During their December 1993 meeting, the National Association of Insurance Commissioners's (NAIC) adopted risk-based capital standards for property/casualty insurance companies to become effective in 1995 based upon the 1994 annual statement. The NAIC's two major objectives in adopting risk-based capital standards are: (1) to develop a standard of capital adequacy that is standard among all states and related to the risk inherent in the business of insurance; and (2) to provide regulatory authority to act when actual capital falls below standard. / This study examines the ability of the NAIC's Risk-Based Capital system to predict property and casualty insurers which will have financial difficulties. The effectiveness of risk-based capital is compared with the NAIC's Insurance Regulatory Information System. / Source: Dissertation Abstracts International, Volume: 55-11, Section: A, page: 3563. / Major Professor: Claude C. Lilly, III. / Thesis (Ph.D.)--The Florida State University, 1994.

The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information share of these two markets. Trading characteristics examined in the study include trading volume, trade size, and trading costs. On average, CME is characterized by greater volume and trade size but also slightly greater bid-ask spread. CME leads the process of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of 2008; however post-crisis period this leadership is caused by trading volume. Moreover, this study presents evidence that, in times of large uncertainty in the market, the market maker charges a greater bid-ask spread for the more informative market. / The second chapter examines the influence of expected oil price volatility, the behavior of the Organization of Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures during the period from January 1986 to December 2008. The results indicate that oil futures are strongly and weakly backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC overproduction (difference between quota and the actual production), and the volatility of the US Dollar against the Japanese Yen have a positive significant effect on oil backwardation, while OPEC production quota imposed on its members has a negative significant effect on oil backwardation. However the volatility of US Dollar against the British Pound has no significant effect on oil backwardation. The regression analysis of strong backwardation produces qualitatively the same results except that volatility has no effect. In a sub-period analysis, evidence also indicates that trading volume of oil funds and backwardation are negatively related, suggesting that oil funds increase the demand of futures relative to that of spot. / Keywords: Oil futures, price discovery, trading characteristics, bid-ask spread, financial crisis, backwardation, OPEC, oil funds, and exchange rate.

Risk management is a core activity by financial institutions. There are different types of financial risks, e.g. market, credit, operational, model, liquidity, business, etc. Managing these risks to minimize potential losses is essential to ensure viability and good reputations for financial institutions. Therefore, it is necessary to have an accurate model and a proper measurement that describes the risk. / In this thesis, we model the risks with proper measurement, like Value-at-risk (VaR) and Conditional Value-at-Risk (CVaR). The dependence between risks is described by the so-called copula, which can connect marginal distributions with joint distribution. Among many popular copulas, we find a proper copula to describe the correlations between risks and between financial data. Portfolio optimization problems with VaR and CVaR as risk measurement are solved and numerical results indicate that the model can describe the real world risk very well. In addition, we propose another method, called Independent Component Analysis. By linear transformation, we obtain models for independent components with the same optimal solution. The time of solving the new models is highly reduced with the same accuracy.

In the first essay, we extend the research of Grinstein and Michaely (2005) on the relation between institutional ownership and payout policy by focusing on the institutions most likely to vote their shares. We account for heterogeneity among institutional investors as well as for firms. This paper accounts for heterogeneity among institutional investors based on their portfolio concentration and investment horizon and firms are differentiated based on their importance for institutional investors (based on percentage of total portfolio invested in the firm), free cash flow and debt-to-equity ratio. We examine the institutional holding data from 1980 to 2006. Like Grinstein and Michaely (2005) we don't find evidence that institutional investors influence dividend payouts even after controlling for heterogeneity among institutional investors and firms. Our results indicate that institutional investors increase their holding prior to increase in repurchases in firms where they are long-term institutional investors. We also find similar relation between firm importance and repurchases. Our results do not support the notion that institutional investors are attracted to high dividend paying firms or firms with higher repurchases. / In the second essay, we investigate relation between institutional holding and firm value. We examine whether institutional investor influence firm performance or they just follow momentum strategies. This paper takes into account the heterogeneity among institutional investors in that firm, firm importance for an institutional investor and institutional focus on a particular firm. We analyze annual data from 1980 to 2006. We don't find statistically significant evidence that institutional investors monitor and influence firm decisions to increasing firm value. In addition, our results suggest that firms that increase their firm value attract investment from institutional investors. We also find that this relationship is stronger for institutional investors with long-term investment horizon.

In this dissertation, we introduce a general interest rate modeling framework by looking at yield curves in a Hilbert space, and bridge the popular HJM factor models with more recent random field models. Then we study the problem of vanilla interest rate option (cap) pricing under the random field model. This will be a generalization of Kennedy (1994) paper in the sense that the volatility will also follow a random field process instead of being deterministic. In particular, we consider both cases in which the two random fields for forward rates and volatilities are independent or correlated. In the computation of option prices, we have proposed a log-normal approximation of the summary statistics---integrated volatility, for the independent case and have proposed a trivariate Gaussian approximation for the correlated case. The approximations will enable us to compute option prices much faster than the usual brute force Monte Carlo method which introduces certain discretization error. Finally, we perform simulation studies of a MCMC estimation procedure for a special random field model with one factor stochastic volatility.

Thesis (Ph.D.)--Indiana University, Dept. of Political Science, 2006. / Source: Dissertation Abstracts International, Volume: 67-03, Section: A, page: 1073. Adviser: Jeffrey Hart. "Title from dissertation home page (viewed March 16, 2007)."

Thesis (Ph.D.)--Brown University, 2008. / Thesis advisor : Oded Galor. Vita. Includes bibliographical references (leaves 97-106).

This study tests the equilibrium of after-tax rates of return described in Miller (1977) by investigating whether a change in tax rates affects the return of an investment asset that is not directly taxed by the rate being changed. Using a model of after-tax investment returns I predict the yields of Treasury bills, which are subject only to ordinary tax rates, have an inverse reaction to changes in the capital gains tax rate. In a sample of daily Treasury bill data, yields appear to increase in response to the surprise reduction in capital gains tax rates on May 7, 1997. While small, this increase is statistically significant and is robust to other macroeconomic determinants. These findings contribute to the accounting literature on taxes and investment pricing by providing evidence of Miller's after-tax equilibrium in a potentially cleaner setting than is used in previous studies. Evidence that a financial instrument subject to ordinary rates alone may be affected by the announcement of a change in the capital gains tax rate suggests that shareholder-level taxes are capitalized into prices in ways not investigated by existing research. Accounting researchers will find these results useful because they suggest that the effects of changes in tax rates on asset prices are likely misstated in studies using settings where both the ordinary and capital gains tax rates change. Since the Treasury bill yield forms the basis of many consumer contracts, such as credit card agreements, policy makers should also be interested in these findings because they suggest changes to the capital gains tax rate may have unintended market consequences.

This dissertation examines the role of taxes and financial distress costs in the incremental financing choice between private and public debt. Theory suggests it is easier to renegotiate and restructure private debt claims outside bankruptcy. While financial distress costs may matter in the choice between private and public debt, the primary motivation for this study is to examine whether the relationship between financial distress costs and the private-public debt choice is dependent on firm's marginal tax rates. The point being firms more likely to default on their debt will exploit tax savings using private debt claims. Using a sample from the SDC database, I find a positive relationship between the issuance of private debt and the proxy for firms' financial distress costs. Additionally, I find a positive and significant relationship between the interaction of taxes and financial distress costs and the issuance of private debt claims. This supports the argument that the relationship between financial distress costs and the choice of debt is dependent on the firm's tax status. The intuition is that while financial distress costs differ between private and public debt claims, firms are likely to exploit this cost differential in the presence of positive tax savings available through the issuance of debt. Overall, the results are robust to alternative specifications of financial distress costs. The empirical models also control for variables that may lead to cost differential between private and public debt claims. I find firms with high growth opportunities are more likely to issue private debt claims. Consistent with the economies of scale argument, I find public debt tend to be denominated in large issues. I also find that large firms are more likely to issue in public debt markets. One argument here is that large firms do not require the close monitoring provided by private lenders. Finally, as documented in prior studies, I find that regulated firms are less likely to issue private debt claims.

The purpose of this dissertation is to examine investment decisions made by managers of firms having a portion of their assets committed to projects classified (for financial accounting purposes) as investments in marketable securities, and the corresponding consequences of such decisions on the firm. Of particular concern are managers' decisions to select investment alternatives emphasizing non-optimal investment projects, as suggested by a speculative intent. The research focuses on two main issues: (1) identifying the environment most conducive to finding the existence of marketable security investments; and (2) the effect on firm performance of holding various levels of this type of investment. Results provide support for the existence of investments in marketable securities in settings where an abundance of investment opportunities exist. This finding is consistent with the notion that growth firms have more incentive to smooth earnings and are in continual need of funding for profitable investment projects. The results also indicate that, compared to firms with no investments, firms with a relatively low level of investments in marketable securities have higher firm performance. However, as the level of marketable security investment increases beyond this threshold, the performance of the firm eventually declines below that of no-investment firms.