Financial institutions are interconnected directly by holding debt claims against each other (the network channel), and they are also bound by market liquidity in selling assets to meet debt liabilities when facing distress (the liquidity channel). The goal of our study is to investigate how these two channels of risk transmission interact to propagate individual defaults to a system-wide catastrophe. We formulate the model as an optimization problem with equilibrium constraints and derive a partition algorithm to solve it. The sensitivity analysis on the obtained solution enables us to identify two factors, the network multiplier and the liquidity amplifier, to characterize the contributions of these two channels to financial systemic risk, whereby we can acquire a better understanding of the effectiveness of several policy interventions. The analysis behind the algorithm yields estimates for the contagion probability on the basis of the market value of the institutions' net worths, underscoring the importance of equity capital as a cushion against systemic shocks in the presence of the liquidity channel. The optimization formulation also provides more structural insights to allow us to extend the study of systemic risk to a system with debts of different seniorities and meanwhile presents a close connection to the literature of stochastic networks. Even more, this optimization-based approach and sensitivity analysis can be applied to systems with capital adequacy requirements. Finally, we illustrate the impacts of the network and the liquidity channels — in particular, the significance of the latter — in the formation of systemic risk with data on the European banking system. / 金融机构之间常常通过相互持有各自的债务而直接相连（这被称为网络渠道），同时，当他们面临困境而被迫需要变卖资产来偿还债务时也必将受到市场流动性的影响（这被称为流动性渠道）。我们这篇论文的目标就是要研究个别金融机构的破产是如何通过这两种渠道的交互作用进行风险传播从而导致整个系统发生灾难的。我们将初始模型转化成一个带有均衡约束的优化问题并推出一个分离算法去找出它的解，从而可以得到一个市场清算均衡。通过对这个均衡做敏感度分析，我们就能进一步得到两个因子来刻画前面介绍的两种渠道对金融系统风险传播所做出的贡献，而这两个因子分别就是网络放大因子和流动性放大因子。除此之外，我们利用敏感度分析还可以对一些政府政策和干预措施的有效性进行更加深入的了解。通过对分离算法的分析，我们还可以进行一些基于金融机构净资产市场的分析，从而估计出破产传染的概率，并且指出主权资本在流动性渠道存在的情况下对于抵抗系统性冲击能够起到重要的缓冲作用。转换而成的优化问题则可以给我们提供更多的结构性的见解，让我们对系统风险的研究可以扩展到带有不同债务优先权的系统当中，同时还可以使我们看到系统风险模型与随机网络的紧密联系。甚至，这些基于优化的方法和敏感度分析还可以应用到带有资本充足率要求的系统之中。最后，我们利用欧洲银行系统的数据进行实证检验分析，从而进一步阐述了网络渠道和流动性渠道（特别是后者）在系统风险传播过程中所产生的影响。 / Liu, Xin. / Thesis Ph.D. Chinese University of Hong Kong 2015. / Includes bibliographical references (leaves 104-109). / Abstracts also in Chinese. / Title from PDF title page (viewed on 12, October, 2016). / Detailed summary in vernacular field only.

This dissertation focuses on the identification of the dynamics of risk aversion (price of risk) and economic uncertainties (amount of risk) and their effects on both domestic and international asset markets. In the first essay, I study the differences between global equity return comovements and global bond return comovements and use a consistent and flexible asset pricing framework to motivate and quantify the role of various economic determinants in explaining the comovement difference. This study contributes to the recent debate on how shocks transmit across countries, and documents that the ``risk compensation'' channel plays a major role in affecting international comovements. In the second essay, I find that fundamental shocks (consumption growth) and cash flow shocks (dividend growth) comove procyclically. This new stylized fact helps explain the ``Duffee Puzzle'' (Duffee, 2005): stock returns and consumption growth covary procyclically, whereas the conventional wisdom and extant consumption-based asset pricing models suggest that returns respond to fundamental shocks more significantly in a bad economic environment. This research contributes to an under-explored area in the consumption-based asset pricing literature: the dynamics of the ``amount of risk''. I then explore the asset pricing implications of this procyclical source of amount of risk in a consumption-based workhorse model that allows for time-varying risk aversion. In my joint paper with Geert Bekaert and Eric Engstrom, we develop a new measure of time-varying risk aversion that is consistent with a dynamic no-arbitrage asset pricing model, using a wide range of observed asset moments, macro and option data. In addition, our findings formally support the close relationship between variance risk premium and risk aversion (as suggested in the literature), and propose a financial proxy to economic uncertainty, which is a more significant predictor of future economic growth than VIX and true economic uncertainty.

Thesis (Ph.D.)--University of Texas at Arlington, 2009.

No description available.

No description available.

This dissertation provides a review of the relevance of operational risk in the banking industry and attempts to determine whether operational risk management is perceived as a moderating factor on the relationship between critical success factors and competitive advantage in banking industry. A survey was of 399 senior managers of fully licensed banks in Hong Kong. They were asked to indicate the perceived critical success factors, which include operational risk management as one of the variables in the banking industry. In addition, they were also asked to evaluate the relevance of operational risk in their industry and describe their bank's operational risk management practice. / Thesis (DBusinessAdministration)--University of South Australia, 2006.

Thesis (Ph.D.). / Written for the Desautels Faculty of Management. Title from title page of PDF (viewed 2008/01/12). Includes bibliographical references.

Thesis (MSc)--University of Stellenbosch, 2008. / Bibliography. Also available via the Internet.

The world was caught unprepared for the recent crisis that has gripped the globe. The engineering manufacturing sector is reported to have been one of the hardest hit and has been haemorrhaging jobs since the global economic crisis first reached South African shores. This study aimed first, to establish the presence of a global crisis and second, to determine whether this crisis is of an economic or financial nature. Objectives of the study included determining whether the engineering manufacturing sector has been impacted on by the crisis and whether the affects of this have been of a detrimental nature. This was done primarily to assess the extent to which strategies in the engineering manufacturing sector in KwaZulu-Natal have been affected and needed to be specifically adapted in order for SMEs to survive and grow beyond the current economic circumstances. Data was collected through the use of questionnaires, a typically quantitative research technique, as well as through the compilation of literature reviews. Questionnaires were circulated amongst thirty organisations within the identified sector in KwaZulu-Natal, of which twenty-two were completed and returned for analysis. Primary data was analysed in conjunction with the literature reviews. Typical responses confirmed the existence of a crisis and indicated that strategies had to be specifically adapted as a result. However, strategic alterations were often ill informed. This issue could be address through the application of the outlined models to optimise strategy. The use of these models would better enable respondents to make informed decisions when formulating their strategies and thereby assist the organisation in achieving a sustainable competitive advantage. / Thesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2012.

Following the recent financial crisis, financial regulators have placed a strong emphasis on reducing expectations of government support for banks, and on better managing and assessing risks in the banking system. This thesis considers three current topics in credit risk and the statistical problems that arise there. The first of these topics is expectations of government support in distressed banks. We utilize unique features of the European credit default swap market to find that market expectations of European government support for distressed banks have decreased -- an important development in the credibility of financial reforms. The second topic we treat is the estimation of covariance matrices from the perspective of market risk management. This problem arises, for example, in the central clearing of credit default swaps. We propose several specialized loss functions, and a simple but effective visualization tool to assess estimators. We find that proper regularization significantly improves the performance of dynamic covariance models in estimating portfolio variance. The third topic we consider is estimation risk in the pricing of financial products. When parameters are not known with certainty, a better informed counterparty may strategically pick mispriced products. We discuss how total estimation risk can be minimized approximately. We show how a premium for remaining estimation risk may be determined when one counterparty is better informed than the other, but a market collapse is to be avoided, using a simple example from loan pricing. We illustrate the approach with credit bureau data.