This study tests whether contagion effects existed during the ¡§subprime mortgage crisis¡¨ among the equity markets of the US, the EU, Asia and emerging markets. The time-varying correlation coefficients are estimated by the dynamic conditional correlation (DCC) of Engle (2002), using a multivariate GJR-GARCH with AR (1) model. The empirical findings show that the conditional correlation coefficients of stock returns between the U.S. and others countries were positive and that the contagion effect exists among stock markets. Financial markets displayed contagion effects, in that the global equity markets were confronted with elevated systematic risk at the same time. Therefore, this study further examines the role of systematic risk in the equity market of each country. I used the rolling formulae, the MV-DGP, and DCC-GARCH (1, 1) models to estimate the CAPM beta and downside betas. This study found higher systematic risk (downside systematic risk) in the stock markets of the United States, Germany, France and Brazil, which had beta values nearly above one, while the Chinese stock market had the lowest systemic risk and served as a hedge for investors and fund managers. Finally, the results demonstrate that DCC-HW beta can capture some downside linkages between the market portfolios and expected stock returns, while these linkages cannot likely be captured by the CAPM beta.

This research is aimed at assessing the quantitative risks involved with an ethanol pipeline. Pipelines that run from the Midwest, where the vast majority of ethanol is produced, to the target areas where reformulated gasoline is required (California, Texas Gulf Coast, New England Atlantic Coast) will be of particular interest. The goal is to conduct a quantitative risk assessment on the pipeline, truck, and rail transportation modes to these areas. As a result of the quantitative risk assessment, we are able to compare the risk associated with the different modes of transportation for ethanol. In order to perform and compare the quantitative risk assessment, the following challenges are addressed: • Identify target areas requiring reformulated gasoline • Map detailed route for each transportation mode to all three target areas • Perform a quantitative risk assessment for each transportation mode • Compare quantitative risk assessment results for each route and transportation mode The focus is on California, Texas Gulf Coast, and New England Atlantic Coast because of the large volume. It is beneficial to look at these areas as opposed to the smaller areas because pipeline transportation requires very large volumes. In order to find a meaningful comparison between all three transportation modes, only the areas with the three large volumes were evaluated. Since the risk assessment is completed using historical data, each route is segmented in a way that is consistent with the data that is available. All of the curves support the hypothesis that pipeline transportation poses the least societal risk when transporting ethanol from the Midwest to target areas. Rail transportation poses the largest amount of societal risk. While overall rail incidents are not as frequent as road incidents, the frequency of a fatality is much higher when an incident does occur.

Foot and Mouth Disease (FMD) could have a significant impact on the U.S. agriculture industry and the welfare of U.S. producers and U.S. consumers. In order to address the potential impact from animal disease outbreaks, this project is designed to utilize a combined epidemic and economic modeling framework to evaluate animal disease management strategies which can be used to reduce the potential losses in an unusual event such as FMD outbreaks. In this study, we compare the welfare changes among three different parties with different strategies using, 1) ANOVA analysis; 2) cost benefit analysis; and 3) Risk Aversion Coefficient (RAC) analysis. Four types of index feedlots are selected in the study including, Feedlot Type 1 (> 50,000 heads of animals), Feedlot Type 4 (backgrounder feedlot), Large Beef Grazing (>100 heads of animals), and Backyard (<10 heads of animals). Results suggest that early detection of FMD events has the advantage in reducing risk as shown in the epidemiological impacts. Enhanced surveillance is found to be a preferred mitigation strategy for U.S. consumers in the scenario of smaller feedlot disease introductions (e.g. Large Beef Grazing and Backyard) and for U.S. producers in the larger feedlot disease introduction scenarios (e.g. Feedlot Type 1 and Feedlot Type 4). Adequate vaccination is not cost effective when seeking to minimize average loss but becomes a preferred strategy when the risk aversion rises. Risk modeling with stochastic programming adopted in this study also confirms the importance of incorporating risk evaluation into decision making process. It offers another option for us to evaluate the mitigation strategies. Two portfolio models are adopted in this study including, E-V model (mean variance portfolio choice model) and Unified model. The results show that the preference for control strategies depends on risk attitude. Early detection proves to be preferable for U.S. consumers and is also preferred by U.S. processors and producers as Risk Aversion Parameters (RAP) rises. Adequate vaccination strategy can benefit U.S. consumers but does not give U.S. processors a better outcome. Adequate vaccination provides a better choice for U.S. producers when the RAP rises. Enhanced surveillance is preferred for U.S. consumers. For U.S. processors, enhanced surveillance does not give a better risk/return outcome. U.S. producers are likely to switch their preferences from regular surveillance to enhanced surveillance as their RAP rises.

Issuing cash cards brings banks a large amount of money from interest and fees. Because of the reason, many banks that refused to join the competition in the beginning changed their minds and offer the similar product to compete with each other. In such intensified competition environment, in order to earn customers¡¦ attention and grab the market shares, banks simply loosen the approved criteria, increase the approved speed, and lower the interest rates. However, if banks take these actions without thinking carefully or planning cautiously, it is very easy to have problems in the risk management. This research try to from the organization staffs¡¦ point of view to discuss what kinds of policies will affect their risk management perception and if there is any relationship between perception and achievement. Besides, this research also tries to understand where risk management should put great emphasis and what kinds of risks banks should pay attention when operating the business of cash cards This research assumes different card approved time, interest rates, credit limit update time, and credit evaluation systems will affect cash cards risk management perception. And the results find that higher interest rates and credit evaluation systems designed by foreign have significant effect for cash cards risk management perception. Besides, procedures planning and customers choosing will also affect the perception. All in all, banks with better risk management perception have better performance in the market shares. As for the risk sources, the main risks come from customers choosing. Therefore, banks should have developed credit risk measure systems, or in the future banks will suffer because of these problems.

The Basel Committee was established as the Committee on Banking Regulations and Supervisory Practices.There was a strong recognition within the Committee of the overriding need for a multinational accord to strengthen the stability of the international banking system and to remove a source of competitive inequality arising from differences in national capital requirements. A capital measurement system commonly referred to as the Basel Capital Accord (or the 1988 Accord) was released to banks in July 1988. In 2000, the Committee issued Consultative Document (CP2) designed to incorporate operational risk. In June 2004, the Committee published the document ¡§International Convergence of Capital Measurement and Capital Standards, a Revised Framework¡¨ (widely known as Basel II). This study investigated 3 banks including large-sized, middle-sized and small-sized in Taiwan. And Archival Research and Interviews were used to analyze the regulatory treatment of Operational Risk in the New Basel Capital Accord. In conclusion, this study recommends some appropriate measures to bankers in accordance with the New Basel Capital Accord. Furthermore, several suggestions are also proposed to bankers and the supervisors.

In recent years, the government gradually opens the new bank establishment, causes the financial organ to enter another competition the time. However because the petroleum crisis causes the inflation, the original material rise, the interest rate undulation to be frequent, the industrial field and the finance service sector's control relaxes or relieves the limiting condition, causes many investments services multiplex, the negotiable securities, the liberalization and the internationalization. Furthermore, because under the financial service multiplication transformation, its service area separates day by day fuzzily, the financial organ should truly understand the bank storm danger spot, establishes the good risk management system, conforms to principle of the organization safe steady transport business. The new Basel capital accord reached an agreement already is regarded as one of international finance overseeing standards; In its agreement regarding the credit risk credit appraisal, the final goal is expected the silver behavior establishment innate internal credit comments and so on the system (IRB) reflects bank itself the management essence. The computation credit risk standard method and the interior comment and so on the law may say is the important angle in new Basel capital accord , the interior to comment and so on the law is according to 1988 the old version reached an agreement made the revision. This research also aims at in the new old version and new edition the credit risk in the risk weights, carries out the standard, various countries' implementation present situation, and makes the share questionnaire survey to understand our country finance industry and the enterprise regarding the new edition procedure, do again with Europe and America alternately compares. The expectation penetrates these comparative analyses, can discover difference and the improvement revises the place, provides our country financial organ and the proper authorities, faces up to the risk management transport business of regarding the organization importance, truly achieved so-called and international connects rails the goal.

SME Credit Guarantee Fund established for the express purpose is to supply SME credit guarantee with the potential for development but lack the Collateral. It was financial institutions and credit financing. This study was based on a combination of market-based risk neutral evaluation model and insurance actuarial Principle assess the SME Credit Guarantee Fund to ensure that the current main business of insurance rates, According to the estimate and to the SME Credit Guarantee Fund and commercial banks to be charged with considerable risk of price compensation. In the management of business credit guarantees default risk. Bank of samples by the empirical results show that under this model receivable procedures for estimating costs, and the total amount of compensation rather, past a single 0.75% guaranteed rates significantly undervalued, with a single rate is the inverse effect of choice, nearly half over the industry higher than the current guarantee fee from the top 1.5%. If a word, which is the standard fees, fear is still not allow the fund to two-profit and loss. The model is a simple response to both the characteristics of market information, for the SME Credit Guarantee Fund in the risk management and pricing rates to be on the reference. Keywords:SME Credit Guarantee Fund. Credit risk. Risk management. Insurance Actuarial Model

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This research is aimed at assessing the quantitative risks involved with an ethanol pipeline. Pipelines that run from the Midwest, where the vast majority of ethanol is produced, to the target areas where reformulated gasoline is required (California, Texas Gulf Coast, New England Atlantic Coast) will be of particular interest. The goal is to conduct a quantitative risk assessment on the pipeline, truck, and rail transportation modes to these areas. As a result of the quantitative risk assessment, we are able to compare the risk associated with the different modes of transportation for ethanol. In order to perform and compare the quantitative risk assessment, the following challenges are addressed: 1) Identify target areas requiring reformulated gasoline 2) Map detailed route for each transportation mode to all three target areas 3) Perform a quantitative risk assessment for each transportation mode 4) Compare quantitative risk assessment results for each route and transportation mode The focus is on California, Texas Gulf Coast, and New England Atlantic Coast because of the large volume. It is beneficial to look at these areas as opposed to the smaller areas because pipeline transportation requires very large volumes. In order to find a meaningful comparison between all three transportation modes, only the areas with the three large volumes were evaluated. Since the risk assessment is completed using historical data, each route is segmented in a way that is consistent with the data that is available. All of the curves support the hypothesis that pipeline transportation poses the least societal risk when transporting ethanol from the Midwest to target areas. Rail transportation poses the largest amount of societal risk. While overall rail incidents are not as frequent as road incidents, the frequency of a fatality is much higher when an incident does occur.