One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. However, with well functioning risk management, institutions can lower the severity of their loss. In this study, we consider using a multi-factor model to calculate concentration risk for Swedish credit portfolios, which is a type of credit risk that is usually caused by high concentration of credit exposures distributed over few industrial sectors. In its existing form, the multi-factor model uses fixed sector correlations with predetermined sectors as input. Instead, we propose to use a data-driven approach based on data from the Stockholm stock exchange. In a simulation study, we find that the distributions of total credit loss are somewhat different under the original approach than under our proposed approach. This suggests that further research is needed to investigate whether the two approaches are interchangeable.

The risk management within a bank is an important part given its status as a pivotal component within the capital adequency framwork stipluated in the Basel Accords. To proficiently be assessing, monitoring and managing market risk that the bank undertakes is therefore a part of the daily activities at Swedbank. For the majority of the measures and models, the bank is employing a full revaluation approach, implying a revaluation of each position under diverse market conditions specified across various scenarios to estimate risk. Prior to this thesis, Swedbank has been missing the full revaluation approach for the product commodity futures in their portfolio. The commodity futures needs to be treated differently from other futures due to their underlying being a physical product being produced, stored and transported. To help Swedbank being able to calculate and measure a diversified set of risk measures for commodity futures with high accuracy and according to market practise and implement the valuation model with results closest to market practise into their risk system, various valuation models have been replicated and compared in Python. The focus has been on investigating different variations of a model derived from the theory of storage and no arbitrage (Cost of Carry model) as well as a more advanced model developed from a belief of mean reverting short-term prices and an uncertain long-term equilibrium price (Schwartz and Smith Two Factor model). These models were replicated on three different commodity types in Swedbanks portfolio, Wheat, Rapeseed and Gasoil, to determine which valuation model that could estimate prices closest to the real prices on the market. The findings revealed that one variation of the Cost of Carry model could be matched exactly to the mark-to-market price due to the real price being known. The Schwartz and Smith Two Factor model was clearly the second best model, estimating prices very well but not always exactly. The most suited model that could match the price exactly, was chosen to be implemented into the risk system of Swedbank and had identified risk factors as interest rate, exchange rate and underlying spot price. With VaR simulations shifting the chosen risk factors, it could be proved that the commodity futures are traded back-to-back since all positions were offsetting each other. Since Swedbank is an intermediary and the business is about providing access to the market for Swedbanks customers, the back-to-back trading was something that Swedbank assumed but earlier not could prove. Furthermore, the back testing revealed that the special characteristic convenience yield could potentially be considered a risk factor in the future and that it would be relevant if the business model of commodity futures at Swedbank would change. / Riskhanteringen inom en bank är en viktig del med tanke på dess roll som en avgörande komponent inom kapitaltäckningsramverket som föreskrivs i Basel-avtalen. Att noggrant bedöma, övervaka och hantera den marknadsrisk som banken åtar sig är därför en del av de dagliga aktiviteterna på Swedbank. För de flesta åtgärder och modeller använder banken en fullständig omvärderingsmetod, vilket innebär en omvärdering av varje position under olika marknadsförhållanden specificerade över olika scenarier för att uppskatta risken. Innan det här projektet har Swedbank saknat den fullständiga omvärderingsmetoden för produkten råvaruterminer i sin portfölj. Råvaruterminer måste behandlas annorlunda än andra terminer på grund av att deras underliggande är en fysisk produkt som produceras, lagras och transporteras. För att hjälpa Swedbank att kunna beräkna och mäta en diversifierad uppsättning riskmått för råvaruterminer med hög noggrannhet och enligt marknadspraxis samt implementera värderingsmodellen med resultat som ligger närmast marknadspraxis i deras risksystem har olika värderingsmodeller replikerats och jämförts i Python. Fokuset har legat på att undersöka olika variationer av en modell som härstammar från teorin om lagring och inget arbitrage (Cost of Carry-modell) samt en mer avancerad modell som utvecklats från en tro om ett genomsnittligt återgående kortsiktigt pris och ett osäkert långsiktigt jämviktspris (Schwartz och Smith Two Factor-modell). Dessa modeller replikerades för tre olika typer av råvaror i Swedbanks portfölj: Vete, Raps och Gasol, för att avgöra vilken värderingsmodell som kunde uppskatta priser närmast de verkliga priserna på marknaden. Resultaten visade att en variation av Cost of Carry-modellen kunde matchas exakt med marknadsvärdet eftersom det verkliga priset var känt. Schwartz och Smith Two Factor-modellen var tydligt den näst bästa modellen, vilket uppskattade priserna mycket bra men inte alltid exakt. Den mest lämpade modellen som kunde matcha priset exakt valdes för att implementeras i Swedbanks risksystem och hade identifierade riskfaktorer som ränta, växelkurs och underliggande spotpris. Genom VaR-simuleringar som skiftade de valda riskfaktorerna kunde det bevisas att råvaruterminerna handlas back-to-back eftersom alla positioner neutraliserade varandra. Eftersom Swedbank är en mellanhand och affärsmodellen handlar om att ge Swedbanks kunder tillgång till marknaden, var back-to-back-handel något som Swedbank antog men tidigare inte kunde bevisa.  Vidare visade backtestingen att den särskilda karaktären convenience yield eventuellt skulle kunna betraktas som en riskfaktor i framtiden och att detta skulle vara aktuellt om affärsmodellen för råvaruterminer på Swedbank skulle förändras.

Syftet med denna uppsats var att undersöka sambanden mellan personlighet, individuella hälsouppfattningar och alkoholkonsumtion hos högskolestudenter. Femfaktormodellen användes för att undersöka personlighetsdragen och The Health Belief Model användes för att undersöka de individuella hälsouppfattningarna. Studien har utgått från en kvantitativ metodologi och genomfördes genom webbenkäter. Enkäten bestod av flera mätinstrument som mätte alkoholkonsumtion, personlighet och de utvalda individuella hälsouppfattningarna. Det utfördes även en kort pilotstudie för att undersöka att enkätens frågor var tydliga. Urvalet bestod av ett bekvämlighetsurval på högskolestudenter (N=94). Tidigare forskning visar att både personlighet och individuella hälsouppfattningar påverkar individers alkoholkonsumtion. Vissa personlighetsdrag eller individuella hälsouppfattningar minskar konsumtionen, medan andra ökar den eller inte har någon effekt. För att utforska studiens forskningsfrågor och testa dess hypoteser genomfördes enkla och multipla regressionsanalyser. De centrala resultaten i studien visade att personlighetsdraget extraversion hade ett signifikant positivt samband med alkoholkonsumtion. Även tre individuella hälsouppfattningar, vilka är upplevd mottaglighet, upplevda barriärer och ledtrådar till handling hade positiva signifikanta samband med alkoholkonsumtion. / The aim of this study was to investigate the relationships between personality,individual health beliefs and alcohol consumption in university students. The five-factormodel was used to measure personality traits and The Health Belief Model was used to investigate the individual health beliefs. The study was based on a quantitative methodology and used web surveys. The questionnaire included instruments measuring alcohol consumption, personality, and individual health perceptions. A pilot study was also conducted to ensure the questionnaire's clarity. The sample in this study consisted of a convenience sample of university students (N=94). Previous research shows that both personality and individual health perceptions influence individuals' alcoholconsumption. Some personality traits or individual health perceptions reduce consumption, while others increase it or have no effect. To explore the study's research questions and test its hypotheses, simple and multiple regression analyzes were conducted. The central result was that the personality trait extraversion had a significant positive correlation with alcohol consumption. The three individual health perceptions perceived susceptibility, perceived barriers and cues to action also had a positive significant correlation with alcohol consumption.

Uppsatsens syfte avser att undersöka allmänhetens och yrkesverksammas inställning till myndighetsutövares användning av lågaffektivt bemötande. Den primära forskningsfrågan som ställts är; Vilka faktorer kan förklara en potentiell variation i inställning till användningen av lågaffektivt bemötande av myndighetsutövare? Studien grundar sig i en kvantitativ ansats med bekvämlighetsurval (n=303), där 46,7% angav att de ingår i deras arbetsroll att använda sig av lågaffektiva metoder. I undersökningen identifierades kön, ålder samt personlighet som potentiella faktorer som kan påverka inställningen. Genom en korrelationsanalys framkom resultatet att inställningen till lågaffektivt bemötande korrelerade med kön, ålder samt med personlighetsdraget välvillighet. Detta visar på att kön, ålder samt välvillighet förklarar en del av vad som potentiellt kan förutse variationen i inställningen till lågaffektivt bemötande av myndighetsutövande. Regressionsanalysen synliggjorde sedan att kön förlorade sin signifikans (p=>.05) vid kontrollerandet av ålder och välvillighet gällande inställningen. Resultatet indikerar att inställningen till lågaffektivt bemötande kan förklaras av personlighetsdraget välvillighet. / The purpose of the thesis is to investigate the attitude of the public and professionals to the use of low arousal approach by public authorities. The primary research question is; What factors can explain a potential variation in attitudes towards the authorities' use of the low arousal approach? The study is based on a quantitative approach with convenience sampling (n=303), where 46.7% stated that low arousal approach is a part of their work role. The survey identified gender, age and personality as potential factors influencing the attitude. Through a correlation analysis, the result showed that the attitude towards low arousal approach correlated with gender, age and the personality trait agreeableness. This means that gender, age and agreeableness explain some of what can potentially predict the variation in attitudes towards the usage of low arousal approach by public authority. The regression analysis revealed that gender lost its significance (p=>.05) when controlling age and agreeableness regarding the attitude towards the low arousal approach. The results indicate that the attitude towards low arousal approach is explained by the personality trait agreeableness.

Studiens syfte var att undersöka sambandet mellan personlighetsdragen från femfaktormodellen och graden av självskattad arbetstillfredsställelse. Studien undersökte också om ålder har ett samband med arbetstillfredsställelse. En enkät utformades för att kvantitativt undersöka eventuella samband. Validerade skattningsskalor användes, Ten Item Personality Inventory (TIPI) för personlighetsdrag och Copenhagen Psychosocial Questionnaire’s frågor om arbetstillfredsställelse. Studien omfattas av ett stickprov om 165 deltagare (Mdn=27 år; M=34,08; SD=13,29) varav 133 kvinnor (81%) och 32 män (19%). I analysmomentet i studien genomfördes en Spearman’s korrelationsanalys och en linjär multipel regressionsanalys. Resultatet visade signifikanta samband mellan självskattad arbetstillfredsställelse och emotionell stabilitet, extraversion, vänlighet och ålder. Dessa variabler kan förklara 13,2% av variationen i självskattad arbetstillfredsställelse. / The purpose of the study was to examine the relationship between personality traits from Five Factor-model and the degree of self-assessed job satisfaction. The study also examined whether a relationship between age and job satisfaction exists. A survey was designed to quantitatively identify possible associations. With the use of validated questionnaires, Ten Item Personality Inventory (TIPI) for personality traits and Copenhagen Psychosocial Questionnaire for job satisfaction. The study covers a random sample of 165 participants (Mdn=27 years; M=34.08; SD=13,29) of which 133 women (81%) and 32 men (19%). The results presented significant relationship between self-assessed job satisfaction and emotional stability, extraversion, agreeableness and age. These variables account for 13,2% of the variation in self-assessed job satisfaction.

Inledning: Hållbarhet blir allt viktigare för svenska fondsparare. Följaktligen har detta lett till en ökning av antalet hållbara fonder som förutspås fortsätta att öka. Tidigare forskning har studerat hur hållbara fonder presterar i jämförelse med icke-hållbara fonder. Studierna visar på skilda resultat. Det finns studier som visar att hållbara fonder överpresterar de icke-hållbara fonderna, men det finns också studier som visar på det motsatta.  Syfte: Studien syftar till att jämföra prestationen hos hållbara och icke-hållbara fonder genom att använda alfa som ett mått på avkastning. Med utgångspunkt i tidigare forskning och teorier syftar studien vidare till att diskutera fondernas prestationer för att identifiera eventuella skillnader och förklaringar till dessa.  Metod: Studien följde en kvantitativ forskningsstrategi och en deduktiv ansats. Studien inkluderade 21 hållbara fonder samt 16 icke-hållbara fonder. Studien tillämpade regressioner med utgångspunkt i CAPM samt Fama och French trefaktormodell för varje fond. För att studera fondernas prestation studerades regressionens intercept alfa, som förklarar tillgångens förväntade avkastningen i förhållande till riskfaktorerna. Slutsats: Studiens resultat tyder på att hållbara fonder underpresterar marknaden, medan icke-hållbara fonder överpresterar marknaden. Det är dock inte möjligt att dra några statistiska slutsatser från studiens resultat. Studiens resultat analyseras och förklaras utifrån modern portföljteori, prissättning av aktier, EHM samt beteendefinans. / Introduction: Sustainability is becoming increasingly important for Swedish fund savers. Consequently, this has led to an increase in the number of sustainable funds that is predicted to continue to increase. Previous research has studied how sustainable funds perform in comparison to non-sustainable funds. The studies show different results. There are studies that show that sustainable funds outperform non-sustainable funds, but there are also studies that show the opposite. Purpose: The study aims to compare the performance of sustainable funds and non-sustainable funds using alpha as a measure of performance. Building upon prior research and theories, the study further seeks to discuss the funds’ performances to identify any differences and explanations for these results. Method: This study followed a quantitative research strategy and a deductive approach. The study included 21 sustainable funds and 16 non-sustainable funds. The study applied regression based on the CAPM and the Fama & French three factor model for each fund. To study the performance of the funds, the intercept alpha of the regression was studied. Alpha explains the asset's expected return in relation to the risk factors.  Conclusion: The study's findings suggest that sustainable funds underperform the market, while non-sustainable funds outperform the market. However, it is not possible to draw any statistical conclusions from this study's result. The results of the study are analyzed and explained based on modern portfolio theory, pricing of shares, EHM and behavioral finance.

Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. One form of SRI screen is to choose companies that have satisfied employees. Existing theory says that employee satisfaction is an intangible asset to the firm that will positively affect a firm’s performance in the future. Intangible assets are often unrecognized by the market and thereby not incorporated in the stock price. The efficient market hypothesis has been studied and debated for several decades. Proponents of the EMH argue that all available information is incorporated in the stock price, thus it is not possible to systematically beat the market. However, EMH is controversial, since research has shown different results regarding the possibility to make abnormal return from various investing strategy. Research question: Is it possible to make abnormal returns by investing in a portfolio of worldwide firms with top scores on the SRI screen employee satisfaction? Purpose: The main purpose of this study is to examine investor’s possibility to make abnormal return with controls for multiple risk factors by investing in worldwide firms with top scores in employee satisfaction. One sub-purpose is to examine how the market values intangibles depending on the degree of market efficiency. Another sub-purpose of the study is to test two different portfolio weighting methodologies, equally- and value weighted, and observe the differences between them. Theory: This study deals with the efficient market hypothesis and the concepts of SRI, employee satisfaction, intangible assets and several risk-adjusted measurements. Method: We have chosen to perform a quantitative study with a deductive approach to answer our research question. We used a sample size of 696 firms based on “Great Place to Works”- lists of companies with high employee satisfaction to construct sex portfolios with different holding periods and strategies. These portfolios have been explored and tested significantly with both equally and value weighted methods. Result/Analysis: The study finds significant evidence of an average annual abnormal return of 3,66% and 2,43% for our main portfolio over the market for equally- and value weighted, respectively, using the three-factor model. When adjusting for momentum, thus employing the four-factor model, all the predictive variables still identify strong persistence in the abnormal return, with statistical significance. Conclusion: The results show that it is possible to make abnormal returns, during the observed time period, regardless of the weighing methodology, although the equally weighted received higher abnormal returns. Thus, the market efficiency appears to be in weak form and does not fully value intangibles.

Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.

Dark triad är en kombination av mörka personlighetsdrag som består av subklinisk psykopati, subklinisk narcissism och machiavellism (Paulhus & Williams, 2002). Jones och Paulhus (2013), utvecklade Short Dark Triad (SD3), ett test som mäter dark triads personlighetsdrag. Den föreliggande studiens syfte var att validera en svensk version av SD3. Respondenterna svarade på nio enkäter som ingick i ett forskningsprojekt varav tre användes till denna studie. Respondenterna (N = 103) var mellan 19 och 64 år, och alla var aktiva i arbetslivet. Konvergent validering gjordes genom korrelationsanalyser som kontrollerade sambanden mellan de delar, i beprövade instrument, som mäter personlighetsdrag relaterade till begreppen subklinisk psykopati, subklinisk narcissism och machiavellism. Sambandsanalyserna gjordes mellan SD3 och IPIP-120 som mäter femfaktormodellens dimensioner, samt Swedish universities Scales of Personality (SSP) som grundar sig på biologiska markörer för olika psykiatriska tillstånd. Resultaten gick i huvudsak i linje med tidigare forskning (Furnham, Richards, Rangel, & Jones, 2014) med avseende på sambanden mellan femfaktormodellens dimensioner och SD3. En gemensam kärna i de tre personlighetsdragen i dark triad var ovänlighet, och ett viktigt resultat var de signifikanta negativa sambanden med femfaktordimensionen vänlighet. Den Svenska versionen av SD3 anses validerad. / Dark triad is a group of three dark personality scales consisting of subclinical psychopathy, subclinical narcissism and Machiavellianism (Paulhus & Williams. 2002). The Short Dark Triad (SD3), is the measuring tool and was developed by Jones and Paulhus (2013). The purpose of this thesis was to validate a Swedish translation of the SD3. This was done within an existing research project and included 103 respondents, aged 19-64 years, all being employed. They were assigned to respond to nine different surveys, three of them measuring psychopathy, narcissism and Machiavellianism-related scales. Convergent validation was done by correlation analysis with IPIP-120, measuring the personality of five factor model and Swedish universities Scales of Personality (SSP), measuring personality traits based on biological markers, and how well they measure the SD3. Our results generally confirm earlier research on studies between five factor models personality scales and SD3 (Furnham, Richards, Rangel, & Jones, 2014). One result of particular importance was the negative correlation with the Agreeableness Scale since it is a core for the dark triad personalities. Furthermore, our results followed the expected patterns in the correlations between dark triad personalities and the five factor model. The result of our thesis concludes that the Swedish translation of thPSKe SD3 test is to be considered valid.

Text in English / Research on employee turnover dates back many decades. However, this research traditionally focused on either understanding turnover intentions or the factors preceding turnover, such as job satisfaction. Despite the challenge in SA being huge and organisations struggling to keep their talent, the research on employee turnover is quite limited. Understanding the different variables that influence employee turnover and providing practical solutions on how to mitigate turnover would be valuable to many organisations. The aim of this research project was to understand the role of personality and organisational climate in employee turnover. In addition, a comprehensive model of employee turnover was developed and tested. The Five Factor Model was used to conceptualise personality, while (due to the limited nature of existing models) a new model was designed to conceptualise organisational climate. A sample of 1 536 people was drawn from a large retail organisation in SA, with 807 stayers and 729 leavers. Biographical, personality and organisational climate information was collected over a two-year period for both samples. Results of the study were mixed; there were no significant differences in the two samples regarding the big five personality factors, except when nine bipolar scales were used. On these scales, leavers were found to be more assertive, persuasive and optimistic than stayers. All five personality factors moderated HR policies & procedures in determining turnover. There were differences between the stayers and leavers samples with regard to age, gender, tenure and absenteeism. Organisational climate was a key determinant of whether people left or stayed and organisations had more than one climate. Personality, organisational climate and absenteeism accounted for 29% of turnover. The proposed model of employee turnover met most of the requirements of goof fit measures when using Structural Equation Modelling (SEM). / Psychology / D.Litt. et Phil.