics, 4th edition, Oxford. 2. Module Name: Computational Finance Code: P12614 Credits: 10 Semester: Spring 2011/12 Programme classes: 12 1-2 hour lectures/workshops Aims: The module aims to describe and analyse the general finance topics and introduces students to implement basic computational approaches to financial problems using Microsoft Excel. It stresses...
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...clearing houses, significant volumes of existing and new transactions remain bilaterally settled, especially as non-standard derivatives may not qualify for central clearing. UBS Delta is providing tools for clients to measure counterparty exposure alongside other investment risk Prudent risk management of credit portfolios includes measurement and limitation of exposure to individual issuers to manage concentration risk. Investment portfolios will have limits, for example, on percentage of current value invested in securities issued by “Bank XYZ”. Where over-the-counter (OTC) derivative counterparties are also issuers of securities held, counterparty risk may be incremental to issuer exposure. If a portfolio includes a swap with Bank XYZ as the counterparty, then exposure to them failing on that swap should be considered alongside exposure to them failing on their debt issues. Counterparty credit risk measurement Counterparty exposure is properly measured not just by the current value of trades with a counterparty, but also by how this value can move as markets move. Where sets of trades with counterparties feature multiple risk drivers/asset classes, modelling the potential exposure becomes a complex problem. Many investment banks have had to tackle this challenge. At UBS we have recently built a new counterparty risk trading system (see box, Modelling CVA and counterparty exposure), which we are rolling out internally and now making available to clients through UBS Delta, our portfolio...
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...2008 FRM® Examination Study Guide Topic Outline, Readings, Test Weightings The Study Guide sets forth primary topics and subtopics under the five risk‐related disciplines covered in the FRM exam. The topics were selected by the FRM Committee as topics that risk managers who work in practice today have to master. The topics are reviewed yearly to ensure the FRM exam is kept timely and relevant. FRM Examination Approach The FRM exam is a practice‐oriented examination. Its questions are derived from a combination of theory, as set forth in the readings, and “real‐world” work experience. Candidates are expected to understand risk management concepts and approaches and how they would apply to a risk manager’s day‐to‐day activities. The FRM examination is also a comprehensive examination, testing a risk professional on a number of risk management concepts and approaches. It is very rare that a risk manager will be faced with an issue that can immediately be slotted into one category. In the real world, a risk manager must be able to identify any number of risk‐related issues and be able to deal with them effectively. Readings Questions for the FRM examination are derived from the readings listed under each topic outline. These readings were selected by the FRM Committee to assist candidates in their review of the subjects covered by the exam. It is strongly suggested that candidates review these readings in depth prior to sitting for the exam...
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...ABHILASH GOYAL, ELECTRICAL ENGINEERING COCA COLA Supply Chain Operations Excellence Trainee OTHER COMPANIES INTERVIEWED WITH: ITC and Schlumberger Program- BTECH HIGHLIGHTS OF MY CAMPUS STAY CPI: 8.8 Volunteer in Ritambhara, participated in 2-3 robotics events etc. PRE-PLACEMENT PREPARATION - When it came to resume building, I mentioned my internship (which was in Samsung), projects I did and the co-curricular activities - I was confident about my aptitude and was focussing mainly core and analytics. - I didn’t prepare for GD but finally had to give GD in Coca Cola, ITC and Schlumberger. So you can never be too sure of what comes your way during the placements. PLACEMENT EXPERIENCE - I started my placement journey by getting shortlisted in Capital One on Day 1. They shortlisted 125 candidates on the basis of resume. Then they took a case study interview and reduced the number to 30. Then again took an aptitude test but finally didn’t give offer to anyone. - Then came Coca Cola on Day 2. They organised GD in the groups of ten each and then there was a single interview of about half an hour which mainly consisted of HR based questions. The topic of the GD was “Are Engineering students wasting time in studies ?”. The interview mainly focussed on the commitment to work with them and asked whether I did any activity depicting leadership skills. - Coca Cola shortlisted candidates with medium profile like moderate CPI with few extracurrecs. I had a target of gettng...
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...The failure of risk management: a book review with 7 comments Introduction Any future-directed activity has a degree of uncertainty, and uncertainty implies risk. Bad stuff happens – anticipated events don’t unfold as planned and unanticipated events occur. The main function of risk management is to deal with this negative aspect of uncertainty. The events of the last few years suggest that risk management as practiced in many organisations isn’t working. A book by Douglas Hubbard entitled, The Failure of Risk Management – Why it’s Broken and How to Fix It, discusses why many commonly used risk management practices are flawed and what needs to be done to fix them. This post is a summary and review of the book. Interestingly, Hubbard began writing the book well before the financial crisis of 2008 began to unfold. So although he discusses matters pertaining to risk management in finance, the book has a much broader scope. For instance, it will be of interest to project and program/portfolio management professionals because many of the flawed risk management practices that Hubbard mentions are often used in project risk management. The book is divided into three parts: the first part introduces the crisis in risk management; the second deals with why some popular risk management practices are flawed; the third discusses what needs to be done to fix these. My review covers the main points of each section in roughly the same order as they appear in the book. The crisis in risk management...
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...appraised to be far less costly than bailing out investors who made poor decisions with respect to credit analysis. Introduction The financial crisis that occurred in 2008 is of such epic proportions that even astronomical amounts spent to address this issue have by far been not able to resolve it. This economic crisis is the worst to ever hit USA since the great depression and is utmost important to economists since this led to 2.6 million unemployed furthermore 3.4 trillion dollar were lost in real estate wealth and the stock market also lost 7.4 trillion according to the Federal Reserve. Besides the $700 billion bill approved by Congress, the Federal Reserve has bailed out institutions and markets by generating about $1.3 trillion in investments in various risky assets, also including loans to otherwise bankrupt organizations & collateralized debt obligations which were completely backed by subprime mortgages that were defaulting at rapid rates. Furthermore a $900 billion is in the process of being proposed in lending to big businesses (Aversa, 2008), leading the total amount to approximately $3 trillion in bailouts as of date, even without counting the massive sum of corporate debts which are guaranteed by the U.S. government in the last year. An analysis of the causes of this epic failure that has put the complete financial structure at danger is warranted in order to solve the problem and avoid...
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...and provide a kinetic boost that will charge the US economy successfully into the foreseeable future. Although time is of the essence in any equation dealing with momentum, some of the “Follow Through Plan’s” planks discussed below have greater priority versus the remaining. But let us not pretend that if some of the plan is sacrificed due to the “feel good” inspirations fostered by the beginnings of proactive economic stimulus, it will not be sustainable if the core retains the properties of risk-tails that can demolish the forward curve permanently … and swiftly. Black Swan events, or those considered to be Gaussian anomalies or 9th degree standard deviation eclipses do not, and have not, occurred at the interval statistical quants have modeled. In fact the anomaly is to believe that Black Swan events are anything but a force of nature and occur about as common, as frequent and as necessary as the changing of the seasons. The “Follow Through Plan”, needed to retain economic leadership of the United States well into the 21st century, should include all of the following critical levels of change and direction. The order iterated is roughly paramount to its relative importance; however some of the quantum policy shifts have been deferred to the end of this dialogue even though their importance and measure of affect are considerably greater than the former tenets of the Plan. 1) The Stimulus Package The key focus of any Stimulus Package needs to center on three...
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...____________________________________________________________________ PROGRAMME HANDBOOK ____________________________________________________________________ ____________________________________________________________________ MASTER OF BUSINESS ADMINISTRATION GENERAL DEGREE (YEAR 1) ____________________________________________________________________ ____________________________________________________________________ JULY 2015 INTAKE ____________________________________________________________________ Copyright© 2015 THE MANAGEMENT COLLEGE OF SOUTHERN AFRICA All rights reserved, no part of this book may be reproduced in any form or by any means, including photocopying machines, without the written permission of the publisher MANCOSA: MBA (GENERAL) YEAR 1 1 TABLE OF CONTENTS 1. WELCOME 1.1 MESSAGE FROM THE PRINCIPAL 1.2 MESSAGE FROM THE OFFICE OF THE DEAN 3 4 INTRODUCTION TO MANCOSA 2.1 BRIEF HISTORY OF MANCOSA 2.2 PROGRAMME OFFERINGS 2.3 DIRECTORS 4 5 5 3. THE MANCOSA MISSION 6 4. THE MANCOSA VISION 6 5. MBA PROGRAMME STRUCTURE 5.1 OVERALL PROGRAMME OBJECTIVES 5.2 PROGRAMME FOCUS 5.3 MODULE DESCRIPTION AND RATIONALE 2. 6. PROGRAMME ADMINISTRATION 6.1 PROGRAMME MANAGEMENT 6.2 FINANCE 6.2.1 FEE PAYMENT 6.2.2 PAYMENT OF FEES AND OTHER DUES 6.2.3 PAYMENT PLANS 6.2.4 ADDITIONAL FEES/CHARGES 6.2.5 REGISTRATION SPECIFIC/INCOMPLETE MODULES 6.2.6 CANCELLATION OF REGISTRATION/FEE LIABILITY ...
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...Research Proposal: Finance; (Financial Engineering, Financial Mathematics & Risk Management) By:Syed Asad Raza Naqvi Index Introduction and Background………………………………………………………………………….3 Interested areas for research and further study (Research Proposal)……………….3 Further explanation of the intended research topics………………………………………..4 Securitization…………………………………………………………………………………………………..4 Credit Derivatives…………………………………………………………………………………………….6 Hybrid Products……………………………………………………………………………………………….7 Re-Securitization……………………………………………………………………………………………..8 Contribution of these products towards Financial Crisis…………………………………..8 Improper Risk Management role in Financial Crisis………………………………………….9 Risks………………………………………………………………………………………………………………..10 Market Risk……………………………………………………………………………………………………..11 Credit Risk……………………………………………………………………………………………………….11 Liquidity Risk……………………………………………………………………………………………………11 Interest Rates and the Financial Crisis………………………………………………………………12 Relation between low interest rate and financial crisis…………………………………….12 Role of Rating Agencies……………………………………………………………………………………14 Structure Finance Products and Rating Agencies……………………………………………..14 Regulations Then and Now………………………………………………………………………………15 BASEL II……………………………………………………………………………………………………………16 Enhancements of Basel II…………………………………………………………………………………18 The Resecuritisation Exposure Using IRB Approach………………………………………….18 The Resecuritisation Exposure Using Standardized Approach…………………………...
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...Spotlight on Big Data Spotlight Artwork Tamar Cohen, Andrew J Buboltz 2011, silk screen on a page from a high school yearbook, 8.5" x 12" Data Scientist: The Sexiest Job of the 21st Century Meet the people who can coax treasure out of messy, unstructured data. by Thomas H. Davenport and D.J. Patil 70 Harvard Business Review October 2012 hen Jonathan Goldman arrived for work in June 2006 at LinkedIn, the business networking site, the place still felt like a start-up. The company had just under 8 million accounts, and the number was growing quickly as existing members invited their friends and colleagues to join. But users weren’t seeking out connections with the people who were already on the site at the rate executives had expected. Something was apparently missing in the social experience. As one LinkedIn manager put it, “It was like arriving at a conference reception and realizing you don’t know anyone. So you just stand in the corner sipping your drink—and you probably leave early.” SPOTLIGHT ON BIG DATA Goldman, a PhD in physics from Stanford, was intrigued by the linking he did see going on and by the richness of the user profiles. It all made for messy data and unwieldy analysis, but as he began exploring people’s connections, he started to see possibilities. He began forming theories, testing hunches, and finding patterns that allowed him to predict whose networks a given profile would land in. He could imagine that new...
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...robin blackburn THE SUBPRIME CRISIS I n the summer of 2007 many leading banks in the us and Europe were hit by a collapse in the value of mortgage-backed securities which they had themselves been responsible for packaging.* To the surprise of many, the poisonous securities turned out to constitute a major portion of their ultimate asset base. The defaults fostered a credit crunch as all financial institutions hoarded cash and required ever widening premiums before lending to one another. The Wall Street investment banks and brokerages haemorrhaged $175 billion of capital in the period July 2007 to March 2008, and Bear Stearns, the fifth largest, was ‘rescued’ in March, at a fire-sale price, by JP Morgan Chase with the help of $29 billion of guarantees from the Federal Reserve. Many of the rest only survived by selling huge chunks of preferred stock, with guaranteed premium rates of return, to a string of ‘sovereign funds’, owned by the governments of Abu Dhabi, Singapore, South Korea and China, among others. By the end of January 2008, $75 billion of new capital had been injected into the banks, but it was not enough. In the uk the sharply rising cost of liquidity destroyed the business model of a large mortgage house, leading to the first bank run in the uk for 150 years and obliging the British Chancellor first to extend nearly £60 billion in loans and guarantees to its depositors and then to take the concern, Northern Rock, into public ownership. In late January Société...
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...Vol. 27, No. 4, July–August 2008, pp. 585–599 issn 0732-2399 eissn 1526-548X 08 2704 0585 informs ® doi 10.1287/mksc.1070.0319 © 2008 INFORMS Practice Prize Report The Power of CLV: Managing Customer Lifetime Value at IBM J. Mack Robinson College of Business, Georgia State University, Atlanta, Georgia 30303, dr_vk@hotmail.com Darden Graduate School of Business, University of Virginia, Charlottesville, Virginia 22904, venkatesanr@darden.virginia.edu Americas Market Intelligence, IBM Corporation, New York, New York 10589, tbohling@us.ibm.com Americas Market Intelligence, IBM Corporation, Atlanta, Georgia 30327, dmbeck@us.ibm.com V. Kumar Rajkumar Venkatesan Tim Bohling Denise Beckmann C ustomer management activities at firms involve making consistent decisions over time, about: (a) which customers to select for targeting, (b) determining the level of resources to be allocated to the selected customers, and (c) selecting customers to be nurtured to increase future profitability. Measurement of customer profitability and a deep understanding of the link between firm actions and customer profitability are critical for ensuring the success of the above decisions. We present the case study of how IBM used customer lifetime value (CLV) as an indicator of customer profitability and allocated marketing resources based on CLV. CLV was used as a criterion for determining the level of marketing contacts through direct mail, telesales, e-mail, and catalogs for each...
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...International Series in Quantitative Marketing Min Ding Jehoshua Eliashberg Stefan Stremersch Editors Innovation and Marketing in the Pharmaceutical Industry Emerging Practices, Research, and Policies Chapter 3 Portfolio Management in New Drug Development Min Ding, Songting Dong, Jehoshua Eliashberg, and Arun Gopalakrishnan Abstract The pharmaceutical industry leads all industries in terms of R&D spend. Portfolio management in new drug development is extremely challenging due to long drug development cycles and high probabilities of failure. In 2010, a pharmaceutical company like GlaxoSmithKline (GSK) spent over USD 6 billion in R&D expenditure and managed a total of 147 R&D projects across 13 therapeutic areas in different stages of development. There are a lot of challenges in deciding on how to allocate resources to these projects in order to achieve the maximum returns. For example, how to evaluate the value and risk of each project, how to choose new projects for both short-term cash flow and long-term development, how to decide which projects to prioritize and which projects to remove from the portfolio, how to design drug development unit and incentive schemes to maximize the likelihood of success, and so forth. This chapter reviews both practice and the state-of-the-art research and summarizes the latest insights from both industry and academia. For a manager, it provides a guide to the tools they need in portfolio management in the new drug development...
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