With a background in EU regulations and an increased interest in Environmental, Social, and Governence (ESG) policies in companies when investing, this thesis considers the individual contributions to market risk in portfolios by different ESG parameters. It explores two different methods to examine if there are effects consistent across the whole Nordic markets, and the possibility to express any effects within portfolios in a clear way. It uses the OMXNORDIC index as the market index and two different fund portfolios as example portfolios, one of which is an article 9 fund. The quantile regression approach does not show any consistent effects across the whole Nordic market from any ESG parameter explored. It does however make for a clear way to present the effects on the portfolio level for each ESG parameter. The employed Copula approach does show some consistent difference between the ESG parameters for the market and in portfolios, as well as differences between the portfolios. Both of the explored methods should allow for comparisons between, and reports on, fund portfolios which would improve the ESG analyses of funds. / Mot bakgrund av EU-lagstiftning och ett ökat intresse i företags förhållning till Environmental, Social, och Governence (ESG) frågor, så utforskar den här uppsatsen ESG-faktorers bidrag till marknadsrisk i fondportföljer och på den nordiska marknaden. Uppsatsen använder två olika metoder för att undersöka om det finns potentiella konsekventa effekter på den Nordiska aktiemarknaden, och möjligheten att presentera resultat på portföljnivå på ett tydligt sätt. OMXNORDIC används som marknadsindex, och två olika fondportföljer används som exempelportföljer, varav en är en artikel 9 fondportfölj. Quantile regression-metoden visar inte på några konsekventa effekter över hela den nordiska marknaden, för någon av ESG-parametrarna. Däremot så resulterar metoden i ett tydligt sätt att presentera påverkan av ESG-parametrarna på portföljnivå. Copula-metoden som används visar på några konsekventa skillnader mellan ESG-parametrar, både för marknaden och i fondportföljerna, samt skillnader mellan portföljerna i sig. Båda metoderna lämpar sig till att jämföra och bygga rapporter på fondportföljer, vilket borde leda till bättre ESG-analyser av fonder.

We investigate various methods for generating a market-based proxy for climate related transition risk in financial markets, and use these to determine the sensitivities of various investments towards climate change policies. We find that assets tied to the energy and materials sector have consistently high sensitivity towards market factors which are likely to decline in response to climate regulations, and as such consequently face mark-to-market losses conditional on systemic climate events. For beta estimation we use both traditional linear regression and the dynamic conditional beta model developed by Engle, based on multivariate GARCH volatility models. We find suggestive evidence that our stylised climate factors, based on stranded assets, responds negatively to news of policies related to a move towards renewable energies. / Vi undersöker olika metoder för att skapa en marknadsbaserad proxy för klimatrisk inom finansmarknaden, och använder dessa för att bestämma känsligheter för olika investeringar mot klimatrelaterade händelser. Vi finner att tillgångar med koppling mot sektorer såsom energi eller material har konsekvent hög känslighet mot marknadsfaktorer som sannolikt kommer minska som svar till klimatbestämmelser, och således också tappa marknadsvärde vid en systemisk klimathändelse. Vi uppskattar ett klimatbeta genom både linjär regression, och Engles dynamic conditional beta modell baserad på en GARCH process i flera variabler. Vi finner suggestiva bevis för att våra klimatfaktorer, baserade på strandade tillgångar, svarar negativt till nyheter som hanterar omställningen till förnybar energi.

The study focuses on tariff-linked (or commodity-linked) agreements entered into between a power utility and commodity producers. The main purpose of these types of agreements is to link electricity tariff payable by commodity producers to the price of the commodity produced thereby transferring a certain level of commodity price risk to the power utility. The study looks at risk management practices of a power utility company with a particular reference to tariff-linked agreements. Also, the study critically analyses risk hedging mechanisms put in place by the power utility. The report makes practical recommendations, where applicable, in dealing with these risks. Risk management continuously evolve to meet the challenges of complex financial world. Despite the latest sophisticated risk management tools available commodity producers still encounter difficulties to hedge the price risk. The challenge for the power utility is the application of new risk management tools to effectively manage price risk. / Business Management / M.Com. (Business Economics)

由於金融事件層出不窮，控管風險已成為銀行、證券、保險各種金融產業的重要課題。其中Value-at-Risk(VaR)模型為銀行與證券業最常用來衡量其市場風險的模型。VaR模型中的蒙地卡羅模擬法是將投資組合持有部位以適當的市場風險因子來表示，接著產生市場風險因子的各種情境，再結合評價公式以求得投資組合在某一段持有期間內、某一信心水準之下的最低價值，再將最低價值減去原來之價值，便為可能的最大損失(Jorion, 2007)。 / 使用蒙地卡羅模擬法產生市場風險因子的各種情境，必須先估計市場風險因子的共變異數矩陣，再藉此模擬出數千種市場風險因子情境。本研究便是將蒙地卡羅模擬法加入隨著時間改變之共變異數矩陣(time-varying covariance matrix)的概念並減少市場風險因子個數，利用蒙地卡羅模擬法配合Constant模型、UWMA模型、EWMA模型、Orthogonal EWMA模型、Orthogonal GARCH模型、PCA EWMA模型、PCA GARCH模型來產生市場風險因子未來的情境並比較各方法對長天期與短天期風險衡量之優劣。結果顯示PCA EWMA模型的效果最好，因此建議各大金融機構可採用PCA EWMA模型來控管其投資組合短天期與長天期的市場風險。

This diploma thesis "Methods of risk aggregation on financial markets" introduces all kinds of risk that are present on the financial markets. In the first part there are explained the ways and methods of measurement of these risks. Next there are shown the methods of aggregation of credit, market and operational risks. One of these methods are copula functions which are constructed in practical part of this thesis.

A avaliação de riscos em projetos de produtos inovadores transformou-se em peça chave, na atualidade de competição crescente, para as empresas. Esse fato foi reconhecido na área de pesquisa nas últimas décadas e vários autores desenvolveram modelos para estimar riscos em projetos de produtos inovadores, tanto qualitativos como quantitativos. Porém, não foram encontrados, nas principais bases de dados, estudos que tratam o tema pela integração dos riscos de desenvolvimento e comercialização, mensurados por meio do Value at Risk (VaR). O objetivo geral do trabalho, portanto, é propor um modelo de análise de investimento que integre as etapas de desenvolvimento e comercialização para projetos inovadores, com utilização do VaR como medida de risco. Para a elaboração do modelo foi desenvolvido, primeiramente, um framework, qual relaciona os principais riscos em projetos de inovação e as variáveis que quantificam as tais. Este framework serve como base para a construção do modelo conceitual. Com a utilização das variáveis no modelo é possível estimar e quantificar os processos de desenvolvimento. A aplicação do VaR para a avaliação econômica em projetos de investimento representa uma novidade, mas se baseia na aplicação normal de estimação de riscos desenvolvida para o mercado financeiro. A vantagem do VaR é que resume os riscos considerados no cálculo do projeto em um único número, em unidades monetárias e de fácil compreensão, o que permite a comparação de projetos de investimento mutuamente exclusivos. O modelo integrado proposto possibilita uma avaliação econômica mais tangível que os métodos tradicionais de avaliação, aproximando o resultado à realidade e assim apresentando um avanço na estimação de risco no ambiente de desenvolvimento de produtos inovadores. Este fato foi comprovado na aplicação do método proposto em duas simulações de casos reais, quais resultados foram consistentes e compreensíveis. / Risk assessment in innovative product projects has become a key point for companies in today\'s growing competition. This fact was recognized by research in the area in recent decades and several authors have developed models to estimate risks in innovative product projects, as well as qualitative and quantitative. However, in the main databases could not be found studies dealing with the issue by integrating the risks of the development phase and the commercialization phase, measured by Value at Risk (VaR). The overall objective of this work is, therefore, proposing an investment analysis model that integrates the stages of development and commercialization for innovative projects, using VaR as a risk measure. Firstly, a framework, which relates the main risks in innovation projects and the variables that quantify such, was developed. This framework serves as a basis for the construction of the conceptual model. With the use of the defined variables and the conceptual model it is possible to estimate and quantify the processes of innovation projects. The application of VaR for economic evaluation of investment projects is new, but it is based on the risk estimates application used in the financial market. The advantage of VaR methods is that they summarize the risks considered in the project calculation in a single number expressed in monetary units, which is easy to interpret, allowing the comparison of mutually exclusive investment projects. The proposed integrated model enables a more tangible economic assessment than traditional methods of evaluation, bringing the result closer to reality and thus presenting an advance in risk estimation in innovative product development environment. This was proven in the application of the proposed method in two simulations of real cases, which results were consistent and understandable.

In dieser Arbeit werden in vier Kapiteln vier Themen der Weltwirtschaft behandelt: (1) Weshalb konzentrieren sich intra-industrieller Handel und intra-industrielle Investitionen auf Industrieländer? (2) Wieso ist es für ein multinationales Unternehmen wichtig, dauerhaft Technologieführer zu sein? (3) Weshalb sind multinationale Unternehmen in Bezug auf risikoaverses Verhalten erfolgreicher? (4) Weshalb ist freie Faktormobilität nicht ausreichend, um eine Produktionskonvergenz zwischen Industrie- und Entwicklungsländern herzustellen? Die wichtigsten Ergebnisse der Arbeit zeigen, dass die traditionelle Außenhandelstheorie neue Phänomene in Bezug auf Handel und Investitionen erklären kann. Es wird gezeigt, dass eingeschränkter Technologietransfer einen minimalen Effekt auf die Zielmärkte hat, dass ein multinationales Unternehmen das aus verschiedenen Märkten resultierende Risiko besser bewältigen kann und dass freie Faktormobilität nicht ausreicht, um eine Konvergenz in der Produktion zwischen multinationalen Unternehmen - und damit eine wirtschaftliche Annährung - zu erzielen. / This thesis is mainly aimed to explain four topics in the world economy in four chapters respectively: 1) why intraindustry trade or investment concentrates in developed countries; 2) Why it is important for a multinational corporation to hold technological leadership; 3) why being a multinational can be more superior in terms of risk aversion; 4) why free factor mobility is not sufficient to help production convergence between developed and developing firms. The major findings show that traditional trade theory can accommodate new phenomena of trade and investment; restrained technological transfer has trivial effect on the transferees' markets; being a multinational corporation can more conformably bear the risks variously sourced from different markets; and free factor movement is not sufficient to promote production convergence among multinational corporations and thus economic convergence among countries.

Le Bris a collecté environ 200 000 données sur les actions françaises entre 1854 et 1988 pour construire un indice de performances.Différents biais qui surestimaient la rentabilité dans les indices français existants sont identifiés. D’autres probables cas à l’étranger sont présentés.Sur le long terme, les actions offrent une meilleure rentabilité que les autres actifs mais sans prime particulière.Par rapport aux actions américaines, les françaises sous-performent y compris durant les périodes de paix.Le marché est très sensible aux changements de gouvernements et surperforme sous ceux de gauche.Une nouvelle méthode de détection des krachs est proposée. Elle identifie des krachs cohérents avec l’histoire.Les entreprises de services dominent la capitalisation boursière de manière quasi-continue depuis 1854.La rationalité des investissements en emprunts russes avant 1914 est démontrée grâce à une optimisation de portefeuille parmi les actifs français (action, obligation, rente) et huit emprunts d’Etats étrangers.Une nouvelle méthode de décomposition du bénéfice de diversification est proposée ; les investisseurs français étaient attirés par la faible corrélation plus que par les rentabilités étrangères supérieures avant 1914.Les actions françaises et américaines présentent une hausse de corrélation sur le long terme probablement suivant l’intégration des économies. Ainsi, l’incitation à diversifier internationalement a baissé.Le risque de marché enregistre une forte hausse durant l’entre-deux-guerres et le niveau pré-1914 n’est jamais retrouvé. Il semble lié à la fin du Gold Standard, à l’inflation et aux déficits publics.Conséquence de la hausse de ce risque commun, la corrélation entre actions françaises augmente, réduisant l’effet de diversification domestique ; a l’opposé un « super effet portefeuille » est identifiée avant 1914. / Le Bris, collecting about 200,000 data on French stocks from 1854 to 1988, builds a performance index. Several biases leading to overestimate the returns in prior French indices are demonstrated, as well as other probable examples across the globe.Over the long run, French stocks provide a better return than other assets, but without any excessive premium.Compared to US stocks, French stocks have underperformed since 1914, including during the periods of peace.The French stock market is highly sensitive to governmental changes, and overperforms under the left ones.A new method to identify market crashes is proposed. This method identifies crashes that are consistent withhistory.Firms from service industries have almost always dominated market capitalization since 1854.The rationality of the French investments in Russian bonds, before 1914, is demonstrated thanks to a portfoliooptimization among French assets (stock, bonds and corporate bonds) and eight international state bonds.A new method to decompose the benefit of diversification is proposed; before 1914, French investors wereclearly attracted by low foreign correlation rather than higher foreign returns.French and US stocks present a long-term rise in correlation, probably following the economic integration.Thus, the incentive to diversify through international markets has decreased.The market risk exhibits a significant rise during the interwar-period, and the pre-1914 level is never reachedagain. This risk appears to be linked to the end of the Gold Standard, the inflation rate and the public deficits.The consequence of the rise of this common risk is that the correlation among French stocks trend upwards, andthen, reduce the domestic portfolio effect; reversely, before 1914, a “super portfolio effect” is identified.

Thesis (M.Eng. (Development and Management Engineering)--North-West University, Potchefstroom Campus, 2008.

Bakgrund: De flesta svenskarna sparar i form av värdepapper för att investera sina pengar och få en avkastning. Vilket placeringsalternativ ska de välja mellan investering i traditionella eller speciella fonder? De traditionella fonderna har en relativ avkastning och en stor risk, medan de speciella eller hedgefonderna har en lägre risk och en absolut positiv avkastning oavsett marknadsläge.I denna studie kommer att undersökas om hedgefonders avkastningsmönster är trovärdig, och om deras målsättning har uppnåtts under åtta års period. Syfte: Syftet med denna studie är att undersöka om det finns ett samband mellan olika svenska hedgefonders investeringsstrategier och avkastningsmönster samt undersöka hur dessa hedgefonder skiljer sig från de traditionella fonderna och marknadsindexet. Delsyftet är att studera två olika perioder och urskilja hur fonderna presterar under hög respektive låg konjunktur läge. Metod: Studien är baserad på forskningsstrategin kvantitativa metoden. Sekundär data i form av historiska avkastningssiffror för åttaårsperiod är avhämtad. Olika nyckeltal är valda för uträckningen och analysen. Korrelation, regression och hypotesprövning är de utvalda statistiska metoder som ska leda författaren att analysera och dra slutsats. Slutsats: De hedgefonderna har under de olika perioderna genererat en genomsnittlig positiv avkastning trots de låga värden. De har lägre totalrisk samt marknadsrisk än de traditionella, och en låg korrelation mellan varandra. Vidare har studien visat att räntearbitrage och marknadsneutrala strategier har presterat bäst under låg konjunktur.Sammanfattningsvis hedgefonders avkastningsmönster skiljer sig mellan de olika strategierna och inom varje strategi. Trots på den låga positiva avkastningen anses hedgefonder ett bättre placeringsalternativ än traditionella fonder i tider där marknaden går ner.Avkastningsmönster är en fördom på kortsikt men anses vara en verklighet långsiktigt. / Background: The majority of the Swedish population saves in the form of securities to invest and receive a return. Which investment option should they choose? Should they invest in mutual or special funds? The mutual funds have a relative return and come with a high risk, while the special funds, also known as hedge funds, have an absolute positive return regardless of the market situation and this fund type accounts for a lower risk. This study will investigate whether the return pattern in the hedge funds are valid or not, and if their objective was achieved during this 8 year period. Purpose: The purpose of this study is to investigate if there is a relationship between Swedish hedge funds' investment strategies and their return pattern as well as examining how these hedge funds differ from the mutual funds and the market index. The sub focus is studying two different periods and discerns how the funds perform under high and low economic situation. Methodology: The study is based on results obtained from the research strategy, of a quantitative character. Secondary data in the form of historical returns for the eight-year period is utilized. Different ratios are utilized for calculations and analysis. Correlation, regression, and hypothesis testing are the chosen statistical methods that will lead the author to analyze and draw conclusions. Conclusions: The hedge funds have in the different periods generated an average positive return despite the low values. They have lower total risk and market risk than mutual ones, and a low correlation between each other. Furthermore, the study has shown that rate arbitrage and market neutral strategies perform best under low economy context.In summary, hedge funds' return pattern differs between the diverse strategies and within each strategy. Despite the low positive returns hedge funds are considered a better investment option than mutual funds in times when the market is unstable.The return pattern does not apply to short term investments but it does apply to long term investments.