Journal 26 – Integration

This issue of the journal looks at the challenges institutions face when integrating other businesses and the short-comings that the literature has in assisting management in their post-merger integration initiatives. In addition, the papers in this issue look at ways for integrating complex financial models.

Part 1

Page 2: Modeling and pricing of credit derivatives using macroeconomic information

Bernd Schmid,
Executive Director, UBS Delta: Head Central Europe, UBS Investment Bank
Rudi Zagst,
Director, HVB Institute for Mathematical Finance, Technical University Munich
Stefan Antes,
Technical University Munich
Fayssal El Moufatich,
Analyst, Risklab GmbH

Page 11: Bank cash flows, a source of new insight
Paul Klumpes,
Chair in Accounting, Imperial College Business School
Peter Welch,
Andres Reibel,
Ph.D. Candidate, Imperial College Business School

Page 21: Determinants of the yield curve - a model for the relationship between risk and yield
Douglas H. Carr,
President, Carr Capital Co.

Page 27: Banking capital and operational risks: comparative analysis of regulatory approaches for a bank
Elena A. Medova,
Judge Business School, Cambridge University, and Cambridge Systems Associates
Pia E.K. Berg-Yuen,
Cambridge Systems Associates

Page 39: Quality, innovation, differentiation (QID) management and competitiveness in the financial sector: a tool for overcoming financial and banking crises
Mosad Zineldin,
Professor in Economics and Strategic Management, School of Management and Economics, and Master in Psychology, Linnaeus University, Sweden

Page 47: The extreme downside risk of the S&P 500 stock index
Sofiane Aboura,
Associate Professor of Finance, University of Paris-Dauphine

Page 51: Effective parameters for stochastic volatility models
Zaizhi Wang,
Pricing Partners and Centre d economie industrielle, Ecole Nationale Superieure des Mines de Paris

Page 59: Who benefits from market integration: A comparative study of Yankee IPOs from high and low integrated markets
Kuntara Pukthuanthong,
Associate Professor, Department of Finance, College of Business Administration, San Diego State University

Page 74: Integrated returns
David Meade,
Independent advisor


Part 2

Page 78: Economists hubris - the case of mergers and acquisitions

Shahin Shojai,
Global Head of Strategic Research, Capco

Page 87: Justifying adverse actions with new scorecard technologies

David J. Hand,
Professor of Statistics and Head of the Statistics Section, Department of Mathematics, Imperial College, and President, The Royal Statistical Society
Keming Yu,
Reader in Statistics, Department of Mathematical Sciences, Brunel University

Page 92: Four demons
Kevin Kneafsey,
Head of Client Solutions Research, Barclays Global Investors, San Francisco

Page 98: Lending technology, bank organization and competition
Hans Degryse,
Professor of Financial Intermediation and Markets and TILEC-AFM Chair on Financial Regulation, CentER, Tilburg University, TILEC and CESifo
Steven Ongena,
Professor in Empirical Banking, CentER, Tilburg University and CEPR
Gunseli Tumer-Alkan,
Assistant Professor of Finance, VU University Amsterdam

Page 105: Paving the way to M&A success legal restructuring at the core of post-merger integration
Etienne Michelin,
Senior Consultant, Capco
Kunal Patel,
Associate, Capco

Page 111: The new financial factory for innovation economic development
Thomas E. Vass,
President, The Private Capital Market, Inc.

Page 116:Differences in the measurement and structure of wealth using alternative data sources: the case of the U.K.
Zoe Oldfield,
Senior Research Economist, Institute for Fiscal Studies
Eva Sierminska,
Research Economist, CEPS/INSTEAD and DIW Berlin

Page 125: Speculative bubbles and overreaction to technological innovation
Kevin J. Lansing,
Senior Economist, Research Department, Federal Reserve Bank of San Francisco

Page 129: Analyzing and hedging structured products with interactive deformable computer graphics
Michael Mahlknecht, Director Consulting, Delta Hedge GmbH
Konstantin Oppl, Technical Director, Delta Hedge GmbH