Life Cycle Effects of Job Displacement in Brazil This paper estimates the consequences of the decline of the Brazilian manufacturing sector for displaced workers. I estimate that earnings decline by nearly 50% after displacement relative to one year prior. About a quarter of the initial earnings loss is attributable to reduced hours of work rather than lower wages. However, hours recover fully ...

We introduce capital flow constraints, loss of good will and loan to the lot sizing problem. Capital flow constraint is different from traditional capacity constraints: when a manufacturer launches production, its present capital should not be less than its present total production cost; otherwise, it must decrease production quantity or suspend production. Unsatisfied demand in one period may ...

The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss data. Operational loss databases are typically subject to a minimum recording threshold of roughly $10...

In this paper, we consider a diffusion approximation to a classical risk process with the possibility of quota-share and excess-of-loss reinsurance, while in addition the company controls the amount of dividends paid out to the shareholders as well as the capital injections. The objective is to maximize the cumulative expected discounted dividends minus the penalized discounted capital injectio...

This paper illustrates how the destruction of firm-specific organizational capital associated with changes in firm-level employment can influence the behavior of aggregate job flows, even in the presence of heterogeneity across firms and even in the absence of aggregate shocks. Our analysis highlights the potential importance of the distinction between adjustment costs that are associated with ...

In this paper a basic skill vector characterization of occupations is used to examine the relation between human capital specificity and occupational mobility. Specifically, the paper asks, how much occupational mobility is simply moving a given skill or task set around different occupations that use the same skill set, and how much involves major shifts in the skill vectors? The loss of specif...

The main objective of this paper is to estimate the cost of road traffic accidents in Egypt. The Human Capital (HC) approach, specifically the Gross-Loss-of-Output methodology, is adopted for estimation. Moreover, cost values obtained by previous national literature are updated using the inflation rates. The results indicate an estimated cost of road traffic accidents in Egypt of approximately ...

The purpose of this paper is to study the suitability of loan loss provision (LLP) of Iranian banks when the industry is dealing with earning management behaviors. This goal has been reached using a two-step approach to analyze the discretionary component of LLP and then examine the relevant factors. This empirical study uses an unbalanced panel data of 15 listed banks during the 2006-2017 peri...

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Valueat-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the contex...

In this paper, the large deviation approach for computing the capital charge for operational risk of a bank is explored. Firstly, the negatively-associated structure is utilized to measure the dependence between distinct operational loss cells. Secondly, the lower and upper bounds of the tail distribution function of total aggregated loss processes are determined. In addition, first order appro...