This thesis fills a gap in the risk management literature and expands the understanding of the portfolio value at risk (VaR) by providing a theoretical market risk measurement of a portfolio (called “GEV-DCC model”), which combines the tail dynamic conditional correlation (tail-DCC) and extreme value theory. According to the spirit of VaR, the tail distribution is more important than the entire distribution, as well as the correlation in the tail area between various assets. The main advantage of this approach is the increase of accuracy in the parameter estimation of the tail distribution and more consistent correlation measurement for VaR. The results from this method are compared with four other conventional VaR approaches; GARCH model, RiskMetrics, stochastic volatility, and historical simulation. Furthermore, three quality measures are applied to evaluate the suitability, conservativeness, and magnitude of loss of the forecasted VaR, which offer more information from the forecasted VaR pattern. Applying 16 major equity index returns from developed and emerging markets, this study finds that the GEV-DCC model offers a more accurate coverage across the blocks in the three hypothetical portfolios (the developed equity markets, Asian and Latin American equity markets) compared with the four competing models. The uncovered rates of the GEV-DCC model with the 5-day block approach are generally close to the given probability (α) set in the VaR calculation. These consistent results can also be found in the robustness test with the shorter forecasting period. In the quality checks, the GEV-DCC presents a relatively stable pattern in the daily and 10-day VaR results. In addition, the GEV-DCC model also provides satisfactory results in the conservativeness and potential loss tests although no direct evidence indicates that it delivers the best result in these two checks. We also find significant differences between the original DCC and the tail-DCC. This evidence shows that the correlations between equity markets in the left tail are significantly higher than the ones in the right tail, and there are significant changes (generally rising) in the tail-DCC patterns around the period of financial crisis in the third quarter of 2008. The results from this study could potentially provide a critical reference for investors in measuring or managing the market risk.

In strategic change management and strategic renewal literature, the implementation of strategic initiatives has currently progressed as a novel area, with significant room for augmentation. Strategic initiatives are essential to renewal of the firm’s strategy. They enable improvement in capabilities that allow the firm to more advantageously compete, and are implemented by middle management through Project management. Recent literature in strategic implementation and renewal still lacks specific processes for improving practice and management concerning how strategic initiatives impact to Improve capabilities for the firm. Its significance has been noticed, but the area of implementing strategic initiatives is still largely underexplored. Literature fails to fully incorporate the influential roles of middle management and strategic project management. The purpose of this thesis is to examine how they can contribute to new and/or improved capabilities. It also focusses on how they effectively manage strategic renewal. Focussing on strategy process research, it looks at the implementation linked to product or process Improvement activity. To achieve the research aim, the study utilizes the interpretive approach and Qualitative research using multiple case studies. This is supported by document analysis, observation, and in-depth semi-structured interviews of managers from diverse functions in each of the two large manufacturing firms in Barbados. Empirical evidence collected from October 2011 to March 2014, involves six strategic initiatives. Qualitative data analysis is utilized. The findings reveal some similarities with existing literature and across initiatives and firms, but interesting differences exist, for example involving structural, firm's culture, and levels or application of strategic project management. The degree of sharing and learning which improves capabilities with initiatives, also depends on context, Interactions levels and variation in management roles. Although some strategic initiatives objectives are similar, initiatives differ in nature and approach, so outcomes differ. Related models need to have Inherent flexibility. Factors still limit increasing of middle managers’ strategic role. Further enhancing strategic project management can assist the mediation of factors impacting initiatives, and contribute to improving renewal processes and outcomes. This study contributes to the literature on strategy implementation, confirming that firms structure Initiatives as projects in portfolio to implement for effective outcomes. It integrates strategy process and practice theories to improve strategic initiatives, capabilities and renewal, and with organizational learning and activity theory combined, develops new theory to add to sparse research. Outcomes add to the understanding of strategic capabilities in Barbados manufacturing firms, and of means for augmenting the activities, practices and processes. Interactions and communication facilitating the Improvement of integration and coordination, as strategic initiatives are implemented within a hierarchy of strategic objectives supporting activities, help improving capabilities and sustain strategic renewal.

This thesis focuses on bank market structure and the effect of changes to this structure on intermediation strategies using a dataset that covers many regions of the world. Employing different estimation techniques and methodologies, and using a novel approach to each line of research, this thesis provides the following robust results: first, increase banking competition weakens the effectiveness of monetary policy. This is because an increase in the degree of market power increases the response of bank lending to the monetary policy stance. Second, competition increases stability as banks diversify across and within their business activities. Third, the high net-interest margin and relatively low insolvency risk among banks in developing countries could be attributed to a high degree of market power and the use of internal capital financing. The thesis makes the following contributions to the literature: first, in order to gain new insights and provide new dimensions to the existing literature, each of the three core chapters employs an estimation strategy that is new in the literature and which offers more scope for investigation. For instance, the positive influence of revenue diversification on the competition-stability nexus is new in the literature. Second, this thesis is first in considering how various measures of market power and a variety of bank funding strategies impact on banks performance. Furthermore, considering the banking structure-risk-lending channel hypothesis in assessing banks’ response to monetary shocks is also new in the monetary policy transmission literature. In conclusion, this thesis gives rise to important public policy recommendations. First, the strong link between market imperfections and the effectiveness of monetary policy indicators requires regulation that can resolve and offset the adverse effects of further increases in the degree of bank market power on the effectiveness of monetary transmission. Second, given the results of the role of diversification on the competition-stability relationship, there is no evidence to support regulatory initiative that restricts banks diversification activities. The third and final recommendation is on the concept of market power: bank market power in itself is not detrimental to banking activities, but the level and the application of it could negatively affect bankinsolvency risk. Therefore, supervisory, regulatory and competition authorities should coordinate to put in place a comprehensive framework that allows banks to have a considerable amount of market power that is robust and consistent with any competition policy

This research responds to calls from several fields (including project management and organisational change) questioning the engineering paradigm of objective rationality, systems control and universally-applicable structured methods underpinning conventional ‘best practice’ approaches to managing business change projects. The call is for better understanding of the reality of business change projects as experienced by the people working on them, and for improved theory based on that. This research seeks to explore whether more effective approaches to delivering benefits from business change in organisations could be developed by taking a social practice perspective - focusing on the dynamic and complex processes of social interaction, power relations, and social construction of day-to-day reality. To address these questions, an 18-month ethnographic, participant/observer study has been carried out within a large UK public sector organisation, observing events and behaviours on a day-to-day basis from a practitioner’s perspective, using narrative to capture the complexity of the social reality of project life with all its uncertainty, politics, and emotion. This fieldwork, combining both objectively-observed and subjectively-interpreted findings,identifies some generic intersubjective ‘key aspects’ of business change projects. These ‘key aspects’ have then been interpreted using theoretical concepts from five leading theoretical frameworks (Giddens’ structuration theory, Bourdieu’s theory of practice, Actor-network theory (ANT), Weick’s sensemaking, and Strauss’s symbolic interactionist theory of action). A multi-level theoretical model rooted in the epistemological characteristics of social reality is developed from the relationships emerging from the empirical findings and by employing some of the most relevant theoretical constructs. The model is found to be consistent with practice-based research findings from research into project success in general, and with some approaches to managing uncertainty in projects. The implications of the model for practice are explored, directing attention away from control procedures and detailed planning to a range of more productive management interventions.

This study investigates the impact of sensemaking upon domain-specific knowledge transfer amongst professionals. The research context is the late afternoon clinical handover between junior doctors finishing their day duty shift and those coming on duty. Those taking part in this handover are all within their first year of clinical practice with no senior medical staff or other health professionals present. A qualitative methodology is employed involving semi-structured interviews, observation and recording of handovers, and observation of those taking over from their day shift colleagues as they go about their work during the evenings. Two groups of junior doctors are observed, each group developing its own individual handover style. One group creates a narratively oriented forum at which knowledge is shared, while the other takes a more instructive approach, in which information or explicit knowledge is transferred. The way in which the junior doctors make sense of the role and purpose of the handover at that time of day is seen to guide the development of handover style. This in turn impacts upon the knowledge that is transferred or shared between them, and also upon how those coming on duty conduct their work during the evening. Identity construction, the central theme in social-constructionist sensemaking theory, is seen to play a significant role in the development of group cohesion, which influences the junior doctors’ understanding of the handover in terms of both purpose and content. Identity is also influential in the processes involved when sensemaking reaches an inadequate conclusion but is maintained, regardless of additional conflicting data. The research contributes to current knowledge of these processes. The sensemaking activities involved in intentional, deliberate efforts by individuals to understand what is happening were identified at group level, suggesting that the analytical structure used might be applied more widely in the investigation of group situations, rather than individual sensemaking events. The junior doctors work together for six months before separating to go to different posts; they do not continue as a team. The research therefore has applicability to team and project work, especially in which there is no continuity of group membership

The evaluation of the relationship with the customer and related benefits has become a key point for a company’s competitive advantage. Consequently, interest in key concepts, such as customer lifetime value and churn has increased over the years. However, the complexity of building, interpreting and applying customer lifetime value and churn models, creates obstacles for their implementation by companies. A proposed qualitative study demonstrates how companies implement and evaluate the importance of these key concepts, including the use of data mining and domain knowledge, emphasising and justifying the need of more interpretable and acceptable models. Supporting the idea of generating acceptable models, one of the main contributions of this research is to show how domain knowledge can be integrated as part of the data mining process when predicting churn and customer lifetime value. This is done through, firstly, the evaluation of signs in regression models and secondly, the analysis of rules’ monotonicity in decision tables. Decision tables are used for contrasting extracted knowledge, in this case from a decision tree model. An algorithm is presented, which allows verification of whether the knowledge contained in a decision table is in accordance with domain knowledge. In the case of churn, both approaches are applied to two telecom data sets, in order to empirically demonstrate how domain knowledge can facilitate the interpretability of results. In the case of customer lifetime value, both approaches are applied to a catalogue company data set, also demonstrating the interpretability of results provided by the domain knowledge application. Finally, a backtesting framework is proposed for churn evaluation, enabling the validation and monitoring process for the generated churn models.

This thesis investigates the predictive power of six bivariate GARCH-CCC (constant conditional correlation) models; the GARCH (1, 1), BEKK GARCH (1, 1), GARCH-X (1, 1), BEKK-X (1, 1), GARCH-GJR (1, 1) and QGARCH (1, 1) based on both normal and student’s t distributions. Empirical investigations are conducted by forecasting the daily hedge ratios from agricultural futures markets using one-step-ahead over 1 year and 2 year out-of-sample period. The forecasting of OHR in agricultural and commodities’ futures markets has not been studied thoroughly and few publications are available in literature. My work enriches the literature and will hopefully provide guidance for hedging in these markets. To forecast the OHR, we apply data from three storable commodities, coffee, wheat and soybean and two non-storable commodities, live cattle and live hog. Four tests are conducted to evaluate the forecasting errors of out-of-sample forecasted return of the portfolio based on the forecasted OHR. Our study shows that the asymmetric GARCH model outperforms other models, and the standard GARCH is the weakest for 1-year forecast. However, the standard GARCH model performs well for 2-year forecast of live cattle with student’s t distributed residuals. More generally, the BEKK and asymmetric GJR and QGARCH models are recommended to forecast OHR on both 1-year and 2-year horizons with normal and student’s t distributions for storable products and the asymmetric models for non-storable commodities. Furthermore, our study demonstrates that the predictive power of GARCH models depends on the distribution of residuals, the commodity and also the length of the forecast horizons. This result is consistent with the those from Poon and Granger (2003) and Chen et.al (2003). Given accurately forecasted OHR, investors can determine appropriate hedging strategies for portfolio management to reduce or transfer risks, and prepare for the capital needed for hedging.

Sustainable corporate entrepreneurship (SCE) is the process of taking an opportunity-centred approach to latent and manifest social and/or environmental problems in order to create shared value, i.e. value for the business and society simultaneously. In practice, this means launching green products, conserving the use of natural resources, educating stakeholders, engaging in trust-building activities, greening of the supply chain, showing concern for employees, and producing products in response to unmet societal needs. SCE is an emerging field, which has been mostly studied in the context of individual entrepreneurs and small businesses in developed countries. This research aims to demonstrate the importance of SCE in creating shared value in the context of a developing country. I adopt a social constructionist approach in order to reveal how corporate managers construct their reality regarding what SCE means to them, and how and why they enact this socially constructed reality in their social world. Thus, this study makes a methodological contribution by revealing the social construction of SCE, as social constructionism has not been adopted in previous studies to explore the process of SCE. I explore the process of SCE by drawing on case studies of nine corporations across three sectors of oil marketing, pharmaceuticals, and food and beverages in Pakistan. Empirically, this study draws on 34 semi-structured interviews conducted with the managers of four local companies and subsidiaries of five leading multinational companies operating in Pakistan. This thesis demonstrates important sectoral differences in the SCE approach of each of the sectors analysed, by developing a conceptual map of SCE for each sector, in addition to revealing significant differences in the SCE approach of local and multinational companies. Thus, the study contributes to the existing knowledge on SCE by highlighting the context sensitivity of the process of SCE, which extant research on SCE fails to recognize. Moreover, extant research on SCE only focuses on the outcome of SCE initiatives and neglects the contextual challenges of engaging in the process of SCE. Through this research, I also highlight important contextual challenges faced by the case companies in creating shared value. Thus, this thesis moves the field of SCE forward by empirically operationalizing the concepts of SCE and shared value, identifying sectoral differentials of SCE approach within a developing country and describing the contextual challenges of engaging in SCE practices, which remain un-explored in extant research on sustainable entrepreneurship. Despite the above mentioned contributions to knowledge, the study has its limitations. This thesis relies heavily on interviews of corporate managers who may engage in impression management, i.e. making big claims regarding their company’s involvement in SCE. Secondly, the study is confined to how corporate managers construct their reality regarding the process of SCE. The general public’s views about the SCE initiatives of the case companies were not taken in to consideration. Hence this thesis does not present the entire picture of how SCE is practised by companies and perceived by consumers in Pakistan. Future research could address these limitations by exploring the perceptions of the general public towards the SCE initiatives of the case companies in the current study.

This study aims to examine the moderating effects of leader emotional intelligence and dyad emotional intelligence on the relationship between Islamic leader-member exchange (ILMX) and work related outcomes, and as part of this developing an Islamic measure of respect in leadership. Many studies have attempted to explain the concept of emotional intelligence in order to better understand how aspects of individual difference may help to explain variations in leadership behaviour. Research in the field of emotion regulation has suggested that this ability plays a central role in the development of high quality relationships. Other scholars also emphasized that research on emotional intelligence and leadership effectiveness needs to be focused on those approaches to leadership that involve emotional elements, because relationship approaches to leadership are inherently emotional. This clearly shows that emotions play a significant role in leadership. This study has been divided into two stages. The first stage was developing a validated measure of Islamic respect. In this stage, focus group sessions were conducted to generate the items for Islamic respect. Those items generated from the focus group sessions were further used in instrument development in an online survey questionnaire for scale reduction and validation. Factor analysis was employed for the purpose of scale reduction. Meanwhile, a confirmatory factor analysis (CFA) was performed with Analysis of Moment Structures (AMOS) for the purpose of scale validation. The second stage of this study used a cross-sectional design and measures collected through the use of a questionnaire. The participants were 203 matched leader-subordinate dyads in a Malaysian Islamic Insurance company. Based upon hierarchical regression analysis, the results showed that the combination of both leader and follower emotional intelligence moderated the relationship between Islamic leader-member exchange and a number of important work related outcomes. The results suggest that emotional intelligence can help leaders and subordinates to facilitate stronger identification and emotional attachments with each other.

Dealing with competing demands and expectations is an essential feature of management work. Positioned between reportees and senior leaders, managers hold multiple accountabilities and allegiances; responding to day-to-day dilemmas is likely to call personal values and priorities into question. This thesis conceives such dilemmas as value conflicts, arising when managers’ values and priorities are at odds with the values and expectations of the organisation and others. The research explores four key questions: What types of value conflict do managers encounter? How do they respond? How do personal values, role-related factors and the organisational context shape their responses? What are the implications of the conflicts and responses for managers and the organisation? Adopting a critical realist paradigm and a multiple case study methodology, the research seeks to understand and explain interpreted events within the socio-structural context of the organisation and the management role. Critical incident technique was used to gather value conflict accounts from managers in four private-sector organisations. Empirically-based findings derive explanatory support from theory on personal values (Schwartz, 1992), cognitive dissonance (Festinger, 1957) and self-determination of behaviour (Deci and Ryan, 1995). The thesis presents four main findings. First, it identifies the sources of value conflict and a values-based typology of responses. Second, it demonstrates managers’ use of multiple, different bases of legitimacy to justify their responses: self, others, role, and censure/sanction avoidance. Third, it relates personal and organisational outcomes to response-justification patterns. Finally, through analysis of personal values, role expectations and the organisational context, it uncovers the complex interplay of factors underlying managers’ responses. The research contributes new, explanatory insights by applying a value conflicts perspective to management tensions and dilemmas, with implications for leadership and management practice. Furthermore, it uncovers a neglected aspect of management work in values-led organisations: dealing with mismatches between espoused and enacted organisational values. The thesis contributes a viable analytic approach to qualitative values scholarship, and suggests fruitful avenues for future research.