University of Ljubljana, Faculty of Economics

About: University of Ljubljana, Faculty of Economics is a based out in . It is known for research contribution in the topics: Productivity & Tourism. The organization has 251 authors who have published 533 publications receiving 16109 citations.

Default Prediction with the Merton-Type Structural Model Based on the NIG Lévy Process

Abstract: Merton’s model (Merton 1974) has long been a standard for estimating company's probability of default (PD) for listed companies. The major advantage of Merton's model is the use of current market prices to determine the probability of default. The logic behind the model is simple; the market prices best reflect all the relevant information (being forward looking estimates of company's prospect) and should be (and are) superior to the balance sheet disclosures, which at best are ex post realizations of company's performance. It is thus a pity that the benefits (strengths) of Merton's model are hindered by a significant shortcoming of the model namely the assumption of normally distributed returns.As numerous authors point out (Barndorff-Nielsen 1995, Barndorff-Nielsen 1997, Prause 1999, Eberlein 2001, Brambilla et al. 2015), stock returns are not normally distributed which significantly limits the use of model in practice. Moreover the estimates of PDs can be biased downwards exposing the banks to the possibility of undercapitalisation and systematic shocks.It is the purpose of this paper to remedy this situation. Firstly we extend the Merton model by allowing for normal inverse Gaussian (NIG) distributed returns. As several authors point out using the examples of options (Schoutens 2009), NIG in most cases provides a robust statistical platform for estimating stock returns. We further extend our approach by constructing a robust EM algorithm for estimating PDs within the Merton NIG framework.We also test the reliability of the NIG improved Merton model against classical Merton's model for estimating PDs. Applying our results to Ljubljana stock exchange we find that the PD estimates using classical Merton's model are biased, whereas the estimates from NIG Merton's model are robust.

Self-Assessment System: Detrimental Effects upon Entrepreneurial and Innovative Activity

Abstract: Efficient regulatory mechanisms that induce innovation, co-operation and deter competition law infringements have recently been the subject of growing attention. Competition is essential to the innovation process which in general terms enables entrepreneurship. But so too is co-operation between firms which requires an exchange of information and may lead to inefficient collusive behaviour. The optimal trade-off between the provision of stable entrepreneurial incentives and the new European competition law’s reform with the self-assessment system has been largely missing from the current scholarly debate. This paper identifies the unintended horizontal side effects of this new self-assessment system upon the entrepreneurial activity, offers a legal evaluation of the optimal entrepreneurial incentive mechanisms and provides legal and economics arguments for an improved regulatory response.

Are Exogenous Risk Management Requirements Value- or Cost-Enhancing?

Abstract: In this paper we report current practices of risk management in Slovenian companies and relate the incentives for risk management in post-transitional legal and business environment to the neoclassical theoretical motives for risk management. We find that in such environment, which more or less characterizes most of the Eastern European countries, neoclassical theoretical motives do not provide sufficient (endogenous) incentives to shareholders and managers to manage risk within firms. We argue that compulsory use of International Financial Reporting Standard (IFRS) disclosure requirements induce managers to actively analyze and manage risks. We see this exogenous push as necessary but unfortunately not sufficient mechanism to induce managers to manage risk within firms, since managers perceive the reporting requirements primarily as cost-enhancing. We argue that in order to endogenize the incentives governments need to create market conditions under which managers will also see the added value of the risk management. This will predominantly require change in mechanisms of corporate governance.

Samoiniciativno preoblikovanje dela: vpliv na zavzetost in emocionalno pripadnost zaposlenih

Abstract: S samoiniciativnim preoblikovanjem dela lahko zaposleni delu dajejo vecji smisel kot sicer in tako uresnicujejo svoje poslanstvo. Taksen pristop k delu povecuje posameznikovo motivacijo, zadovoljstvo in delovno uspesnost, kar posledicno prinasa ugodne ucinke za zaposlujoco organizacijo. V prispevku preucujeva, v koliksni meri zaposleni z razlicno stopnjo izobrazbe ter stevilom let delovnih izkusenj preoblikujejo svoje delo in kaksne so posledice treh dimenzij samoiniciativnega preoblikovanja dela (preoblikovanja nalog, odnosov in miselnega zaznavanja). Analiza na vzorcu 224 zaposlenih v organizacijah v Sloveniji je pokazala, da bolj izobraženi zaposleni v vecji meri preoblikujejo delo. Poleg tega rezultati kažejo pozitiven vpliv vseh treh oblik samoiniciativnega preoblikovanja dela na zavzetost zaposlenih, pri cemer ima najmocnejsi vpliv miselno zaznavanje. Nadalje ugotavljava, da imata dimenziji samoiniciativnega preoblikovanja nalog in odnosov pozitiven vpliv na emocionalno pripadnost, medtem ko za preoblikovanje miselnega zaznavanja tega ne moreva trditi. Smiselno je torej preucevati posamezne pojavne oblike samoiniciativnega preoblikovanja dela in ne le skupnega konstrukta.

LPINT: LP Software Based on the Interior Point Method

Abstract: Karmarkar’s algorithm (Karmarkar 1984) and other interior point methods are now regarded as a competitive methods for solving linear programming (LP) problems. It is therefore worth-while to undertake development of a professional LP software based on some particular interior point method. We describe design and implementation aspects of LPINT, an LP software package which is based on the primal-dual interior point algorithm.