自1997亞洲金融風暴以來，區域性金融危機的傳染現象(Contagion, or Spillover Effect)便受到經濟學界高度重視，其重要性在2008年雷曼兄弟事件所引發的全球性金融海嘯後更加突顯，而相關的資本管制也陸續出籠，其中最引人注目的當屬2010年通過實行的三代巴賽爾條約(Basel III)。本文奠基於Allen and Gale(2000)所提出的銀行同業拆借市場(Interbank Market)模型，配合資本適足率的導入，試圖驗證在資本管制的設定之下，是否能有效預防銀行恐慌與其蔓延現象之發生。其結果證實提高資本適足率後，藉由銀行本身主動的提高緩衝性準備(Buffer)，銀行倒閉的發生機率將顯著降低，換言之，資本適足率管制有效提高了銀行倒閉門檻。同時，本文亦證實資本管制對於銀行同業拆借市場所衍生的傳染現象具有顯著的改善效果。 然而，資本適足率之管制雖具有穩定金融體系的作用，其對存款人消費之緊縮效果卻無可避免會降低其效用。本文在考慮銀行倒閉風險機率後，建立一兩期之社會福利涵數，並利用計算代表性個人(Representative Agent)預期效用極大化條件下的最適資本適足率。在特定參數之下，所得到最適資本適足率為6.375%。我們並且進一步證實，在權益資金報酬率小於長期資產報酬率之下，最適之資本適足率將同步增加，進而使社會福利最大，此符合一般的經濟直覺，同時再次突顯金融體系穩定性對於社會福利的重要性。 / The financial contagion phenomenon, or the spillover effect, has become a crucial issue in recent years after the breakout of the financial crises in 2008. To deal with such problem, some regulations such as the capital requirement, has been introduced as a solution. In our paper, we develop a model based on Allen and Gale (2000) to testify whether the introduction of the capital requirement can successfully reduce the risks of bankruptcy and contagion phenomenon for the interbank system when suffering from the regional liquidity shock. We conclude that after the introduction of capital requirement, the bank will voluntarily hold more buffers to lower the bankruptcy risk and reduce the spillover effect. What’s more, we construct an optimal level of the capital requirement that maximize the social welfare utility and depends on the probability of bankruptcy, the percentage of early withdrawals, the relative cost of capital and other parameters. By simulation, we have the optimal capital requirement at 6.375% in our benchmark case, which is a reasonable one compared with the current Basel Accord. Finally, the paper shows that as the cost of capital is getting lower, bank uses more capital which enhances the social welfare significantly in equilibrium, indicating the great importance of financial stability.

Questa tesi cerca di analizzare le determinanti della struttura finanziaria delle banche. Si ritiene generalmente che il leverage ratio bancario sia determinato indirettamente tramite l’applicazione di requisiti patrimoniali, in particolare requisiti legati al rischio dell’investimento come nello schema di Basilea II. Molti dei recenti contributi empirici criticano questa tesi ed anzi individuano fattori di mercato come principali variabili nella determinazione del leverage. Una collezione dei recenti studi in materia viene raccolta nel primo capitolo. Nel secondo capitolo, si analizza l’impatto dei requisiti patrimoniali sulla struttura finanziaria delle banche all’interno di un modello di signaling. Viene dimostrata l’esistenza di un equilibrio di separazione, in cui i requisiti patrimoniali non sono vincolanti per ogni tipo di banca; si dimostra inoltre che in equilibrio esiste una relazione negativa tra il leverage bancario e la qualità degli attivi: è infatti la banca di minore qualità ad avere un leverage maggiore. Questo risultato, in contrasto con la tradizionale teoria di finanza aziendale, può aiutare a comprendere alcuni episodi della recente crisi finanziaria ed interroga l’efficacia del sistema di Basilea II. Infine, nell’ultimo capitolo, viene condotta un’analisi empirica sulle determinanti del leverage bancario . Sono identificate relazioni stabili e negative tra il leverage delle banche incluse nel campione e la qualità dei loro attivi. Questo risultato si conferma al variare degli strumenti utilizzati per identificare la qualità degli attivi. Questa relazione negativa ci suggerisce che le banche si pongano l’obiettivo di targettizzare un certo livello di leverage per dare un segnale al mercato circa la loro qualità intrinseca: migliore la qualità degli attivi, minore è il loro utilizzo di leva finanziaria. Queste banche rinunciano ad intraprendere investimenti profittevoli pur lanciare un messaggio al mercato e ridurre il costo del finanziamento. / This thesis analyzes banks’ choices over their leverage ratio targeting. It is commonly believed that the banks’ leverage ratio is implicitly driven by the risk-related regulation set by the Basel Committee. Many recent empirical studies on the subject challenge this presumption and suggest that factors other than regulation drive the banks’ choices on leverage. A review of the recent contributions on the subject is presented in the first chapter. In the second chapter we study how capital requirements affect banks' capital structure within a standard signaling model. We prove the existence of a separating equilibrium in which capital requirements are not binding for every type of bank, and we show that in equilibrium there exists a negative relationship between bank's leverage and its intrinsic quality: it is the low type bank that takes on more debt. This result, in contrast with the traditional theory of corporate finance, sheds some light on some of the recent financial crises episodes and hence questions the effectiveness of the current regulatory environment. Finally, in the last chapter, we conduct an empirical analysis on the cross-sectional determinants of banks' leverage. We find a negative and stable relation between banks leverage and the quality of their assets. This result is proved valid under different definition of assets' quality, based on ex-ante and ex-post expectation of the realization of asset quality. The results suggest that banks might target a certain leverage ratio to reveal their true quality to the market: the higher quality banks signal their private information to the market with a lower level of leverage, passing over some profitable opportunities to gain from a lower cost of funding.

Magistro baigiamajame darbe atlikta įmonės UAB "XXX" apyvartinio kapitalo analizė. Pirmoje darbo dalyje teoriniu aspektu apžvelgta įmonės apyvartinio kapitalo koncepcija ir struktūra. Antroje darbo dalyje pateikta tyrimo metodologija, pasirinkti apyvartinį kapitalą analizuojantys finansiniai rodikliai ir analizuojamas ryšys tarp jų. Trečioje darbo dalyje atliekama įmonės UAB "XXX" analizė ir pateikiama apyvartinio kapitalo poreikio prognozė. / In the master's thesis is conducting an analysis of working capital in a company "XXX" Ltd. In the first part of the master's thesis ir reviewing the theoritical aspects of a company's working capital concept ant structure. In the second part are introducting the methodology of the research and selected financial ratios being used for working capital analysis and researching the relationship between these financial ratios.

The increasing demand for electrical energy to bring about development and social change has brought about renewed interest in the use of nuclear power as one of the sources of electrical energy. The nuclear power industry has had a few decades of low activity due to previous accidents which turned the public perception against the use of nuclear as an electrical power source. The low activity has resulted in the shortage of nuclear skills as the skill previously available is now aged and about to reach retirement. The South African Government has recently announced its commitment to having nuclear in the energy mix. This will require construction of new nuclear power plants. This research arises from the need to understand whether the required human capital will be available, looking specifically at technician level in the nuclear energy industry. The main research goal of the study was to find what training and development initiatives are currently being used in industry and what needs to be in place to ensure that the industry is ready for the nuclear new-build. The researcher than proposes training and development initiatives that should be put in place to meet the demand that will be created by the nuclear new-build. / Thesis (MSc (Engineering Sciences in Nuclear Engineering))--North-West University, Potchefstroom Campus, 2013.

The increasing demand for electrical energy to bring about development and social change has brought about renewed interest in the use of nuclear power as one of the sources of electrical energy. The nuclear power industry has had a few decades of low activity due to previous accidents which turned the public perception against the use of nuclear as an electrical power source. The low activity has resulted in the shortage of nuclear skills as the skill previously available is now aged and about to reach retirement. The South African Government has recently announced its commitment to having nuclear in the energy mix. This will require construction of new nuclear power plants. This research arises from the need to understand whether the required human capital will be available, looking specifically at technician level in the nuclear energy industry. The main research goal of the study was to find what training and development initiatives are currently being used in industry and what needs to be in place to ensure that the industry is ready for the nuclear new-build. The researcher than proposes training and development initiatives that should be put in place to meet the demand that will be created by the nuclear new-build. / Thesis (MSc (Engineering Sciences in Nuclear Engineering))--North-West University, Potchefstroom Campus, 2013.

Suite à la crise financière et économique de 2008, il a été constaté sur le portefeuille de négociation des banques un montant de capital réglementaire significativement inférieur aux pertes réelles. Pour comprendre les causes de cette insuffisance de capital réglementaire, il nous a paru important d'évaluer la fiabilité des modèles de mesure de risque de marché et de proposer des méthodologies de stress test pour la gestion des risques extrêmes. L'objectif est de mesurer le capital réglementaire sur un portefeuille de négociation composé d'actions et de matières premières par la mesure de la Value at Risk (VaR) et l'Expected Shortfall. Pour réaliser cet objectif, nous avons utilisé le modèle Generalized Pareto Distribution (GPD) et deux modèles internes utilisés par les banques : méthode de simulation historique et modèle de la loi normale. Une première évaluation de la fiabilité effectuée sur les trois modèles de risque sous l'hypothèse de volatilité constante, montre que les modèles internes des banques et le modèle GPD ne mesurent pas correctement le risque du portefeuille d'étude pendant les périodes de crise. Néanmoins, le modèle GPD est fiable en période de faible volatilité mais avec une forte surestimation du risque réel ; cela peut conduire les banques à bloquer plus de fonds propres réglementaires qu'il est nécessaire. Une seconde évaluation de la fiabilité des modèles de risque a été effectuée sous l'hypothèse du changement de la volatilité et par la prise en compte de l'effet asymétrique des rentabilités financières. Le modèle GPD s'est révélé le plus fiable quelles que soient les conditions des marchés. La prise en compte du changement de la volatilité a amélioré la performance des modèles internes des banques. L'intégration des scénarios historiques et hypothétiques dans les modèles de risque a permis d'évaluer le risque extrême tout en diminuant la subjectivité reprochée aux techniques de stress test. Le stress test réalisé avec les modèles internes des banques ne permet pas une mesure correcte du risque extrême. Le modèle GPD est mieux adapté pour le stress test. Nous avons développé un algorithme de stress test qui permettra aux banques d'évaluer le risque extrême de leurs portefeuilles et d'identifier les facteurs de risque responsables de ce risque. Le calcul du capital réglementaire sur la base de la somme de la VaR et du stress VaR n'est pas logique et entraîne un doublement des fonds propres réglementaires des banques. Le doublement de ces fonds propres aura pour conséquence le resserrement du crédit à l'économie. Nous observons que le coefficient multiplicateur et le principe de la racine carrée du temps de l'accord de Bâle conduisent les banques à faire un arbitrage en faveur des modèles de risque non fiables. / During the financial and economic crisis of 2008, it was noticed that the amount of capital required for banks' trading portfolio was significantly less than the real losses. To understand the causes of this low capital requirement, it seemed important to estimate the reliability of the market risk models and to propose stress testing methodologies for the management of extreme risks. The objective is to measure the capital requirement on a trading portfolio, composed of shares and commodities by the measure of the Value at Risk (VaR) and Expected Shortfall. To achieve this goal, we use the Generalized Pareto Distribution (GPD) and two internal models commonly used by banks: historical simulation method and model of the normal law. A first evaluation of the reliability made on the three risk models under the hypothesis of constant volatility, shows that the internal banks' models and the GPD model do not measure correctly the risk of the portfolio during the crisis periods. However, GPD model is reliable in periods of low volatility but with a strong overestimation of the real risk; it can lead banks to block more capital requirement than necessary. A second evaluation of the reliability of the risk models was made under the hypothesis of the change of the volatility and by considering the asymmetric effect of the financial returns. GPD model is the most reliable of all, irrespective of market conditions. The performance of the internal banks' risk models improves when considering the change of the volatility. The integration of the historic and hypothetical scenarios in the risk models, improves the estimation of the extreme risk, while decreasing the subjectivity blamed to the stress testing techniques. The stress testing realized with the internal models of banks does not allow a correct measure of the extreme risk. GPD model is better adapted for the stress testing techniques. We developed an algorithm of stress testing which allow banks to estimate the extreme risk of their portfolios and to identify the risk factors causing this risk. The calculation of the capital requirement based on the sum of the VaR and the stress VaR is not logical and leads to doubling the capital requirement of banks. Consequently, it conducts to a credit crunch in the economy. We observe that the multiplier coefficient and the principle of square root of time of the Basel's agreement lead banks to make arbitration in favor of risk models that are not reliable.

En période de crise financière, les entreprises ont besoin de trésorerie pour réagir efficacement aux aléas et assurer leur solvabilité. Cette thèse se situe à l’interface entre l’opérationnel et la finance pour développer des modèles de planification tactique gérant simultanément les flux physiques et financiers dans la supply chain. Le coût de financement des opérations basé sur le besoin en fond de roulement (BFR) est intégré comme un nouvel aspect financier jamais considéré dans la littérature de lot-sizing. Nous débutons par une extension du modèle EOQ considérant les coûts de financement du BFR. L’objectif est la maximisation du profit. Une quantité de production optimale est obtenue analytiquement ainsi que l’analyse de la sensibilité du modèle. De plus, les comparaisons avec le modèle EOQ et un modèle qui considère le coût du capital sont étudiées. Ensuite, un modèle basé sur un lot-sizing dynamique est établi. La propriété ZIO est démontrée et permet l’utilisation d’un algorithme en temps polynomial. Enfin un scénario multi-niveau à capacité infini est étudié avec une approche séquentielle puis centralisée. La propriété ZIO est prouvée dans ces deux cas. Des algorithmes de programmation dynamique sont utilisés pour obtenir une solution optimale. Cette thèse peut être considérée comme un premier, mais significatif, travail combinant la planification de production et la gestion du besoin en fond de roulement dans des modèles de planification tactique. Nous montrons que les aspects financiers ont un impact significatif sur les plans de production. Les cas étudiés dans cette thèse peuvent être considérés comme des sous-problèmes dans l’étude de scénario plus réalistes. / In financial crisis, companies always need free cash flow to efficiently react to any uncertainties to ensure solvency. Thus, this thesis serves as an interface between operations and finance to develop tactical production planning models for joint management of physical and financial flows in the supply chain. In these models, the financing cost of operation-based working capital requirement (WCR) is integrated as a new financial aspect never before considered in the lot-sizing literature. We first focus on extending the classic EOQ model by considering the financing cost of WCR with a profit maximization objective. The optimal analytic production quantity formula is derived as well as sensitivity analysis of this model. Moreover, a comparison with the EOQ model and with the formula which considers the cost of capital are discussed. Secondly, a dynamic lot-sizing-based, discounted cash flow model is established based on Uncapacitated lot-sizing model. The zero-inventory ordering property is proven valid for this case and a polynomial-time algorithm can thus be established. Thirdly, multi-level and infinite capacity scenario is investigated with both sequential and centralized approaches. The ZIO property is demonstrated valid in both cases. Dynamic-programming based algorithms are constructed in order to obtain an optimal solution. This thesis should be considered as a first, but significant setup of combining production planning and working capital management. It is shown the significant financial consequences of lot-sizing decision on production planning. The cases investigated in this thesis may be tackled as subproblems in the study of more realistic scenarios.

Detta examensarbetes syfte var att undersöka möjligheter till förbättring av hantering av lagernivåer för Bygg Ole Saltsjö-Boo. En kombination av aspekter från både systemteknik och industriell ekonomi har använts. I rapporten applicerades Guaranteed Service-Level modellen baserad på historisk försäljning i kombination relevanta teorier om lagerkostnad. Rapporten var begränsad till att behandla utvalda produkter med hög omsättning från två utvalda leverantörer till Bygg Ole. Efterfrågan för alla produkter i rapporten utom en är icke säsongsberoende. Särskild hänsyn har dessutom tagits till servicenivå, kapitalkostnader och variation i efterfråga. Resultatet gav att en implementering av modellen skulle ge lägre lagernivåer och därmed lägre lagerkostnader. Slutsatsen från rapporten var att modellen skulle kunna implementeras, eventuellt med höga administrativa kostnader i början. Bygg Ole har också en möjlighet att använda ett ordersystem baserat på den matematiska GSL-modellen (Guaranteed Service-Level) i kombination med prognoser över efterfrågan producerade av försäljningsavdelningen på Bygg Ole. Detta skulle potentiellt kunna öka precisionen i lagerhanteringen. Den nuvarande lagerräntan är relativt lågt bestämd och därför minskas de beräknade besparingarna från implementering av modellen. Om lagerräntan skulle vara högre skulle den ekonomiska fördelen med implementeringen vara tydligare. Rekommendationen till Bygg Ole är att tillämpa den rekommenderade GSL-modellen i kombination med ett system för prognos över efterfrågan på några utvalda produkter och sedan utvärdera resultatet. / The aim of this thesis was to examine possible improvements in the inventory management and procedure of ordering at Bygg Ole Saltsjö-Boo. A combination of aspects from both Systems Engineering and Industrial Engineering and Management has been used. In the report, a Guaranteed Service-Level model based on historical data of sales in combination with relevant theories about inventory carrying cost has been applied. The study was limited to specific chosen products with high sales from two selected suppliers of Bygg Ole. All these products in the study except one experienced low seasonal variety in demand. Furthermore special consideration was taken to service level, cost of capital and variability of demand. The result was that an implementation of the model would yield lower inventory levels and therefore lower carrying costs of inventory. The conclusion from the report was that the model could be implemented, although with possibly high administrative costs in the beginning. Bygg Ole also has a possibility of using an ordering system based on the mathematical GSL-model (Guaranteed Service-Level) in combination with forecasts of demand conducted by the sales department of Bygg Ole. This could potentially increase precision in the inventory management. The current inventory carrying charge is compounded relatively low and therefore decreases the calculated savings from implementing the model. If the carrying charge would be higher, the benefits of implementation would be more evident. The recommendation for Bygg Ole is to apply the recommended GSL-model in combination with a demand forecast planning system on a few selected products and then evaluate the result.

The Own Risk and Solvency Assessment, ORSA, is referred to as the heart of the regulation to be for European insurance companies - Solvency II. The aim of the ORSA process is to provide an overall and holistic view of the insurer’s risks by analyzing their current financial status and business strategy at hand. There is no predefined way to implement this process, which means that the companies are forced to develop a model themselves, as they see fit. In collaboration with a regional insurance company in Sweden we develop a structure and framework for an ORSA-model, flexible enough to be used by similar insurers yet standardized enough to overcome the issue of constrained resources within these smaller organizations. We apply a risk-factor based approach and tie together a balance sheet projection and stress testing, designed to be further developed as the individual insurer see fit. The suggested approach yields partially satisfying results and we consider the model to be particularly well-suited for assessing risk in the context of the small, non-life insurer. / Den egna risk- och solvensutvärderingen, ORSA, kallas hjärtat av det kommande regelverket för europeiska försäkringsbolag - Solvens II. Syftet med ORSA-processen är att ge en övergripande helhetsbild av försäkringsgivarens risker genom att analysera deras finansiella ställning och affärsstrategi. Det finns inget fördefinierat sätt att genomföra denna process, vilket innebär att företagen tvingas att utveckla en modell på egen hand, på ett sätt som de finner lämpligt. I samarbete med ett regionalt försäkringsbolag i Sverige utvecklar vi en struktur och en grund för en ORSA-modell. En modell som är tillräckligt flexibel för att kunna användas av liknande försäkringsgivare men samtidigt standardiserad nog att lösa problemet med begränsade resurser i dessa mindre organisationer. Vi tillämpar en riskfaktor-baserad metod, prognostiserar resultat- och balansräkning för bolaget och utför stresstester. Metoden är utformad för att utvecklas vidare av den enskilde försäkringsgivaren så som de finner lämpligt. Den föreslagna metoden ger delvis tillfredsställande resultat och vi anser att det är en grund väl lämpad att använda som utgångspunkt för att konstruera riskmätningsmetoder för små, skadeförsäkringsbolag.

In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.