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Determination of Financial Risk Tolerance among Different Household Sectors in Sri LankaHeenkenda, Shirantha 03 1900 (has links)
No description available.
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Identifying operational risk management as a source of competitive advantage :Fung, Mackie. Unknown Date (has links)
This 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 (DBusinessAdministration)--University of South Australia, 2006.
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Three essays on credit risk, fixed income and derivativesElkamhi, Redouane. January 1900 (has links)
Thesis (Ph.D.). / Written for the Desautels Faculty of Management. Title from title page of PDF (viewed 2008/01/12). Includes bibliographical references.
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Computing the greeks using the integration by parts formula for the Skorohod integral /Chongo, Ambrose. January 2008 (has links)
Thesis (MSc)--University of Stellenbosch, 2008. / Bibliography. Also available via the Internet.
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The effect of the global economic crisis on strategy in the engineering manufacturing sector in KwaZulu-Natal.Fitzsimmonds, Kezia Marie. 28 November 2013 (has links)
The world was caught unprepared for the recent crisis that has gripped the globe. The engineering manufacturing sector is reported to have been one of the hardest hit and has been haemorrhaging jobs since the global economic crisis first reached South African shores. This study aimed first, to establish the presence of a global crisis and second, to determine whether this crisis is of an economic or financial nature. Objectives of the study included determining whether the engineering manufacturing sector has been impacted on by the crisis and whether the affects of this have been of a detrimental nature. This was done primarily to assess the extent to which strategies in the engineering manufacturing sector in KwaZulu-Natal have been affected and needed to be specifically adapted in order for SMEs to survive and grow beyond the current economic circumstances. Data was collected through the use of questionnaires, a typically quantitative research technique, as well as through the compilation of literature reviews. Questionnaires were circulated amongst thirty organisations within the identified sector in KwaZulu-Natal, of which twenty-two were completed and returned for analysis. Primary data was analysed in conjunction with the literature reviews. Typical responses confirmed the existence of a crisis and indicated that strategies had to be specifically adapted as a result. However, strategic alterations were often ill informed. This issue could be address through the application of the outlined models to optimise strategy. The use of these models would better enable respondents to make informed decisions when formulating their strategies and thereby assist the organisation in achieving a sustainable competitive advantage. / Thesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2012.
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The Determinants of Hedging with Currency Derivatives : A quantitative study on the Swedish OMX ExchangeSäterborg, Erik January 2010 (has links)
Most firms are actively assessing the financial risks exposure and do determine a policy for the hedging activities. It is not solely the risk aversive attitude from the managers that need to be overlooked, but to provide sufficient information to the shareholder is desirable for minimizing the gap of information asymmetry, which is by itself considered a tool for value creation (Bergstrand et al. 2009:45-47). To narrow this gap, listed Swedish companies have since 2005 been required to disclose their financial risk in their Annual Reports. By using a quantitative approach the researcher will review the financial risk note in Annual Reports of 2008 to identify characteristics and determinant variables on firms depending on whether they utilize currency derivatives or not. An independent two-sample t-test has showed statistical significance that there difference of the means regarding size, FX exposure and leverage between users and non-users of currency derivatives. The means of currency derivatives users were higher for Size and FX exposure, while lower for leverage. A positive correlation between a firm’s size and FX exposure was found, suggesting that the determinant for hedging FX exposure could be explained by the size of the firm and vice versa.
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The applicability of mean-variance analysis and beta-factors in the risk assessment of hedge fundsBoehlandt, Florian 12 1900 (has links)
Thesis (MBA) -- Stellenbosch University, 2007. / ENGLISH ABSTRACT: Hedge funds are amongst the fastest growing types of investment funds, both in tenns of
worldwide assets under management, as well as the number of private and institutional
investors. More recently, analysts and investors focussed their attention on accurately
estimating the inherent risks of hedge funds (e.g, Brooks & Kat, 2001; Fung & Hsieh, 2004).
Past research suggests that the traditional approach of assessing the risks of investment funds
through mean-variance analysis can lead to severe underestimation of left-hand-tail risks for
hedge funds (Amenc, Malaise, Martellini & Vaissie, 2004; Favre & Galeano, 2002; Fung &
Hsieh, 1999). This phenomenon is mainly attributab le to the non-normal distribution of
monthly hedge fund returns around the mean. In addition, it has been found that skewed
return distribution with high excess kurtosis has substantial impact on the rel iability of beta as
a measure of systemic risk in hedge funds (Chan, Getmansky, Haas & Lo, 2005). Other
problems when estimating hedge fund risks arise from serial correlation of time series
(Getmansky, Lo & Makarov, 2003), managerial and survivorship bias (Amin & Kat, 2001 ), as
well as spurious bias when estimating performance from economic time series (Fung &
Hsieh, 2000). The following thesis provides statistical evidence of the limitations of
traditional risk measures when applied to hedge fund investments. It also includes advice on
how to improve the significance of the aforementioned risk measures. In the course of the
mean-variance analysis, the applicability and reliability of Value at Risk as a risk
measurement tool for hedge funds is explored. Furthennore, the reliability and accuracy of
different univariate and multivariate regression models is tested. In the final chapter emphasis
is placed on the possibilities of predicting the inherent risks of single funds from hedge fund
style index performance. This should provide investors and analysts with an introductory
framework for the appropriate risk assessment of hedge funds, considering the unique
structure and dynamics of these alternative investment funds. / AFRIKAANSE OPSOMMING: Skansfondse tel onder die vinnigste groeiende tipes beleggingsfondse in terme van sowel
wereldwye bates onder bestuur as die aantal private en institusionele beleggers. OnJangs het
analiste en beleggers hulle aandag daarop begin toespits om die inherente risiko's verbonde
aan skansfondse akkuraat te bereken (Brooks & Kat. 2001; Fung & Hsieh, 2004). Vroeere
navorsing het daarop gedui dat die tradisioncle benadering om die risiko's verbonde aan
beleggingsfondse deur gemiddeldevariansie-analise te takseer, daartoe kan lei dat
linkerkantse-eindrisiko's verbonde aan skansfondse emstig onderskat word (Fung & Hsieh,
1999; Favre & Galeano, 2002; Amenc. Malaise, Martellini & Vaissie, 2004). Hierdie
verskynsel is hoofsaaklik toe te skryf aan die abnonnale verspreiding van maandeliksc
skansfondsopbrengste rondom die gemiddelde. Boonop is bevind dat skewe verdeling met
hoe kurtose-oorskryding aansienlik inslaan op die betroubaarheid van beta as 'n meting van
sistemiese risiko by skansfondse (Chan. Getmansky. Haas & Lo, 2005). Ander probleme by
die raming van skansfondsrisiko's spruit uit tydreekskorrelasie (Getmansky, Lo & Markov,
2003), bestuurs- en oorlewingsydigheid (Amin & Kat, 2002) en vals sydigheid by die
beraming van prestasie uil die ekonomiese tydsreeks (Fung & Hsieh, 2000). Hierdie tesis gaan
statistiese bewyse lewer van die tradisioncle risikometings se beperkings wanneer dit op
skansfondsbeleggings toegepas word. Verder sal daar raad gegee word oor hoe om die
beduidendheid van die genoemde risikometings te verbeter. In die loop van die
gemiddeldevariansie-analise sal die toepasbaarheid en betroubaarheid van die Waarde onder
Risiko as 'n risikometing vir skansfondse ondersoek word. Voorts sal die betroubaarheid en
akkuraatheid van verskillende ecnvariaat- en meervariaatregressiemodelle getoets word. In
die laaste hoofstuk val die klem op die moontlikheid om die inherente risiko's van
enkelfondse aan die hand van 'n skansfondstipe-indeksprestasie te voorspel. Wat hier volg,
behoort beJeggers en analistc van 'n inleidende raamwerk vir die toepaslike risikotaksering
van skansfondse - met inagneming van die unieke struktuur en dinamika van hierdie
altcmatiewe beleggingsfondse - te voorsien.
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Wealth effects of mergers and acquisitions for US firms : using alternative pricing modelsKyei-Mensah, Justice January 2011 (has links)
This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.
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Multivariate copulas in financial market risk with particular focus on trading strategies and asset allocation05 November 2012 (has links)
D.Comm. / Copulas provide a useful way to model different types of dependence structures explicitly. Instead of having one correlation number that encapsulates everything known about the dependence between two variables, copulas capture information on the level of dependence as well as whether the two variables exhibit other types of dependence, for example tail dependence. Tail dependence refers to the instance where the variables show higher dependence between their extreme values. A copula is defined as a multivariate distribution function with uniform marginals. A useful class of copulas is known as Archimedean copulas that are constructed from generator functions with very specific properties. The main aim of this thesis is to construct multivariate Archimedean copulas by nesting different bivariate Archimedean copulas using the vine construction approach. A characteristic of the vine construction is that not all combinations of generator functions lead to valid multivariate copulas. Established research is limited in that it presents constraints that lead to valid multivariate copulas that can be used to model positive dependence only. The research in this thesis extends the theory by deriving the necessary constraints to model negative dependence as well. Specifically, it ensures that the multivariate copulas that are constructed from bivariate copulas that capture negative dependence, will be able to capture negative dependence as well. Constraints are successfully derived for trivariate copulas. It is, however, shown that the constraints cannot easily be extended to higher-order copulas. The rules on the types of dependence structures that can be nested are also established. A number of practical applications in the financial markets where copula theory can be utilized to enhance the more established methodologies, are considered. The first application considers trading strategies based on statistical arbitrage where the information in the bivariate copula structure is utilised to identify trading opportunities in the equity market. It is shown that trading costs adversely affect the profits generated. The second application considers the impact of wrong-way risk on counterparty credit exposure. A trivariate copula is used to model the wrong-way risk. The aim of the analysis is to show how the theory developed in this thesis should be applied where negative correlation is present in a trivariate copula structure. Approaches are considered where conditional and unconditional risk driver scenarios are derived by means of the trivariate copula structure. It is argued that by not allowing for wrong-way risk, a financial institution’s credit pricing and regulatory capital calculations may be adversely affected. The final application compares the philosophy behind cointegration and copula asset allocation techniques to test which approach produces the most profitable index-tracking portfolios over time. The copula asset allocation approach performs well over time; however, it is very computationally intensive.
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Preparation, Perception, and PolicySundaresan, Savitar Vadul January 2016 (has links)
Chapter 1, "Emergency Preparedness: Rare Events and the Persistence of Uncertainty," develops a framework to understand how uncertainty might spike and persist after low-probability events occur. Unexpected events can have lasting effects on financial uncertainty, which in turn affects the real economy. This chapter uses a model in which the realizations of ex-ante unlikely events endogenously result in lower levels of private information. Lower levels of information propagate within the model, as uncertainty makes it harder for agents to acquire information about future periods, resulting in uncertainty persistence. This model of uncertainty is applied to an economy with a financial market. Uncertainty reduces asset demand and expected wealth, while increasing dispersion of beliefs. It also reduces investment and output, and results in higher credit spreads. Data on financial uncertainty, dispersion of beliefs, risk appetite, and credit spreads confirm the predictions of the model.
Chapter 2, "Inattentive Valuation and Belief Polarization," uses a similar motivation to think about how two agents can disagree on the truth after seeing the same data. Based on the recent literature in inattention, we build a model allowing identical agents, shown the same set of signals from an objective state of the world, to permanently diverge in their posteriors. The inattentive framework allows for two effects: a confirmation and a confidence effect. The former states that agents who have a bias arrange their attention to perceive signals that agree with that bias. The latter states that agents pay less attention to any signal the more biased they are. These effects allow for permanent polarization of posteriors, even on issues with objective truth.
Chapter 3, "The Real Consequences of Countercyclical Capital Controls," looks at the consequences of capital controls on investment and consumption in Brazil. Brazil is the most preeminent case of controls being imposed countercyclically. We find that capital controls have a significant negative impact on investment. The macro analysis uses a synthetic control method and finds that investment could have been approximately 20% higher if controls had not been put in place. The micro analysis uses a panel data approach and finds that the controls reduced the investment to assets ratio by as much as 40%, with some of its effects mitigated by the extension of subsidized credit by the government through the development bank. These results indicate that the renewed support for controls since the Great Financial Crisis should be more cautiously evaluated as it might harm the potential growth rate of Emerging Economies for a long-lasting period.
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