Using a sample of 1007 U.S. bank holding companies from 1995 to 2015, this study investigates whether the use of financial derivatives of U.S. bank holding companies affects distance-to-default, a measure of a bank’s chance of defaulting. My results show that total derivatives and total derivatives for trading purposes do not have any statistically significant impact on distance-to-default. There is, however, a statistically significant correlation between total derivatives for non-trading purposes and distance-to-default. More exposure to total non-trading derivatives decreases distance-to- default, thus making a bank holding company riskier. Further analysis of the results shows that, after the initiation of the Dodd-Frank Act, more exposure to credit derivatives will decrease distance-to-default, therefore increasing the riskiness of a bank holding company.

In this thesis we address a long-term maintainability problem in Haskell type class system. In particular we study a possibility of backward-compatible changes in existing class hierarchies. In the first part of the thesis we give a brief overview of the language. The following part summarizes current proposed solutions to the problem and analyzes their properties. Based on this analysis we derive our own language extension proposal. In the penultimate chapter we present several possible applications of the language extension and compare the extension to other solutions. As a part of the thesis we also give a proof-of-concept implementation of the extension for the GHC compiler, which is briefly described in the last part of this thesis. Powered by TCPDF (www.tcpdf.org)

This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying solely on its information. Thus other variables are needed in order to more accurately be able to find the probability of default. Essay 2, “Christian Mutual Fund Performance,” draws attention to a much ignored type of funds, Christian mutual funds. The following questions are asked: How does Christian mutual fund perform compared to the market? Is there a difference in performance during recessions as indicated by literature? Is Christian mutual fund performance different than SRI funds? How do Catholic and Protestant fund perform? Looking at qualitative evidence, Christian mutual funds place much more importance on moral issue than SRI funds. Thus there is a clear difference in objectives and the type of screening that these two mutual fund pursue. Overall data reflects that screened data perform worse than the market, however during recession screened funds perform as well and at times better than the market. Christian mutual funds tends to perform worse than SRI funds.

The aim of the present study is to investigate how men and women in three Iranian Balochi dialects, Coastal Balochi, Koroshi Balochi and Sistani Balochi, refer to 3rd person participants in oral narratives of two genres: folktales and biographical tales. The stories that are analysed were recorded during several field trips to Iran and the approach used is that of Levinsohn (1994, 2015). The first part of the dissertation begins with an overview of the Balochi language and its dialects, including a brief presentation of its phonology, and then reviews previous studies of Balochi, before introducing the case system and types of alignment in the three dialects. Chapter 2 introduces the reader to the status of orality in the three dialects, before giving details about the corpus of texts that were analysed. Of particular note is the fact that each story in the corpus was told by both a man and a woman. Chapter 3 examines different approaches to the analysis of participant reference, before comparing those of Gundel et al. and Levinsohn in greater detail. The second part of the dissertation applies Levinsohn’s approach to texts in each of the three dialects in turn. Chapters 4–6 identify and analyse the different ways in which the participants in the stories are referred to when the subject remains the same and in three specific situations when the subject changes. This enables default encoding values to be established for each of the four situations. Motivations for over-encoding and, in some situations, under-encoding, are then identified. Chapters 7–9 investigate whether the gender of the storyteller (male versus female) and/or the genre of the story (folktale versus biographical tale) influence the way that the participants are referred to. This leads in chapter 10 to a gender- and genre-based comparison of participant reference across the present dialects. Conclusions are presented in chapter 11. In general, the participant reference strategy used was the same in all three dialects, regardless of the gender or the genre. The main exception involved reported conversations in Koroshi Balochi, where the additive enclitic ham was attached to the reference to a subject who responded in line with the contents of the speech reported in the previous sentence. Other variations appeared to depend on the degree to which the storyteller was proficient in his or her art. The dissertation concludes with four Appendices. Appendix A presents six texts that were interlinearised using the FLEx programme, while Appendix B consists of participant reference charts of the same texts following Levinsohn’s approach. Appendix C presents details of the case system and alignment for each of the three dialects. Finally, the chart in Appendix D compares the approaches of Levinsohn and of Gundel et al. to participant reference in a specific text. A CD with audio files of the six texts and some photos taken during fieldwork is also available.

This thesis charts the evolution of the credit default swaps (CDS) market from its inception to the present day. The first part focuses on the principles of CDS trading, the differences between CDS and insurance, the structure of the markets and variation in their volumes during the period, the influence of CDS on the credit crisis and the current state of the market. The second part looks at AIG and the relationship between CDS and the problems of AIG. The final part looks at the regulation and standardisation of the CDS market and trend in the changes to those regulations.

Credit rating agencies (CRAs) play an integral part in today's financial markets. Through ratings they express considered opinion about future creditworthiness of an obligor and thus lower information asymmetry in the capital markets. Recently, CRAs have been brought in the spotlight as they are often blamed for being the triggers of the recent market turmoil. Critics often argue that ratings of tranches of structured finance instruments, backed by subprime mortgages, were unjustifiably high, downgrades were too late and the overall integrity of the rating process was compromised through numerous conflicts of interests CRAs face. However, in this thesis I argue that CRAs were put in this position rather through external factors than their own actions. Massive regulation usage of ratings, rapid growth of structured securities market, overdependence on the rating and the overall ignorance of the meaning of rating itself are the actual causes to blame.

Dissertation thesis deals with the topic of capital adequacy of financial institutions and tries to solve the problem of default and its prediction. In the theoretical part, the thesis provides summarization of historic and current approaches to capital adequacy of financial institutions and also presents currently used methodology of scoring models, which predict default of companies. Application part of the thesis aims to develop a scoring model, which would be usable by financial institutions for evaluation of their clients and their tendency to default.

This dissertation analyzes key features of credit derivatives market, basic risks of the products and trends the market has experienced for several years since its inception, discusses regulatory issues of the market with regard to the Basel II treatment and key reasons for investors using credit derivatives. Dissertation also examines whether and how credit derivatives affected current financial turmoil, analyzes credit derivatives losses of selected institutions on the financial markets and compares them with total losses of these institutions. The main result of the work is that there was no substantial effect of the credit derivatives market on the current financial crisis. Dissertation also examines whether there is any connection between U.S. banks credit derivatives trades and their capital adequacy ratio. According to the analysis, there is no evidence for credit derivatives to essentially affect capital adequacy ratio of U.S. banks. A potential explanation for the higher values of U.S. banks' capital adequacy ratio may be that there are sophisticated risk management strategies banks have been implicating for many years.

BACKGROUND: Schizophrenia manifests as a constellation of both psychotic symptoms (eg. hallucinations, delusions) and so-called negative symptoms. The latter includes anhedonia, avolition, amotivation and they are the strongest predictors of disability. Resting state fMRI (rsfMRI) has demonstrated that the brain is organized into low-dimensional number (7-17) brain networks and this allowed visualization of the relationship between symptom severity and large-scale brain network organization. Traditional rsfMRI analyses have assumed that the spatial organization of these networks are spatially invariant between individuals. This dogma has recently been overturned with the observation that the spatial organization of these brain networks shows significant variation between individuals. We sought to determine if previously observed relationships between symptom severity and network connectivity are actually due to individual differences in spatial organization. METHODS: 44 participants diagnosed with schizophrenia underwent rsfMRI scans and clinical assessment. A multivariate pattern analysis was used to examine how each participant’s whole brain functional connectivity correlates with ‘negative’ symptom severity. RESULTS: Brain connectivity to a region of the right dorso-lateral pre-frontal cortex (r DLPFC) correlates with symptom severity. The result is explained by the individual differences in the topographic distribution of two brain networks: the default mode network (DMN) and the task positive network (TPN). Both networks demonstrate strong (r~0.49) and significant (p<0.001) relationships between topography and symptom severity. For individuals with low symptom severity, this critical region is a part of the DMN. In highly symptomatic individuals, this region is a part of the TPN. CONCLUSIONS: Previously overlooked individual variation in brain organization is tightly linked to individual variation in schizophrenia symptom severity. The recognition of critical links between network topology and pathological symptomology may serve as a guide for future interventions aimed at establishing causal relationships between certain critical regions of the brain and cognitive and behavioral phenotypes. Thus, fMRI and network topology may be translated to a clinical setting as a viable, individual-centered treatment option. / 2020-06-17T00:00:00Z

The goal of this project is to price multi-name credit derivatives using a copula approach. The properties and advantage copula functions have to other traditional methods are carefully evaluated. Monte Carlo simulations are studied and performed to obtain numerical results for copula functions with explicit and implicit forms. A model was developed to price a basic form of a first-to-default basket using different copula functions. The outcomes are analyzed and comparisons are carried out.