The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. The purpose of the credit valuation adjustment capital charge is to capitalize the risk of future changes in the market value of the counterparty default risk. One financial contract that had a key role in the financial crisis was the credit default swap. A credit default swap involves three different parts, a contract seller, a contract buyer and a reference entity. The credit default swap can be seen as an insurance against a credit event, a default for example of the reference entity. This thesis focuses on the study and calculation of the credit valuation adjustment of credit default swaps. The credit valuation adjustment on a credit default swap can be implemented with two different assumptions. In the first case, the seller (buyer) of the contract is assumed to be default risk free and then only the buyer (seller) contributes to the default risk. In the second case, both the seller and the buyer of the contract is assumed to be default risky and therefore, both parts contributes to the default risk. / Finanskrisen och Lehman Brothers konkurs 2008 ledde till hårdare regleringar för banksektorn som bland annat innefattade krav på större kapitalreserver för bankerna. En del som bidrog till denna ökning av kapitalreserverna var kreditvärdighetsjusteringens kapitalkrav som kan förklaras som marknadsvärdet av motpartsrisken. Syftet med kreditvärdighetsjusteringens kapitalkrav är att kapitalisera risken för framtida förändringar i marknadsvärdet av motpartsrisken. Ett derivat som hade en nyckelroll under finanskrisen var kreditswappen. En kreditswap innefattar tre parter, en säljare, en köpare och ett referensföretag. Kreditswappen kan ses som en försäkring mot en kredithändelse, till exempel en konkurs på referensföretaget. Detta arbete fokuserar på studier och beräkningar av kreditvärdesjusteringen på kreditswappar. Kreditvärdesjusteringen på en kreditswap kan implementeras med två olika antaganden. I det första fallet antas säljaren (köparen) vara riskfri och då bidrar bara köparen (säljaren) till konkursrisken. I det andra fallet antas både säljaren och köparen bidra till konkursrisken.

Thesis (Ph. D.)--University of Hong Kong, 2006. / Title proper from title frame. Also available in printed format.

Citizens’ perceptions of the risk associated with various kinds of disasters are important. Public opinion on these matters can both compel and constrain political, economic and social efforts to address issues related to these hazards. Starting with the observation from surveys that there appears to strong public disagreement over the risk posed by various disasters, this thesis sets out to explain these observations. Three different kinds of disasters are selected as cases: terrorist attacks, oil spills, and long-term power blackouts. Although past research has identified a number of factors which may be relevant to the understanding of risk perceptions, there has been relatively little research on variations in risk perception within the public and even less on how these variations vary across different kinds of hazards. Drawing on relevant literature, a questionnaire was designed and administered by telephone to a nationally representative sample of 901 respondents. By means of multivariate regression analyses it is demonstrated that public perceptions of the risk associated with disasters are shaped by a number of factors, including values, political orientation, trust in risk management, as well as socio-demographic characteristics such as gender and age. Importantly, however, the way in and the extent to which each of these factors influences risk perceptions is highly dependent upon the particular hazard under consideration. While this was expected with regard to the effect of values and political orientation, it is much more difficult to explain why the effect of trust in risk management as well that of socio-demographic characteristics varies across hazards. Implications of findings to both risk managers and risk perception research is discussed.

Abstract With a focus on the three contracts¡Xranging from the common stock contract to the more sophisticated contracts of convertible debt and staged financing stock, this study aims at studying the moral hazard concerning a venture capitalist and an entrepreneur in their venture financing. The two objectives of the present study are: to compare the optimal levels for a venture capitalist and an entrepreneur when they are fully informed or when they are under moral hazard, given that the two parties are in the same type of contract; to compare the optimal levels for a venture capitalist and an entrepreneur of the three contracts. This study intends to construct a utility maximum model for a venture capitalist and an entrepreneur in the three contracts and to work out the optimal levels for a venture capitalist and an entrepreneur when they are fully informed or when they are under moral hazard. The conclusion is as follows: 1. Of the three contracts, the optimal effort levels for a venture capitalist and an entrepreneur under full information are all larger than those under moral hazard. 2. Of the three contracts, a venture capitalist and an entrepreneur¡¦s optimal effort levels are: The optimal effort levels for convertible debt are larger than those for common stock, and the optimal effort levels for common stock are larger than those for staged financing stock.

Computer simulation of rockfalls has been widely used in rockfall analysis in recent years, and the coefficient of restitution is an important parameter input that is difficult to determine. Aimed at finding an easy solution to this problem, three stages of laboratory and field tests have been carried out. Rockfall trajectory analysis at a specific site has been done as an application to verify the method developed. In the first stage of laboratory testing, quasi-spherical rock "'balls" made from different rock samples were dropped from 1 m onto polished rock slabs that were clamped on a concrete deck, which can be set to different slope angles. A high-speed video camera was used to record the impact processes, and normal and tangential coefficients of restitution were calculated from the video records. The results show a linear relationship between the normal restitution coefficient and the Schmidt hammer numbers of both the rock slabs and the falling rock "balls", and the slope angle. An empirical equation was then established to calculate the normal coefficient of restitution from those three parameters. However, the correlations between the tangential coefficient of restitution and the above parameters are poor, indicating that the tangential coefficient of restitution is not adequately determined by such rock properties. The second stage of laboratory testing was under more practical conditions. Three different rough rock blocks were used as rock slopes. Angular rock boulders were dropped from different heights onto the rock blocks, and a rock "ball" was also used to make a comparison. The results show that the normal coefficients of restitution from impacts of angular rocks are much smaller than those of rock "'balls", and have a linear correlation with those calculated from the empirical equation obtained by the earlier test. Tests on beds of gravel, soil, rock fragments and sand have also been carried out to obtain the coefficients of restitution of those materials. Finally, field tests have been carried out at a quarry site in Lyttelton Basalt rock boulders of about 0.3 m in diameter were dropped from about 4 m onto rock and debris slopes using an excavator. The values of restitution coefficients obtained are similar to those from laboratory tests but larger than those calculated from the empirical equations due to the effect of weathering and surface roughness of rocks in the field on the Schmidt hammer measurement. Forty basalt boulders were then rolled down a bench slope of about 16 m, three cameras were used to record the rockfall processes. Two different rockfall simulation programs (CRSP and RocFall) were used to simulate the rockfall processes. The simulated bounce heights and velocities from CRSP are close the field trial, while those from RocFall are smaller than the field results. Comprehensive rockfall analysis has been carried out for the Marine apartments, Sumner, where a steep cliff of 35-45 m represents potential rockfall hazards to a car park and proposed buildings at the base. Site investigation, rockfall simulation and risk assessment have been carried out for the site. The results show that without any protection measures, a majority of rocks from the cliff face reach the edge of the car park. The probability of an accident at the car park is moderate (1 in 195 years), while the probability of fatality at the car park is low (8.69* 10-6) and acceptable under the proposed risk criteria for "Major Civil Engineering Projects".

Zugl.: Hohenheim, Univ., Diss., 2006

Thesis (Ph. D.)--Ohio State University, 2007. / Full text release at OhioLINK's ETD Center delayed at author's request

University, Diss.--St. Gallen, 2004.

Köln, Universiẗat, Diss., 2008.

Thesis (doctoral)--University of London, 2001. / BLDSC reference no.: DX218627.