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.

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.

Calculation of the Value at Risk (VaR) measure, of a portfolio, can be done using Monte Carlo simulations of that portfolio's potential losses over a specified period of time. Regulators, such as the US Securities and Exchange Commission, and Exchanges, such as the New York Stock Exchange, establish regulatory capital requirements for firms. These regulations set the amount of capital that firms are required to have on hand to safeguard against market loses that can occur. VaR gives us this specific monetary value set by Regulators and Exchanges. The specific amount of capital on hand must satisfy that, for a given confidence level, a portfolio's loses over a certain period of time, will likely be no greater than the capital required a firm must have on hand. The scenario used will be one of a Risk Manager position in which this manager inherited a portfolio that was set up for a client beginning in April 1992. The portfolio will have to meet certain parameters. The initial portfolio is worth $61,543,328.00. The risk manager will be responsible for the calculation of the Value at Risk measure, at five percent, with a confidence level of 95% and 20 days out from each of the 24 business quarters, over a six year period, starting in 1992 and ending in 1996.

Nos últimos anos, o value-at-risk tem se tornado uma ferramenta amplamente utilizada nas principais instituições financeiras, inclusive no Brasil. Dentre suas vantagens, destaca-se a possibilidade de se resumir em um único número os riscos de mercado incorridos e incorporar neste valor tanto a exposição da instituição quanto a volatilidade do mercado. O objetivo principal deste estudo é verificar a eficácia dos modelos mais conhecidos de value-at-risk - RiskMetrics(TM) e Simulação Histórica - na mensuração dos riscos de mercado de carteiras de renda fixa compostas por instrumentos pré-fixados em reais. No âmbito da alocação de capital para atendimento aos órgãos de regulamentação, o estudo estende-se também ao modelo adotado pelo Banco Central do Brasil. No decorrer do estudo, discute-se ainda as vantagens e desvantagens apresentadas, bem como o impacto que as peculiaridades do mercado brasileiro exercem sobre as hipóteses assumidas em cada um dos modelos. / Value-at-Risk (VaR) has become the primary tool for the systematic measuring and monitoring of market risk in most financial institutions. VaR is a statistical measure that comprises not only the exposure but also the market volatility in a single number. The main purpose of this work is to evaluate the performance of the well-known value-at-risk models - RiskMetrics(TM) and Historical Simulation - in the Brazilian fixed-income market. In the scope of capital allocation related to banking regulation, this study also extends briefly to the model adopted by the Brazilian Central Bank. Additionally, the underlying assumptions of these models are analyzed in the Brazilian financial market context. Also, this study discusses the advantages and disadvantages presented by the RiskMetrics and the Historical Simulation models.

In last few years Value-at-Risk (Var) is a very popular and frequently used risk measure. Risk measure VaR is used in most of the financial institutions. VaR is popular thanks to its simple interpretation and simple valuation. Valuation of VaR is a problem if we assume a few dependent risks. So VaR is estimated in a practice. In presented thesis we study theory of stochastic bounding. Using this theory we obtain bounds for VaR of sum a few dependent risks. In next part of presented thesis we show how we can generalize obtained bounds by theory of copulae. Then we show numerical algorithm, which we can use to evaluate bounds, when exact analytical evaluate isn't possible. In a final part of presented thesis we show our results on practical examples.

O objetivo dessa pesquisa é avaliar a vulnerabilidade das construções às corridas de detritos, na bacia do rio Guaxinduba município de Caraguatatuba SP. Para tanto, aplicou-se o método PTVA (Papathoma Tsunami Vulnerability Assessment) que vem sendo aplicado em diferentes países considerando os diferentes processos perigosos naturais. Nesta pesquisa, a vulnerabilidade foi avaliada conforme as ações mitigadoras do poder público. As etapas metodológicas aplicadas foram: a) Classificação dos depósitos de corridas de detritos na área de estudo; b) Seleção dos critérios que afetam a vulnerabilidade das construções e sistematização de banco de dados; c) Cálculo da vulnerabilidade e d) Mapeamento da vulnerabilidade final. Dentre os instrumentos metodológicos utilizados, ressalta-se a utilização do ArcGis versão 10.0 e fotografia aérea. Ao todo, foram mapeadas 38 áreas que culminaram na distribuição da vulnerabilidade final com 7,9 % alta e 68,4 % média e 23,7% baixa. Nesse sentido, verificou-se a relevante variação de aproximadamente 30% entre a vulnerabilidade mais baixa (55%) e a mais alta (83%). Além disso, concluiu-se que a norte da Estrada do Cantagalo, bem como nas Alamedas dos Castanheiros e Pessegueiros, área central da bacia mapeada, concentra-se o maior número de áreas com vulnerabilidade elevada. Diante da escassez dos procedimentos metodológicos no Brasil que visem avaliar a suscetibilidade, a vulnerabilidade ou o risco, referentes às corridas de detritos; esta pesquisa destaca, ainda, a importância destes trabalhos no cenário de riscos ambientais, contribuindo com os esforços mundiais de redução de risco. / The objective of this research is to assess the vulnerability of buildings to debris flow in the river basin Guaxinduba - Caraguatatuba county - SP. To this end, we applied the PTVA (Papathoma Tsunami Vulnerability Assessment) method that has been applied in different countries considering different natural hazardous processes. In this research, the vulnerability was judged according to the mitigation actions of government. The methodological steps were applied: a) Classification of debris flow deposits in the study area; b) Selection criteria that affect the vulnerability of buildings and systematized database; c) Calculation of vulnerability and d) Mapping the final vulnerability. Among the methodological tools used, we emphasize the use of ArcGIS version 10.0 and aerial photography. In general 38 areas which resulted in the following distribution of the final vulnerability were surveyed: 7.9% high, 68.4% average and 23.7% presented low vulnerability. Accordingly, there was a significant variation of approximately 30% between the lowest vulnerability (55%) and the highest (83%). Furthermore, it was concluded that the northern of Cantagalo Road, as well as the alleys of Castanheiros and Pessegueiros, central area of the basin mapped, concentrates the largest number of areas with high vulnerability. Given the scarcity of methodological procedures in Brazil to evaluate the susceptibility, vulnerability or risk related to debris flow; This research also highlights the importance of these works on environmental risk scenario, contributing to global efforts to reduce risk.

The purpose of this study was to determine if there was a significant relationship between the academic achievement, disciplinary referrals, and attendance of at-risk students in rural Bedford County, TN, prior to and after participation in online coursework. The independent variables were the academic achievement towards successful course completions, disciplinary referrals, and attendance rates of at-risk students. The dependent variable was the participation in online coursework in Bedford County Schools (BCS) Online On-track (OLOT) program. A series of ttests and a chi-square analyses was performed to examine the differences in the mean course completion rates, discipline referrals, attendance rates, and postsecondary plans of graduates. There was a significant difference in disciplinary referral rates and attendance rates prior to and after participation. Based on these findings there was a positive impact on discipline rates and inversely a negative impact on the attendance rate. Additionally, there was a negative impact on academic achievement rates prior to and after participation in online coursework in the BCS OLOT program. Also, the difference in the proportions of graduates continuing their education and other plans was significantly different from the responses given by all graduates in Tennessee.

The focus of this study was individual and community assets and barriers that African American students living in disadvantaged low income communities encounter in their efforts to complete high school. The research questions were focused on understanding the high school experiences of students who graduated and of students who dropped out. The study was a comparison of the data collected from interviews of former students to the 15 interventions identified as most effective by the National Dropout Prevention Network (http://dropoutprevention.org/effective-strategies/). Findings suggested that 6 of the 15 developmental assets were effective for enabling African American students to graduate from high school. These developmental assets were school-community collaboration, mentoring, family engagement, alternative schooling, after school opportunities, and active learning. The findings of this study may improve teaching and learning in K-12 schools and communities to increase graduation rates for minority students.

The purpose of this study was to evaluate whether the Applied Ancestry program meets its objectives of assisting at-risk youth with regard to character development. The sample consisted of 40 youth (12-17 yrs) enrolled in the Anasazi Foundation Outdoor Behavioral Healthcare program. These teens were randomly assigned to either the control (n = 22) or treatment (n = 18) group. To measure the impact of Applied Ancestry on character development the VIA Signature Strengths Survey, developed by the VIA Institute, was used. A pre-post test comparison found no difference between the two groups, however the overall negative changes in survey scores for the entire sample (N = 40) were found to be statistically significant. The negative change in scores was attributed, in large part, to participants' self-concept at the time they took the survey, with lack of humility being a key factor in pre test scores.

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