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We estimate tail parameters and construct risk statistics for unconditional distributions of daily logarithmic price changes of the NYMEX energy complex and apply the conditional extreme value method proposed by A. J. McNeil and R. Frey (2000) for estimating VAR and related risk statistics from the tails of conditional distributions for these commodities. The unconditional distribution of spot market price declines is found to be fat tailed relative to the normal for all commodities examined. Backtesting of candidate conditional risk measurement methods indicates that the conditional extreme value method is significantly more accurate for measuring risk exposure due to price declines for 7 of the 10 price series examined.

We examine the effect of managerial compensation and ownership on the use of foreign-exchange derivatives by U.S. bank holding companies. We focus on derivatives used for purposes other than trading to investigate derivative use in a hedging framework. We use instrumental variables probit and sample-selection models to estimate the effects of endogenous and exogenous factors on the probability and extent of foreign-exchange derivatives used. We find that the use of derivatives is inversely related to option awards but positively related to managerial ownership. Finally, our results suggest that ownership by large institutional shareholders provides incentive for managers to hedge. 2007 The Southern Finance Association and the Southwestern Finance Association.

This study reports on the cross-country heterogeneity in youth awareness and expectations about genetically modified organisms (GMOs) and nuclear power technology (NPT) within the North American free trade area (NAFTA). Models are estimated with data on youth respondents from the USA, Canada and Mexico, using seemingly unrelated bivariate weighted ordered probit regression, with maximum simulated likelihood estimation. Our findings show that the diffusion of technology and information within the trade bloc, for the 20 years prior to the 2015 data collection period, did not significantly contribute to cross-country convergence in youth awareness and expectations about GMOs and NPTs. Indeed, with regard to awareness, compared to youth from the USA, those from Canada show 15% (GMOs) and 7.1% (NPT) more awareness, respectively; while youth from Mexico show 34.4% and 19.5% less awareness about GMOs and NPT, respectively. With respect to expectations about future developments of the two technological artifacts, compared to youth from the USA, those from Canada and Mexico are 34.4% and 39.9% more optimistic about GMOs, respectively, while 15% and 49.7% are more optimistic about NPT. Overall, our findings show that the youth population within NAFTA is 2.5% and 6.7% more optimistic about GMOs and NPT for each level of increase in their awareness about the two technologies, respectively. Theoretically, our results seem to reject the hypothesis of NAFTA being a technology convergence country club in the Schumpeterian view, while seemingly supporting the existence of heterogeneous growth regimes within NAFTA.