Copenhagen Business School

About: Copenhagen Business School is a education organization based out in Copenhagen, Hovedstaden, Denmark. It is known for research contribution in the topics: Corporate governance & Context (language use). The organization has 2194 authors who have published 9649 publications receiving 341898 citations.

Backtesting Value-at-Risk: A Duration-Based Approach

Abstract: Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Commitee on Banking Supervision (1996). However, existing backtesting methods such as those developed in Christoffersen (1998), have relatively small power in realistic small sample settings. Methods suggested in Berkowitz (2001) fare better, but rely on information such as the shape of the left tail of the portfolio return distribution, which is often not available. By far the most common risk measure is Value-at-Risk (VaR), which is defined as a conditional quantile of the return distribution, and it says nothing about the shape of the tail to the left of the quantile. Our contribution is the exploration of a new tool for backtesting based on the duration of days between the violations of the VaR. The chief insight is that if the VaR model is correctly specified for coverage rate, p, then the conditional expected duration between violations should be a constant 1/p days. We suggest various ways of testing this null hypothesis and we conduct a Monte Carlo analysis which compares the new tests to those currently available. Our results show that in realistic situations, the duration based tests have better power properties than the previously suggested tests. The size of the tests is easily controlled using the Monte Carlo technique of Dufour (2000).

Software Requirements: Styles and Techniques

Abstract: Preface Introduction & Basic Concepts Data Requirements Functional Requirements Non-Functional Requirements The Requirements Process Elicitation Checking & Validation Detailed Techniques References App A Danish Shipyard App B Public Health Admin App C Noise Source Location App D Budgeting & Accounting

The Role of External Knowledge Sources and Organizational Design in the Process of Opportunity Exploitation

Abstract: Research highlights the role of external knowledge sources in the recognition of strategic opportunities but is less forthcoming with respect to the role of such sources during the process of exploiting or realizing opportunities. We build on the knowledge-based view to propose that realizing opportunities often involves significant interactions with external knowledge sources. Organizational design can facilitate a firm's interactions with these sources, while achieving coordination among organizational members engaged in opportunity exploitation. Our analysis of a double-respondent survey involving 536 Danish firms shows that the use of external knowledge sources is positively associated with opportunity exploitation, but the strength of this association is significantly influenced by organizational designs that enable the firm to access external knowledge during the process of exploiting opportunities. Copyright © 2013 John Wiley & Sons, Ltd.

A Temporal Perspective on Organizational Identity

Abstract: We offer as our main theoretical contribution a conceptual framework for how the past is evoked in present identity reconstruction and the ways in which the past influences the articulation of claims for future identity. We introduce the notion of textual, material, and oral memory forms as the means by which organizational actors evoke the past. The conceptual framework is applied in a study of two occasions of identity reconstruction in the LEGO Group, which revealed differences in ways that the past was evoked and influenced claims for future identity. Our study suggests that 1 a longer time perspective in the use of memory enabled a longer time perspective in formulating claims for future identity, 2 a broader scope of articulated identity claims for the future was related to the combination of a broader range of memory forms, and 3 the depth of claims for future identity was related to the way in which memory forms were combined. At a more general level, our paper illustrates how viewing identity construction from the perspective of an ongoing present adds a new dimension to understanding the temporal dynamics of organizational identity.