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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2008." / Advisor(s): San Miguel, Joseph ; Summers, Don. "June 2008." "MBA professional report"--Cover. Description based on title screen as viewed on August 8, 2008. Includes bibliographical references (p. 41). Also available in print.

Thesis (Ph.D.)--Kent State University, 2006. / Title from PDF t.p. (viewed June 11, 2009). Advisor: Mark E. Holder. Keywords: corporate governance, executive compensation, employee stock options. Includes bibliographical references (p. 80-84).

This thesis studies two subareas within the forecasting literature: volatility forecasting and risk-neutral density estimation and asks the question of how accurate volatility forecasts and risk-neutral density estimates can be made based on the given information. Two sources of information are employed to make those forecasts: historical information contained in time series of asset prices, and forward-looking information embedded in prices of traded options. Chapter 2 tests the comparative performance of two volatility scaling laws - the square-root-of-time (√T) and an empirical law, TH, characterized by the Hurst exponent (H) - where volatility is measured by sample standard deviation of returns, for forecasting the volatility term structure of crude oil price changes and ten foreign currency changes. We find that the empirical law is overall superior for crude oil, whereas the selection of a superior model is currency-specific and relative performance substantially differs across currencies. Our results are particularly important for regulatory risk management using Value-at-Risk and suggest the use of empirical law for volatility and quantile scaling. Chapter 3 studies the predictive ability of corridor implied volatility (CIV) measure. By adding CIV measures to the modified GARCH specifications, we show that narrow and mid-range CIVs outperform the wide CIVs, market volatility index and the BlackScholes implied volatility for horizons up to 21 days under various market conditions. Results of simulated trading reinforce our statistical findings. Chapter 4 compares six estimation methods for extracting risk-neutral densities (RND) from option prices. By using a pseudo-price based simulation, we find that the positive convolution approximation method provides the best performance, while mixture of two lognormals is the worst; In addition, we show that both price and volatility jumps are important components for option pricing. Our results have practical applications for policymakers as RNDs are important indicators to gauge market sentiment and expectations.

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

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.

Thesis (MBA) -- Stellenbosch University, 2007. / ENGLISH ABSTRACT: Hedge funds are amongst the fastest growing types of investment funds, both in tenns of worldwide assets under management, as well as the number of private and institutional investors. More recently, analysts and investors focussed their attention on accurately estimating the inherent risks of hedge funds (e.g, Brooks & Kat, 2001; Fung & Hsieh, 2004). Past research suggests that the traditional approach of assessing the risks of investment funds through mean-variance analysis can lead to severe underestimation of left-hand-tail risks for hedge funds (Amenc, Malaise, Martellini & Vaissie, 2004; Favre & Galeano, 2002; Fung & Hsieh, 1999). This phenomenon is mainly attributab le to the non-normal distribution of monthly hedge fund returns around the mean. In addition, it has been found that skewed return distribution with high excess kurtosis has substantial impact on the rel iability of beta as a measure of systemic risk in hedge funds (Chan, Getmansky, Haas & Lo, 2005). Other problems when estimating hedge fund risks arise from serial correlation of time series (Getmansky, Lo & Makarov, 2003), managerial and survivorship bias (Amin & Kat, 2001 ), as well as spurious bias when estimating performance from economic time series (Fung & Hsieh, 2000). The following thesis provides statistical evidence of the limitations of traditional risk measures when applied to hedge fund investments. It also includes advice on how to improve the significance of the aforementioned risk measures. In the course of the mean-variance analysis, the applicability and reliability of Value at Risk as a risk measurement tool for hedge funds is explored. Furthennore, the reliability and accuracy of different univariate and multivariate regression models is tested. In the final chapter emphasis is placed on the possibilities of predicting the inherent risks of single funds from hedge fund style index performance. This should provide investors and analysts with an introductory framework for the appropriate risk assessment of hedge funds, considering the unique structure and dynamics of these alternative investment funds. / AFRIKAANSE OPSOMMING: Skansfondse tel onder die vinnigste groeiende tipes beleggingsfondse in terme van sowel wereldwye bates onder bestuur as die aantal private en institusionele beleggers. OnJangs het analiste en beleggers hulle aandag daarop begin toespits om die inherente risiko's verbonde aan skansfondse akkuraat te bereken (Brooks & Kat. 2001; Fung & Hsieh, 2004). Vroeere navorsing het daarop gedui dat die tradisioncle benadering om die risiko's verbonde aan beleggingsfondse deur gemiddeldevariansie-analise te takseer, daartoe kan lei dat linkerkantse-eindrisiko's verbonde aan skansfondse emstig onderskat word (Fung & Hsieh, 1999; Favre & Galeano, 2002; Amenc. Malaise, Martellini & Vaissie, 2004). Hierdie verskynsel is hoofsaaklik toe te skryf aan die abnonnale verspreiding van maandeliksc skansfondsopbrengste rondom die gemiddelde. Boonop is bevind dat skewe verdeling met hoe kurtose-oorskryding aansienlik inslaan op die betroubaarheid van beta as 'n meting van sistemiese risiko by skansfondse (Chan. Getmansky. Haas & Lo, 2005). Ander probleme by die raming van skansfondsrisiko's spruit uit tydreekskorrelasie (Getmansky, Lo & Markov, 2003), bestuurs- en oorlewingsydigheid (Amin & Kat, 2002) en vals sydigheid by die beraming van prestasie uil die ekonomiese tydsreeks (Fung & Hsieh, 2000). Hierdie tesis gaan statistiese bewyse lewer van die tradisioncle risikometings se beperkings wanneer dit op skansfondsbeleggings toegepas word. Verder sal daar raad gegee word oor hoe om die beduidendheid van die genoemde risikometings te verbeter. In die loop van die gemiddeldevariansie-analise sal die toepasbaarheid en betroubaarheid van die Waarde onder Risiko as 'n risikometing vir skansfondse ondersoek word. Voorts sal die betroubaarheid en akkuraatheid van verskillende ecnvariaat- en meervariaatregressiemodelle getoets word. In die laaste hoofstuk val die klem op die moontlikheid om die inherente risiko's van enkelfondse aan die hand van 'n skansfondstipe-indeksprestasie te voorspel. Wat hier volg, behoort beJeggers en analistc van 'n inleidende raamwerk vir die toepaslike risikotaksering van skansfondse - met inagneming van die unieke struktuur en dinamika van hierdie altcmatiewe beleggingsfondse - te voorsien.

Chapter 1, "Emergency Preparedness: Rare Events and the Persistence of Uncertainty," develops a framework to understand how uncertainty might spike and persist after low-probability events occur. Unexpected events can have lasting effects on financial uncertainty, which in turn affects the real economy. This chapter uses a model in which the realizations of ex-ante unlikely events endogenously result in lower levels of private information. Lower levels of information propagate within the model, as uncertainty makes it harder for agents to acquire information about future periods, resulting in uncertainty persistence. This model of uncertainty is applied to an economy with a financial market. Uncertainty reduces asset demand and expected wealth, while increasing dispersion of beliefs. It also reduces investment and output, and results in higher credit spreads. Data on financial uncertainty, dispersion of beliefs, risk appetite, and credit spreads confirm the predictions of the model. Chapter 2, "Inattentive Valuation and Belief Polarization," uses a similar motivation to think about how two agents can disagree on the truth after seeing the same data. Based on the recent literature in inattention, we build a model allowing identical agents, shown the same set of signals from an objective state of the world, to permanently diverge in their posteriors. The inattentive framework allows for two effects: a confirmation and a confidence effect. The former states that agents who have a bias arrange their attention to perceive signals that agree with that bias. The latter states that agents pay less attention to any signal the more biased they are. These effects allow for permanent polarization of posteriors, even on issues with objective truth. Chapter 3, "The Real Consequences of Countercyclical Capital Controls," looks at the consequences of capital controls on investment and consumption in Brazil. Brazil is the most preeminent case of controls being imposed countercyclically. We find that capital controls have a significant negative impact on investment. The macro analysis uses a synthetic control method and finds that investment could have been approximately 20% higher if controls had not been put in place. The micro analysis uses a panel data approach and finds that the controls reduced the investment to assets ratio by as much as 40%, with some of its effects mitigated by the extension of subsidized credit by the government through the development bank. These results indicate that the renewed support for controls since the Great Financial Crisis should be more cautiously evaluated as it might harm the potential growth rate of Emerging Economies for a long-lasting period.