This thesis is composed of three chapters. The first two chapters provides novel approaches for<p>modeling and estimating the dependence structure for a large portfolio of assets using rating data.<p>In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.<p>The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

The thesis deals with the individual aspects of liquidity and solvency management in the context of financial risk management and working capital components. The main accent is put on the foreign exchange risk management and the cash management tools on the group level: netting and cash pooling. These tools are supported by the cash forecasting system and the actual cash flows evaluation. The methods of liquidity and solvency management are demonstrated on the example of a Shared Service Center organisation.

Orientador: Maria Alejandra Caporale Madi / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-04T01:32:34Z (GMT). No. of bitstreams: 1 Chianamea_DanteRicardo_M.pdf: 425425 bytes, checksum: 961e738189ae343b617ae6ea57b6235c (MD5) Previous issue date: 2004 / Resumo: : De acordo com a teoria econômica que se utiliza, os ciclos econômicos previstos assumem características diferentes: alguns supõem que exista uma regularidade, previsível por modelos estocásticos, em torno do custo de obtenção dos ativos reais; outros admitem desvios temporários, que podem ser previstos dentro de um prazo mais longo, entre o valor atribuído aos ativos e o valor real deles; e há um terceiro tipo que abrange as mudanças permanentes, que nem sempre podem ser previstas, de valor atribuído aos ativos. A eficácia da regulação prudencial, no sentido de manter o sistema financeiro saudável, depende do modelo de ciclo econômico considerado na sua elaboração, na medida em que estes afetam os valores dos ativos que compõem os balanços e os passivos contingentes das instituições financeiras. Este trabalho trata da evolução que o Acordo da Basiléia II e os novos modelos de risco a ele associados representam em relação ao primeiro Acordo, bem como das limitações que continuam pendentes / Abstract: Accordingly with economic theory employed, foreseeing economic cycles acquires proper characteristics: some suppose a pre-existing regularity, which is foreseeable by stochastic models on real business supply costs; other ones include temporary deviations from market to real values during the cycle time period but real values are detectable if we work in a longer time horizon; a third model has also considered permanent changes in market attributed values although they are not always predictable. The prudential regulation effectiveness - in the sense of reaching a soundness financial system ¿ depends on economic cycle model used in its development because of their influence in banks¿ balance asset values and contingent liabilities. This work is about Basel II Accord and new risk models evolution relative to the first Basel Accord and its models as well as their boundaries / Mestrado / Politica Economica / Mestre em Ciências Econômicas

El presente trabajo tiene como principal objetivo poder dar a conocer e investigar los Factores de los riesgos percibidos con relación a la intención de compra digital de los consumidores, en plataformas móviles de retail, de manera que se pueda identificar cuáles son los riesgos que tienen una mayor influencia en la intención de compra online de los consumidores. Además, se identificará la relevancia, los alcances y las limitaciones que se puedan hallar dentro del mismo, en el contexto actual peruano. Como parte de la investigación se presentarán las características específicas de cada uno de los riesgos que influyen en el consumidor al momento de querer realizar una compra a través del móvil, así como el crecimiento que ha venido teniendo el comercio móvil en el retail peruano. Gracias a la investigación realizada de los distintos autores, se pudo identificar los papers que más se asemejan a nuestro tema y gracias a ello poder entender la importancia que tiene cada riesgo. / The main objective of this work is to be able to make known and investigate the Factors of the perceived risks in relation to the intention of digital purchase of consumers, in mobile retail platforms, so that it can be identified what are the risks that have a greater influence on the intention of online purchase of consumers. In addition, the relevance, scope and limitations that may be found within it, in the current Peruvian context, will be identified. As part of the research, the specific characteristics of each of the risks that influence the consumer when they want to make a purchase via mobile will be presented, as well as the growth that mobile commerce has been having in Peruvian retail. Thanks to the research carried out by the different authors, it was possible to identify the papers that most resemble our subject and thanks to this, be able to understand the importance of each risk. / Trabajo de investigación

Las principales crisis financieras del siglo XX han generado distintos mecanismos de respuesta para regular el sistema financiero de modo que se puedan evitar. Para ello, han diseñado instrumentos normativos, como los acuerdos del New Deal, Breton Woods, o instrumentos metodológicos como la metodología CAMELS. El presente artículo explora las principales posturas encontradas sobre la evolución, adaptación y utilización de la metodología CAMELS en distintos mercados financieros publicadas en distintas publicaciones realizadas en un marco temporal comprendido, principalmente, entre los años 2014-2020, y publicaciones anteriores que analizan en profundidad periodos de crisis financieras y bancarias a nivel mundial. Con este propósito, se han delineado cinco objetivos. En un primer momento, se determina el recorrido histórico de su desarrollo y adaptación, la aplicación en distintos mercados de América, Europa, Asia y Oriente medio. Por otro lado, se analizan los factores que determinan su manejo, mientras que en la cuarta sección se evalúa cómo uno de sus componentes adquiere un valor sobre los otros. Otro objetivo que se persigue es entender cómo algunos reforzadores de cada componente mejoran su manejo y cuál es el impacto que la aplicación de este método tiene. Por último, se busca revisar cuáles son otros métodos similares que tienen una finalidad en común. Las principales conclusiones que se desprenden es que no hay un consenso respecto a un único manejo de este método, pues es flexible de acuerdo con las necesidades de cada mercado financiero en el que se aplica. Sin embargo, todas las fuentes exploradas coinciden en que es uno de los métodos más utilizados de supervisión financiera, sino el más importante. / Financial crisis originated trough XX Century impulsed different instruments as response to regulate the financial system in order to avoid a future similar scenario. Because of this purpose, governments and economists have designed both different prescriptive instrument, such as New Deal’ Roosevelt, Breton Woods, and methodologic instruments as CAMEL Methodology. This paper explores main points of view found about evolution, adaptation and application of CAMEL Methodology on diverse financial markets published in different journals among the 2014-2020 periods. Five objectives have made in order to describe all these areas. First, an historic frame is determinate to recognize the evolve and adaptivity of this economic instrument, as the way about how is applied in different financial markets like America, Europe, Asia and Middle East. Besides, factors that model its application are analyzed, whereas in the fourth section is explored how one of its six components result an element with a better value than other. A different chapter is focused to understand how several financial enhancers improve the performance of each CAMEL component and what is the real impact of this method in the valuation of an economic market. The last aim pursued is describe another two methods commonly used by credit rating agencies. Principle conclusions are two. There is not consensus about a unique application of this method, due to is flexible to each financial market requires where is used. Nevertheless, all explored sources in this paper agree to put on CAMEL as one of the most financial inspection instruments used ever, but the most important, perhaps. / Trabajo de Suficiencia Profesional

Bitcoin är en teknologi som har blivit allt mer etablerad i det svenska samhället. Trots att så pass många känner till teknologin är det fortfarande väldigt få som använder den. Denna studie ämnar undersöka vad som påverkar det svenska folkets acceptans av Bitcoin med hjälp av det teoretiska ramverket TAM, samt med tillägg för finansiell risk och med ett fokus på demografiska variablers (externa faktorers) påverkan på acceptansen. En kvantitativ surveyundersökning genomfördes genom en webbenkät, där totalt 204 respondenter deltog. Resultaten från enkäten analyserades med hjälp av dataanalysmetoden PLS-SEM vilket visade att upplevd användarnytta hade en signifikant positiv påverkan på en individs attityd mot Bitcoin. Vidare visade studien en signifikant positiv koppling mellan den upplevda användarvänligheten och den upplevda nyttan av Bitcoin. Dock fann studien att de testade externa faktorerna samt att tillägget av finansiell risk inte hade någon signifikant påverkan på resultatet. / Bitcoin is a technology that has become increasingly established in Swedish society. Despite the fact that so many people know about the technology, very few actually use it. This study aims to investigate what affects the Swedish people's acceptance of Bitcoin using the theoretical framework TAM, as well as with additions for financial risk and with a focus on the influence of demographic variables (external factors) on acceptance. A quantitative survey was conducted using a web survey, in which a total of 204 respondents participated. The results from the survey were analyzed using the data analysis method PLS-SEM, which showed that perceived usefulness had a significant positive impact on an individual's attitude towards Bitcoin. Furthermore, the study showed a significant positive link between an individual's perceived ease of use and their perceived usefulness of Bitcoin. However, the study found that the tested external factors and that the addition of financial risk had no significant impact on the result.

Работа содержит следующие положения научной новизны: усовершенствована методика оценки консолидированного финансового состояния предприятия ОПК как меры финансового риска; развита методика оценки финансовых рисков от невыполнения государственного оборонного заказа на предприятиях ОПК; предложена методика акцентированного управления рисками, основанная на авторском подходе к оценке финансовых рисков от невыполнения государственного оборонного заказа на предприятиях ОПК. Полученные в ходе выполнения работы результаты призваны обеспечить получение более точных прогнозных данных о финансовом состоянии предприятия ОПК, сформировать информационную основу реализации административных процедур по управлению рисками оборонно-промышленных предприятий, а также снизить корпоративные издержки на нивелирование рисковых ситуаций, при этом обеспечив предприятию целевой уровень устойчивости финансового состояния. / The work contains the following provisions of scientific novelty: - improved methodology for assessing the consolidated financial condition of a defense industry enterprise as a measure of financial risk; - developed a methodology for assessing financial risks from non-fulfillment of the state defense order at defense industry enterprises; - a methodology of accentuated risk management is proposed, based on the author's approach to assessing financial risks from non-fulfillment of the state defense order at defense industry enterprises. The results obtained in the course of the work are intended to provide more accurate forecast data on the financial condition of the defense industry enterprise, to form an information basis for the implementation of administrative procedures for managing the risks of military-industrial enterprises, and also to reduce corporate costs for leveling risk situations, while ensuring the enterprise the target level of sustainability financial condition.

This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. Stress tests were conducted in order to test the resilience against market downturns. The ETFs were grouped by their ESG rating as well as by their carbon intensity. The results show that the lowest risk can be found for ETFs with either the lowest ESG rating or the highest. Generally, a higher ESG rating implies a lower risk, but without statistical significance in many cases. Further, ETFs with a higher ESG rating showed, on average, a lower maximum drawdown, a higher tail dependence, and more resilience in market downturns. Regarding volatility, the average was shown to be lower on average for ETFs with a higher ESG rating, but no statistical significance could be found. Interestingly, the results show that investing sustainably returns a better financial performance at a lower risk, thus going against the Capital Asset Pricing Model. / Denna studie undersöker riskprofilen för elektroniskt handlade fonder och sambandet mellan risk och hållbarhetsbetyg. 527 ETF:er med global exponering analyserades. De riskmått som användes var Value-at-Risk och Expected Shortfall, och några andra mått för risk användes, däribland volatilitet, största intradagsnedgång, samband i svansfördelning, och copulas. Stresstest utfördes för att testa motsåtndskraften i marknadsnedgångar. ETF:erna grupperades med hjälp av deras hållbarhetsbetyg och deras koldioxidintensitet. Resultatet visar att lägst risk finns i ETF:er med högst respektive lägst hållbarhetsbetyg. Generellt har ETF:er med högre hållbarhetsbetyg en lägre risk, med endast viss statistisk signifikans. Därtill har ETF:er med högre hållbarhetsbetyg, i genomsnitt, en lägre största intradagsnedgång, högre samband i fördelningssvansarna och är mer motståndskraftiga i marknadsnedgångar. Volatiliteten är i genomsnitt lägre desto högre hållbarhetsbetyget är, men detta resultat saknar statistisk signifikans. Ett intressant resultat är att om man investerar hållbart kan man få en högre avkastning med en lägre risk, vilket går emot Capital Asset Pricing Model.

This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. From this, it is revealed that the parametric approach at the 99\%-level generates the most favorable results for a 30-day-(C)VaR estimation for each portfolio, followed by the historic approach and, lastly, the Markov Monte Carlo simulation. As such, it is concluded that the parametric approach may serve as a method of evaluating a portfolio's exposure to Black Swan events. / Denna rapport syftar till att analysera riskmåtten Value-at-Risk och Conditional-Value-at-Risk för tre aktieportföljer med målet att utvärdera respektive metods precision i att modellera Black Swan-händelser. Detta uppnås genom att utnyttja en parametrisk metod som tar formen av en modifierad (C)VaR med en Cornish-Fisher-utveckling, en historisk metod med en tidsserie som sträcker sig tio år, och en Markov Monte Carlo-simulering modellerat med en Brownian Motion. Från detta påvisas det att den parametriska metoden vid en 99\%-ig nivå genererar de mest rättvisande resultaten för en 30-dagars-(C)VaR-estimering för respektive portfölj, följt av den historiska metoden och, till sist, Monte Carlo-simulering. På så sätt dras slutsatsen att den parametriska metoden skulle kunna tjäna som en metod för att utvärdera en aktieportföljs exponering till Black Swan-händelser.

In January 2019, a new leasing standard called IFRS 16 was implemented because of the criticism received by the previous leasing standard, IAS 17. The main criticism of the previous standard was that significant assets were not being correctly reported on the balance sheet. The new standard requires that previous operating leases are now reported as a right-of-use asset and a lease liability on the balance sheet. IFRS 16 has resulted in a change to the financial position of companies, with the retail sector expected to see significant changes in key financial ratios. The purpose of the study was to increase understanding of the effects the new standard has on the risks and profitability of the retail sector. The study collected data from 44 companies operating in Scandinavia and key financial ratios were examined. Three comparison groups were selected to increase understanding of the differences between the various sectors. The Scandinavian retail sector's ROA, ROE, solidity, and leverage ratios showed significant changes after the implementation of IFRS 16. The financial risk, operating risk and profitability of the Scandinavian retail sector were indirectly affected as these are measured using the key financial ratios used in the study. The analysis model used in the study showed differences between the comparison groups, with the retail and air transport sectors having the greatest impact of the new standard. The study's conclusion is that the risks and profitability of the Scandinavian retail sector have changed after the implementation of IFRS 16, as the selected key financial ratios showed significant changes. / I januari 2019 beslutades det att en ny leasingstandard vid namn IFRS 16 skulle implementeras som en följd av den kritik den tidigare leasingstandarden IAS 17 fått motstå. Kritiken mot den tidigare standarden var till stor del att väsentliga tillgångar inte redovisades korrekt i balansräkningen. Den nya standarden innebär att de tidigare operationella leasingavtalen nu ska redovisas som en nyttjanderättstillgång och en leasingskuld i balansräkningen. IFRS 16 innebär att företagens finansiella ställningen förändras, där detaljhandeln är en av de sektorerna som förväntas få störst förändringar i nyckeltalen. Syftet med studien är att beskriva hur implemeteringen av IFRS 16 har påverkat den skandinaviska detaljhandelns risker och lönsamhet. Studien har genomförts med hjälp av datainsamling från 44 bolag verksamma inom Skandinavien och väsentliga nyckeltal har undersökts. Tre jämförelsesektorer valdes ut för att skapa en ökad förståelse i skillnaderna mellan de olika sektorerna. Den skandinaviska detaljhandelns ROA, ROE, Soliditet och skuldsättningsgrad visade väsentliga förändringar efter implementeringen av IFRS 16. Den finansiella risken, rörelserisken och lönsamheten för den skandinaviska detaljhandeln fick indirekt en påverkan eftersom dessa mäts med hjälp av de använda nyckeltalen. Analysmodellen som studien använde sig av visade skillnader mellan jämförelsesektorer där detaljhandeln samt flygtransport har påverkats mest av implementeringen av den nya standarden. Studiens slutsats är att den skandinaviska detaljhandelns risker och lönsamhet, har förändrats efter implementeringen av IFRS 16 eftersom de utvalda nyckeltalen visade på signifikanta förändringar.