IDEAS home Printed from https://ideas.repec.org/p/gro/rugsom/97a23.html
   My bibliography  Save this paper

Tasks, cognitive agents, and KB-DSS in workflow and process management

Author

Listed:
  • Jorna, R.J.
  • Wezel, W. van

    (Groningen University)

Abstract

The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.

Suggested Citation

  • Jorna, R.J. & Wezel, W. van, 1997. "Tasks, cognitive agents, and KB-DSS in workflow and process management," Research Report 97A23, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:97a23
    as

    Download full text from publisher

    File URL: http://irs.ub.rug.nl/ppn/162158149
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:dgr:rugsom:97a11 is not listed on IDEAS
    2. Wezel, W. van & Jorna, R.J., 1997. "The SEC-system : reuse support for scheduling system development," Research Report 97A11, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Hammer, Michael & Champy, James, 1993. "Reengineering the corporation: A manifesto for business revolution," Business Horizons, Elsevier, vol. 36(5), pages 90-91.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:dgr:rugsom:97a23 is not listed on IDEAS
    2. Toppen, R. & Smits, M.T. & Ribbers, P.M.A., 1998. "Improving process performance through market network design : A study of the impact of electronic markets in the financial securities sector," Other publications TiSEM c3c8d2ea-7727-475e-83cf-d, Tilburg University, School of Economics and Management.
    3. Byrd, T. A. & Marshall, T. E., 1997. "Relating information technology investment to organizational performance: a causal model analysis," Omega, Elsevier, vol. 25(1), pages 43-56, February.
    4. Félicia Saïah & Diego Vega & Harwin de Vries & Joakim Kembro, 2023. "Process modularity, supply chain responsiveness, and moderators: The Médecins Sans Frontières response to the Covid‐19 pandemic," Production and Operations Management, Production and Operations Management Society, vol. 32(5), pages 1490-1511, May.
    5. V.K. Gupta, 2016. "Strategic framework for managing forces of continuity and change in innovation and risk management in service sector: a study of service industry in India," International Journal of Services and Operations Management, Inderscience Enterprises Ltd, vol. 23(1), pages 1-17.
    6. Douglas Dean & Richard Orwig & Douglas Vogel, 2000. "Facilitation Methods for Collaborative Modeling Tools," Group Decision and Negotiation, Springer, vol. 9(2), pages 109-128, March.
    7. Harry Hummels & Patrick Nullens, 2022. "‘Other-wise’ Organizing. A Levinasian Approach to Agape in Work and Business Organisations," Humanistic Management Journal, Springer, vol. 7(2), pages 211-232, October.
    8. Magdalena LUCA (DEDIU), 2014. "Business Process Reengineering," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 233-236.
    9. Tina George Karippacheril & Soonhee Kim & Robert P. Jr. Beschel & Changyong Choi, 2016. "Bringing Government into the 21st Century," World Bank Publications - Books, The World Bank Group, number 24579.
    10. Stephan Kudyba, 2006. "Enhancing Organisational Information Flow And Knowledge Creation In Re-Engineering Supply Chain Systems: An Analysis Of The U.S. Automotive Parts And Supplies Model," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 163-173.
    11. Nurmi, Raimo, 1998. "Knowledge-intensive firms," Business Horizons, Elsevier, vol. 41(3), pages 26-32.
    12. Csaba Deák, 2005. "Change by Successful Projects - IT and Change Projects in Hungary," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, vol. 3(01), pages 17-22.
    13. Daniele Binci, 2013. "L?equilibrio organizzativo attraverso il clima. L?evidenza empirica di un ente locale," ECONOMIA E DIRITTO DEL TERZIARIO, FrancoAngeli Editore, vol. 2013(1), pages 65-97.
    14. Vansina, L.S. & Taillieu, T.C.B., 1994. "Business process reengineering or socio-technical system design in new clothes?," WORC Paper 94.09.064/3, Tilburg University, Work and Organization Research Centre.
    15. Rajat Roy & Justine Brown & Chris Gaze, 2003. "Re-engineering the construction process in the speculative house-building sector," Construction Management and Economics, Taylor & Francis Journals, vol. 21(2), pages 137-146.
    16. Awolusi & Olawumi Dele & Akeke & Niyi Isreal & Akinruwa & Temitope Emmanuel, 2014. "Modeling Business Process Re-Engineering and Organizational Performance in the Nigerian Oil and Gas Industry," International Journal of Management Sciences, Research Academy of Social Sciences, vol. 3(5), pages 336-350.
    17. Fındık, Derya & Beyhan, Berna, 2014. "A Perceptual Measure of Innovation Performance: Micro Level Evidence from Turkey," MPRA Paper 60961, University Library of Munich, Germany.
    18. Jacques Simonin & Selmin Nurcan & Judith Barrios, 2013. "Evolution organisationnelle fondée sur la cohérence des relations entre acteurs avec les buts métiers," Post-Print hal-00831621, HAL.
    19. Charalambos Vlados & Fotios Katimertzopoulos, 2019. "The ¡°Mystery¡± of Innovation: Bridging the Economic and Business Thinking and the Stra.Tech.Man Approach," Business and Economic Research, Macrothink Institute, vol. 9(1), pages 236-262, March.
    20. Fuglseth, A. M. & Grønhaug, K., 1997. "IT-enabled redesign of complex and dynamic business processes: the case of bank credit evaluation," Omega, Elsevier, vol. 25(1), pages 93-106, February.
    21. Khan, M. R. Rotab, 2000. "Business process reengineering of an air cargo handling process," International Journal of Production Economics, Elsevier, vol. 63(1), pages 99-108, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gro:rugsom:97a23. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hanneke Tamling (email available below). General contact details of provider: https://edirc.repec.org/data/ferugnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.