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You searched for subject:(Financial risk modelling). Showing records 1 – 3 of 3 total matches.

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1. De jong, Marielle. La perception de risque d'investissement : Investment risk perception.

Degree: Docteur es, Sciences économiques, 2010, Aix-Marseille 2

Dans cette Thèse, trois cas pratiques sont étudiées dans le domaine de la gestion des fonds où les risques d’investissement semblent mal perçus du fait d’ambiguïtés dans la mesure de risque. Ces ambiguïtés sont analysées comme une erreur élémentaire où une trop forte simplification de la réalité qui peut aboutir à une approche confuse. Les trois études sont développées dans un contexte usuel d’investissement, et portent sur les actions pour la première, sur les obligations pour la seconde et sur les devises pour la troisième. Elles s’inscrivent dans les conventions traditionnelles de la théorie de la finance. Les trois études, qui font l’objet de chapitres distincts, montrent comment la perception de risque peut être troublée dès les premiers traitements des données financières et avant même une éventuelle évaluation des risques. Plusieurs mesures de risque, pourtant courantes dans la finance, apparaissent réductrices ou mal adaptées aux circonstances dans lesquelles elles sont utilisées. Nous décrivons comment, dans certains cas, des mauvaises décisions d’investissement peuvent être prises du fait d’erreur de mesure, ou comment dans d’autres cas le débat dans la littérature économique a été orienté vers de mauvaises directions. Les études soulignent que l’appréciation des risques financiers est loin d’être triviale, même dans les domaines habituellement considérés comme maîtrisés. Une approche systématique a été adoptée pour établir à quel moment précis les analyses intègrent une mauvaise perception du risque.

Three situations are studied in the field of fund management where investment risk may be misperceived due to an ambiguity in the way risk is being measured. The case studies involve equity, bonds and currencies respectively, and are inscribed in the traditional conventions of finance theory. It is shown how the perception of risk can fail immediately in the initial data processing stage even before a propoer analysis. Several risk measures that are frequently used in finance are shown to be defunct or badly adapted for the circumstances in which they tend to be used. We described how in certain cases sub-optimal investment decisions are taken based on an error in measurement, or how in certain cases the debate in the economic literature has been disorientated. The studies underline that the appreciation of financial risk is far from trivial, even in the realms that are generally considered as well-established.

Advisors/Committee Members: Nancy, Gilles (thesis director).

Subjects/Keywords: Theorie de la finance; Perception du risque; Financial risk modelling; Value risk factor; Breakeven inflation; Siegel paradox

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APA (6th Edition):

De jong, M. (2010). La perception de risque d'investissement : Investment risk perception. (Doctoral Dissertation). Aix-Marseille 2. Retrieved from http://www.theses.fr/2010AIX24006

Chicago Manual of Style (16th Edition):

De jong, Marielle. “La perception de risque d'investissement : Investment risk perception.” 2010. Doctoral Dissertation, Aix-Marseille 2. Accessed November 20, 2019. http://www.theses.fr/2010AIX24006.

MLA Handbook (7th Edition):

De jong, Marielle. “La perception de risque d'investissement : Investment risk perception.” 2010. Web. 20 Nov 2019.

Vancouver:

De jong M. La perception de risque d'investissement : Investment risk perception. [Internet] [Doctoral dissertation]. Aix-Marseille 2; 2010. [cited 2019 Nov 20]. Available from: http://www.theses.fr/2010AIX24006.

Council of Science Editors:

De jong M. La perception de risque d'investissement : Investment risk perception. [Doctoral Dissertation]. Aix-Marseille 2; 2010. Available from: http://www.theses.fr/2010AIX24006


University of Canterbury

2. Singh, A. K. Risk Measurement and Risk Modelling Using Applications of Vine Copulas".

Degree: Department of Economics and Finance; University of Canterbury. Mathematics and Statistics, 2014, University of Canterbury

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually applied to pairs of securities. By contrast, Vine copulas provide greater flexibility and permit the modelling of complex dependency patterns using the rich variety of bivariate copulas which may be arranged and analysed in a tree structure to explore multiple dependencies. The paper features the use of Regular Vine copulas in an analysis of the co-dependencies of 10 major European Stock Markets, as represented by individual market indices and the composite STOXX 50 index. The sample runs from 2005 to the end of 2011 to permit an exploration of how correlations change in different economic circumstances using three different sample periods: pre-GFC (Jan 2005- July 2007), GFC (July 2007-Sep 2009), and post-GFC periods (Sep 2009 - Dec 2011). The empirical results suggest that the dependencies change in a complex manner, and are subject to change in different economic circumstances. One of the attractions of this approach to risk modelling is the flexibility in the choice of distributions used to model co-dependencies. The practical application of Regular Vine metrics is demonstrated via an example of the calculation of the VaR of a portfolio made up of the indicesP

Subjects/Keywords: Regular Vine Copulas; Tree structures; Co-dependence modelling; European stock markets; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150202 - Financial Econometrics; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Singh, A. K. (2014). Risk Measurement and Risk Modelling Using Applications of Vine Copulas". (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/10067

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Singh, A K. “Risk Measurement and Risk Modelling Using Applications of Vine Copulas".” 2014. Thesis, University of Canterbury. Accessed November 20, 2019. http://hdl.handle.net/10092/10067.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Singh, A K. “Risk Measurement and Risk Modelling Using Applications of Vine Copulas".” 2014. Web. 20 Nov 2019.

Vancouver:

Singh AK. Risk Measurement and Risk Modelling Using Applications of Vine Copulas". [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Nov 20]. Available from: http://hdl.handle.net/10092/10067.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Singh AK. Risk Measurement and Risk Modelling Using Applications of Vine Copulas". [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/10067

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Southern Cross University

3. Sitorus, Tumpal Wagner. Fraud risk factors and auditing standards : an integrated identification of a fraud risk management model.

Degree: 2008, Southern Cross University

The aims of this thesis are to set out the ten audit outcome based scenarios and the research questions and auditing problems derived from the scenarios, to develop a wide fraud framework and two hypothesised models of fraud symptoms, and to examine the questions and problems using literature review studies and the models using structural equations modelling. This approach is in accordance with the direct call for the use of more advanced statistical methods by Michael & Adler (1971), Steane & Cockerell (2005), and Zahra et al. (2005). The thesis uses a range of references drawn from the fields of economics, finance, auditing, criminology, law, psychology, organisational behaviour and research methodology. It finds that the fraud risk factors listed in the International Standards on Auditing (ISA) 240, have only been drawn from the findings of Cressey (1950, 1973), and that later models proposed by Krambia-Kapardis (1999, 2001, 2002), for instance, have still not fully explained the aetiology of fraud and the complexity of all forms of fraud and corruption (Wells, 1997, 2005, 2007). Three additional fraud risk factors, namely collusion, justice avoidance, and organisational orientation, were included in an examination of two hypothesised models that incorporated rationalisation into causal relationships within a fraud commission model and hence of a pre-fraud risk management model. A half-sample of 122 Indonesian respondents, who had ever encountered fraud or corrupt practices, was used to test two theory based structural equations models. Because of the poor fit of the two models to the data as shown by the Standardized Root Mean Residual (SRMR) index and because the path between rationalisation and commission of fraud was found to be non-significant, an exploratory research process was used to derive a post-hoc model. The outcome of this process was the introduction of additional paths into the second model. The post-hoc model was tested using another half-sample of 122 respondents and produced a good fit to the data. Significant direct and indirect drivers of commission of fraud were identified and these extended the theory, introduced a wider range of fraud risk factors for consideration by the International Federation of Accountants (IFAC) and the Public Company Accounting Oversight Board (PCAOB), for instance, and called for both the establishment of an integrated mechanism by audit and justice institutions and more integrated curriculum. Collusion was perceived to be the strongest direct influence on commission of fraud with a lesser effect arising from opportunity for fraud and a final direct influence arising from the avoidance of justice. In addition, organisational orientation was perceived to provide another indirect influence on the fraud commission. The overall findings in regard to all of the research questions and problems, theoretical models, and the search for a more robust methodology have provided guidance for the expansion of the consideration of fraud risk factors and hence of fraud risk…

Subjects/Keywords: fraud; forensic accounting; auditing; fraud risk factors; fraud symptoms model; rationalisation; institutional arrangement; collusion; justice avoidance; organisational orientation; auditing standards; standards setters; auditing standards setters; structural equations modelling; business ethics; Business; Business Law, Public Responsibility, and Ethics; Finance and Financial Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Sitorus, T. W. (2008). Fraud risk factors and auditing standards : an integrated identification of a fraud risk management model. (Thesis). Southern Cross University. Retrieved from http://epubs.scu.edu.au/theses/324

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sitorus, Tumpal Wagner. “Fraud risk factors and auditing standards : an integrated identification of a fraud risk management model.” 2008. Thesis, Southern Cross University. Accessed November 20, 2019. http://epubs.scu.edu.au/theses/324.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sitorus, Tumpal Wagner. “Fraud risk factors and auditing standards : an integrated identification of a fraud risk management model.” 2008. Web. 20 Nov 2019.

Vancouver:

Sitorus TW. Fraud risk factors and auditing standards : an integrated identification of a fraud risk management model. [Internet] [Thesis]. Southern Cross University; 2008. [cited 2019 Nov 20]. Available from: http://epubs.scu.edu.au/theses/324.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sitorus TW. Fraud risk factors and auditing standards : an integrated identification of a fraud risk management model. [Thesis]. Southern Cross University; 2008. Available from: http://epubs.scu.edu.au/theses/324

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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