This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this

臺灣地區於民國９４年底發生的雙卡風暴（信用卡與現金卡），讓臺灣全體發卡銀行，於民國９５年度打銷信用卡及現金卡呆帳共新台幣1,629億元，造成發生當年本國銀行近新台幣74億元的虧損。這就是臺灣的銀行業一窩蜂轉向高獲利的消費金融業務時，完全忽略了信用風險管理。未建立並落實良好的信用風險管理機制，導致信用危機發生時，完全失控，讓銀行產生嚴重虧損。當年的雙卡風暴，令許多民營銀行的經營控制權讓手外資投資機構，或為其他銀行所併購。 　　本論文以信用卡發卡業務為例，探討信用風險管理之貸後管理(Portfolio Management)方法，協助銀行降低信用風險損失成本，提升獲利；透過對實務信用風險管理之精進，降低信用風暴產生時的衝擊。 　　透過本研究之個案證實，經營信用卡業務之金融機構，若能持有一套良善的信用風險貸後管理，當信用危機發生時，可以有效地控制信用風險損失的增加。以本研究為例，雙卡風暴發生時，全體本國銀行的年化信用風險損失率上升12.41%，但擁有良善信用風險管理的個案銀行的年化信用風險損失率僅增加9.04%，差異高達3.37%，再透過作業成本的降低，可使信用卡的淨資產報酬率相差達５％左右。因此，經營無擔保消費者貸款的金融機構，要維持競爭優勢，一定要了解並落實信用風險管理工作，尤其是貸後管理方面的作業，更是決定勝負之關鍵。 / A local credit crisis occurred in Taiwan from late 2005 to early 2007. During the crisis, the total credit losses of Credit Cards and Cash Card were NT$ 162.9 billion for all cards issuers in Taiwan for Year 2006. This big loss made the Taiwanese banks having a negative net-income at NT$7.4billion for Year 2006. The root cause was from ignoring the credit risk management while Taiwanese banks kept growing the consumer lending business. And finally a few local banks were sold to the foreign banks because they couldn’t take such big loss from the capital requirement. The primary objective of this thesis is to research the portfolio management on the credit card business to find out how to build a good portfolio management working model in terms of credit risk management to help the credit card issuers to reduce the credit losses and increase the net-income, and also minimize the impact when the credit crisis happens. It has been proven that the credit card issuer with an excellent portfolio management on credit risk can reduce the credit loss increase compared with the others when the credit crisis is coming. For instance, the overall Taiwanese bank’s average loss rate in 2006 increased by 12.41% over 2005 but the bank loss rate only increased by 9.04% during that local credit crisis. Considering the lower operating cost of the bank, the ROA difference will be around 5%. Therefore, if any bank would like to do the consumer lending business, they must understand what risk management methods they should have and really work on them, especially for the portfolio management, so that they can maintain a good position to compete with the others.

<p>Den här uppsatsen behandlar organisering av applikationsportföljer. En applikationsportfölj är enligtvår definition i denna uppsats det samlade antalet applikationer som finns inom en verksamhet ochen applikation är ett informationssystem som används direkt i verksamheten. Med organisering menar vi i denna uppsats hur ett systemstöd för styrning av en applikationsportfölj kan strukturerasoch vad det bör finnas för information om varje applikation.</p><p>Uppsatsen redogör för ett antal undersökningar som vi har genomfört på olika affärsenheter inomSaab Group i Linköping och Huskvarna samt en undersökning på ett referensföretag undersommaren 2009. Syftet med uppsatsen är således att undersöka hur en koncern kan organisera engemensam applikationsportfölj. Vi kommer dra nytta av lärdomar från de olika affärsenheterna och tre teoretiska fält i vår undersökning: Application Portfolio Management, ITIL och affärsmässigförvaltningsstyrning. Utifrån detta syfte formulerade vi ett antal frågeställningar där vår huvudfrågablev: Hur kan en gemensam applikationsportfölj organiseras i en koncern?</p><p>Insamlandet av material till undersökningen skedde genom intervjuer utförda på de olikaaffärsenheterna på Saab Group och referensföretaget. Vi har även själva fått möjligheten att undersöka två systemstöd som stödjer organiseringen av applikationsportföljen på Saab Group.</p><p>Vi har genom vår undersökning kommit fram till ett antal punkter som är viktiga vid organiseringenav en applikationsportfölj. Följande information om varje applikation bör tas hänsyn till vid beslutrörande applikationsportföljen: kategorisering av applikationen, kostnader för applikationen, applikationens livscykel, applikationens användningsgrad, applikationens betydelse för verksamheten och applikationens koppling till den verksamhetsprocess den är tänkt att stödja. Vi har utifrån dettatagit fram ett antal attribut vi anser borde finnas med i ett systemstöd för en applikationsportfölj.</p><p>Vi ser att ITIL kan bidra med en modell för livscykelhantering. ITIL förespråkar även ett gemensamtspråk i verksamheten vilket är viktigt för att förenkla arbetet mellan olika affärsenheter, därmedockså att organisera en gemensam applikationsportfölj. Det finns även processer för incident- och problemhantering som skulle kunna vara användbart vid arbete med applikationsportföljen. Det trorvi är en fördel för att effektivare kunna hantera sina applikationer och minska tiden som applikationer måste tas ur drift på grund av felhantering eller liknande.</p><p>Vi anser att affärsmässig förvaltningsstyrning kan föra IT-verksamheten och affärsverksamheten närmare varandra. Det går också genom denna modell förtydliga vad som är knutet till en applikationoch detta skulle vara användbart i organiseringen av applikationsportföljen. Det skulle även underlätta förvaltningen genom den förvaltningsorganisation som finns i affärsmässig förvaltningsstyrning, med en rollindelning som tydliggör ansvarsområden.</p>

<p><p><strong>Background:</strong></p><p>If a company does not have an optimal model for credit portfolio management they can face difficulties if they cannot forecast how the credit portfolio will behave during recessions. It can be explained with the fact that the management for the company might ask how the department forecasts a probable default within the credit portfolio. The senior management might want to know how the management for the credit portfolio measures how big credit losses can become. They might also want to know how it is possible to reduce the risk of big credit losses. The key factor in this type of questions is how it is possible for a company to forecast a default.</p><p> </p><p> </p><p> </p></p><p> </p><p> <strong>Purpose: </strong></p><p>Our purpose is to make a pilot study where we bring out the components that are necessary for the creative of an optimal model that is applicable on Sandvik’s credit portfolio.</p><p> </p><p><strong>Method: </strong></p><p>For the collection of empirical data, we used a qualitative method. The qualitative method was based on interviews with respondents from Scania Financial Services, Volvo CE International and Swedbank. In addition, we had discussions with our “employer” Sandvik about their credit portfolio management. We analyzed the empirically gathered data with a hermeneutic perspective.</p><p> </p><p><strong>Conclusions:</strong>                  </p><p>Sandvik has a credit portfolio with many small companies which imply that it is a high risk portfolio. For that reason we brought out components that are necessary for their credit portfolio. The components we brought out were by a comparison between the theory and our cases. The components are following: parameters within country assessment, customer’s customer, payment history and payment behavior, judgement of customer’s management, utterances from the management, investment plans, cash flow analysis, stable earnings, key performance indicators, profitability, future forecasts, balance sheet analysis, legal situation, business expertise and securities.</p>

<p><strong><em>“While project management and program management have traditionally focused on ‘doing work right’, portfolio management is concerned with ‘doing the right work’” (PMI,2006)</em></strong></p><p><strong> </strong></p><p><strong> </strong></p><p>Nowadays organizations are facing problems with too many projects and having limited resources to execute these projects. Therefore the role of portfolio control is gaining more importance to yield the right balance, mix and number of projects, and also to deal with the challenge of maximizing the value of the portfolio. Therefore the organizations rely on effective portfolio management and are developing new methods to deal with these challenges. Hence present study involves study of those organizations that rely on portfolio control techniques to effectively manage their portfolio of projects.</p><p> </p><p>The aim of this research is to investigate the role of portfolio control techniques in achieving efficiency in project based firms, examine relationship between control techniques and the portfolio efficiency, and to find the role of contextual factors like project and governance type in impacting the portfolio efficiency. Three portfolio control factors: portfolio selection, portfolio reporting, and decision making style were identified and portfolio efficiency was explained by two measures: achievement of portfolio results and achievement of project and program level purpose.</p><p> </p><p>The research was conducted at two multinational organizations, a pharmaceutical company in Europe and engineering and contracting transportation company in Asia. Case study research strategy was used, and data was collected through semi- structured interviews to investigate the impact of using these portfolio control techniques in a project based firms.</p><p> </p><p>The results of the research indicate that these control techniques helps to select and analyse the portfolio from strategic, financial and risk perspective. Furthermore it helps to balance the organizational priorities by taking into consideration project type, market sector, resource constraints and product lines. The portfolio control techniques also involve portfolio reporting which is considered as formal way of communication and information sharing and is believed to be significant project-level factor contributing to portfolio efficiency. Lastly, portfolio decision making helps the organizations in making the right decision in the best interest of the organization. All these control variables were found to have a significant impact on achieving results and achieving project and programme level purpose which in our research are the dimensions of portfolio efficiency.</p><p> </p><p>In our study we also found that there exists a positive relationship between the portfolio control techniques and portfolio efficiency which is affected by the contextual variables such as project type, governance type, organizational complexity, co-localization of team members, communication and clarity of goals and objectives.</p>

Product development has become an important competitive factor for most companies. A central task is to select which projects, often from a large number of project proposals, are to be developed in order to achieve strategic objectives without exceeding available resources. Project Portfolio Management (PPM) is the research discipline which focuses on the decision-making processes used to evaluate, select and prioritise projects. Previous research has stated that companies must be able to select and commit resources to different types of ideas and projects. However, it is widely believed that PPM literature has not sufficiently investigated the challenges that companies might face when putting into practice different decision-making approaches to select different types of ideas and projects. This thesis aims to explore how different types of ideas and projects are evaluated and selected in the context of the development of complex technological products. It is based on a qualitative research approach and interviews and observations have been carried out with the cooperation of six companies. The findings of this thesis reveal that because different decision-making approaches encounter different levels of acceptance within an organisation, the dynamics by which an idea evolves are affected by the way in which decision makers deal with the legitimacy of the decision-making approaches that they put into practice. Decision makers use some mechanisms that allow them to avoid drawing exclusively on the highly accepted approaches when they are not considered to be suitable, and to give legitimacy to the decisions that have been made by the less accepted approaches. In addition, the way in which decision makers experience a decision situation influences how it is approached. If they experience ambiguity, they might display a decision-making logic in which actions are allowed to be taken within self-organised social interactions, in order to make sense of the idea, project or criteria. However, the occurrence of self-organised interactions is conditioned by how decision makers negotiate resources with stakeholders that display different interests and decision-making logics. These findings question the objective view that assumes that ideas and projects are already defined at the moment the decision is made and are able to be classified in pre-defined categories. It also led to the question of whether problems in fulfilling resource allocation plans and the risk of biases in decision making are problems that arise due to poor decision-making practices, and whether they should, instead, be understood as probable consequences of a flexible process. Finally, this thesis explores a way of enhancing decision makers’ abilities through scenarios in which decision makers experience decision situations and reflect on their own ways of making decisions. / <p>QC 20120918</p>

Background: If a company does not have an optimal model for credit portfolio management they can face difficulties if they cannot forecast how the credit portfolio will behave during recessions. It can be explained with the fact that the management for the company might ask how the department forecasts a probable default within the credit portfolio. The senior management might want to know how the management for the credit portfolio measures how big credit losses can become. They might also want to know how it is possible to reduce the risk of big credit losses. The key factor in this type of questions is how it is possible for a company to forecast a default.          Purpose: Our purpose is to make a pilot study where we bring out the components that are necessary for the creative of an optimal model that is applicable on Sandvik’s credit portfolio.   Method: For the collection of empirical data, we used a qualitative method. The qualitative method was based on interviews with respondents from Scania Financial Services, Volvo CE International and Swedbank. In addition, we had discussions with our “employer” Sandvik about their credit portfolio management. We analyzed the empirically gathered data with a hermeneutic perspective.   Conclusions:                   Sandvik has a credit portfolio with many small companies which imply that it is a high risk portfolio. For that reason we brought out components that are necessary for their credit portfolio. The components we brought out were by a comparison between the theory and our cases. The components are following: parameters within country assessment, customer’s customer, payment history and payment behavior, judgement of customer’s management, utterances from the management, investment plans, cash flow analysis, stable earnings, key performance indicators, profitability, future forecasts, balance sheet analysis, legal situation, business expertise and securities.

The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on the historical patterns and time series behavior of a market portfolio proxy and on a sample of mutual funds. The proposed timing and selectivity portfolio returns mimic the activities of actual mutual fund managers who possess varying degrees of skill. Using the constructed portfolio returns, various performance models are compared in terms of their power to detect timing and selectivity abilities, by means of an iterative simulation procedure. The frequency of errors in rejecting the null hypotheses of no market timing and no selectivity abilities shape the analyses between the models for power comparison. The results indicate that time varying beta models of Lockwood- Kadiyala and Bhattacharya-Pfleiderer rank highest in tests of both market timing and selectivity. The Jensen performance model achieves the best results in selectivity environments in which managers do not possess timing skill. The Henriksson-Merton model performs most highly in tests of market timing in which managers lack timing skill. The study also investigates the effects of heteroskedasticity on the performance models. The results of analysis before and after model correction for nonconstant error term variance (heteroskedasticity) for specific performance methodologies do not follow a consistent pattern. / Graduation date: 1992

Moment Problems with Applications to Value-At-Risk and Portfolio Management By Ruilin Tian May 2008 Committee Chair: Dr. Samuel H. Cox Major Department: Risk Management and Insurance My dissertation provides new applications of moment theory and optimization to financial and insurance risk management. In the investment and managerial areas, one often needs to determine some measure of risk, especially the risk of extreme events. However, complete information of the underlying outcomes is usually unavailable; instead one has access to partial information such as the mean, variance, mode, or range. In Chapters 2 and 3, we find the semiparametric upper and lower bounds for the value-at-risk (VaR) with incomplete information, that is, moments of the underlying distribution. When a single variable is concerned, bounds on VaR are computed to obtain a 100% confidence interval. When the sample financial data have a global maximum, we show that unimodal assumption tightens the optimal bounds. Next we further analyze a function of two correlated random variables. Specifically, we find bounds on the probability of two joint extreme events. When three or more variables are involved, the multivariate problem can sometimes be converted to a single variable problem. In all cases, we use the physical measure rather than the commonly used equivalent pricing probability measure. In addition to solving these problems using the traditional approach based on the geometry of a moment problem, a more efficient method is proposed to solve a general class of moment bounds via semidefinite programming. In the last part of the thesis, we apply optimization techniques to improve financial portfolio risk management. Instead of considering VaR, we work with a coherent risk measure, the conditional VaR (CVaR). As an extension of Krokhmal et al. (2002), we impose CVaR-related functions to the portfolio selection problem. The CVaR approach sets a β-level CVaR as the objective function and maximizes the worst case on the tail of the distribution. The CVaR-like constraints approach adds a set of CVaR-like constraints to the traditional Markowitz problem, reshaping the portfolio distribution. Both methods greatly increase the skewness of portfolios, although the CVaR approach may lose control of the variance. This capability of increasing skewness is very attractive to the investors who may prefer higher probability of obtaining higher returns. We compare the CVaR-related approaches to some other popular portfolio optimization methods. Our numerical analysis provides empirical support for the superiority of the CVaR-like constraints approach in terms of portfolio efficiency.

Den här uppsatsen behandlar organisering av applikationsportföljer. En applikationsportfölj är enligtvår definition i denna uppsats det samlade antalet applikationer som finns inom en verksamhet ochen applikation är ett informationssystem som används direkt i verksamheten. Med organisering menar vi i denna uppsats hur ett systemstöd för styrning av en applikationsportfölj kan strukturerasoch vad det bör finnas för information om varje applikation. Uppsatsen redogör för ett antal undersökningar som vi har genomfört på olika affärsenheter inomSaab Group i Linköping och Huskvarna samt en undersökning på ett referensföretag undersommaren 2009. Syftet med uppsatsen är således att undersöka hur en koncern kan organisera engemensam applikationsportfölj. Vi kommer dra nytta av lärdomar från de olika affärsenheterna och tre teoretiska fält i vår undersökning: Application Portfolio Management, ITIL och affärsmässigförvaltningsstyrning. Utifrån detta syfte formulerade vi ett antal frågeställningar där vår huvudfrågablev: Hur kan en gemensam applikationsportfölj organiseras i en koncern? Insamlandet av material till undersökningen skedde genom intervjuer utförda på de olikaaffärsenheterna på Saab Group och referensföretaget. Vi har även själva fått möjligheten att undersöka två systemstöd som stödjer organiseringen av applikationsportföljen på Saab Group. Vi har genom vår undersökning kommit fram till ett antal punkter som är viktiga vid organiseringenav en applikationsportfölj. Följande information om varje applikation bör tas hänsyn till vid beslutrörande applikationsportföljen: kategorisering av applikationen, kostnader för applikationen, applikationens livscykel, applikationens användningsgrad, applikationens betydelse för verksamheten och applikationens koppling till den verksamhetsprocess den är tänkt att stödja. Vi har utifrån dettatagit fram ett antal attribut vi anser borde finnas med i ett systemstöd för en applikationsportfölj. Vi ser att ITIL kan bidra med en modell för livscykelhantering. ITIL förespråkar även ett gemensamtspråk i verksamheten vilket är viktigt för att förenkla arbetet mellan olika affärsenheter, därmedockså att organisera en gemensam applikationsportfölj. Det finns även processer för incident- och problemhantering som skulle kunna vara användbart vid arbete med applikationsportföljen. Det trorvi är en fördel för att effektivare kunna hantera sina applikationer och minska tiden som applikationer måste tas ur drift på grund av felhantering eller liknande. Vi anser att affärsmässig förvaltningsstyrning kan föra IT-verksamheten och affärsverksamheten närmare varandra. Det går också genom denna modell förtydliga vad som är knutet till en applikationoch detta skulle vara användbart i organiseringen av applikationsportföljen. Det skulle även underlätta förvaltningen genom den förvaltningsorganisation som finns i affärsmässig förvaltningsstyrning, med en rollindelning som tydliggör ansvarsområden.