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Decomposition of the market risk: listed location and operation location.January 2005 (has links)
Mok Ka Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaf 31). / Abstracts in English and Chinese. / Chapter I --- Introduction --- p.1 / Chapter II --- Data Description --- p.4 / Chapter III --- Market risks for stocks --- p.6 / Chapter 1. --- Listing Location --- p.7 / Chapter 2. --- Operation Location --- p.9 / Chapter 3. --- Measurements --- p.10 / Chapter IV --- The Model --- p.13 / Chapter V --- Empirical Results --- p.16 / Chapter 1. --- Summary statistics --- p.16 / Chapter 2. --- Diagnostics Test --- p.17 / Chapter 3. --- The co-efficient --- p.18 / Chapter 4. --- Comparing the result with US dollar-denominated returns --- p.21 / Chapter VI --- Sub-period analysis --- p.26 / Chapter VII --- Market analysis --- p.29 / Chapter VIII --- Industrial analysis --- p.31 / Chapter IX --- Conclusion --- p.35 / Chapter X --- References --- p.37 / Chapter XI --- Appendix --- p.39
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Risk management of energy derivatives : hedging and margin requirementsSumawong, Anannit January 2014 (has links)
The recent growth of exchanges has generated large trading platforms for investors. The largest of these institutions, the Intercontinental Exchange and the Chicago Mercantile Exchange group are now responsible for clearing trades for the majority of investors worldwide and are perhaps, as large commercial banks are, too big to fail. This has attracted attention from international regulating bodies to impose strict risk management standards on the exchanges to ensure financial stability. In this thesis, we identify first, that an investor in the market is strongly affected by margins set by the exchanges in determining the transaction costs of a trade. We discuss the possibility that a volatile margin movement would introduce further risks for such an investor causing them to raise more capital to cover possible margin calls which can perhaps lead to procyclicality. We follow this work by addressing how margins can be determined in adherence to the new laws. Exchanges are now required to set margins based on the Value-at-Risk, hence we search for the best Value-at-Risk method for margining use. Here, we find that the simple Orthogonal Exponentially Weighted Moving Average method is sufficient in forecasting the Value-at-Risk, which contradicts a fair body of the literature who suggests that complex developments of GARCH are superior. We then offer methods for setting and evaluating margin requirements upon the Value-at-Risk estimates, concentrating on producing stable margin requirements. The automated methods produced in our work outperform all other methods available in the literature. Furthermore, we are the first to provide methods for assessing margin stability. Our work is timely in addressing the current affairs of the world economy and is among the first to tackle the margin stability issue in detail.
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Cointegration pairs trading strategy on derivatives.January 2013 (has links)
在現今的社會,協整技術已被廣泛應用於金融和計量經濟領域,特別用於構建股票市場的統計套利策略。在這一篇論文中,我們主要考察在衍生品市場中,基於協整技術的套利交易策略,這一策略的主要研究對象是隱含波動率。利用隱性波動率的線性組合的均值回歸的特性,通過配對兩隻帶有正利差(如theta) 的短期平價歐式跨式期權來獲利。同時,構建實際波動率的模型和預測未來實際波動率的模型將會用於補充這一交易策略的不足,隱性一實際條件和Gamma-Vega條件被引入來提高交易策略的效率。這一策略的績效分析是基於三年的歷史外匯期權數據。從實證數據中,基於協整技術的策略能賺取利潤,而且Vega在利潤中起著重要的作用,並且無論是隱性一實際條件還是Gamma-Vega條件都是有效的。 / The notion of cointegration has been widely used in finance and econometrics, in particular in constructing statistical arbitrage strategies in the stock market. In this thesis, an arbitrage trading strategy for derivatives based on cointegration is studied to account for the volatility factor. Pairs of short dated at-the-money straddles of European options with positive net carry (i.e. theta) are used to capture the mean-reverting property of the linear combinations of implied volatilities. Furthermore, modeling and forecasting realized volatility are also considered as a supplement to the trading strategy. Implied-Realized Criertion and Gamma-Vega Criterion are introduced to improve the trading strategy. A performance analysis is conducted with a 3-year historical data of Foreign Exchange Options. From the empirical results, the portfolio based on the cointegration strategy makes a profit, where Vega plays a dominant role, and either the Implied-Realized Criertion or the Gamma-Vega Criterion is effective. / Detailed summary in vernacular field only. / Pun, Lai Fan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 43-45). / Abstracts also in Chinese. / List of Tables --- p.v / List of Figures --- p.vi / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Basic Ideas --- p.4 / Chapter 2.1 --- Cointegration and Johansen’s Methodology --- p.4 / Chapter 2.1.1 --- Cointegration --- p.4 / Chapter 2.1.2 --- Johansen’s Methodology --- p.5 / Chapter 2.2 --- Cointegration Pairs Trading Strategy --- p.6 / Chapter 2.3 --- Modelling and Forecasting Realized Volatility --- p.8 / Chapter 3 --- Cointegration Pairs Trading Strategy On Derivatives --- p.10 / Chapter 3.1 --- Trading On Implied Volatility --- p.10 / Chapter 3.2 --- Cointegration Trading Strategy --- p.12 / Chapter 3.3 --- Greek Letters --- p.13 / Chapter 3.3.1 --- Requirements of the Trade --- p.13 / Chapter 3.3.2 --- Approximation of the Expected P/L --- p.15 / Chapter 3.4 --- Foreign Exchange Options --- p.18 / Chapter 3.4.1 --- Cointegration Pairs --- p.19 / Chapter 3.4.2 --- Trading Process --- p.21 / Chapter 3.4.3 --- More Examples --- p.22 / Chapter 4 --- Further Trading Strategies --- p.26 / Chapter 4.1 --- Estimation of Realized Volatility --- p.26 / Chapter 4.2 --- Implied-Realized Criterion --- p.27 / Chapter 4.3 --- Gamma-Vega Criterion --- p.29 / Chapter 4.4 --- Summary --- p.32 / Chapter 5 --- Conclusion and Further Discussion --- p.37 / A --- p.39 / B --- p.41 / Bibliography --- p.43
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A simple model for financial aid in currency crisis.January 2008 (has links)
Wong, Kin Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Abstract --- p.i / Abstract (Chinese Version) --- p.ii / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Important Notations --- p.vi / List of Table and Figures --- p.vii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Reviews --- p.5 / Chapter 2.1. --- Economic Fundamentals Models --- p.5 / Chapter 2.2. --- Self-fulfilling Models --- p.6 / Chapter 2.3. --- Contagious Currency Crises --- p.8 / Chapter 3. --- The Model --- p.11 / Chapter 3.1. --- Output Stability and Price-level Stability Tradeoff --- p.11 / Chapter 3.2. --- Realignment Cost --- p.15 / Chapter 3.3. --- Speculative Attack and Its Size --- p.15 / Chapter 4. --- A Two-Stage Game for Exchange Rate Policy Decision --- p.19 / Chapter 4.1. --- The Game --- p.19 / Chapter 4.1.1. --- Policy Response of the Domestic Central Bank --- p.20 / Chapter 4.1.2. --- Policy Decision of the Foreign Central Bank --- p.21 / Chapter 4.2. --- Special Features of the Game --- p.22 / Chapter 4.2.1. --- "Export Sensitivity, Adjusted Inflation-Output Stability Preference and Policy Response" --- p.23 / Chapter 4.2.2. --- Speculative Attack through the “Weakest Link´ح --- p.25 / Chapter 5. --- Financial Aid in Currency Crisis --- p.28 / Chapter 5.1. --- The Game with Financial Aid --- p.28 / Chapter 5.2. --- Policy Response of the Domestic Central Bank --- p.30 / Chapter 5.3. --- Policy Decision of the Foreign Central Bank --- p.31 / Chapter 5.4. --- Financial Aid Decision of the Domestic Central Bank --- p.32 / Chapter 6. --- Concluding Remarks --- p.36 / Chapter 7. --- References --- p.38 / Chapter 8. --- Appendices --- p.40 / Chapter 8.1. --- Change in Price Level and Exchange Rate --- p.40 / Chapter 8.2. --- Optimization of Depreciation Rate --- p.41 / Chapter 8.3. --- Social Loss for Unilateral Devaluation --- p.42 / Chapter 8.4. --- Social Loss under Foreign Unilateral Devaluation --- p.43 / Chapter 8.5. --- Social Loss for Competitive Devaluations --- p.44 / Chapter 8.6. --- Impact of Ø on λ1 --- p.45 / Chapter 8.7. --- Optimization Benefit under different foreign policy --- p.46 / Chapter 8.8. --- The Complete Two-Country Game with Financial Aid --- p.47
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Rational versus anchored traders : exchange rate behaviour in macro modelsMarshall, Peter John, 1960- January 2001 (has links)
Abstract not available
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Two essays in microeconomic theory and econometricsMynbaev, Kairat T. 02 May 1995 (has links)
The thesis contains two chapters which address questions important both for
the economic theory and applications.
In Chapter I we show that inequalities are an important tool in the theory of
production functions. Various notions of internal economies of scale can be
equivalently expressed in terms of upper or lower bounds on production functions. In
the problem of aggregation of efficiently allocated goods, if one is concerned with
two-sided bounds as opposed to exact expressions, the aggregate production function
can be derived from some general assumptions about production units subject to
aggregation. The approach used does not require smoothness or convexity properties.
In Chapter II we introduce a new forecasting techniques essential parts of
which include using average high-order polynomial estimators for in-sample fit and
low-order polynomial extension for out-of-sample fit. We provide some statements
following the Gauss-Markov theorem format. The empirical part shows that algebraic
polynomials treated in a proper way can perform very well in one-step-ahead
prediction, especially in prediction of the direction of exchange rate movements. / Graduation date: 1995
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Volatility dynamics around information : empirical evidence from the euro/dollar currency marketBen Omrane, Walid 17 November 2006 (has links)
Roughly all the previous empirical research, focusing on the information effects on volatility, has investigated the volatility dynamics during and after the release of public information. Researchers use ARCH-type or realized volatility models and they proxy public information by market news announcements. So far, studies focusing on the effect of noise or technical trading on volatility have been limited to theoretical results without any empirical evidence. Technical trading is trading based on technical signals. As a consequence, the aim of this dissertation is to answer to the following question: how does foreign exchange volatility behave, in the very short term, around public information and technical signals ? To answer to this question we study the volatility dynamics before, during and after public news announcements and technical chart pattern signals. In order to meet this objective, we implement different methodologies specific to the different chapters of the dissertation. Each chapter tries to answer to a sub-question emerging from the main question of the thesis.
This thesis contributes to the empirical finance literature on intradaily exchange rate volatility as follows. First we present evidence that volatility increases in the pre-announcement period of scheduled news. Second, we show that foreign exchange dealers quoting activity reacts to news announcements and it conveys useful information. The third contribution consists in presenting a new approach to recognize technical chart patterns from a time series, and shedding light on the predictive success of the technical chart signals. Finally, the last contribution consists in the finding that technical signals, considered by economists as "noise", have a significant effect on volatility.
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Essays on the volatility of macroeconomic and financial time series /Yu, Wei-Choun. January 2006 (has links)
Thesis (Ph. D.)--University of Washington, 2006. / Vita. Includes bibliographical references (leaves 109-116).
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Difference in foreign exchange risk management betweem family and non-family owned firmsSibhatu, Temesgen, Mahmod, Dalia Garsa Mahmod, Rubil, Goran January 2005 (has links)
Financial risk as a result of trade in foreign currencies is inevitable for firms that are engaged in international trade. However the decision how to manage this risk differs from one firm to another. This difference can be a result of the type of ownership in the individual firm.One of the classifications of the type of firms that have different can be categorized as family firms and non-family firms. Studies have showen that family firms differ in their use of control systems and financial management techniques. The difference is explained by the type of ownership. As a consequence of the differences, family and non-family firms may differe in their decision making with respect to foreign risk management. This thesis compaires the practice of foreign exchange risk management in family and non-family firms.the objective is to asses if family firms and non-family firms differe in their decision making to currency exposure management. The effect of the involvement of family members in the management of currency risk will also be addressed. Finaly, the paper will provide some recommandetions to firms exposed to foreign exchange risk.
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Foreign Exchange Rate Exposure in Hong Kong, Japan and Singapore : Firm and Industry Level AnalysisXie, Tao January 2011 (has links)
This paper analyzes the extent of foreign exchange rate exposure in Hong Kong, Japan and Singapore in both firm level and industry level in the period of January 1996 to January 2011 by regressing the stock return of a particular industry or firm on exchange rate changes while controlling for overall stock market movements. It is found that exchange rate movements do affect firm and industry value in a manner consistent with expectation and the extract of unexpected exchange rate changes from actual exchange rate changes have little influence on the testing results of exposure. It is also proved that exchange rate regime plays an irreplaceable role in drawing the structure of exchange rate exposure of a country.
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