Open Access

In this paper, we provide a thorough study on the relevance of liquidity-adjusted value-at-risk (LVaR) and expected shortfall (LES) forecasts. We measure additional liquidity of an asset via the difference between its respective bid and ask prices and we assess the non-normality of bid–ask spreads, especially in turbulent market times. The empirical assessment comprises German stocks in both calm and turmoil market times, and our results provide evidence that liquidity risk turns out to be crucial for the quality of regulatory risk assessment in turmoil market times. We find that a Cornish–Fisher approximation describes a sensible choice for LVaR forecasts whereas an extreme value approach results in adequate LES forecasts.

Decisions on asset allocations are often determined by covariance estimates from historical market data. In this paper, we introduce a wavelet-based portfolio algorithm, distinguishing between newly embedded news and long-run information that has already been fully absorbed by the market. Exploiting the wavelet decomposition into short- and long-run covariance regimes, we introduce an approach to focus on particular covariance components. Using generated data, we demonstrate that short-run covariance regimes comprise the relevant information for periodical portfolio management. In an empirical application to US stocks and other international markets for weekly, monthly, quarterly, and yearly holding periods (and rebalancing), we present evidence that the application of wavelet-based covariance estimates from short-run information outperforms portfolio allocations that are based on covariance estimates from historical data.

During the Corona-Pandemic, information (e.g. from the analysis of balance sheets and payment behavior) traditionally used for corporate credit risk analysis became less valuable because it represents only past circumstances. Therefore, the use of currently published data from social media platforms, which have shown to contain valuable information regarding the financial stability of companies, should be evaluated. In this data e. g. additional information from disappointed employees or customers can be present. In order to analyze in how far this data can improve the information base for corporate credit risk assessment, Twitter data regarding the ten greatest insolvencies of German companies in 2020 and solvent counterparts is analyzed in this paper. The results from t-tests show, that sentiment before the insolvencies is significantly worse than in the comparison group which is in alignment with previously conducted research endeavors. Furthermore, companies can be classified as prospectively solvent or insolvent with up to 70% accuracy by applying the k-nearest-neighbor algorithm to monthly aggregated sentiment scores. No significant differences in the number of Tweets for both groups can be proven, which is in contrast to findings from studies which were conducted before the Corona-Pandemic. The results can be utilized by practitioners and scientists in order to improve decision support systems in the domain of corporate credit risk analysis. From a scientific point of view, the results show, that the information asymmetry between lenders and borrowers in credit relationships, which are principals and agents according to the principal-agent-theory, can be reduced based on user generated content from social media platforms. In future studies, it should be evaluated in how far the data can be integrated in established processes for credit decision making. Furthermore, additional social media platforms as well as samples of companies should be analyzed. Lastly, the authenticity of user generated contend should be taken into account in order to ensure, that credit decisions rely on truthful information only.

Gutes Arbeiten für Mitarbeiter ist je nach Arbeitskontext unterschiedlich zu bewerten, hängt jedoch von der Gestaltung bestimmter Kontextfaktoren ab. Die Kontextfaktoren guter Arbeit sind der zentrale Forschungsgegenstand dieser Arbeit. Dabei steht ein E‑Commerce-Team (EC-Team) von Otto im Fokus der Untersuchungen. Das Ziel unseres Artikels ist es, die Kontextfaktoren zu analysieren, die dazu führen, dass gute Arbeit ermöglicht wird. Dabei ist eine auf Dauer funktionierende Arbeitsweise gesucht, welche eine hohe Arbeitsqualität und -quantität ermöglicht. Dazu sind die beiden primären Ziele zu definieren, was gutes Arbeiten ausmacht und zum anderen die Kontextfaktoren für gutes Arbeiten innerhalb des EC-Teams bei Otto zu identifizieren. Unsere Forschungsfrage lautet: Welche Kontextfaktoren sind für gutes Arbeiten bei Otto im EC-Team in der derzeitigen Remote-Arbeit besonders relevant und entsprechend gestaltbar? Um die Forschungsfrage beantworten zu können, wird zunächst eine Literaturrecherche zur Definition von guter Arbeit vorgenommen. Anschließend wird untersucht, welche Faktoren laut Literatur zu einer guten Arbeit beitragen, um aus den resultierenden Faktoren Cluster zu bilden. Die Cluster werden dem Otto EC-Team zur Abstimmung mit der Mehrpunktabfrage über das virtuelle Kollaborations-Tool MiroFootnote 2 zur Verfügung gestellt. Aufbauend auf dem Ergebnis der Abstimmung, werden ein Gamification Board, Erinnerungsmails und ein Stimmungsbarometer erstellt, um die Auswirkungen des Clusters im Rahmen eines Experiments zu analysieren. Diese Maßnahmen werden innerhalb von zwei Wochen durchgeführt. Um die Erfahrungen der Probanden zu sammeln, werden anschließend Interviews durchgeführt und ausgewertet. Die Ergebnisse der Interviews fließen in die anschließende Handlungsempfehlung ein.

Nowadays, problems related with solid waste management become a challenge for most countries due to the rising generation of waste, related environmental issues, and associated costs of produced wastes. Effective waste management systems at different geographic levels require accurate forecasting of future waste generation. In this work, we investigate how open-access data, such as provided from the Organisation for Economic Co-operation and Development (OECD), can be used for the analysis of waste data. The main idea of this study is finding the links between socioeconomic and demographic variables that determine the amounts of types of solid wastes produced by countries. This would make it possible to accurately predict at the country level the waste production and determine the requirements for the development of effective waste management strategies. In particular, we use several machine learning data regression (Support Vector, Gradient Boosting, and Random Forest) and clustering models (k-means) to respectively predict waste production for OECD countries along years and also to perform clustering among these countries according to similar characteristics. The main contributions of our work are: (1) waste analysis at the OECD country-level to compare and cluster countries according to similar waste features predicted; (2) the detection of most relevant features for prediction models; and (3) the comparison between several regression models with respect to accuracy in predictions. Coefficient of determination (R2), Mean Absolute Error (MAE), Root Mean Square Error (RMSE), and Mean Absolute Percentage Error (MAPE), respectively, are used as indices of the efficiency of the developed models. Our experiments have shown that some data pre-processings on the OECD data are an essential stage required in the analysis; that Random Forest Regressor (RFR) produced the best prediction results over the dataset; and that these results are highly influenced by the quality of available socio-economic data. In particular, the RFR model exhibited the highest accuracy in predictions for most waste types. For example, for “municipal” waste, it produced, respectively, R2 = 1 and MAPE = 4.31 global error values for the test set; and for “household” waste, it, respectively, produced R2 = 1 and MAPE = 3.03. Our results indicate that the considered models (and specially RFR) all are effective in predicting the amount of produced wastes derived from input data for the considered countries.