This thesis provides the empirical analysis of the second Basel regulatory framework implementation in Czech banks together with the economic performance inspection of the Czech banking sector. With Basel II, banks face the possibility to implement internal models to calculate capital adequacy related to bank's risk exposure. This possibility opens a discussion of its economic effect, transparency and potential misuse of the internal models. The empirical part of this thesis examines how the profitability and the reported riskiness change with internal models implementation. Furthermore, the role of cost efficiency to bank's profitability and risk adequacy ratio is evaluated. The panel data analysis of all Czech banks over a period 2006 to 2012 demonstrates that internal models for capital adequacy calculation increase bank's profitability together with a decrease of the reported riskiness measured by risk weighted assets. Moreover, the cost efficiency has proven to be a significant indicator of both profitability and capital adequacy ratio.

The issue of risk management in banks has become the centre of debate after the recent financial crises. Several efforts have been made to improve the risk management and performance of banks including introducing the Basel Accords as well as risk management guidelines by central banks. Consequently, the State Bank of Pakistan has issued risk management guidelines to strengthen the risk management system and to improve the performance of the local banks. However, the available literature in Pakistani context fails to explain the impact of these efforts on the performance of banks. The purpose of this study is to empirically examine the effectiveness of risk management processes and their relationship with the performance of banks. This study reviews the relevant literature on banking risk management from diverse methodological strands and synthesises its conclusions to make an addition to the available knowledge; particularly to address certain research gaps regarding risk management and performance of banks in developing countries, specifically in Pakistan. Owing to its empirical nature, the current research adopts a deductive reasoning approach in terms of theory testing. This study applies a mixed method research strategy by taking the quantitative method as the major component, while the qualitative method plays a supplementary role. The sample is composed of twenty banks in Pakistan and the stratification is performed according to the bank category (public, private and foreign) in respect of different strata. The study collects and analyses primary as well as secondary data. This research is carried out in three phases. In the first phase a qualitative system dynamics model (Causal Loop Diagram) is developed based upon interview data analysis to understand and document the behaviour of risk management systems of Pakistani banks. In the second phase, this research conducts questionnaire data analysis by using ordinary least-squares regression to assess the different aspects risk management practices of banks in Pakistan. Finally, two-stage data envelopment analysis technique has been adopted to examine the relationship between the risk management and performance of the selected banks. This study results reflect that it is very important for Pakistani banks to formulate an active risk management process to identify, measure, monitor and control different risks. These results further reveal that formation of a comprehensive risk management system is not only a useful practice to meet the regulatory requirements but an effective exercise to improve the performance of Pakistani banks also. By employing a pragmatic, embedded, mixed method research strategy, this study has created a new insight into risk management in local banks and extends the existing theoretical literature in the field of banking in various ways.

Submitted in fulfillment of the requirements of the degree of Doctor of Technology: Business Administration, Durban University of Technology, Durban, South Africa, 2014. / The performance of portfolios of a fixed-rate asset and a risky asset of major companies in a South African market index the FTSE/JSE with strategies which rebalances fixed proportions of wealth in every rebalancing period is analysed in a long term. Recent findings in portfolio management theory by Dempster, Evstigneev and Schenk-Hoppé (2010, 2008, 2007, 2003) and by Browne (1988) note optimality of fixed-mix portfolios which assert fast exponential growth in stationary markets. A quantitative analysis is performed to analyse quantifiable measures in order to optimize the application of self-financing constant rebalanced portfolio strategies that contribute to the financial engineered prospects suggested by Dempster et al. (2010) for fixed-mix portfolios. The comparative performance of fixed-mix portfolios with a proxy strategy and without proxy strategy relative to a buy and hold strategy shows the superiority of fixed-mix portfolios in generic market conditions. The research extends the utilization of constant rebalanced self-financing portfolio investment strategies by assessing the market price of risk under the mean-variance model of Markowitz (1952). Effective implementation tactics of the strategy are examined by focusing on the market risk and the financial risk. The frequent reversals and trending of stochastic asset prices in the financial market are analysed to adjust the market price of risk by considering tradable financial securities to determine the financial proxy of de-trending. The proxy hypothesis which evaluates the stationary financial condition in a fixed-mix portfolio is validated by an option-based myopic strategy using a lookback straddle option. A myopic strategy is a strategy which considers a single period ahead, Fabozzi, Forcardi and Kolm (2006). The realised growth under a financial proxy is found to have a linear strategic asset allocation with a low degree of concavity relative to a buy and hold performance in the market risk of self-financing portfolio strategies. / D

The famous Black-Scholes formula provided the first mathematically sound mechanism to price financial options. It is based on the assumption, that daily random stock returns are identically normally distributed and hence stock prices follow a stochastic process with a constant volatility. Observed prices, at which options trade on the markets, don¡¯t fully support this hypothesis. Options corresponding to different strike prices trade as if they were driven by different volatilities. To capture this so-called volatility smile, we need a more sophisticated option-pricing model assuming that the volatility itself is a random process. The price we have to pay for this stochastic volatility model is that such models are computationally extremely intensive to simulate and hence difficult to fit to observed market prices. This difficulty has severely limited the use of stochastic volatility models in the practice. In this project we propose to overcome the obstacle of computational complexity by executing the simulations in a massively parallel fashion on the graphics processing unit (GPU) of the computer, utilizing its hundreds of parallel processors. We succeed in generating the trillions of random numbers needed to fit a monthly options contract in 3 hours on a desktop computer with a Tesla GPU. This enables us to accurately price any derivative security based on the same underlying stock. In addition, our method also allows extracting quantitative measures of the riskiness of the underlying stock that are implied by the views of the forward-looking traders on the option markets.

I investigate if all-equity firms are a heterogeneous group as it relates to agency costs and accounting quality. All-equity firms are a unique group of firms that choose a “corner solution” as their capital structure. Extant research, supported by well-established theories such as trade-off theory, free cash flow theory, and Jensen’s (1986) control hypothesis, generally conclude that agency conflicts motivate such structure. Research also supports the alternative argument that poor accounting quality makes debt so prohibitive that such firms are driven to this capital structure. I propose that an all-equity structure is not necessarily symptomatic of agency conflicts and poor accounting quality overall. I investigate if different motivations, within an all-equity setting, reflected by free cash flows and growth opportunities, result in different levels of agency cost and accounting quality. By anchoring on theories that link implicit costs of debt to free cash flow levels and growth opportunities, I hypothesize that free cash flows and growth opportunities are strongly linked to the justification or lack thereof for the pursuit of such strategy. I hypothesize and show that firms in the extremes of the free cash flow to growth rate spectrum exhibit significantly different levels of agency cost and accounting quality within the all-equity setting. These results support my main prediction that there exists agency costs and accounting quality differences within the all-equity setting which are associated with free cash flow levels and growth opportunities and that the pessimistic conclusions for pursuing an all-equity strategy reached by prior research should not be generalized to all such firms. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2015 / FAU Electronic Theses and Dissertations Collection

In essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target, the volatility of bidder cash flows, and the relative growth rate of the bidder have significant explanatory power in the cross-section of announcement returns to bidding firm shareholders as does the change in the cost of capital resulting from the transaction. Essay II provides an empirical analysis of a second set of real options models that theoretically examine the dynamics of financial risk around control transactions as well as the link between financial leverage and the probability of acquisition. In addition, I present a comparison of the financial risk dynamics of firms that choose an external growth strategy, through acquisition, and those that pursue an internal growth strategy through capital expenditures that are unrelated to acquisition. / by Jeffrey M. Coy. / Thesis (Ph.D.)--Florida Atlantic University, 2013. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study. / by Kyong Chung. / Thesis (M.S.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

This dissertation traces the genealogy of systemic risk as a pathology of monetary government of the economy and systemic risk regulation as a regulatory regime to govern this governmental problem as instituted under the Dodd-Frank Wall Street Reform Act of 2010. Using resilience and vulnerability as diagnostic categories, it reconstructs the history of economic government since the New Deal as a recursive problem-solving process, plagued with negative feedback loops. It shows how different groups of experts, acting as policy entrepreneurs, problematized and framed the economy as a crisis-prone system and how they tried to reduce the catastrophe risk in the economy without restricting economic activity and growth. In doing this, the dissertation details the proposals as well as the actual governmental apparatuses set up to represent and format the economy. It argues that systemic risk regulation emerges at the intersection of two distinct, but historically interrelated genealogical threads, systemic risk and vulnerability reduction. It shows that while systemic risk has been articulated in different ways since the 1920s, its emergence in its contemporary form took place with the rise of the monetary government in the 1970s. Under monetary government, the financial system was reformatted as a vital credit-supply infrastructure that functioned as a monetary policy transmission mechanism. A critical aspect of this reformatting was the cultivation of an increasingly leveraged financial system that relied on short-term lending markets for operational liquidity. The outcome of this development, in turn, was the reframing of systemic risk as the catastrophe risk that the failure of a firm participating in these markets would result in a system-wide collapse and thereby a depression. Vulnerability reduction, in contrast, was conceived by a group of experts working in New Deal resource planning agencies between the early 1930s and the mid-1950s. This governmental technology was concerned with the resilience of the economic system to low probability but high impact macroeconomic shocks. Within this governmental strategy, the primary objective was to reduce the vulnerability of certain points of interdependence that were considered to be critical and strategic nodes within the economic system. The dissertation argues that the rise of systemic risk regulation signifies the convergence of systemic risk and vulnerability reduction for the first time since these two genealogical threads were separated in the post-Truman period. In this respect, this development points to the remapping of vulnerability reduction onto financial ontology of substantive credit flows and thus the rearticulation of monetary government with systemic tools such as network and catastrophe modeling in a substantive form.

Liu, Weiyang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 111-113). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction and Literature Review --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.1.1 --- Background and Motivating examples --- p.2 / Chapter 1.1.2 --- Basic Concepts --- p.4 / Chapter 1.1.3 --- Outline of the thesis --- p.6 / Chapter 1.2 --- Literature Review --- p.8 / Chapter 2 --- Multi-period Cooperative Re-investment Games: The Basic Model --- p.11 / Chapter 2.1 --- Basic settings and assumptions --- p.11 / Chapter 2.2 --- The problem --- p.13 / Chapter 3 --- Three sub-models and the allocation rule of Sub-Model III --- p.17 / Chapter 3.1 --- Three possible sub-models of the basic model --- p.17 / Chapter 3.1.1 --- Sub-model I --- p.17 / Chapter 3.1.2 --- Sub-model II --- p.18 / Chapter 3.1.3 --- Sub-model III --- p.19 / Chapter 3.2 --- The allocation rule of Sub-model III --- p.19 / Chapter 4 --- A two period example of the revised basic model --- p.25 / Chapter 4.1 --- The two period example with two projects --- p.25 / Chapter 4.2 --- The algorithm for the dual problem --- p.29 / Chapter 5 --- Extensions of the Basic Model --- p.35 / Chapter 5.1 --- The model with stochastic budgets --- p.36 / Chapter 5.2 --- The core of the model with stochastic budgets --- p.39 / Chapter 5.3 --- An example: the two-period case of models with stochastic bud- gets and an algorithm for the dual problem --- p.46 / Chapter 5.4 --- An interesting marginal effect --- p.52 / Chapter 5.5 --- "A Model with stochastic project prices, stochastic returns and stochastic budgets" --- p.54 / Chapter 6 --- Multi-period Re-investment Model with risks --- p.58 / Chapter 6.1 --- The Model with l1 risk measure --- p.58 / Chapter 6.2 --- The Model with risk measure --- p.66 / Chapter 7 --- Numerical Tests --- p.70 / Chapter 7.1 --- The affects from uncertainty changes --- p.71 / Chapter 7.2 --- The affects from budget changes --- p.71 / Chapter 7.3 --- The affects from the budget changes of only one group --- p.71 / Chapter 8 --- Conclusive Remarks --- p.77 / Chapter A --- Original Data and Analysis for Section 7.1 (Partial) --- p.79 / Chapter B --- Data Analysis for Section 7.2 (Partial) --- p.95 / Chapter C --- Data Analysis for Section 7.3 (Partial) --- p.98

A debate exists regarding the effect of labor protection laws on labor costs. Whether labor protection laws increase or decrease labor costs has implications for risk exposure of affected firms. If the labor costs go up, all else the same, the firm’s breakeven point goes up. Facing increased business risk, the firm must resort to strategies that inhibit the risk exposure, especially if the higher labor costs cannot be transferred, without adverse consequences, to consumers. The strategies include reigning in, if at all possible, operating leverage and financial leverage. Conversely, if the labor costs decrease, a firm’s business risk declines, and the firm has options to increase its operating leverage and/or financial leverage, lower the product price, or do nothing. By examining the Chinese firms’ reactions to the 2007 labor protection laws, we draw conclusions about laws’ directional impact on labor costs. We find that Chinese firms attempt to reduce business risk by lessening labor intensity, and labor-intensive firms are able to reduce the labor intensity at a significantly higher rate than capital-intensive firms. Neither group is able to significantly reduce asset tangibility. We also find that all firms significantly reduce their financial leverages. Consequently, firms’ investments, as measured by sales growth, decline in the post-reform period. These results are consistent with the cost of labor increasing as a result of the stricter labor protection laws.