Department of Finance

1. How do risk attitudes of clearing firms matter for managing default exposure in futures markets?

Author:Cheng, J;Hong, Y;Tao, J


Abstract:This article proposes a theoretical framework that is built upon extreme value theory to study three instruments (i.e. margin, capital requirement and price limits) for managing default risk in futures markets. Specifically, the exceedances over a price threshold are modeled using a generalized Pareto distribution, and the models are static (one-period). We incorporate the risk attitudes of clearing firms into the framework to investigate the efficacy of these instruments under several risk measures, including value-at-risk measures, expected-shortfall measures and spectral risk measures. An empirical study on the VIX futures (or VX) data shows that the effectiveness of these market instruments rests not only on clearing firms' risk attitudes, but also on the tail fatness of the futures price distribution. Moreover, the shift in the risk attitudes of clearing firms may cause interactions among these instruments, which casts new light on the economic rationale of price limits.
2. Impact of marketing channel caused by relationship marketing of online social network

Author:Wang, M;Bian, YJ;Deng, JG;Sheng, H;Tao, J


Abstract:A large number of online social communities have been founded on the internet. Most people, in such online social communities, develop good relationships, believe in each other and share business experiences. Relationship marketing, based on online social network, becomes an important marketing channel. Based on the survey of customers of Changzhou Yuexing Furniture Global Harbor (CYFGH), the relationship between customer loyalty and relationship marketing are examined. The results show that, improvements of interaction frequency between suppliers and customers, as well as professional knowledge of suppliers, can advance relationship quality between suppliers and customers, which will enhance customer loyalty indirectly. In addition, the stronger customer feeling is, the better relationship quality will be. Once suppliers develop good relationship quality with their customers, customers will share their business experiences with others, and suppliers will not only retain existing customers, but also will obtain potential customers through online social communities.
Total 2 results found
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