A guaranteed minimum income benefit (GMIB) is a long-dated option that can be embedded in a deferred variable annuity. The GMIB is attractive because, for policyholders who plan to annuitize, it offers protection against poor market performance during the accumulation phase, and adverse interest rate experience at annuitization. The GMIB also provides an upside equity guarantee that resembles the benefit provided by a lookback option. We price the GMIB, and determine the fair fee rate that should be charged. Due to the long dated nature of the option, conventional hedging methods, such as delta hedging, will only be partially successful. Therefore, we are motivated to find alternative hedging methods which are practicable for long-dated options. First, we measure the effectiveness of static hedging strategies for the GMIB. Static hedging portfolios are constructed based on minimizing the Conditional Tail Expectation of the hedging loss distribution, or minimizing the mean squared hedging loss. Next, we measure the performance of semi-static hedging strategies for the GMIB. We present a practical method for testing semi-static strategies applied to long term options, which employs nested Monte Carlo simulations and standard optimization methods. The semi-static strategies involve periodically rebalancing the hedging portfolio at certain time intervals during the accumulation phase, such that, at the option maturity date, the hedging portfolio payoff is equal to or exceeds the option value, subject to an acceptable level of risk. While we focus on the GMIB as a case study, the methods we utilize are extendable to other types of long-dated options with similar features.

Online group-buying means that a crowd of consumers combine with each other and massively purchase a certain object, and therefore can attain to a lower price(Kauffman et al. 2002). In group-buying transaction model, consumers usually recognized the risks specially. Therefore, the feedback mechanisms were used to reduce the risks and increase the trust. In general electronic shopping, many past studies especially explore the use of feedback mechanisms(Dellarocas 2003; Singh et al. 1991). However, there are few studies about the effect of feedback mechanisms on online group-buying. Compare to general electronic shopping, shopping in group-buying will include more uncertainty and risk. Thus, this study will use experimental methodology to explore the feedback mechanisms that how to impact the behavior of group-buying consumers with forum and rating feedback mechanisms. Our study mainly explores whether the feedback mechanisms affect the consumers¡¦ trust in seller¡¦s credibility and perceived risk in group-buying, and whether the intention to join group-buying is influenced by the trust in seller¡¦s credibility and perceived risk. The study shows that the online group-buying consumer behavior is influenced by the feedback mechanisms exactly. The ratings affect consumers¡¦ perceived financial risk, perceived time risk and perceived psychological risk. The forum affect consumer¡¦s psychological risk perceived, and the experience of the initiator who initiates group-buying also affect the consumer¡¦s time risk perceived. The intention to join group-buying is influenced by the trust in seller¡¦s credibility and perceived risk.

Tre tydliga svagheter kunde identifieras i den globala banksektorn under den stora finanskrisen år 2007. Dessa tre svagheter var brist på kapital av tillräcklig kvalitet för att kunna hantera förluster, en för tätt sammankopplad finansmarknad samt otillräcklig likviditetshantering och för små likviditetsbuffertar. I syfte att främja en banksektor med starkare motståndskraft togs regelverket Basel III fram för att reglera bland annat bankernas likviditet, kapitaltäckning och riskhantering. De nya kapitaltäckningskraven från Basel III innebär bland annat att kärnprimärkapitalrelationen ska uppgå till minst sju procent senast år 2019, Sverige och Storbritannien har dock valt att ställa högre krav på sina storbanker. Kärnprimärkapitalet är den del av primärkapitalet som håller högst kvalitet och har bäst förmåga att absorbera förluster. Europeiska bankmyndigheten (EBA) genomför årligen stresstester på bankerna inom Europeiska unionen (EU) med syfte att se hur bankerna kan hantera ogynnsamma scenarier. På liknande sätt genomför även Finansinspektionen stresstester på de svenska storbankerna.Syftet med denna studie är att ur ett internationellt perspektiv undersöka vilka resultat storbankerna i Sverige, Storbritannien och Tyskland uppnår i EBA:s stresstester för två olika år. Studien syftar även till att ur ett nationellt perspektiv studera hur de fyra svenska storbankerna Handelsbanken, SEB, Nordea och Swedbank klarar sig i Finansinspektionens egna stresstester över en fyraårsperiod. Slutligen syftar studien till att studera hur väl de fyra svenska storbankerna lever upp till de nya kraven som Basel III medför med avseende på kärnprimärkapitalrelation för åren 2006, 2011 och 2014 samt hur bankernas riskrapportering har förändrats sedan år 2011. För att besvara våra frågeställningar studerades tryckt material i form av bland annat årsredovisningar och vi genomförde även två intervjuer med en respondent från Finansinspektionen respektive två respondenter från Sveriges Riksbank.Studiens resultat för den internationella frågeställningen visar att det är de svenska storbankerna som har den lägsta genomsnittliga procentuella differensen mellan ett normalscenario och ett stressat scenario. Det är även de svenska storbankerna som har de högsta genomsnittliga kärnprimärkapitalrelationerna i EBA:s stresstester för åren 2011 respektive 2014. De brittiska och de tyska storbankerna uppnår lägre resultat än de svenska storbankerna. Det finns banker i dessa länder som det krävs ytterligare arbete ifrån för att de vid ett normalscenario ska uppnå Basel III:s grundkrav där kärnprimärkapitalrelationen ska uppgå till minst sju procent. Utifrån vår analys kan vi dra slutsatsen att de svenska storbankerna är de banker som klarar sig bäst med avseende på EBA:s stresstester och bankernas kärnprimärkapitalrelationer.Studiens resultat för den nationella frågeställningen visar att Handelsbanken och Swedbank är de svenska storbanker som klarar sig bäst i Finansinspektionens stresstester. SEB och Nordea däremot uppvisar något sämre resultat och vid något tillfälle når de inte upp till de formella eller de individuella kraven under ett mycket stressat scenario. Vid analys av bankernas årsredovisningar kan vi se en positiv utveckling av deras kärnprimärkapitalrelationer då samtliga svenska storbanker når upp till de strängare formella kraven på 10 respektive 12 procent och även når upp till Finansinspektionens strängare individuella krav för respektive storbank. Vi kan även se en positiv utveckling av de svenska storbankernas riskrapportering och vi kan se att många av bankerna offentliggör mer riskinformation än vad som krävs. Vi kan konstatera att de svenska storbankerna över lag är välkapitaliserade och har inga problem med att nå upp till de nya kraven i Basel III. / Three weaknesses were identified in the global banking sector during the great financial crisis in 2007. These three weaknesses were a lack of capital of sufficient quality to cope with losses, a too closely linked financial market and finally an insufficient liquidity management and too small liquidity buffers. In order to promote a banking sector with stronger resistance Basel III regulations was established to regulate the banks' liquidity, capital adequacy and risk management. The new capital requirements of Basel III means that the core Tier I capital ratio must at least reach seven percent by the year 2019, Sweden and the UK have, however, chosen to set higher standards for their largest banks. Core Tier I capital is the part of Tier I capital that keeps the highest quality and has the best ability to absorb losses. The European Banking Authority (EBA) conducts annual stress tests on banks in the European Union (EU) in order to study how banks can handle adverse scenarios. In a similar way, Finansinspektionen also conducts stress tests on the major Swedish banks.The purpose of this study is from an international perspective to examine what results the major banks in Sweden, the UK and Germany achieve in the EBA's stress test for two years. The study also aims to study from a national perspective how the four major Swedish banks, Handelsbanken, SEB, Nordea and Swedbank achieve in Finansinspektionens own stress tests over a four year period. Finally, the study aims to examine how well the four major Swedish banks live up to the new requirements under the Basel III, with regard to core Tier I capital ratio for the years 2006, 2011 and 2014, as well as how banks' risk reporting has changed since the year 2011. In order to answer our questions, printed material in the form of e.g. annual reports were studied and we also conducted two interviews with respondents from Finansinspektionen and Sveriges Riksbank (the Swedish national bank).The study's results of the international perspective shows that it is the major Swedish banks that have the lowest average percentage difference between a normal scenario and a stressed scenario. It is also the Swedish banks that have the highest average core tier 1 ratios in the EBAs' stress tests for the years 2011 and 2014. The British and German banks achieved lower results than the Swedish banks. There are banks in these countries where further work is needed in order for them at a normal scenario to reach a core Tier 1 capital ratio of at least seven percent. Based on our analysis, we can conclude that the major Swedish banks have the best results both regarding EBAs' stress tests and the banks' core Tier 1 capital ratio.The study's results of the national perspective shows that Handelsbanken and Swedbank are the major Swedish banks with the best results in Finansinspektionens stress tests. SEB and Nordea present slightly lower results and at some time during the test they do not reach the formal or individual requirements in a highly stressed scenario. In the analysis of banks' annual reports, we observe a positive development of their core tier 1 ratios and all major Swedish banks reach the stricter formal requirements of 10 and 12 percent. All the banks also reach Finansinspektionens stricter individual requirements for each major bank. We also observe a positive development of the Swedish banks' risk reporting and we can also see that many of the banks disclose more risk information than is required. We can conclude that the major Swedish banks are well capitalized and have no problems reaching up to the new requirements of Basel III.This essay is written in Swedish

A guaranteed minimum income benefit (GMIB) is a long-dated option that can be embedded in a deferred variable annuity. The GMIB is attractive because, for policyholders who plan to annuitize, it offers protection against poor market performance during the accumulation phase, and adverse interest rate experience at annuitization. The GMIB also provides an upside equity guarantee that resembles the benefit provided by a lookback option. We price the GMIB, and determine the fair fee rate that should be charged. Due to the long dated nature of the option, conventional hedging methods, such as delta hedging, will only be partially successful. Therefore, we are motivated to find alternative hedging methods which are practicable for long-dated options. First, we measure the effectiveness of static hedging strategies for the GMIB. Static hedging portfolios are constructed based on minimizing the Conditional Tail Expectation of the hedging loss distribution, or minimizing the mean squared hedging loss. Next, we measure the performance of semi-static hedging strategies for the GMIB. We present a practical method for testing semi-static strategies applied to long term options, which employs nested Monte Carlo simulations and standard optimization methods. The semi-static strategies involve periodically rebalancing the hedging portfolio at certain time intervals during the accumulation phase, such that, at the option maturity date, the hedging portfolio payoff is equal to or exceeds the option value, subject to an acceptable level of risk. While we focus on the GMIB as a case study, the methods we utilize are extendable to other types of long-dated options with similar features.

Originally presented as the author's doctoral Thesis (Universität, St. Gallen, 2006). / Includes bibliographical references.

Originally presented as the author's doctoral Thesis (Universität, St. Gallen, 2006). / Includes bibliographical references.

Credit risk mitigation that can be applied by commercial banks in assessing the lending decision /credit risk when advances and equity investments are considered for BEE classified companies. / A research report presented to the Graduate School of Business Leadership, University of South Africa / The previous political dispensation limited black people’s participation in the South African economy. Poor credit records, lack of training, resulting in skills and capacity gaps further limited entry into the lending market. These aspects are considered the main limitations in obtaining finance for the Small, Medium and Micro Enterprises (SMMEs). This research report focuses on how credit risk can be mitigated by commercial banks in lending to Black Economic Empowerment (BEE) companies in the medium to large market. Exploratory research was conducted using various methods to achieve methodological triangulation. These methods consisted of a literature review, interviewing experts in the field and case studies. A qualitative research approach was followed. It was found that the lack of own contribution and security were still prevalent in the medium to large market, but the quality of management (little training and skills) was deemed not to be a limitation as suitable credit risk mitigants were identified. No credit risk mitigants were identified to mitigate poor credit records. It is postulated that by adopting and applying the identified credit risk mitigants, commercial banks can increase their success rate in lending to BEE companies. It will further assist in the transformation of black people and compliance with the Financial Services Charter. It is recommended that a similar study be conducted in the agriculture, hunting, forestry and fishing industry. The reasons why BEE companies applications are declined could also be investigated. Further studies could also explore other external factors such as economical, legal and social that could have an influence on the funding of BEE companies.

The objective of the study is to establish a perspective of risk management by doing an assessment of current risk management practices, especially in the aftermath of the 2008/2009 global financial crisis. Risk management, as a component of corporate governance, was analysed by addressing the following: - The nature of value-creating assets in business; - The primary challenges for risk management over the next three years; - The changing approaches towards risk management; - The role of legislation and external stakeholders; - The role of risk management in strategic planning; - The cost of risk management; and - The benefits of improved risk management capabilities. A survey was conducted in the form of a questionnaire in order to obtain primary information from business owners on the current role of risk management in their organisations as well as their view on the role of risk management going forward. Businesses operating in the Port Elizabeth and surrounding area with an existing relationship with Absa Business Banking Services participated in the study. Quantitative techniques were used to analyse the data that were obtained from the sample group. The study revealed that the role of risk management in enterprises is evolving into an integrated, enterprise wide risk management function that can be utilised as a source of competitive advantage, from both a funding perspective for Banks and a business perspective for business owners. Capitalising on risk management as a competitive advantage will ultimately lead to long term sustainability and profitability of South African business enterprises and the South African Banking system.

La presente tesi si concentra sull’incertezza e sulla sua relazione con il rischio finanziario, due importanti concetti in economia e finanza. Il primo capitolo propone un approccio analitico in grado di separare gli shock connessi all’incertezza finanziaria dagli shock legati all’incertezze politiche, utilizzando un campione di paesi appartenti all’area Euro, dove la diffusione di shock da un paese all’altro (effetti di spillover) rendono l’identificazione più complessa. I risultati indicano che la BCE favorisce adottare una condotta proattiva verso gli shock di incertezza politica, e una più passiva verso gli shock di incertezza finanziaria. Il secondo capitolo discute il trade-off tra accuratezza della previsione e velocità di reazione che consente agli hedge fund di incrementare i profitti durante periodi caratterizzati da elevata incertezza. In questo capitolo si propone un metodo matematico per l’analisi di tale trade-off utilizzando un approccio Bayesiano. I risultati empirici e le simulazioni effettuate indicano che previsioni meno accurate sono associate ad aumenti di velocità. Infine, il terzo capitolo analizza alcune problematiche inerenti alla transizione ad un’economia a basso impatto ambientale, tenendo conto che la presenza di incertezza e asimmetrie informative potrebbero amplificare o limitare i pregiudizi comportamentali degli investitori. / This thesis focuses on broader or Knightian uncertainty and its relation with financial uncertainty or risk, given the overlaps existing between these two important concepts in the economics and finance literature. The first chapter adds to the existing stock of analytical methods able to disentangle financial from policy-related uncertainty shocks within a sample of Euro Area countries, where cross-border spill-overs can raise identification challenges. In terms of policy reactions, the results point to ECB having adopted a pro-active stance towards policy uncertainty shocks, but a more passive or accommodative stance towards financial uncertainty shocks. The second chapter discusses the trade-off between prediction accuracy and reaction speed that allows hedge funds to better time the market and profit during periods of turmoil and high uncertainty. It proposes a mathematical formulation of the trade-off that casts the decision-making process in a Bayesian framework. The empirical results, pointing to speed gains associated with less accurate predictions, are justified in a simulation exercise. The third chapter discusses some challenges arising from the ongoing transition to a low-carbon economy in a market context dominated by multiple uncertainty sources and information frictions that can either amplify or reduce investors’ own behavioural biases.

Purpose: The aim of this thesis is to investigate whether there is an established investment process for small Swedish service companies, and to what extent they take financial risk into account when making investment decisions.  Theory: The theoretical frame of reference derives from previous research and theories of investment classification, investment processes and risk management in connection with investments.  Method and implementation: The study is based on a qualitative approach through semi-structured interviews with six knowledge-based service companies where the respondents hold positions within company management. A supplementary quantitative method from the companies’ annual reports has been implemented. All the companies surveyed are small Swedish service companies.  Conclusion: The result shows that there is an investment process in all the companies surveyed, though it differs between them. The investments are relevant with the companies’ business strategies. All the companies surveyed take great account of financial risk in investment decisions, mainly by caring for staff in order to retain the human capital in the company. / Syfte: Studien syftar till att undersöka om det finns en fastställd investeringsprocess för småsvenska tjänsteföretag, samt hur och till vilken grad de tar hänsyn till finansiell risk vid investeringsbeslut. Teori: Den teoretiska referensramen härrör tidigare forskning och teorier om investeringsklassificering, investeringsprocesser och riskhantering i samband med investeringar. Metod och genomförande: Studien utgår utifrån ett kvalitativt tillvägagångssätt genom semistrukturerade intervjuer med sex kunskapsbaserade tjänsteföretag där respondenterna innehar positioner inom företagsledningen. En kompletterande kvantitativ datainsamlingsmetod från företagens årsredovisningar har genomförts. Samtliga undersökta företag är små svenska tjänsteföretag med huvudsäte i Stockholm. Slutsats: Studien finner att det i samtliga undersökta företag finns en investeringsprocess, men att den skiljer sig åt mellan företagen. Investeringarna går i linje med företagens verksamhetsstrategi. Samtliga undersökta företag tar stor hänsyn till finansiell risk vid investeringsbeslut, främst genom att vårda personal för att behålla humankapitalet i företaget.