You searched for subject:(market risk).
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University of Nairobi
1.
Namasake, Kelvin W.
The Effect Of Market Risk On The Financial Perfomance Of Commercial Banks In Kenya
.
Degree: 2016, University of Nairobi
URL: http://hdl.handle.net/11295/100394 
► Despite the growth in the Kenyan banking sector, market risk still remains a major challenge. The objective of study was to assess the effect of…
(more)
▼ Despite the growth in the Kenyan banking sector, market risk still remains a major challenge. The objective of study was to assess the effect of market risk on financial performance of commercial banks in Kenya. The study covered the period between year 2010 and 2015. Market risk was measured by degree of financial leverage, interest rate risk and foreign exchange exposure while financial performance was measured by return on equity. The study used the balance sheets components and financial ratios for 42 registered commercial banks in Kenya. The pairwise correlations between the variables were carried out. F-test was used to determine how much variation in dependent variable is explained by independent variables. From the results financial leverage, interest rate and foreign exchange exposure have negative and significant relationships with bank profitability. Based on the study findings, it is recommended that commercial banks especially locally owned and required to consider findings was of mitigating the market risks by use of financial instruments such as financial derivatives and be active in derivatives markets. These may reduce their interest rate risk and foreign currency risk exposure. The commercial banks are also required to monitor the financial leverage so as to reduce financial risk.
Subjects/Keywords: Effect Of Market Risk
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APA (6th Edition):
Namasake, K. W. (2016). The Effect Of Market Risk On The Financial Perfomance Of Commercial Banks In Kenya
. (Thesis). University of Nairobi. Retrieved from http://hdl.handle.net/11295/100394
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):
Namasake, Kelvin W. “The Effect Of Market Risk On The Financial Perfomance Of Commercial Banks In Kenya
.” 2016. Thesis, University of Nairobi. Accessed January 28, 2021.
http://hdl.handle.net/11295/100394.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Namasake, Kelvin W. “The Effect Of Market Risk On The Financial Perfomance Of Commercial Banks In Kenya
.” 2016. Web. 28 Jan 2021.
Vancouver:
Namasake KW. The Effect Of Market Risk On The Financial Perfomance Of Commercial Banks In Kenya
. [Internet] [Thesis]. University of Nairobi; 2016. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/11295/100394.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Namasake KW. The Effect Of Market Risk On The Financial Perfomance Of Commercial Banks In Kenya
. [Thesis]. University of Nairobi; 2016. Available from: http://hdl.handle.net/11295/100394
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Illinois – Urbana-Champaign
2.
Huang, Joshua.
Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex.
Degree: MS, Agricultural & Applied Econ, 2016, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/95612
► Prior to 2005, the evidence suggested that futures markets were relatively efficient in the long run, but short-run inefficiencies existed in certain markets for particular…
(more)
▼ Prior to 2005, the evidence suggested that futures markets were relatively efficient in the long run, but short-run inefficiencies existed in certain markets for particular periods. Recent research has pointed to a reduction in predictive content in several agricultural markets, but the specific sources of the decline are less well understood. We investigate short-run forecasting in the soybean futures
market complex to more clearly identify predictive content and the sources of forecast errors. We concentrate on two-month forecast horizons using a nonlinear framework and 1973-2016 data that allows us to identify the effects of
market exuberance/pessimism and
risk premiums on prices. A non-parametric local linear regression framework (Fan and Gijbels, 1996) is first applied to investigate biasness, and to guide the specification of parametric regime-switching models in which we perform statistical testing. To identify effects of
risk premiums, which have been difficult to estimate in a forecasting context (Frank and Garcia 2009), we use a realized GARCH model (Hansen, Huang and Shek 2012) that has been shown to improve conditional volatility modeling. We focus on the markets in the soybean complex because of their economic importance, and differences that exist in the nature of markets (e.g., storability). Also, beginning with Rausser and Carter (1983), the forecast accuracy of the soybean complex has been called into question, and use of our long sample period, permits us to gain perspective on the sources of forecast errors over time. Our preliminary data analysis for the entire period identified average absolute forecast errors in percentage terms to be 1.4% for soybeans, 1.0%; soybean meal, and 2.4% for soybean oil.
Non-parametric and parametric findings indicate nonlinearities in efficiency and
risk premiums are present. Depending on the level of futures prices, thresholds or regimes of predictive performance exist. Evidence of
market exuberance/pessimism emerges in all three markets. When prices are high (low), markets tend over- (under-) forecast subsequent prices. Differences in the regimes and sources of forecast accuracy also emerge across the markets. In soybeans, a low price regime is inefficient with no evidence of a
risk premium, a middle regime is primarily affected by a
risk premium, and a high price regime is affected by inefficiency and
risk premiums. In soybean meal, a low price regime is inefficient with some evidence of a
risk premium, and a second regime covering both middle and high prices is unbiased. In soybean oil, a first regime covering low and middle prices is unbiased, and a high price regime is inefficient without a
risk premium. While results differ in the three markets, they indicate that the recent
market booms did affect forecasting performance through exuberance and changing
risk premiums. However, they also identify that in periods of low prices predictive content is primarily affected by “pessimism”. In most cases, these non-linear findings differ substantially from those…
Advisors/Committee Members: Serra, Teresa (advisor), Garcia, Philip (advisor).
Subjects/Keywords: risk premium; market efficiency; nonlinearity
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APA ·
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Manager
APA (6th Edition):
Huang, J. (2016). Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex. (Thesis). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/95612
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):
Huang, Joshua. “Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex.” 2016. Thesis, University of Illinois – Urbana-Champaign. Accessed January 28, 2021.
http://hdl.handle.net/2142/95612.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Huang, Joshua. “Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex.” 2016. Web. 28 Jan 2021.
Vancouver:
Huang J. Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex. [Internet] [Thesis]. University of Illinois – Urbana-Champaign; 2016. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/2142/95612.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Huang J. Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex. [Thesis]. University of Illinois – Urbana-Champaign; 2016. Available from: http://hdl.handle.net/2142/95612
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
3.
Senakosava, Hanna.
Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks.
Degree: Business Administration, 2015, Umeå University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641
► Banks represent one of the most important parts of the economy in the world. As a result, decisions of bank management affect not just…
(more)
▼ Banks represent one of the most important parts of the economy in the world. As a result, decisions of bank management affect not just the direct bank stakeholders but the state of the economy and society as a whole. This became evident during the latest financial crisis in 2007 where the failure of one bank resulted in the domino falling that affected banks globally. The regulators increase their attention to the risks that bank face and their measures and requirements. Therefore, the research within the banking area has important consequences from both theoretical and practical side. The purpose of this project is to investigate whether there is a relationship between dividends that Nordic banks pay and different types of risks such as market, credit (including default), liquidity and operational. The results of the research will contribute to the knowledge in finance and help different stakeholders to understand possible reasons for different dividends level. The methodological position works as a foundation for the conduction of the research. The epistemological and ontological views applied in this project are positivism and objectivism. The deductive research approach and quantitative research strategy are used for the research and thus the collection and analysis of the archival data of 19 Nordic banks over five year time horizon. The research can therefore be described as a panel study. Based on the previous research papers the following proxies for risks have been used in the research: market risk – capital requirement for market risk to total assets, credit risk – loan loss provisions to total assets, default risk – Altman Z-score, liquidity risk –liquidity coverage ratio, operational risk – economic capital (capital requirement) for operational risk to total asset. Ordinary Least Square regression analysis is performed over the collected data in order to fulfil the purpose of the project. The tests results identify that there are no statistically significant relationship between dividends and market, credit, default and liquidity risks and the statistically significant negative relationship between the dividends and operational risk in Nordic banks. These findings contribute to a new knowledge within the finance and banking area in particular. Additionally, this project might be used as a foundation for the further research within the field. The findings are also useful for stakeholders in understanding banks risk level.
Subjects/Keywords: dividends; market risk; credit risk; default risk; liquidity risk; operational risk; Denmark; Sweden; Norway; Finland
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APA ·
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APA (6th Edition):
Senakosava, H. (2015). Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641
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):
Senakosava, Hanna. “Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks.” 2015. Thesis, Umeå University. Accessed January 28, 2021.
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Senakosava, Hanna. “Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks.” 2015. Web. 28 Jan 2021.
Vancouver:
Senakosava H. Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks. [Internet] [Thesis]. Umeå University; 2015. [cited 2021 Jan 28].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Senakosava H. Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks. [Thesis]. Umeå University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Ghana
4.
Ndede, A.A.
The Role of Internal Auditors in Ensuring Effective Risk Management in Commercial Banks in Ghana
.
Degree: 2019, University of Ghana
URL: http://ugspace.ug.edu.gh/handle/123456789/33571
► Internal auditors are indispensable professionals for the effective risk management within every organisation. Therefore, the purpose of this study was to evaluate the functions of…
(more)
▼ Internal auditors are indispensable professionals for the effective risk management within every organisation. Therefore, the purpose of this study was to evaluate the functions of internal audit and its ultimate impact in ensuring effective risk management in Commercial banks in Ghana. Descriptive research was carried out using both qualitative and quantitative methods of research through the administration of questionnaire. A sample size of 45 internal auditors was used for the study and data was analysed using the Statistical Package for the Social Sciences (SPSS). It was identified that although most of the internal auditors within the commercial banks in Ghana are not registered members of the Institute of Internal Auditing, they are allowed to work independently without any hindrance from management of the banks. Moreover, it was identified that the functions of internal auditors are to review all internal controls, review processes and procedures, and make recommendations for management with regards to best practices in ensuring optimum productivity and performance of the bank. Additionally, the internal auditors of the commercial banks are involved in the risk management, risk mitigation, and risk monitoring. This has made the reports of internal auditors have much influence on management’s decisions in making and amending policies, business strategies, and guidelines, the introduction of new controls within the management of our products and services. Conclusively, a strong and positive relationship was established between functions of internal auditors and risk management and functions of internal auditors and impact of bank’s compliance to regulations within the banking industry. Therefore, it is highly recommended that the management of the bank should put in place a quarterly internal audit overhaul to strategically review all its risk management practices against expectations of the regulator.
Subjects/Keywords: Internal Auditing;
Risk Management in Banking;
Market Risk;
Credit Risk;
Strategic Risk
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APA ·
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Manager
APA (6th Edition):
Ndede, A. A. (2019). The Role of Internal Auditors in Ensuring Effective Risk Management in Commercial Banks in Ghana
. (Masters Thesis). University of Ghana. Retrieved from http://ugspace.ug.edu.gh/handle/123456789/33571
Chicago Manual of Style (16th Edition):
Ndede, A A. “The Role of Internal Auditors in Ensuring Effective Risk Management in Commercial Banks in Ghana
.” 2019. Masters Thesis, University of Ghana. Accessed January 28, 2021.
http://ugspace.ug.edu.gh/handle/123456789/33571.
MLA Handbook (7th Edition):
Ndede, A A. “The Role of Internal Auditors in Ensuring Effective Risk Management in Commercial Banks in Ghana
.” 2019. Web. 28 Jan 2021.
Vancouver:
Ndede AA. The Role of Internal Auditors in Ensuring Effective Risk Management in Commercial Banks in Ghana
. [Internet] [Masters thesis]. University of Ghana; 2019. [cited 2021 Jan 28].
Available from: http://ugspace.ug.edu.gh/handle/123456789/33571.
Council of Science Editors:
Ndede AA. The Role of Internal Auditors in Ensuring Effective Risk Management in Commercial Banks in Ghana
. [Masters Thesis]. University of Ghana; 2019. Available from: http://ugspace.ug.edu.gh/handle/123456789/33571
5.
Byström, Ulrika.
Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen.
Degree: Business Administration, 2017, Umeå University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137488
► Den ökade digitaliseringen och framfarten av innovativa lösningar har tagit allt större plats i dagens samhälle. Dagens infrastruktur bygger på ett centraliserat system som…
(more)
▼ Den ökade digitaliseringen och framfarten av innovativa lösningar har tagit allt större plats i dagens samhälle. Dagens infrastruktur bygger på ett centraliserat system som är format för en värld innan globaliseringen. Detta innebär att makten är centraliserat till ett fåtal aktörer som politiker, myndigheter och institutioner. Denna konstruktion är ineffektiv och kostsam samtidigt som det centraliserade systemet är sårbart mot cyberattacker och bedrägerier. Genom att anamma digitaliseringen öppnas nya möjligheter upp för att hantera de globala samhällsutmaningarna. Digitaliseringen har lett till framväxten av innovativa tjänster där såväl etablerade företag som nya teknikföretag utforskar sätt att effektivisera, standardisera och säkra upp processer. Blockkedjan är en teknik som har potential att rubba ett flertal industrier genom att göra processer mer effektiva, transparent, demokratiska och säkra. Blockkedjeteknologin har en mängd olika appliceringsområden, men i korthet kan den beskrivas som en teknik som registrerar och lagrar information på ett distribuerat nätverk. Teknologins huvudsakliga syfte är att undanröja tillförlitliga tredje parter genom att säkert distribuera information till nätverkets användare. På så sätt bidrar teknologin till en ökad transparens, minskad asymmetrisk information och därmed ökad säkerhet. Detta öppnar upp frågan: Vilken effekt kommer blockkedjan att ha på företags risk? Syftet med denna studie är att undersöka vilken effekt en implementering av blockkedjan har på ett företags risk inom revisions-, finans- och fastighetsbranschen. I denna studie har tre centrala risker valts ut baserat på teknologins användningsområden: operativ-, kredit- och marknadsrisk. Studiens frågeställning besvaras genom en kvalitativ undersökning där ett brett spektra av respondenter i intervjuer har bidragit med kunskap och erfarenhet. Resultatet från studien påvisar många intressanta aspekter om hur risken kan komma att påverkas från användandet av teknologin. Samtidigt som vi ser stor potential för blockkedjan att reducera ett flertal oönskade risker, finns det en hel del hinder som tekniken ställs inför. Med få befintliga tillämpningar av teknologin är det svårt att förutse exakta konsekvenser, det mesta blir således hypotetiskt. Sammantaget ser vi blockkedjan som en revolutionerande innovation med potential att förändra marknaden. Huruvida teknologins framfart kommer att arta sig är dock beroende av en anpassning i lagstiftningar och regelverk. Utmaningen för beslutsfattarna är således att väga den ökade samhällsnyttan mot de risker som tekniken kan medföra. I detta resonemang ser vi att denna studie kan bidra till en ökad kunskap om blockkedjans riskrelaterade styrkor och hot.
Subjects/Keywords: Blockchain; Radical innovation; Transparency; Risk management; Operational risk; Credit risk; Market risk; Business Administration; Företagsekonomi
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APA ·
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APA (6th Edition):
Byström, U. (2017). Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137488
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):
Byström, Ulrika. “Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen.” 2017. Thesis, Umeå University. Accessed January 28, 2021.
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137488.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Byström, Ulrika. “Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen.” 2017. Web. 28 Jan 2021.
Vancouver:
Byström U. Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen. [Internet] [Thesis]. Umeå University; 2017. [cited 2021 Jan 28].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137488.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Byström U. Blockkedjan - En riskreducerare? : En undersökning av blockkedjans effekt på risk inom revisions-, finans- och fastighetsbranschen. [Thesis]. Umeå University; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137488
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
6.
Zhao, Yunfeng.
Risk Analysis for Corporate Bond Portfolios.
Degree: MS, 2013, Worcester Polytechnic Institute
URL: etd-050213-112946
;
https://digitalcommons.wpi.edu/etd-theses/654
► This project focuses on risk analysis of corporate bond portfolios. We separate the total risk of the portfolio into three parts, which are market risk,…
(more)
▼ This project focuses on
risk analysis of corporate bond portfolios. We separate the total
risk of the portfolio into three parts, which are
market risk, credit
risk and liquidity
risk. The
market risk component is quantified by value-at-
risk (VaR) determined by change in yield to maturity of the bond portfolio. For the credit
risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called basis which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity
risk by using the basis. In addition, we also introduce a Fama-French multi-factor model to analyze factor significance to the corporate bond portfolio.
Advisors/Committee Members: Marcel Y. Blais, Advisor, ;.
Subjects/Keywords: market risk; credit risk; liquidity risk; value at risk; Fama-French multi-factor model
Record Details
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Record Details
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❌
APA ·
Chicago ·
MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Zhao, Y. (2013). Risk Analysis for Corporate Bond Portfolios. (Thesis). Worcester Polytechnic Institute. Retrieved from etd-050213-112946 ; https://digitalcommons.wpi.edu/etd-theses/654
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):
Zhao, Yunfeng. “Risk Analysis for Corporate Bond Portfolios.” 2013. Thesis, Worcester Polytechnic Institute. Accessed January 28, 2021.
etd-050213-112946 ; https://digitalcommons.wpi.edu/etd-theses/654.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Zhao, Yunfeng. “Risk Analysis for Corporate Bond Portfolios.” 2013. Web. 28 Jan 2021.
Vancouver:
Zhao Y. Risk Analysis for Corporate Bond Portfolios. [Internet] [Thesis]. Worcester Polytechnic Institute; 2013. [cited 2021 Jan 28].
Available from: etd-050213-112946 ; https://digitalcommons.wpi.edu/etd-theses/654.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Zhao Y. Risk Analysis for Corporate Bond Portfolios. [Thesis]. Worcester Polytechnic Institute; 2013. Available from: etd-050213-112946 ; https://digitalcommons.wpi.edu/etd-theses/654
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
7.
Jiang, Qizhong.
Risk Analysis for Corporate Bond Portfolios.
Degree: MS, 2013, Worcester Polytechnic Institute
URL: etd-050213-111018
;
https://digitalcommons.wpi.edu/etd-theses/653
► This project focuses on risk analysis of corporate bond portfolios. We divide the total risk of the portfolio into three parts, which are market risk,…
(more)
▼ This project focuses on
risk analysis of corporate bond portfolios. We divide the total
risk of the portfolio into three parts, which are
market risk, credit
risk and liquidity
risk. The
market risk component is quantified by value-at-
risk (VaR) which is determined by change in yield to maturity of the bond portfolio. For the credit
risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called `basis' which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity
risk by using the basis. In addition we also introduce a Fama-French multi-factor model to analyze the factor significance to the corporate bond portfolio.
Advisors/Committee Members: Marcel Y. Blais, Advisor, ;.
Subjects/Keywords: market risk; credit risk; liquidity risk; value at risk; Fama-French multi-factor model
Record Details
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Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Jiang, Q. (2013). Risk Analysis for Corporate Bond Portfolios. (Thesis). Worcester Polytechnic Institute. Retrieved from etd-050213-111018 ; https://digitalcommons.wpi.edu/etd-theses/653
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):
Jiang, Qizhong. “Risk Analysis for Corporate Bond Portfolios.” 2013. Thesis, Worcester Polytechnic Institute. Accessed January 28, 2021.
etd-050213-111018 ; https://digitalcommons.wpi.edu/etd-theses/653.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Jiang, Qizhong. “Risk Analysis for Corporate Bond Portfolios.” 2013. Web. 28 Jan 2021.
Vancouver:
Jiang Q. Risk Analysis for Corporate Bond Portfolios. [Internet] [Thesis]. Worcester Polytechnic Institute; 2013. [cited 2021 Jan 28].
Available from: etd-050213-111018 ; https://digitalcommons.wpi.edu/etd-theses/653.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Jiang Q. Risk Analysis for Corporate Bond Portfolios. [Thesis]. Worcester Polytechnic Institute; 2013. Available from: etd-050213-111018 ; https://digitalcommons.wpi.edu/etd-theses/653
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Technical University of Lisbon
8.
Costa, Maria Sofia Vaz Ramires Gomes da.
Nova abordagem de requisitos de capital para risco de mercado.
Degree: 2016, Technical University of Lisbon
URL: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13524
► Mestrado em Matemática Financeira
A crise financeira de 2008/9 evidenciou vários aspetos do risco de mercado subestimados nas metodologias e regulamentações existentes, originando, em Janeiro…
(more)
▼ Mestrado em Matemática Financeira
A crise financeira de 2008/9 evidenciou vários aspetos do risco de mercado subestimados nas metodologias e regulamentações existentes, originando, em Janeiro de 2016, a publicação, pelo Comité de Supervisão Bancária de Basileia, do texto Minimum Capital Requeriments for Market Risk, que introduz alterações regulamentares para a gestão de risco de mercado. Na carteira de negociação este risco representa o risco proveniente de movimentos adversos nos preços de obrigações, ações ou mercadorias.
O presente trabalho tem por principal objetivo desenvolver um estudo relativo às alterações e impactos introduzidos por esta previsível alteração regulamentar. Optou-se pelo estudo da abordagem standard, mais representada no enquadramento português, que consiste, genericamente, na aplicação de ponderadores de risco às exposições em aberto na carteira de negociação e permite a uma instituição financeira determinar os requisitos mínimos de capital regulamentar para o risco de mercado. Como instrumento financeiro, a escolha recaiu sobre as ações, uma vez que estas representam uma grande parte da carteira de negociação para os bancos portugueses.
De acordo com a análise realizada, é possível observar que as diferenças nos procedimentos da nova abordagem standard, em relação à atual, provavelmente conduzirão a um acréscimo do risk charge (montante de capital que o banco deve assegurar como consequência dos riscos que assume).
The financial crisis of 2008/9 has highlighted several aspects of market risk which had been underestimated in the existing methodologies and regulations. A situation that in January 2016 gave rise to the publication of the Minimum Capital Requirements for Market Risk by the Basel Committee on Banking Supervision, a text which introduces regulatory amendments in the market risk management. In the trading book this is the risk which arises from adverse movements in the bonds, stocks or commodities prices.
The main goal of the present dissertation/ thesis is to develop a study on the changes and impacts introduced by this foreseeable regulatory change. In order to do that we chose a standard approach, the most depicted in the Portuguese framework, which can be generally described as the use of risk weights to open exposures in the trading book and which allows a financial institution to determine the minimum regulatory capital requirements for market risk. As a financial instrument, the choice fell on the shares, as these represent a large part of the trading book for Portuguese banks.
According to the analysis carried out, it is possible to observe that the diferences in the procedures of the new standard approach when compared to the current one, the differences in the procedures of the new standard approach will probably lead to an increase of the risk charge (amount of capital that the bank should ensure as a result of the risks taken).
info:eu-repo/semantics/publishedVersion
Advisors/Committee Members: Grossinho, Maria do Rosário, Loureiro, Pedro Santos.
Subjects/Keywords: Abordagem Standard; Minimum Capital Requeriments for Market Risk; Risco de Mercado; Risk Charge; Market Risk; Risk Charge; Standardised Approach
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APA (6th Edition):
Costa, M. S. V. R. G. d. (2016). Nova abordagem de requisitos de capital para risco de mercado. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13524
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):
Costa, Maria Sofia Vaz Ramires Gomes da. “Nova abordagem de requisitos de capital para risco de mercado.” 2016. Thesis, Technical University of Lisbon. Accessed January 28, 2021.
https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13524.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Costa, Maria Sofia Vaz Ramires Gomes da. “Nova abordagem de requisitos de capital para risco de mercado.” 2016. Web. 28 Jan 2021.
Vancouver:
Costa MSVRGd. Nova abordagem de requisitos de capital para risco de mercado. [Internet] [Thesis]. Technical University of Lisbon; 2016. [cited 2021 Jan 28].
Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13524.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Costa MSVRGd. Nova abordagem de requisitos de capital para risco de mercado. [Thesis]. Technical University of Lisbon; 2016. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/13524
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Pretoria
9.
[No author].
The relationship between political risk and financial
performance of firms in Africa
.
Degree: 2012, University of Pretoria
URL: http://upetd.up.ac.za/thesis/available/etd-07142012-192608/
► Africa as an emerging market offers firms from Multinational Corporations (MNCs) significant opportunities to expand and capitalise on the continents economic growth and combined consumer…
(more)
▼ Africa as an emerging
market offers firms from
Multinational Corporations (MNCs) significant opportunities to
expand and capitalise on the continents economic growth and
combined consumer spending. Africa has significantly higher levels
of state fragility and political
risk in comparison to the rest of
the World. Managers of firms looking to enter the African
market
need to analyse political
risk in Africa when the firm
risk taking
and financial return relationship is considered. The objective of
this research study was to establish if there is a relationship
between political
risk and financial performance of firms in
Africa. This study used various financial performance ratios of 406
firms operating in five African countries and numerous country
political
risk variables to investigate if such a relationship
exist over an eight year period. The findings indicate that there
is a positive political
risk financial return relationship for
firms operating in Africa. Firms seem to achieve higher financial
performance results in countries with higher overall political
risk. This study suggest that African countries need to be analysed
on an individual basis when considering political
risk and
published political
risk data should not be used for decision
making without deeper understanding and analyses of the
country.
Advisors/Committee Members: Prof A Wöcke (advisor).
Subjects/Keywords: UCTD;
Financial performance;
Political risk;
Emerging market
Record Details
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APA ·
Chicago ·
MLA ·
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CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
author], [. (2012). The relationship between political risk and financial
performance of firms in Africa
. (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-07142012-192608/
Chicago Manual of Style (16th Edition):
author], [No. “The relationship between political risk and financial
performance of firms in Africa
.” 2012. Masters Thesis, University of Pretoria. Accessed January 28, 2021.
http://upetd.up.ac.za/thesis/available/etd-07142012-192608/.
MLA Handbook (7th Edition):
author], [No. “The relationship between political risk and financial
performance of firms in Africa
.” 2012. Web. 28 Jan 2021.
Vancouver:
author] [. The relationship between political risk and financial
performance of firms in Africa
. [Internet] [Masters thesis]. University of Pretoria; 2012. [cited 2021 Jan 28].
Available from: http://upetd.up.ac.za/thesis/available/etd-07142012-192608/.
Council of Science Editors:
author] [. The relationship between political risk and financial
performance of firms in Africa
. [Masters Thesis]. University of Pretoria; 2012. Available from: http://upetd.up.ac.za/thesis/available/etd-07142012-192608/
University of Pretoria
10.
[No author].
Changing detriment into benefit : emerging market risk
as competitive advantage
.
Degree: 2011, University of Pretoria
URL: http://upetd.up.ac.za/thesis/available/etd-04042011-181344/
► This paper argues that greater levels of risk, generally thought to be detrimental to business performance in emerging markets, are actually a benefit and an…
(more)
▼ This paper argues that greater levels of
risk,
generally thought to be detrimental to business performance in
emerging markets, are actually a benefit and an important source of
competitive advantage for emerging multinational enterprises
(EMNEs) competing in the global arena. EMNEs that have survived
despite these challenging business environments are more
comfortable with and skilled at managing
risk than their developed
market peers as evidenced in two ways. First, EMNEs are able to
stabilise their business performance to statistically match the
risk spread of those in developed markets despite their more
volatile environments, and second, EMNEs perform progressively
better than developed
market firms at increased levels of
risk.
Interestingly, EMNEs react identically to
risk drivers that
developed
market firms responded to twenty years ago, but developed
market firms no longer respond the same way. Today, these
risk
drivers vary significantly between EMNEs and multinational
enterprises (MNEs). For example, in every EMNE-MNE comparison,
expectation, firm age, firm independence and available slack had
contrasting influences. These differences may be attributed to the
earlier stage of development for EMNEs rather than an emerging
market influence. Most firms, regardless of origin, strive for low
risk levels while the best returns are to be made at medium
risk
levels. This evidence both supports and contradicts Bowman’s
Paradox of a negative
risk-performance relationship. The strongest
risk drivers are internationalisation, recoverable slack and past
performance. Copyright
Advisors/Committee Members: Dr A Wocke (advisor).
Subjects/Keywords: UCTD;
Risk;
Competitive advantage;
Emerging market;
Performance
Record Details
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Record Details
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❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
author], [. (2011). Changing detriment into benefit : emerging market risk
as competitive advantage
. (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-04042011-181344/
Chicago Manual of Style (16th Edition):
author], [No. “Changing detriment into benefit : emerging market risk
as competitive advantage
.” 2011. Masters Thesis, University of Pretoria. Accessed January 28, 2021.
http://upetd.up.ac.za/thesis/available/etd-04042011-181344/.
MLA Handbook (7th Edition):
author], [No. “Changing detriment into benefit : emerging market risk
as competitive advantage
.” 2011. Web. 28 Jan 2021.
Vancouver:
author] [. Changing detriment into benefit : emerging market risk
as competitive advantage
. [Internet] [Masters thesis]. University of Pretoria; 2011. [cited 2021 Jan 28].
Available from: http://upetd.up.ac.za/thesis/available/etd-04042011-181344/.
Council of Science Editors:
author] [. Changing detriment into benefit : emerging market risk
as competitive advantage
. [Masters Thesis]. University of Pretoria; 2011. Available from: http://upetd.up.ac.za/thesis/available/etd-04042011-181344/
Cornell University
11.
Park, Jonathan.
The Effects Of Market Integration On Global Risk Sharing: Examining Market Reactions To Cataclysmic Events.
Degree: M.S., Management, Management, 2012, Cornell University
URL: http://hdl.handle.net/1813/31446
► There are a number of cataclysmic events that stand out as markedly catastrophic enough to cause significant unrest in investors' outlook on the stability of…
(more)
▼ There are a number of cataclysmic events that stand out as markedly catastrophic enough to cause significant unrest in investors' outlook on the stability of the
market. In today's increasingly integrated global
market, the key concern for investors in adjusting for such situations is to spread their portfolio
risk across different
risk bases in order to reduce unwanted effects from the idiosyncrasy of a particular part of their portfolios. Using the event study method and ICAPM-derived measure of
market integration, I find that there is evidence for
market integration's global
risk sharing effect on abnormal returns from cataclysmic events, specifically in regard to natural disasters and terrorist attacks. There is, however, no evidence of
risk-diffusing effects beyond the event day, even for relatively short post-event windows of 6 and 11 days. This seems to suggest that
market integration as motivated by global
risk sharing is only effective to disperse the initial shock of a cataclysmic event.
Advisors/Committee Members: Saar, Gideon (chair), Bailey, Warren B. (committee member), D'Souza, Julia (committee member).
Subjects/Keywords: global risk sharing; market integration; catastrophe
Record Details
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❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Park, J. (2012). The Effects Of Market Integration On Global Risk Sharing: Examining Market Reactions To Cataclysmic Events. (Masters Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/31446
Chicago Manual of Style (16th Edition):
Park, Jonathan. “The Effects Of Market Integration On Global Risk Sharing: Examining Market Reactions To Cataclysmic Events.” 2012. Masters Thesis, Cornell University. Accessed January 28, 2021.
http://hdl.handle.net/1813/31446.
MLA Handbook (7th Edition):
Park, Jonathan. “The Effects Of Market Integration On Global Risk Sharing: Examining Market Reactions To Cataclysmic Events.” 2012. Web. 28 Jan 2021.
Vancouver:
Park J. The Effects Of Market Integration On Global Risk Sharing: Examining Market Reactions To Cataclysmic Events. [Internet] [Masters thesis]. Cornell University; 2012. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/1813/31446.
Council of Science Editors:
Park J. The Effects Of Market Integration On Global Risk Sharing: Examining Market Reactions To Cataclysmic Events. [Masters Thesis]. Cornell University; 2012. Available from: http://hdl.handle.net/1813/31446
Texas A&M University
12.
Deaton, Brian D.
Causal Modeling with Applications to the Foreign Exchange Market.
Degree: PhD, Agricultural Economics, 2013, Texas A&M University
URL: http://hdl.handle.net/1969.1/151936
► A combination of time series models and causal search algorithms is applied to the foreign exchange markets to find causal linkages between the six most…
(more)
▼ A combination of time series models and causal search algorithms is applied to the foreign exchange markets to find causal linkages between the six most widely traded currencies (Australian dollar, Canadian dollar, euro, Great Britain pound sterling, Japanese yen, and United States dollar). This information is used in portfolio management to improve
risk management, to visualize the causal connections between currencies, and enhance the forecasting ability of time series models.
In the first section, a method is presented that decomposes portfolio
risk so that
risk contributions sum to the total portfolio’s
risk. This decomposition is based upon a market’s underlying independent
risk factors, which are found empirically using a causal search algorithm based on independent component analysis. In an application, independent
risk contributions are constrained during portfolio optimizations, and the internal
risk characteristics of the resulting portfolios are shown to be superior to those constructed using more traditional constraints.
In the second section, three causal search algorithms are used to identify causal relationships amongst the six most widely traded currencies in the years 2009-2011. The intent is to discover causal relationships within each year and to observe how these causal relationships change over time. The causal relationships are presented as directed acyclic graphs, and these are relatively stable over time. There might be, however, latent variables that affect the six most widely traded currencies.
In the third section, probability forecasts of the Swiss franc/euro (CHF/EUR) exchange rate from three different time series models are generated before, surrounding, and after the placement of a floor on the CHF/EUR exchange rate by the Swiss National Bank. The goal is to determine whether the exchange rate floor has a positive, negative, or insignificant affect on the calibration of the probability forecasts. Forecasts from the models are ranked with score metrics, and a graphical d-separation criterion is used in an attempt to identify the preferred model based on forecast performance. The study finds evidence that the floor on the CHF/EUR has a negative impact on the forecasting performance of the three time series models.
Advisors/Committee Members: Bessler, David A. (advisor), Leatham, David J. (committee member), Mjelde, James W. (committee member), Chen, Willa W. (committee member).
Subjects/Keywords: Causal Modeling; Foreign Exchange Market; Risk Attribution
Record Details
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Record Details
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❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Deaton, B. D. (2013). Causal Modeling with Applications to the Foreign Exchange Market. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/151936
Chicago Manual of Style (16th Edition):
Deaton, Brian D. “Causal Modeling with Applications to the Foreign Exchange Market.” 2013. Doctoral Dissertation, Texas A&M University. Accessed January 28, 2021.
http://hdl.handle.net/1969.1/151936.
MLA Handbook (7th Edition):
Deaton, Brian D. “Causal Modeling with Applications to the Foreign Exchange Market.” 2013. Web. 28 Jan 2021.
Vancouver:
Deaton BD. Causal Modeling with Applications to the Foreign Exchange Market. [Internet] [Doctoral dissertation]. Texas A&M University; 2013. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/1969.1/151936.
Council of Science Editors:
Deaton BD. Causal Modeling with Applications to the Foreign Exchange Market. [Doctoral Dissertation]. Texas A&M University; 2013. Available from: http://hdl.handle.net/1969.1/151936
University of North Texas
13.
Ren, He.
Impact of Market State on Momentum Portfolio Risk and Performance: A Risk-Based Explanation.
Degree: 2019, University of North Texas
URL: https://digital.library.unt.edu/ark:/67531/metadc1609137/
► The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to…
(more)
▼ The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to classic finance theory. Prior research has failed to provide valid
risk-based explanations because winner portfolios do not exhibit higher
risk characteristics. Without a convincing
risk explanation, the persistence of momentum profit is a violation of the efficient
market hypothesis. Today, the momentum puzzle remains one of the very few major anomalies that cannot be explained by Fama-French factor models. I find prior empirical efforts to measure momentum profits and its sources are contaminated by the state of the
market during both formation and holding periods. By looking into different
market states, classified by both traditional and non-traditional bull and bear
market definition, I find the key to at least partially solve the momentum mystery. Momentum stocks are riskier when formed in bull
market, and momentum profit is much higher in continuation of
market than reverses of
market condition, lending empirical support to a
risk-based explanation. My definition of
market states is essentially based on the
risk premium of major
risk factors. When
market risk is considered a
risk factor, if realized
market risk premium is positive, it is a bull
market; when size is considered a proxy for
risk factor, if SMB (small minus big
risk premium) is positive, it is a bull
market; when valuation (book-to-
market) ratio is a proxy for
risk factor, if HML (High-minus-Low
risk premium) is positive, it is a bull
market. This paper also explores simulations using models based on the positive relationship between
risk and return. The simulation result confirms that at least part of the momentum profit can be explained by
risk.
Advisors/Committee Members: Liu, Yi, Siddiqi, Mazhar, Nishikawa, Takeshi.
Subjects/Keywords: Momentum; Risk-based Explanation; Market States
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University of Pretoria
14.
Danielson, Joi.
Changing
detriment into benefit : emerging market risk as competitive
advantage.
Degree: Gordon Institute of Business
Science (GIBS), 2011, University of Pretoria
URL: http://hdl.handle.net/2263/23777
► This paper argues that greater levels of risk, generally thought to be detrimental to business performance in emerging markets, are actually a benefit and an…
(more)
▼ This paper argues that greater levels of
risk, generally
thought to be detrimental to business performance in emerging
markets, are actually a benefit and an important source of
competitive advantage for emerging multinational enterprises
(EMNEs) competing in the global arena. EMNEs that have survived
despite these challenging business environments are more
comfortable with and skilled at managing
risk than their developed
market peers as evidenced in two ways. First, EMNEs are able to
stabilise their business performance to statistically match the
risk spread of those in developed markets despite their more
volatile environments, and second, EMNEs perform progressively
better than developed
market firms at increased levels of
risk.
Interestingly, EMNEs react identically to
risk drivers that
developed
market firms responded to twenty years ago, but developed
market firms no longer respond the same way. Today, these
risk
drivers vary significantly between EMNEs and multinational
enterprises (MNEs). For example, in every EMNE-MNE comparison,
expectation, firm age, firm independence and available slack had
contrasting influences. These differences may be attributed to the
earlier stage of development for EMNEs rather than an emerging
market influence. Most firms, regardless of origin, strive for low
risk levels while the best returns are to be made at medium
risk
levels. This evidence both supports and contradicts Bowman’s
Paradox of a negative
risk-performance relationship. The strongest
risk drivers are internationalisation, recoverable slack and past
performance. Copyright
Advisors/Committee Members: Dr A Wocke (advisor).
Subjects/Keywords: UCTD;
Risk; Competitive
advantage; Emerging
market;
Performance
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Danielson, J. (2011). Changing
detriment into benefit : emerging market risk as competitive
advantage. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/23777
Chicago Manual of Style (16th Edition):
Danielson, Joi. “Changing
detriment into benefit : emerging market risk as competitive
advantage.” 2011. Masters Thesis, University of Pretoria. Accessed January 28, 2021.
http://hdl.handle.net/2263/23777.
MLA Handbook (7th Edition):
Danielson, Joi. “Changing
detriment into benefit : emerging market risk as competitive
advantage.” 2011. Web. 28 Jan 2021.
Vancouver:
Danielson J. Changing
detriment into benefit : emerging market risk as competitive
advantage. [Internet] [Masters thesis]. University of Pretoria; 2011. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/2263/23777.
Council of Science Editors:
Danielson J. Changing
detriment into benefit : emerging market risk as competitive
advantage. [Masters Thesis]. University of Pretoria; 2011. Available from: http://hdl.handle.net/2263/23777
University of Pretoria
15.
Kriel, Lourandi.
The relationship
between political risk and financial performance of firms in
Africa.
Degree: Gordon Institute of Business
Science (GIBS), 2012, University of Pretoria
URL: http://hdl.handle.net/2263/26288
► Africa as an emerging market offers firms from Multinational Corporations (MNCs) significant opportunities to expand and capitalise on the continents economic growth and combined consumer…
(more)
▼ Africa as an emerging
market offers firms from
Multinational Corporations (MNCs) significant opportunities to
expand and capitalise on the continents economic growth and
combined consumer spending. Africa has significantly higher levels
of state fragility and political
risk in comparison to the rest of
the World. Managers of firms looking to enter the African
market
need to analyse political
risk in Africa when the firm
risk taking
and financial return relationship is considered. The objective of
this research study was to establish if there is a relationship
between political
risk and financial performance of firms in
Africa. This study used various financial performance ratios of 406
firms operating in five African countries and numerous country
political
risk variables to investigate if such a relationship
exist over an eight year period. The findings indicate that there
is a positive political
risk financial return relationship for
firms operating in Africa. Firms seem to achieve higher financial
performance results in countries with higher overall political
risk. This study suggest that African countries need to be analysed
on an individual basis when considering political
risk and
published political
risk data should not be used for decision
making without deeper understanding and analyses of the
country.
Advisors/Committee Members: Prof A Wöcke (advisor).
Subjects/Keywords: UCTD; Financial
performance; Political
risk; Emerging
market
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Kriel, L. (2012). The relationship
between political risk and financial performance of firms in
Africa. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/26288
Chicago Manual of Style (16th Edition):
Kriel, Lourandi. “The relationship
between political risk and financial performance of firms in
Africa.” 2012. Masters Thesis, University of Pretoria. Accessed January 28, 2021.
http://hdl.handle.net/2263/26288.
MLA Handbook (7th Edition):
Kriel, Lourandi. “The relationship
between political risk and financial performance of firms in
Africa.” 2012. Web. 28 Jan 2021.
Vancouver:
Kriel L. The relationship
between political risk and financial performance of firms in
Africa. [Internet] [Masters thesis]. University of Pretoria; 2012. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/2263/26288.
Council of Science Editors:
Kriel L. The relationship
between political risk and financial performance of firms in
Africa. [Masters Thesis]. University of Pretoria; 2012. Available from: http://hdl.handle.net/2263/26288
Victoria University of Wellington
16.
Suleman, Muhammad Tahir.
The effect of political risk on emerging and developed markets.
Degree: 2017, Victoria University of Wellington
URL: http://hdl.handle.net/10063/6229
► This thesis consists of three substantive chapters (3, 4, 5) on the impact of political risk on equity and exchange rate returns and their volatilities.…
(more)
▼ This thesis consists of three substantive chapters (3, 4, 5) on the impact of political
risk on equity and exchange rate returns and their volatilities.
Chapter 3 proposes a framework for predicting
market returns and volatility using changes in the country’s political
risk. We identify the appropriate lag to to calculate changes over, and how the changes should be included in mean and volatility equations. The level of aggregation of political
risk variable is also examined. Analysing 47 emerging and 21 developed markets, we find predictive power primarily for volatility of emerging markets, and recommended use of three political
risk components which suitably capture important dimensions of political environment.
In the Chapter 4 we empirically examines the impact of political
risk on returns and volatility of individual firms and industry portfolios from New Zealand and Pakistan. The data used in the study consist of 184 firms from New Zealand and 202 firms from Pakistan along with country-level political
risk data from the ICRG. As in the , we find in Chapter 3 that the impact of political
risk is more on volatility than the returns of firms in both markets. As we expect, the impact of political
risk is more on Pakistani firms compared to those in New Zealand. Overall, results from the industry portfolios are according to the hypothesis that political
risk impact is different across industries (volatility increase for some industries and decrease for few).
Chapter 5 examine the relationship between political
risk variables on the nominal exchange rate return and its volatility. We again investigate developed versus developed markets, and also consider three different exchange rate regimes i.e. floating, managed floating and fixed. This is important to examine the link between political
risk and exchange rate because there are two sources of political
risk one on either side of the exchange rate. In our analysis, we use the political
risk spread between the country of interest and the USA. Overall results reveal that emerging markets are more exposed to political
risk compared to developed. Further, the impact of political
risk variables is more on the floating exchange rate compared to managed floating and fixed exchange rate as might be expected, since intervention in the
market will generally reduce to eliminate the influence of alternative factors. We also find strong evidence that volatility increases more during a period of high political
risk and poor economic conditions for emerging markets.
Advisors/Committee Members: Randal, John, Berka, Martin.
Subjects/Keywords: Political risk; Stock market; Exchange rate
Record Details
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❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Suleman, M. T. (2017). The effect of political risk on emerging and developed markets. (Doctoral Dissertation). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/6229
Chicago Manual of Style (16th Edition):
Suleman, Muhammad Tahir. “The effect of political risk on emerging and developed markets.” 2017. Doctoral Dissertation, Victoria University of Wellington. Accessed January 28, 2021.
http://hdl.handle.net/10063/6229.
MLA Handbook (7th Edition):
Suleman, Muhammad Tahir. “The effect of political risk on emerging and developed markets.” 2017. Web. 28 Jan 2021.
Vancouver:
Suleman MT. The effect of political risk on emerging and developed markets. [Internet] [Doctoral dissertation]. Victoria University of Wellington; 2017. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/10063/6229.
Council of Science Editors:
Suleman MT. The effect of political risk on emerging and developed markets. [Doctoral Dissertation]. Victoria University of Wellington; 2017. Available from: http://hdl.handle.net/10063/6229
Universidade Nova
17.
Brito, Flávia manique.
Market risk charge of the trading book: a comparison of the Basel II and Basel III.
Degree: 2015, Universidade Nova
URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15343
► This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that…
(more)
▼ This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.
UNL - NSBE
Advisors/Committee Members: Ferreira, Miguel.
Subjects/Keywords: Market risk; Basel; Standardized model; Internal model
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APA (6th Edition):
Brito, F. m. (2015). Market risk charge of the trading book: a comparison of the Basel II and Basel III. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15343
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):
Brito, Flávia manique. “Market risk charge of the trading book: a comparison of the Basel II and Basel III.” 2015. Thesis, Universidade Nova. Accessed January 28, 2021.
http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15343.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Brito, Flávia manique. “Market risk charge of the trading book: a comparison of the Basel II and Basel III.” 2015. Web. 28 Jan 2021.
Vancouver:
Brito Fm. Market risk charge of the trading book: a comparison of the Basel II and Basel III. [Internet] [Thesis]. Universidade Nova; 2015. [cited 2021 Jan 28].
Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15343.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Brito Fm. Market risk charge of the trading book: a comparison of the Basel II and Basel III. [Thesis]. Universidade Nova; 2015. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15343
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Ghana
18.
Ackomah, H.G.
Competition, Cost Efficiency and Solvency of Non-Life Insurers in Ghana
.
Degree: 2019, University of Ghana
URL: http://ugspace.ug.edu.gh/handle/123456789/33352
► This study examines the effect of competition on the solvency of non-life insurers in Ghana. It further examines the role of cost efficiency in the…
(more)
▼ This study examines the effect of competition on the solvency of non-life insurers in Ghana. It further examines the role of cost efficiency in the competition- solvency nexus. The study uses firm level yearly data from the National Insurance Commission on 26 non-life insurers from 2008 to 2017. Using ordinary least squares panel corrected standard error, generalized least squares and systems generalized methods of moments, the study reveals that market power (competition) enhances (reduces) cost efficiency. This rejects the quiet life hypothesis. Furthermore, the analysis of the study reveals that market power enhances the solvency of non-life insurers, supporting the competition-fragility hypothesis. Finally, on the role of cost efficiency in the competition-solvency nexus, the findings suggest that market power enhances solvency of non-life insurers through cost efficiency. Investment income and leverage are significant determinants of insolvency while total assets and leverage are significant determinants of cost efficiency. Findings of this study will improve understanding on non-life insurers’ competitive behaviour and its consequences to shape regulatory competition policies for consumer interest while providing a stable insurance market for economic development.
Keywords: Competition, Cost Efficiency, Market Power, Solvency, System Generalized Methods of Moments, Underwriting Risk
Subjects/Keywords: Competition;
Market Power;
Underwriting Risk;
Ghana;
Solvency
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CSE |
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to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Ackomah, H. G. (2019). Competition, Cost Efficiency and Solvency of Non-Life Insurers in Ghana
. (Masters Thesis). University of Ghana. Retrieved from http://ugspace.ug.edu.gh/handle/123456789/33352
Chicago Manual of Style (16th Edition):
Ackomah, H G. “Competition, Cost Efficiency and Solvency of Non-Life Insurers in Ghana
.” 2019. Masters Thesis, University of Ghana. Accessed January 28, 2021.
http://ugspace.ug.edu.gh/handle/123456789/33352.
MLA Handbook (7th Edition):
Ackomah, H G. “Competition, Cost Efficiency and Solvency of Non-Life Insurers in Ghana
.” 2019. Web. 28 Jan 2021.
Vancouver:
Ackomah HG. Competition, Cost Efficiency and Solvency of Non-Life Insurers in Ghana
. [Internet] [Masters thesis]. University of Ghana; 2019. [cited 2021 Jan 28].
Available from: http://ugspace.ug.edu.gh/handle/123456789/33352.
Council of Science Editors:
Ackomah HG. Competition, Cost Efficiency and Solvency of Non-Life Insurers in Ghana
. [Masters Thesis]. University of Ghana; 2019. Available from: http://ugspace.ug.edu.gh/handle/123456789/33352
North-West University
19.
Burger, Johannes.
An analysis of the risk free rate in the South African capital market /|cJohann Burger
.
Degree: 2012, North-West University
URL: http://hdl.handle.net/10394/10192
► The current research was undertaken to assess if the prices in the South African capital market imply a risk free rate that is not equal…
(more)
▼ The current research was undertaken to assess if the prices in the South African capital market imply a risk free rate that is not equal to the theoretical risk free rate. The research was conducted by means of a literature review and desktop-research-based analysis of the market price based yield curve. The literature review was conducted to establish the importance of the risk free rate in the financial systems dynamics. The literature review highlighted that all the portfolio theories and performance-measure indicators have the risk free rate at the core of their methodology. This implies that the risk free rate is the most important concept that determines the market demand of different instruments. Next, a comparison has been drawn between the BESA published bond yield curve and a market-price-based yield curve developed by the researcher. The findings establish that the market price derived risk free rate is higher than the theoretical risk free rate. It was also found that the shape of the yield curve is different from the BESA projected yield curve, and that it is indicative of future problems in the South African capital market. The implications of investors‟ perceptions of the higher risk free rate are discussed and it is revealed that the foreign investors consider the country risk and the default risk associated with the South African government as higher than the BESA may perceive it to be.
Subjects/Keywords: Risk;
Capital market;
South-African;
Free rate
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APA (6th Edition):
Burger, J. (2012). An analysis of the risk free rate in the South African capital market /|cJohann Burger
. (Thesis). North-West University. Retrieved from http://hdl.handle.net/10394/10192
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):
Burger, Johannes. “An analysis of the risk free rate in the South African capital market /|cJohann Burger
.” 2012. Thesis, North-West University. Accessed January 28, 2021.
http://hdl.handle.net/10394/10192.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Burger, Johannes. “An analysis of the risk free rate in the South African capital market /|cJohann Burger
.” 2012. Web. 28 Jan 2021.
Vancouver:
Burger J. An analysis of the risk free rate in the South African capital market /|cJohann Burger
. [Internet] [Thesis]. North-West University; 2012. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/10394/10192.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Burger J. An analysis of the risk free rate in the South African capital market /|cJohann Burger
. [Thesis]. North-West University; 2012. Available from: http://hdl.handle.net/10394/10192
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Hong Kong University of Science and Technology
20.
Lin, Jialiang ECON.
Essays in financial networks and contagion.
Degree: 2018, Hong Kong University of Science and Technology
URL: http://repository.ust.hk/ir/Record/1783.1-96286
;
https://doi.org/10.14711/thesis-991012657369603412
;
http://repository.ust.hk/ir/bitstream/1783.1-96286/1/th_redirect.html
► Chapter 1 studies the interplay of network structure and imperfect information in financial contagion. Financial crisis may be started by fundamental liquidity shocks but contagion…
(more)
▼ Chapter 1 studies the interplay of network structure and imperfect information in financial contagion. Financial crisis may be started by fundamental liquidity shocks but contagion is triggered by precautionary actions of some market participants who have imperfect knowledge about the structure of the financial network. These uninformed market participants, depositors in our model, are uncertainty averse, i.e., they decide their withdrawing time as if their bank were in the worst network structure and were to be affected by the shocked bank through the financial linkage. Thus they rush to withdraw their deposits earlier than they should, which leads to another local bank failure, further endangering banks in other regions. Chapter 2 studies the effects of diversification in interbank loans on the robustness of the financial networks. Specifically, I investigate how the degrees and patterns of diversification affect the extent of contagion of a financial system. Two patterns of diversification are numerically analyzed, one in which all banks expand their connection towards one direction, the other towards two directions symmetrically. We find that diversification enhances robustness largely by preventing contagion from happening in the first place. However, once contagion is unavoidable under large shocks, diversification has non-monotonic effect on the robustness, reducing the extent of contagion and then increasing it. This is true for both diversification patterns. Comparing across patterns, there are slight differences, but neither absolutely dominates the other.
Subjects/Keywords: Financial risk
; Financial crises
; Interbank market
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APA (6th Edition):
Lin, J. E. (2018). Essays in financial networks and contagion. (Thesis). Hong Kong University of Science and Technology. Retrieved from http://repository.ust.hk/ir/Record/1783.1-96286 ; https://doi.org/10.14711/thesis-991012657369603412 ; http://repository.ust.hk/ir/bitstream/1783.1-96286/1/th_redirect.html
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):
Lin, Jialiang ECON. “Essays in financial networks and contagion.” 2018. Thesis, Hong Kong University of Science and Technology. Accessed January 28, 2021.
http://repository.ust.hk/ir/Record/1783.1-96286 ; https://doi.org/10.14711/thesis-991012657369603412 ; http://repository.ust.hk/ir/bitstream/1783.1-96286/1/th_redirect.html.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Lin, Jialiang ECON. “Essays in financial networks and contagion.” 2018. Web. 28 Jan 2021.
Vancouver:
Lin JE. Essays in financial networks and contagion. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2018. [cited 2021 Jan 28].
Available from: http://repository.ust.hk/ir/Record/1783.1-96286 ; https://doi.org/10.14711/thesis-991012657369603412 ; http://repository.ust.hk/ir/bitstream/1783.1-96286/1/th_redirect.html.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Lin JE. Essays in financial networks and contagion. [Thesis]. Hong Kong University of Science and Technology; 2018. Available from: http://repository.ust.hk/ir/Record/1783.1-96286 ; https://doi.org/10.14711/thesis-991012657369603412 ; http://repository.ust.hk/ir/bitstream/1783.1-96286/1/th_redirect.html
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Technology, Sydney
21.
Du, K.
Commodity derivative pricing under the benchmark approach.
Degree: 2013, University of Technology, Sydney
URL: http://hdl.handle.net/10453/23488
► This thesis models commodity prices and derivatives, written on commodity prices, under the benchmark approach. Under this approach, the commodity prices are modeled under the…
(more)
▼ This thesis models commodity prices and derivatives, written on commodity prices, under the benchmark approach. Under this approach, the commodity prices are modeled under the real world probability measure while the corresponding numéraire is the numéraire portfolio (NP), which is the growth optimal portfolio that maximizes expected logarithmic utility. The existence of an equivalent risk neutral probability measure is not required. Under the proposed new concept of benchmarked risk minimization, the minimal price for a nonhedgeable contingent claim is identified, and the fluctuations of the benchmarked profit and loss, when denominated in units of the NP, are minimized. The resulting real world pricing formula generalizes the classical risk neutral pricing formula. The NP will be approximated by a well-diversified stock index. New forward and futures price formulas will be derived, which generalize their classical counterparts. Stylized empirical facts for the dynamics of the NP in a selected commodity denomination will be identified. These lead to a model which falls outside classical no-arbitrage assumptions, but is covered by the benchmark approach. Under this model, some long dated derivatives will be shown to be less expensive than under the classical paradigm.
Subjects/Keywords: Commodity market.; Futures prices.; Financial risk management.
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APA (6th Edition):
Du, K. (2013). Commodity derivative pricing under the benchmark approach. (Thesis). University of Technology, Sydney. Retrieved from http://hdl.handle.net/10453/23488
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):
Du, K. “Commodity derivative pricing under the benchmark approach.” 2013. Thesis, University of Technology, Sydney. Accessed January 28, 2021.
http://hdl.handle.net/10453/23488.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Du, K. “Commodity derivative pricing under the benchmark approach.” 2013. Web. 28 Jan 2021.
Vancouver:
Du K. Commodity derivative pricing under the benchmark approach. [Internet] [Thesis]. University of Technology, Sydney; 2013. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/10453/23488.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Du K. Commodity derivative pricing under the benchmark approach. [Thesis]. University of Technology, Sydney; 2013. Available from: http://hdl.handle.net/10453/23488
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Drexel University
22.
Liu, Tengdong.
Essays on Financial and Economic Risks.
Degree: 2013, Drexel University
URL: http://hdl.handle.net/1860/idea:7029
► This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These risk…
(more)
▼ This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These
risk types are related to stock, bond and commodity markets, financial stress and country
risk ratings. The first essay investigates directional relationships, regime variances, transition probabilities and expected regime durations for two systems of economic and financial variables. The first system consists of daily series which include credit and
market risks. The second system is based on monthly data, and encompasses credit, and
market risks and economic activity and oil variables. The methodology is based on the Markov-Switching cointegrated VAR model. The results suggest there is a pronounced regime-specific behavior in both systems with FTP-MS model. There is a significant difference between the higher expected duration in the low volatility regime and the lower duration in the high volatility regime in both systems. Both models suggest that during the 2007/2008 Great Recession, the system stays mainly in regime 2 but returns to the normality state in the 2009 recovery period. The fundamental variables (industrial production, oil prices and the real interest rate) have varying effects in both regimes and both systems. Quantitative easing has significant effects on the bond expected volatility index MOVE in the high volatility regime and industrial production in both regimes. I also examine the driving forces of the time-varying transition probabilities and find that increases of oil price will decrease the probability that the financial markets stay in the low volatility regime. The second essay examines the asymmetric adjustments of the stock markets of the five BRICS countries (Brazil, Russia, India, China and South Africa) to changes in the economic, financial and political country
risk ratings of these countries in the short run and long run, using the momentum threshold autoregression (MTAR) and the vector error-correction(VEC) models. The findings suggest that the long-run relationships between these four variables respond asymmetrically depending on the direction of the shocks. The adjustment is faster when the spread between the actual level of stock
market index and the level suggested by country
risk ratings is narrowing than when it is widening, except for Russia which has the opposite response. The Chinese stock
market seems to have the fastest adjustments in the short-and long-run among those of the five BRICS. In terms of the three country
risk ratings the financial
risk ratings for the five BRICS show the most responsiveness to all the variables in the long-run, while the political
risk ratings exhibit the least. The economic and political
risk ratings show the fastest adjustments for Brazil, while the financial
risk rating is most pronounced in Russia. The third essay examines the Value-at-
Risk for ten euro-zone equity markets individually and when divided into two groups: PIIGS and the Core, employing four VaR…
Advisors/Committee Members: Hammoudeh, Shawkat M., Bennett S. LeBow College of Business.
Subjects/Keywords: Economics; Efficient market theory; Risk – Econometric models
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Manager
APA (6th Edition):
Liu, T. (2013). Essays on Financial and Economic Risks. (Thesis). Drexel University. Retrieved from http://hdl.handle.net/1860/idea:7029
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):
Liu, Tengdong. “Essays on Financial and Economic Risks.” 2013. Thesis, Drexel University. Accessed January 28, 2021.
http://hdl.handle.net/1860/idea:7029.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Liu, Tengdong. “Essays on Financial and Economic Risks.” 2013. Web. 28 Jan 2021.
Vancouver:
Liu T. Essays on Financial and Economic Risks. [Internet] [Thesis]. Drexel University; 2013. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/1860/idea:7029.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Liu T. Essays on Financial and Economic Risks. [Thesis]. Drexel University; 2013. Available from: http://hdl.handle.net/1860/idea:7029
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Curtin University of Technology
23.
Mostafa, Fahed.
Applications of neural networks in market risk
.
Degree: 2011, Curtin University of Technology
URL: http://hdl.handle.net/20.500.11937/2548
► Market risk refers to the potential loss that can be incurred as a result of movements inmarket factors. Capturing and measuring these factors are crucial…
(more)
▼ Market risk refers to the potential loss that can be incurred as a result of movements inmarket factors. Capturing and measuring these factors are crucial in understanding andevaluating the risk exposure associated with an investment portfolio. This process iscomplicated by the fact that not all factors are directly measurable in the market; also, theasset returns exhibit stylised facts which complicate the modelling process. Risk models arerequired to capture this dynamic behaviour of the asset price to enable forecasting, pricingand evaluation of the current and future portfolio position. Statistical models applied in thisdomain have limitations in representing and capturing the dynamic behaviours in themarket. This limitation is caused by the necessary assumptions of the model in theunderlying process to allow for the mathematical derivation of the model such as thenormality in the asset return series. Such assumption drastically impacts upon the accuracy and the stability of the model.For this reason, neural networks are proposed as an alternative solution to statistical models as they are data-driven which does not require any assumptions in the underlying data. Although neural networks have been applied successfully in many disciplines, they have shown limited success in market risk. In this thesis, we study the application of neural networks in market risk; in particular, we study the application of neural networks in volatility forecasting, option pricing and hedging.Neural networks have been applied heavily to time forecasting with superior performances over standard time series models. Typically in risk management models, forecasting accuracy is dependent on how well the model is able to capture the volatility process. In the literature, volatility forecasting results are indecisive and in some instances misleading. For this reason, the majority of volatility forecasting research relies on hybrid methods that combine time series models and neural networks to further increase the accuracy of forecasting. This limitation is due to the neural networks' (MLP) inability to cater for key stylised facts in the data. For this reason, we turn our attention to mixture density networks (MDNs) as they are most suitable for modelling key stylised facts, such as heteroskedasticity.There are several MDN volatility forecasting papers where the forecasting results are aligned with other research conducted in this domain. The mixed results reported in the literature are analysed and the key variables impacting on the results are studied. Our research identified key oversights in the model design and optimisation process that has led to the conflicting results in the research. To demonstrate the impacts of these oversights and the capabilities of the MDNs, we conduct an extensive experiment by varying multiple factors in the MDN models. The results demonstrate the out-of-sample forecasting capabilities of the MDN and show how the time series models are directly affected by these variables. Also, MDN models displayed…
Subjects/Keywords: investment portfolio;
market risk;
risk exposure;
future portfolio;
neural networks;
market factors
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Manager
APA (6th Edition):
Mostafa, F. (2011). Applications of neural networks in market risk
. (Thesis). Curtin University of Technology. Retrieved from http://hdl.handle.net/20.500.11937/2548
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):
Mostafa, Fahed. “Applications of neural networks in market risk
.” 2011. Thesis, Curtin University of Technology. Accessed January 28, 2021.
http://hdl.handle.net/20.500.11937/2548.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Mostafa, Fahed. “Applications of neural networks in market risk
.” 2011. Web. 28 Jan 2021.
Vancouver:
Mostafa F. Applications of neural networks in market risk
. [Internet] [Thesis]. Curtin University of Technology; 2011. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/20.500.11937/2548.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Mostafa F. Applications of neural networks in market risk
. [Thesis]. Curtin University of Technology; 2011. Available from: http://hdl.handle.net/20.500.11937/2548
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Newcastle
24.
Anthony, John E.
Liquidity in the secondary corporate loan market.
Degree: PhD, 2017, University of Newcastle
URL: http://hdl.handle.net/1959.13/1337724
► Research Doctorate - Doctor of Philosophy (PhD)
Of recent interest to academics, policy makers and practitioners is the role that liquidity plays in market outcomes.…
(more)
▼ Research Doctorate - Doctor of Philosophy (PhD)
Of recent interest to academics, policy makers and practitioners is the role that liquidity plays in market outcomes. The aim of this thesis is to explore the measurement and cross-sectional drivers of liquidity, as well as the impact of liquidity risk, in the U.S. secondary corporate loan market (herein loan market). The loan market is a dealer-driven and relatively opaque over the counter market. It is also a relatively illiquid market, yet trading volumes are economically significant, totalling USD 628 billion in 2014. Importantly, since 2008 additional liquidity data has become available on the loan market. The thesis comprises three empirical studies. The first study begins with an examination of alternative measures of liquidity, which is followed by an investigation of liquidity risk and its drivers. Principal component analysis and canonical correlations analysis are used to determine the most effective measure of liquidity in the loan market. I find that the bid-ask spread and a measure of quote dispersion are the most effective measures of liquidity, with a preference for the bid-ask spread due to its wide applicability and ease of calculation. In Study 1, liquidity commonality, a common measure of liquidity risk, is used to examine liquidity risk in the loan market, and the extent to which any liquidity risk varies over time. Liquidity commonality shows an 18-fold increase during the 2007-2009 global financial crisis over its pre-crisis level, implying substantial variation in liquidity risk across market states. Substantial variation in liquidity commonality is also consistent with the vulnerability of the loan market to weakness in the banking and shadow-banking sectors. There is some evidence that liquidity risk in the loan market is decreasing in funding liquidity, consistent with supply-driven theoretical explanations such as Brunnermeier and Pedersen (2009). The findings are robust to the use of quote dispersion as an alternative measure of liquidity. If liquidity has an important impact in loan markets, it is critical that we understand why some loans are more liquid than others, which I examine in Study 2. The starting point is the liquidity drivers established in both the theoretical and empirical literature, including inventory costs, adverse selection costs and dealer competition. In particular, I focus on any economic rents accrued by dealers, which may be more significant in less transparent dealer driven markets. A key aspect of the analysis is the ability to examine “paired” loans; loans issued by the same borrower on the same day with identical credit ratings. This is an alternative to the asset matching methods often used in the literature, and provides the opportunity to test the direct effect of dealer market power on spreads. High dealer concentration in the loan market increases bid-ask spreads by 12-14 basis points, equivalent to $672 million of additional transaction costs per annum. This does not imply that alterative market…
Advisors/Committee Members: University of Newcastle. Faculty of Business & Law, Newcastle Business School.
Subjects/Keywords: liquidity; secondary corporate loan market; counter market; liquidity risk
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APA (6th Edition):
Anthony, J. E. (2017). Liquidity in the secondary corporate loan market. (Doctoral Dissertation). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/1337724
Chicago Manual of Style (16th Edition):
Anthony, John E. “Liquidity in the secondary corporate loan market.” 2017. Doctoral Dissertation, University of Newcastle. Accessed January 28, 2021.
http://hdl.handle.net/1959.13/1337724.
MLA Handbook (7th Edition):
Anthony, John E. “Liquidity in the secondary corporate loan market.” 2017. Web. 28 Jan 2021.
Vancouver:
Anthony JE. Liquidity in the secondary corporate loan market. [Internet] [Doctoral dissertation]. University of Newcastle; 2017. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/1959.13/1337724.
Council of Science Editors:
Anthony JE. Liquidity in the secondary corporate loan market. [Doctoral Dissertation]. University of Newcastle; 2017. Available from: http://hdl.handle.net/1959.13/1337724
Universidade Nova
25.
Rodrigues, Andreia Sofia da Silva.
Modeling and forecasting value-at-risk for the Portuguese stock market.
Degree: 2015, Universidade Nova
URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15364
► The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of…
(more)
▼ The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.
UNL - NSBE
Advisors/Committee Members: Georgiev, Iliyan.
Subjects/Keywords: Value-at-risk; Portuguese stock market; Volatility; Market conditions
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APA (6th Edition):
Rodrigues, A. S. d. S. (2015). Modeling and forecasting value-at-risk for the Portuguese stock market. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15364
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):
Rodrigues, Andreia Sofia da Silva. “Modeling and forecasting value-at-risk for the Portuguese stock market.” 2015. Thesis, Universidade Nova. Accessed January 28, 2021.
http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15364.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Rodrigues, Andreia Sofia da Silva. “Modeling and forecasting value-at-risk for the Portuguese stock market.” 2015. Web. 28 Jan 2021.
Vancouver:
Rodrigues ASdS. Modeling and forecasting value-at-risk for the Portuguese stock market. [Internet] [Thesis]. Universidade Nova; 2015. [cited 2021 Jan 28].
Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15364.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Rodrigues ASdS. Modeling and forecasting value-at-risk for the Portuguese stock market. [Thesis]. Universidade Nova; 2015. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/15364
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Northeastern University
26.
Lee, Jihoon.
Three essays about market competition effects on firm behavior, performance and risk.
Degree: PhD, Department of Economics, 2017, Northeastern University
URL: http://hdl.handle.net/2047/D20240597
► The purpose of this dissertation is to study market competition effects on firms' behavior, performance and risk in selected industries. The first chapter discusses that…
(more)
▼ The purpose of this dissertation is to study market competition effects on firms' behavior, performance and risk in selected industries. The first chapter discusses that firms with market power in commercial real estate industry may strategically withhold some of their properties, particularly when demand falls. Empirical test evaluates three hypotheses: 1) whether larger firms, that is firms with more market power, choose higher vacancy in times of negative demand shock; 2) whether economics of scale may induce large firms to have lower vacancy rates; and 3) if large firms in large metro markets increase their vacancy rate more than large firms in smaller markets when demand falls. The second chapter discusses performance effects of bank mergers. The change of cost and profit efficiencies are calculated before and after merger and regressed by ex-ante explanatory variables including market competition parameters. Two hypotheses to be tested are: 1) whether merger will help improve cost and/or profit efficiencies of the merging firms; and 2) if performance improvement will be greater for mergers between small firms compared to the mergers between large firms. The third chapter discusses risk effects of bank mergers using a similar set of methodologies as for the second chapter. The change of overall financial stability and risk-taking behavior before and after merger are studied, and the empirical test evaluates several hypotheses including 1) whether merger improves banks' overall financial health or change their risk-taking behavior; and 2) if the magnitude of change in risk improvement depends on several ex-ante parameters including banks' market power and market concentration.
Subjects/Keywords: cost efficiency; market competition; market power; profit efficiency; quantity choice; risk
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Manager
APA (6th Edition):
Lee, J. (2017). Three essays about market competition effects on firm behavior, performance and risk. (Doctoral Dissertation). Northeastern University. Retrieved from http://hdl.handle.net/2047/D20240597
Chicago Manual of Style (16th Edition):
Lee, Jihoon. “Three essays about market competition effects on firm behavior, performance and risk.” 2017. Doctoral Dissertation, Northeastern University. Accessed January 28, 2021.
http://hdl.handle.net/2047/D20240597.
MLA Handbook (7th Edition):
Lee, Jihoon. “Three essays about market competition effects on firm behavior, performance and risk.” 2017. Web. 28 Jan 2021.
Vancouver:
Lee J. Three essays about market competition effects on firm behavior, performance and risk. [Internet] [Doctoral dissertation]. Northeastern University; 2017. [cited 2021 Jan 28].
Available from: http://hdl.handle.net/2047/D20240597.
Council of Science Editors:
Lee J. Three essays about market competition effects on firm behavior, performance and risk. [Doctoral Dissertation]. Northeastern University; 2017. Available from: http://hdl.handle.net/2047/D20240597
University of Southern California
27.
Pal, Ranjan.
Improving network security through cyber-insurance.
Degree: PhD, Computer Science, 2014, University of Southern California
URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/514919/rec/3417
► In recent years, security researchers have well established the fact that technical security solutions alone will not result in a robust cyberspace due to several…
(more)
▼ In recent years, security researchers have well
established the fact that technical security solutions alone will
not result in a robust cyberspace due to several issues jointly
related to the economics and technology of computer security. In
this regard some of them proposed cyber-insurance as a suitable
risk management technique that has the potential to jointly align
with the various incentives of security vendors (e.g., Symantec,
Microsoft, etc.), cyber-insurers (e.g., security vendors, ISPs,
cloud providers, etc.), regulatory agencies (e.g., government), and
network users (individuals and organizations), in turn paving the
way for robust cyber-security. In this work, we theoretically
investigate the following important question: can cyber-insurance
really improve the security in a network? To answer our question we
adopt a
market-based approach. We analyze regulated monopolistic
and competitive cyber-insurance markets in our work, where the
market elements consist of
risk-averse cyber-insurers,
risk-averse
network users, a regulatory agency, and security vendors (SVs). Our
analysis proves that technical solutions will alone not result in
optimal network security, and leads to two important results: (i)
without contract discrimination amongst users, there always exists
a unique
market equilibrium for both
market types, but the
equilibrium is inefficient and does not improve network security,
and (ii) in monopoly markets, contract discrimination amongst users
results in a unique
market equilibrium that is efficient and
results in improvement of network security—however, the
cyber-insurer can make zero expected profit. The latter fact is
often sufficient to de-incentivize the formation or practical
realization of successful and stable cyber-insurance markets. ❧ To
alleviate the insurer’s problem of potentially making zero profits,
we suggest two mechanisms: (a) the SV could enter into a business
relationship with the insurer and lock the latter’s clients in
using security products manufactured by the SV. In return for the
increased sale of its products, the SV could split the average
profit per consumer with the insurer, and (b) the SV could itself
be the insurer and account for logical/social network information
of its clients to price them. In this regard, we study homogenous,
heterogeneous, and binary pricing mechanisms designed via a common
Stackelberg pricing game framework. The binary pricing game turns
out to be NP-hard, for which we develop an efficient randomized
approximation algorithm that achieves insurer profits up to 0.878
of the optimal solution. Our game analysis combined with simulation
results on practical networking topologies illustrate increased
maximum profits for the insurer (SV) at
market equilibrium and
always generate strictly positive profits for the latter, when
compared to current SV pricing mechanisms in practice. In addition,
the state of improved network security remains
intact.
Advisors/Committee Members: Golubchik, LeanaPsounis, Konstantinos (Committee Chair), Prasanna, Viktor K. (Committee Member), Yu, Minlan (Committee Member).
Subjects/Keywords: security; cyber-insurance; risk; markets; market equilibrium; market efficiency; pricing
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APA ·
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MLA ·
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CSE |
Export
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Manager
APA (6th Edition):
Pal, R. (2014). Improving network security through cyber-insurance. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/514919/rec/3417
Chicago Manual of Style (16th Edition):
Pal, Ranjan. “Improving network security through cyber-insurance.” 2014. Doctoral Dissertation, University of Southern California. Accessed January 28, 2021.
http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/514919/rec/3417.
MLA Handbook (7th Edition):
Pal, Ranjan. “Improving network security through cyber-insurance.” 2014. Web. 28 Jan 2021.
Vancouver:
Pal R. Improving network security through cyber-insurance. [Internet] [Doctoral dissertation]. University of Southern California; 2014. [cited 2021 Jan 28].
Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/514919/rec/3417.
Council of Science Editors:
Pal R. Improving network security through cyber-insurance. [Doctoral Dissertation]. University of Southern California; 2014. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/514919/rec/3417
28.
Ξεπαπαδάκη, Παναγιώτα.
Μαθηματική διαχείριση κινδύνου.
Degree: 2009, University of Patras
URL: http://nemertes.lis.upatras.gr/jspui/handle/10889/2474
► Στην παρούσα διπλωματική εργασία παρουσιάζεται μια μαθηματική προσέγγιση της θεωρίας κινδύνου. Η ποσοτικοποίηση των κινδύνων είναι σημαντική τόσο για τους χρηματοοικονομικούς οργανισμούς όσο και για…
(more)
▼ Στην παρούσα διπλωματική εργασία παρουσιάζεται μια μαθηματική προσέγγιση της θεωρίας κινδύνου. Η ποσοτικοποίηση των κινδύνων είναι σημαντική τόσο για τους χρηματοοικονομικούς οργανισμούς όσο και για τις ρυθμιστικές αρχές, ώστε να εξασφαλίζεται η επάρκεια των χρηματοοικονομικών ροών και η ασφάλεια των κεφαλαίων.
Αρχικά αναφερόμαστε σε δύο σημαντικές μεθόδους μέτρησης κινδύνου, την Αξία-σε-Κίνδυνο (VaR) και το Αναμενώμενο Κατώφλι (Expected Shortfall), καθώς και στην σχέση μεταξύ τους.
Στην συνέχεια επικεντρωνόμαστε στον υπολογισμό του κινδύνου αγοράς μέσω των μεθόδων διασποράς-συνδιασποράς, ιστορικής προσομείωσης και Monte Carlo. Ακολουθούν δύο στοιχειώδεις προσεγγίσεις του λειτουργικού κινδύνου: η προσέγγιση με βασικό δείκτη (BI) και η τυποποιημένη προσέγγιση.
Ιδιαίτερη μελέτη πραγματοποιήθηκε στα μοντέλα μέτρησης του πιστωτικού κινδύνου που διακρίνονται στα κατασκευαστικά και τα μοντέλα μειωτικού-τύπου. ‘Ενας ακόμα σημαντικός κίνδυνος είναι ο συνιστάμενος, που συμβάλλει στην εύρεση ορίων, καθώς και στη διανομή του κεφαλαίου στους επιμέρους κινδύνους επιτυγχάνοντας την ασφάλεια της επένδυσης.
Τέλος, αντικείμενο μελέτης αποτελούν τεχνικές που εφαρμόζουν τις παραπάνω μεθόδους μέτρησης κινδύνων στην οικονομία και πιο συγκεκριμένα στον χώρο των ασφαλίσεων.
-
Advisors/Committee Members: Παπακωνσταντίνου, Βασίλειος, Xepapadaki, Panagiota, Μακρή, Ευφροσύνη, Παπακωνσταντίνου, Βασίλειος, Τσάντας, Νικόλαος.
Subjects/Keywords: Θεωρία κινδύνου; Κίνδυνος αγοράς; 332.41; Risk theory; Market risk
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Manager
APA (6th Edition):
Ξεπαπαδάκη, . (2009). Μαθηματική διαχείριση κινδύνου. (Masters Thesis). University of Patras. Retrieved from http://nemertes.lis.upatras.gr/jspui/handle/10889/2474
Chicago Manual of Style (16th Edition):
Ξεπαπαδάκη, Παναγιώτα. “Μαθηματική διαχείριση κινδύνου.” 2009. Masters Thesis, University of Patras. Accessed January 28, 2021.
http://nemertes.lis.upatras.gr/jspui/handle/10889/2474.
MLA Handbook (7th Edition):
Ξεπαπαδάκη, Παναγιώτα. “Μαθηματική διαχείριση κινδύνου.” 2009. Web. 28 Jan 2021.
Vancouver:
Ξεπαπαδάκη . Μαθηματική διαχείριση κινδύνου. [Internet] [Masters thesis]. University of Patras; 2009. [cited 2021 Jan 28].
Available from: http://nemertes.lis.upatras.gr/jspui/handle/10889/2474.
Council of Science Editors:
Ξεπαπαδάκη . Μαθηματική διαχείριση κινδύνου. [Masters Thesis]. University of Patras; 2009. Available from: http://nemertes.lis.upatras.gr/jspui/handle/10889/2474
29.
Saad, Rami.
How Does Political Instability Affect Market Risk and the Risk Premium in Israel.
Degree: Umeå School of Business and Economics (USBE), 2011, Umeå University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54388
Subjects/Keywords: Economics; market risk; risk premium
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Manager
APA (6th Edition):
Saad, R. (2011). How Does Political Instability Affect Market Risk and the Risk Premium in Israel. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54388
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):
Saad, Rami. “How Does Political Instability Affect Market Risk and the Risk Premium in Israel.” 2011. Thesis, Umeå University. Accessed January 28, 2021.
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54388.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Saad, Rami. “How Does Political Instability Affect Market Risk and the Risk Premium in Israel.” 2011. Web. 28 Jan 2021.
Vancouver:
Saad R. How Does Political Instability Affect Market Risk and the Risk Premium in Israel. [Internet] [Thesis]. Umeå University; 2011. [cited 2021 Jan 28].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54388.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Saad R. How Does Political Instability Affect Market Risk and the Risk Premium in Israel. [Thesis]. Umeå University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-54388
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Delft University of Technology
30.
Pries, H. (author).
Market risk calculations in stock- and bond prices: a garch-copula approach.
Degree: 2016, Delft University of Technology
URL: http://resolver.tudelft.nl/uuid:e5f90dec-7e32-411c-a228-7210c6be2ea6
► The financial crisis of 2008-2009 has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear…
(more)
▼ The financial crisis of 2008-2009 has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear correlation models did not foresee the extreme losses in asset values, because they were not able to forecast high volatile markets in which the dependence between financial assets seemed to increase. Research on copula theory, a tool to model more advanced dependence structures, predominately analyses the effect of the copula on highly dependent stock indexes, often using one underlying simulation model. This study compares two slightly dependent equity and bond prices for four different combinations of univariate simulation models, including Black-Scholes, Hull-White, GARCH and different residual models, three different copula models (Gaussian, Student t and flipped Gumbel) and two calibration methods. The goal is to measure the effect of different copula dependence models in economic scenario generators in combination with different simulation models and compare results in terms of accuracy, stability, resilience and complexity. The main result is that due to the little dependence the impact of the copula model is limited and dependence in the copulas is small compared to the estimations based on stressed markets. Hence, for these low dependent portfolios the copulas do not have much added value. Remarkable is that the dependence implied by the copula can strongly depend on the underlying model. The estimated dependence parameters of the copulas are lower for models using a GARCH volatility model. This can be explained by the non independent identically distributed residuals in the model without GARCH, i.e. the high volatile market periods lead to volatility clustering in the residuals. If this volatility clustering is not captured by the model, it can lead to amplification of the dependence due to misfitting of the univariate simulation models. The differences in risk estimations are mainly caused by the choice of simulation models. The GARCH volatility model leads to an increase in the calculated market risk at a horizon of one year. The choice of residual model has large impact on the risk calculations in one day and (depending on the strength of the dependence) can have both negative and positive impact on the risk calculations in one year and the choice of simulation models should therefore be chosen with care.
Electrical Engineering, Mathematics and Computer Science
Mathematics
Advisors/Committee Members: Cirillo, P. (mentor).
Subjects/Keywords: expected shortfall; copula; garch; market risk; value at risk
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Export
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Manager
APA (6th Edition):
Pries, H. (. (2016). Market risk calculations in stock- and bond prices: a garch-copula approach. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:e5f90dec-7e32-411c-a228-7210c6be2ea6
Chicago Manual of Style (16th Edition):
Pries, H (author). “Market risk calculations in stock- and bond prices: a garch-copula approach.” 2016. Masters Thesis, Delft University of Technology. Accessed January 28, 2021.
http://resolver.tudelft.nl/uuid:e5f90dec-7e32-411c-a228-7210c6be2ea6.
MLA Handbook (7th Edition):
Pries, H (author). “Market risk calculations in stock- and bond prices: a garch-copula approach.” 2016. Web. 28 Jan 2021.
Vancouver:
Pries H(. Market risk calculations in stock- and bond prices: a garch-copula approach. [Internet] [Masters thesis]. Delft University of Technology; 2016. [cited 2021 Jan 28].
Available from: http://resolver.tudelft.nl/uuid:e5f90dec-7e32-411c-a228-7210c6be2ea6.
Council of Science Editors:
Pries H(. Market risk calculations in stock- and bond prices: a garch-copula approach. [Masters Thesis]. Delft University of Technology; 2016. Available from: http://resolver.tudelft.nl/uuid:e5f90dec-7e32-411c-a228-7210c6be2ea6
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Open Access Theses and Dissertations