Diss. (sammanfattning) Umeå : Univ., 2008. / Härtill 4 uppsatser.

Pastaraisiais metais yra ypač pakilęs susidomėjimas investicijomis vertybinių popierių biržoje. Žmonės vis dažniau prekiauja vertybinių popierių biržoje, vieni patys sudarydami ir valdydami savo investicinį portfelį, o kiti investicinio portfelio sudarymą patiki įvairioms finansinių maklerių įmonėms ar bankams. Tačiau šį susidomėjimą „atvėsino“ šiuo metu finansų rinkose vyraujanti situacija - vertybinių popierių kainų svyravimai yra didžiuliai ir nenuspėjami. Kadangi Lietuvoje investavimas dar yra naujovė, prastos žinios iš už Atlanto nepatyrusiam investuotojui gali sukelti didesnę paniką, nei ji iš tikrųjų turėtų būti. Ir tai kas vyksta finansų rinkose yra, ko gero, pirmas kartas, kai Lietuvos investuotojai tiesiogiai susidūrė su didesniu nei norėtųsi rinkų kritimu. Problema: Mokslinės literatūros įvairiais vertybinių popierių biržų veikimo, vertybinių popierių prekybos klausimais yra labai daug. Mokslinėse publikacijose, ypač užsienio autorių, didelis dėmesys skiriamas rinkos mikrostruktūros, prekybos vertybiniais popieriais efektyvumo klausimams, investicijų grąžos vertinimui. Tačiau reikia pastebėti, kad palyginus mažai nagrinėjama finansų rinkų pokyčiai keičiantis ekonominiams ciklams, jų poveikis investicijų rezultatams. Tuo tarpu finansų krizės bei ekonominio nuosmukio sąlygomis tai tampa viena iš aktualiausių problemų. Darbo tikslas: Išanalizuoti finansų rinkos pokyčius Lietuvoje, bei atskleisti jos tolimesnės plėtros galimybes. Pirmoje darbo dalyje trumpai... [toliau žr. visą tekstą] / Recently, interest in investments at a stock exchange has been particularly growing. More and more often people trade at a stock exchange making and managing an investment portfolio at their own discretion, whereas others trust formation of an investment portfolio to a range of financial brokerage companies or banks. This interest, however, has been cooled down by the situation prevailing in the financial markets at the moment – securities price fluctuations are enormous and unpredictable. As investment in Lithuania is still a new thing, bad news from across the Atlantic may cause a greater panic for an inexperienced investor than it really should be. Furthermore, the processes taking place in financial markets most likely represent the first time when Lithuanian investors have encountered directly a fall in markets that is greater than one could wish. Problem: Just very few scientific literature sources dealing with operation of the stock exchange and securities trade are available. Scientific publications, especially those by foreign authors, pay great attention to efficiency of the market micro structure and securities trade as well as to assessment of return on investment. It shall be noted, however, that examination of changes in financial markets under changing economic cycles as well as impact thereof on investment results is relatively low, whereas under conditions of a financial crisis and economic recession this issue becomes one of the most relevant problems. Aim... [to full text]

Magistro baigiamajame darbe nagrinėjamas AB „Šiaulių banko“ veiklos efektyvumas, LB riziką ribojanys normatyvai. Įvertinta AB „Šiaulių bankas“ finansinė padėtis tarp kitų šalies komercinių bankų, atlikta palyginamoji AB „Šiaulių banko“ ir AB „Snoro banko“ balanso, pelno (nuostolio) vertikaliosios ir horizontaliosios analizės, santykinių rodiklių analizė palyginta su Lietuvos komerciniais bankais, įvertinti išlaidų struktūros rodikliai, atlikta pajamų ir pelno priklausomybės analizė, įvertinta bankroto rizika Bonity indeksu, atlikta riziką ribojančių normatyvų analizė bei įvertinta banko netradicinė veikla. Atliktas tyrimas AB „Šiaulių banko“ patikimumas ir saugumas. Dalyvavo 164 respondentai AB „Šiaulių banko“ klientai. Remiantis anketinės apklausos rezultatais nustatyta kaip pasikeitė požiūris į AB „Šiaulių banko“ patikimumą ir saugumą po AB „Snoro banko“ bankroto. Patvitinama darbe iškelta hipotezė, kad komercinio banko veiklos priežiūra neužtikrina ir negarantuoja, kad bankas nebankrutuos, efektyviai veikiantys bankai, gali bankrutuoti. / Master's work dealt with AB Siauliai bank efficiency, LB prudential norms. Estimated Siauliai bank's financial situation among domestic commercial banks, carried out a comparative AB Siauliai Bank and AB Bank Snoras "balance sheet, profit (loss) horizontal and vertical analysis ratios compared with the analysis of Lithuanian commercial banks to assess the cost structure indicators of income and made a profit of dependence analysis evaluated the risk of bankruptcy Bonita index, made the prudential requirements for analysis and assessment of non-traditional banking activities. An analysis of AB Siauliai bank credibility and security. 164 respondents participated in the AB Siauliai bank customers. Based on the results of the questionnaire as a change in approach to the AB Siauliai bank soundness and safety of the AB Snoras bank bankruptcy. It is confirmed hypothesis that the commercial activities of the bank supervision does not guarantee or warrant that the bank will not go bankrupt, banks are operating effectively, it may go bankrupt.

This study is concerned with investigating the impact of the monetary policy on the capital markets during the period (1989-2004). Specifically, there are three major objectives of this study: (1) To examine the impact of the money supply on the government bonds and treasury bills (supplies and rates) in Jordan and compare it with Bahrain, (2) To examine the relationship between the treasury bills and the government bonds in Jordan, and (3) To examine the effect of the money supply on the stocks price index in Jordan and compare this impact with the one in Bahrain. To accomplish the objectives of this study, a quantitative approach is employed. The quantitative approach is represented here by the econometric analysis (Time Series Analysis) of documentary secondary data. The research hypotheses were set up to examine the relationship between the money supply and a number of explanatory variables (treasury bills rates and issues, government bonds rates and issues, and stock price index). These hypotheses were tested using time series analysis (VAR method). The analysis was conducted for two countries: Jordan and Bahrain. The data covered the period (1989-2004) monthly data in Jordan, and 2000:9-2004:12) in Bahrain. The tests that have been used in this research in VAR model will include: selection of the lag length, unit root test, granger causality test, variance decomposition, and impulse response function. These tests will be examined by using Eviews (release 5.0) package and RATS (Regression Analysis of Time Series (release 6.0) software. The findings in Jordan revealed that there isn't any relationship between the money supply and the treasury bills rates and government bonds rates. However, there is a positive relationship between the money supply and issuance of the treasury bills and the government bonds. These findings lead to the quantity adjustment in the absence of the price adjustment. Moreover, the results indicate that there is a significant negative relationship between the treasury bills issuance and the government bonds issuance. And the last result in Jordan concluded that there is a positive relationship between the money supply and the stock price index. The finding in Bahrain were different from the findings in Jordan because of the difference in the financial system in the two countries, as Bahrain follows an Islamic financial system whereas Jordan's finanacial system is not an Islamic one. The prohibition of the interst rate in some cases in Bahrain and that Bahrain's economy is more open economy would lead to the conclusion that there isn't any relationship between the money supply and the stock market index and the money market instruments (treasury bills) and that it follows international capital flow adjustment. Also, it is important to mention that Bahrain Monetary Agency has issued Islamic instruments (long and short-term sukuk) beside the conventional instruments.

Thesis (MSc (Mathematics))--Stellenbosch University, 2008. / In the Benchmark Approach to Finance, it has been shown that by taking the Growth Optimal Portfolio as numéraire, a candidate for a pricing derivatives formula under the real world probability can be given. This result allows us to price in an incomplete financial market model. The result comes from two different approaches. In the first approach we use the supermartingale property of portfolios in units of the benchmark portfolio which leads to the fact that an equivalent measure is not needed. In the second approach the numéraire property of the Growth Optimal Portfolio is used. The numéraire portfolio defines an equivalent martingale measure and by change of measure using the Radon-Nikodým derivative, a real world pricing formula is derived which is the same as the one given by the first approach stated above.

A realização de previsões de volatilidade é uma atividade de suma importância para empresas e agentes econômicos, entretanto utilizar-se de apenas um modelo para obtê-las pode não ser suficiente para incorporar todo o conhecimento associado ao ambiente de previsões. As técnicas de combinação de previsões podem incorporar todo o conhecimento associado ao ambiente de previsão. As técnicas de combinação têm como objetivo principal incorporar vários modelos com a finalidade de reduzir as medidas de erro de previsão. Este trabalho apresenta uma comparação da acurácia dos modelos individuais e das técnicas de combinação. Os modelos individuais incluídos nas técnicas de combinação são os modelos da família GARCH, o modelo de Alisamento Exponencial e o de Volatilidade Estocástica. Já as técnicas de combinação escolhidas foram a técnica de combinação por média aritmética, a técnica de combinação de pesos fixos proposta por Granger e Ramanathan (1984), a técnica de combinação com pesos móvel de Terui e Djik (2002). / The realization of forecasts of volatility is an activity of extreme importance for companies and economy agents, however to utilize only one model to obtain them could be insuficient to incorporate all the knowledge associated to the ambient of previsions. The technics of combination of forecasts have as its main objective to incorporate various models with the finality to reduce the measures of error of prediction. This work presents a comparision of the acuracy of the individual models and of the combination technics. The individual models included on the technics of combination are the models of the family GARCH, the model of Exponentially Weighted Moving Averages. Thus the technics of combination chosen were the technic of combination by arithmetic average, the technic of fixed weights proposed by Granger and Ramanathan (1984), the technic of combination of movable weights of Terui e Djik (2002).

The purpose of this dissertation is to examine and analyze the banker's acceptance and the bankers' acceptance market. A banker's acceptance is a money market instrument used to finance the export, import, movement, and storage of goods; it begins as a trade draft, and it is termed accepted when a commercial bank guarantees payment. The banker's acceptance represents an historical evolution of the medieval bill of exchange. The banker's acceptance as we know it today first appeared in England in the 1820s. The birth of the banker's acceptance in the United States occurred with passage of the Federal Reserve Act in 1913. A survey was made of the twenty largest U.S. commercial banks in order to determine certain perceived characteristics of the banker's acceptance and the bankers' acceptance market. As a result of the survey, a new money market instrument is suggested. The new money market instrument is to be called a Banker's Acceptance Participation Certificate.

O presente trabalho envolve teoria e prática relacionadas aos riscos a que estão sujeitos os investimentos em títulos do mercado financeiro, em especial ao mercado financeiro brasileiro. Para melhor identificar os riscos relativos às aplicações no mercado financeiro, necessário se faz o conhecimento conceitual dos mesmos assim como, o importante, é a mensuração daqueles riscos, através de formas matemáticas e estatísticas, levando-se em conta ainda os cenários econômicos previstos. Com a utilização de formas matemáticas e estatísticas podem ser apurados o retorno esperado assim como a dispersão em torno da média, através do desvio padrão, por exemplo. Neste contexto, o gestor financeiro pode contar com o auxílio do controller, profissional que cada vez mais se faz presente nos ambientes corporativos, no assessoramento dos executivos quanto à escolha de ativos para formação de portfólio mediante o uso de princípios técnicos e escolha racional dos investimentos. Com os conhecimentos sobre riscos podem-se estabelecer, e por em prática, determinadas estratégias de investimentos como a não concentração de aplicações em determinados títulos, a não concentração em ações de empresas de determinados setores, a formação de carteiras com ativos inversamente correlacionados e/ou a diversificação de portfólio, que é a estratégia das mais utilizadas pelos gestores de capitais ou seja, com a adoção de tais procedimentos as decisões sobre investimentos podem ser planejadas e com isto, os riscos minimizados. / The present work involves theory and practice related to the risks which the investments in bonds of the financial market are subjected, especially to the brazillian financial market. In order to better identify the risks related to the investments of the financial market, becomes necessary the conceptual knowledge of them and, more importantly, the mensuration of those risks, through mathematical and statistical forms, taking in account the foreseen economic scenes as well. With the use of mathematical and statistical forms, the expected return can be obtained as well as the dispersion around the mean, trough the standard deviation, for example. In this context, the financial manager may count on the aid of the controller, a professional that has been more present in the corporative environments, advising the executives on choosing the assets for the formation of the porfolio through the use of technical principles and the rational choice of the investments. With the knowledge about the risks one can establish, and execute, investments strategies as the non-concentration of resources in determined bonds, the non-concentration in companies stocks of determined sectors, the formation of portfolios with assets inversely correlated and/or diversified, which is one of the most used strategies of the capital managers, which means that with the adoption of such procedures the decisions about investments can be planned and then, minimize the risks.

A realização de previsões de volatilidade é uma atividade de suma importância para empresas e agentes econômicos, entretanto utilizar-se de apenas um modelo para obtê-las pode não ser suficiente para incorporar todo o conhecimento associado ao ambiente de previsões. As técnicas de combinação de previsões podem incorporar todo o conhecimento associado ao ambiente de previsão. As técnicas de combinação têm como objetivo principal incorporar vários modelos com a finalidade de reduzir as medidas de erro de previsão. Este trabalho apresenta uma comparação da acurácia dos modelos individuais e das técnicas de combinação. Os modelos individuais incluídos nas técnicas de combinação são os modelos da família GARCH, o modelo de Alisamento Exponencial e o de Volatilidade Estocástica. Já as técnicas de combinação escolhidas foram a técnica de combinação por média aritmética, a técnica de combinação de pesos fixos proposta por Granger e Ramanathan (1984), a técnica de combinação com pesos móvel de Terui e Djik (2002). / The realization of forecasts of volatility is an activity of extreme importance for companies and economy agents, however to utilize only one model to obtain them could be insuficient to incorporate all the knowledge associated to the ambient of previsions. The technics of combination of forecasts have as its main objective to incorporate various models with the finality to reduce the measures of error of prediction. This work presents a comparision of the acuracy of the individual models and of the combination technics. The individual models included on the technics of combination are the models of the family GARCH, the model of Exponentially Weighted Moving Averages. Thus the technics of combination chosen were the technic of combination by arithmetic average, the technic of fixed weights proposed by Granger and Ramanathan (1984), the technic of combination of movable weights of Terui e Djik (2002).

As diversas crises financeiras e econômicas ocorridas nas últimas décadas geraram uma demanda pelo estudo da propagação destes efeitos entre as economias. Neste sentido este trabalho tem como objetivo estudar o efeito contágio (Shift Contagion) tal como definido em Rigobon (2002) do mercado financeiro do Brasil para quatro países para o período de 2011 a 2016, que inclui a recente crise econômica no Brasil. Tais países são Argentina, Colômbia, Chile, e Peru. Para tal, utilizou-se metodologia de cópulas paramétricas estáticas. Com base nos resultados obtidos, não é possível identificar indícios da ocorrência de contágio do mercado financeiro brasileiro para os mercados financeiros dos países analisados no período do estudo. / Different financial and economic crises that occurred in the last decades have generated a demand of studies on propagation of their effects between economies. In this sense, this work has the goal to study the contagion effect (shift contagion), as defined by Rigobon (2002), from the Brazilian financial market to four countries in the period from 2011 to 2016 that includes the recent Brazilian economic crisis. These countries are Argentina, Colombia, Chile, and Peru. For this purpose, the methodology of parametric static copulas is used. Accordingly with the results, it is not possible to identify evidences of the contagion effect from the Brazilian financial market to the analyzed countries.