by Leung Tsun Ip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 72-78). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Development of estimation of Value-at-Risk (VaR) --- p.6 / Chapter 2.2 --- Methods to evaluate VaR --- p.9 / Chapter 2.2.1 --- Non-paremetric Method --- p.9 / Chapter 2.2.2 --- Semi-parametric Method --- p.11 / Chapter 2.2.3 --- Parametric Method --- p.12 / Chapter 3. --- Extreme Value Theory (EVT) --- p.16 / Chapter 3.1 --- Introduction of Extreme Value Theory (EVT) --- p.16 / Chapter 3.1.1 --- Block Maxima Approach --- p.18 / Chapter 3.1.2 --- Peaks over Threshold (POT) Approach --- p.21 / Chapter 3.1.3 --- Comparison between Block Maxima and POT Approach --- p.22 / Chapter 3.2 --- Numerical Illustration --- p.23 / Chapter 3.2.1 --- Data --- p.23 / Chapter 3.2.2 --- Diagnosis --- p.24 / Chapter 4. --- Dynamic Extreme Value Theory (DEVT) --- p.29 / Chapter 4.1 --- Theoretical Framework of DEVT --- p.29 / Chapter 4.2 --- Estimation of Parameters --- p.32 / Chapter 4.3 --- Determination of Threshold Level --- p.37 / Chapter 4.4 --- Estimation of zq --- p.44 / Chapter 5. --- Backtesting and Time Aggregation --- p.49 / Chapter 5.1 --- Backtesting DEVT --- p.49 / Chapter 5.2 --- Time Aggregation --- p.55 / Chapter 6. --- Case Study: China Aviation Oil Singapore (CAO) Incident --- p.61 / Chapter 6.1 --- Background Information --- p.61 / Chapter 6.2 --- Data Analysis --- p.63 / Chapter 6.3 --- Suggestion --- p.68 / Chapter 7. --- Discussion --- p.71 / References --- p.72 / Chapter A. --- Appendix --- p.79

While the literature on underpricing of initial public offerings (IPOs) of common stock is various and expansive, very little research has been undertaken in countries where capital markets are less developed.  This thesis therefore attempts to address the shortage of such research in Egypt, which has been witnessing an important phase of transition towards a broader adoption of market-oriented policies through the revitalisation of its stockmarket since 1991.  The aim is to measure the short-run performance of IPOs in an effort to compare the maturity of the Egyptian capital market with that of other nations, both of developed countries and a peer group of developing countries.  This thesis also seeks to determine whether the underpricing phenomenon is due to the usual factors suggested by classical IPO theories or is related to some specific features of the Egyptian market transformation.  This thesis employs a sample of 59 Egyptian IPOs listed in the Egyptian Stock Exchange (ESE) during 1994-2005. This thesis suggests the winner’s curse model can be applied.  On average, Egyptian IPOs offer an initial return of about 10.16%, which is considered, to some extent, lower than the initial returns of many other developing countries.  Additionally, there is a general tendency for privatised IPOs (PIPOs) to be underpriced to a greater degree than private sector IPOs.  The industry of the firm and year of an IPO significantly affects the level of underpricing in Egypt.  Results are consistent with the political economy theory as the Egyptian government tried to build up investors’ confidence by underpricing PIPOs more than private-sector IPOs, underpricing regulated industries more than competitive industries and underpricing early IPOs more than late IPOs.

his 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 (M.S.)--Missouri University of Science and Technology, 2008. / Degree granted by Missouri University of Science and Technology, formerly known as the University of Missouri-Rolla. Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed March 31, 2008) Includes bibliographical references (p. 42-44).

Thesis (MBus) -- AUT University, 2009. / Includes bibliographical references. Also held in print (iv, 71 leaves ; 30 cm.) in the Archive at the City Campus (T 332.1068 YUN)

Thesis (Ph. D.)--University of Texas at El Paso, 2009. / Title from title screen. Vita. CD-ROM. Includes bibliographical references. Also available online.

Thesis (MTech (Internal Auditing))--Cape Peninsula University of Technology, 2015. / Approximately 57% of the total population in South Africa lives under the poverty line. In this regard, Small, Medium and Micro Enterprises (SMMEs) which provide microfinance play a vital role to provide access for poor households to banking-related financial services. This service can only be delivered sustainably through means of deploying effective management practices, especially in terms of risk management. The purpose of this research is to identify risks faced by microfinance SMMEs and to establish the effectiveness of the current risk management practices deployed by them. This study aims at increasing the knowledge base and understanding of risk management practices by conducting a comprehensive literature review and field research. In order to establish a theoretical basis, a comprehensive literature review was performed and prior studies on various aspects relating to microfinance risk management were investigated. This was followed by a field research which studied the risk management of microfinance providers in the Cape Metropole; large financial service providers like commercials banks were excluded. Data were collected by means of a questionnaire from microfinance providers in the Cape Metropole. These microfinance providers were drawn from a list of credit providers that was obtained from the National Credit Regulator (NCR) public domain. A purposive sampling method was used to select the participants for this study. The information provided by participants is kept strictly confidential and anonymity of all respondents was guaranteed. This research noted that collaterals are absent in microfinance and instead, a close connection between microfinance SMMEs and their clients come into place. Risk management frameworks which provide an all-inclusive approach to risk management are largely absent in microfinance SMMEs. Much fewer microfinance SMMEs actively identify risks, categorise, prioritise and document them appropriately. The research further showed that the views on risk management depend on whether the respondent is an owner or a manager of the enterprise.

M.Sc. (Statistics) / Most people in the world rely on a well-functioning and stable financial system. Problems experienced by financial institutions, such as too little liquidity or large amounts of bad debt, can easily influence companies and individuals, creating a chain reaction comparable to an avalanche. Financial institutions are faced with a very difficult constrained optimization problem - generating as much profit as possible while staying in business by limiting the amount of risk taken.

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Purpose - The study sought to examine the liquidity linkages between the South African bond and equity markets before the global financial crisis in 2008. Design/methodology/approach: The window of observation covered the period January 2000 to September 2008. In order to ensure robustness in the estimation, the study used foreign participation in the various markets as an additional measure of liquidity. The other liquidity measures considered in the study were volume and value traded of the various securities respectively. Time series modeling techniques were used in the estimation. An unrestricted vector autoregressive (VAR) model was estimated following which the standard innovation accounting techniques, impulse response functions and forecast error variance decompositions were applied. In the empirical analysis, the Granger-causality between the two markets was also used. Findings - While all the liquidity measures suggest the existence of linkages between the bond and equity markets, the direction of causality was found to be unidirectional from equity to the bond market using the volume and value measures. On the other hand, the foreign participation measure of liquidity suggests bi-directional causality. The study also provides evidence of long run relationship between key macroeconomic variables such as inflation, exchange rate and interest rate on one hand and liquidity in the debt and equity markets on the other. As empirical findings indicates that the linkages in liquidity between these markets positive, this consistent with studies conducted by Chordia et al (2003 & 2005) and Engsted and Tanggaard (2000) who found the relationship was a positive one. When volumes of trade and trade values, the study find evidence on uni-directional causality and strong bi-directional causality is evidence when foreign investor participation is used as a liquidity measure. In summary, there is a strong evidence liquidity linkage between the bond and equity market from the empirical results.