Informs 2015

INFORMS Philadelphia – 2015

320

4 - Speculative Oil

Anna Kruglova, Research Affiliate, MIT Center for Finance

and Policy, 30 Memorial Drive, Cambridge, MA, 02142,

United States of America,

Kruglova@mit.edu

, Andrei Kirilenko

The long-standing framework predicated on a premise that producers are the

main drivers of energy prices, the so-called “hedging pressure” theory, has been

shown to be less consistent with the empirical regularities present in the oil

prices. We hypothesize that with the influx of financial investors, the last needed

barrel is traded not between a hedger and a speculator, but between two

speculators: a commodity trader and/or a bank. We use granular information on

shipments of seaborne crude oil into the US during 2008-2012 to examine the

industry structure and determine who holds the crude oil that supports the

determination of prices in financial markets.

TC07

07-Room 307, Marriott

Systemic Risk: Methods and Models

Cluster: Risk Management

Invited Session

Chair: David Brown, Duke University Fuqua School of Business,

1 Towerview Rd, Durham, NC, United States of America,

dbbrown@duke.edu

1 - Time-varying Systemic Risk: Evidence from a Dynamic Copula

Model of CDS Spreads

Dong Hwan Oh, Economist, Federal Reserve Board, 20th Street

and Constitution Avenue N.W., Washington, DC, 20551, United

States of America,

donghwan.oh@frb.gov,

Andrew Patton

This paper proposes a new class of copula-based dynamic models for high-

dimensional conditional distributions, facilitating the estimation of a wide variety

of measures of systemic risk. We use the proposed new models to study a

collection of daily credit default swap spreads on 100 U.S. firms. We find that

while the probability of distress for individual firms has reduced since the

financial crisis of 2008-09, the joint probability of distress is substantially higher

now than in the pre-crisis.

2 - An Optimization View of Financial Systemic Risk Modeling

Nan Chen, Prof, Chinese University of Hong Kong, 709A William

Mong Engineering Building, Hong Kong, Hong Kong - PRC,

nchen@se.cuhk.edu.hk,

Xin Liu, David D. Yao

We develop an optimization-based formulation on financial systemic risk. A

partition algorithm is constructed to solve the problem. The sensitivity analysis

helps us identify two multipliers to characterize the amplification effects caused

by liability networks and market liquidity. The effects of policy intervention are

also discussed in the paper.

3 - Optimal Capital Requirements in Interbank Networks with Fire

Sales Externality

Jongsoo Hong, Duke University, 1 Towerview Rd, Durham,

NC, 27707, United States of America,

jongsoo.hong@duke.edu

David Brown

We consider an interbank network with fire sales externality and study the

problem of optimally trading off between capital reserves and systemic risk. We

find that the optimal capital requirements is a solution to a stochastic linear

programming without fire sales externality and a stochastic mixed integer

programming with fire sales externality. We offer an iterative algorithm that

converges to the optimal. We demonstrate the methods on an example using data

from a central bank.

TC08

08-Room 308, Marriott

Different Facets of Innovation: Product, Technology

and Business Models

Cluster: Business Model Innovation

Invited Session

Chair: Serguei Netessine, Professor, INSEAD, 1 Ayer Rajah Avenue,

Singapore, 138676, Singapore,

Serguei.Netessine@insead.edu

1 - Identifying and Analyzing Styles in Design Patents

Tian Chan, INSEAD,

TianHeong.CHAN@insead.edu

Jurgen Mihm, Manuel Sosa

We introduce an approach to identify styles (categories of product designs similar

in form) among 400,000 US design patents. We combine state-of-the-art

clustering techniques with experimental validation to create, for the first time, a

dataset of styles. Building on this platform, we find that i) the level of turbulence

(unpredictability of changes) in styles follows a U-shaped pattern to the level of

turbulence in functionality, and ii) styles turbulence is increasing over time.

2 - Free Riding in Team Projects: The Role of the Leadership Style

Morvarid Rahmani, Assistant Professor, Georgia Tech,

morvarid.rahmani@scheller.gatech.edu,

Uday Karmarkar,

Guillaume Roels

In order to remain innovative in today’s global market, firms are increasingly

organizing work around teams. In this paper, we investigate the role of the

leadership style (autocratic or democratic) on free-riding in teams and

characterize which leadership style is the most efficient depending on the project

characteristics.

3 - Different Approaches to Crowdfunding: Kickstarter vs. Indiegogo

Simone Marinesi, Wharton, 562 Jon M. Huntsman Hall, 3730

Walnut St, Philadelphia, PA, 19104, United States of America,

marinesi@wharton.upenn.edu

, Karan Girotra

We compare the different modes of interaction between backers and creators

offered in the two most famous crowdfunding platforms, and provide

prescriptions on their implementation, taking the view of project creators.

4 - Are Good Idea Generators also Good at Evaluating Ideas

Otso Massala, INSEAD, 1 Ayer Rajah Avenue, Singapore,

Singapore,

Otso.MASSALA@insead.edu

Using data collected from a series of innovation tournaments we relate different

business opportunity generation skills with evaluation skills. We find that prolific

generators are worse evaluators while generators that produce high quality ideas

tend to also be good at evaluating. We provide implications for design of

innovation tournaments and innovative organizations.

TC09

09-Room 309, Marriott

Crowd Innovation

Sponsor: Technology, Innovation Management & Entrepreneurship