Univ., Diss.--Würzburg, 2004. / Literaturverz. S. 419 - 447.

自2014年政府提出金融業「打亞洲盃」的政策願景後，金融業開始更為積極的構思如何佈局東南亞，其中證券業因國內市場經營不易，證券市場逐漸萎縮，因此更急需往國外發展，開拓業務範圍。唯東南亞國家多因語言差異、風俗習慣隔閡，及資訊取得不易等因素，台灣證券商在缺乏資訊的情況下難以判斷應佈局於何處，以及應如何佈局，故本研究藉由蒐集各國文獻及資訊之文獻分析法，統整分析後提出台灣證券業佈局東南亞可行的策略、方向，從最基礎的經濟環境切入，分析潛在市場規模大小和未來成長潛力，找尋合適的佈局標的，擴大經營版圖，擺脫台灣證券市場萎縮之困境，並建構出適合台灣證券業之國際化經營發展策略，期能與國外證券商分庭抗禮，乃至於發展為亞洲區域型券商。 / Since Taiwan government announced that financial sectors competing across Asia in 2014, Taiwan’s financial institutions has worked more aggressively on how to reaching out to Southeast Asia. Especially for securities sectors, Taiwan’s securities firms need to expand business abroad because Taiwan’s securities market are shriveling. Because of the shortage of data and difference of languages, it is difficult for Taiwan’s securities firms to do research in finding out appropriate target market to invest in. So the purpose of this study is to find out the most appropriate target market to invest in for Taiwan’s securities firms. This study found out the best entry target and the development strategy for Taiwan securities sectors to develop into regional securities firms in Asia by case study between international level securities firm and Taiwan securities firm.

Opbrengskoerse van vasterentedraende effekte verander as gevolg van veranderings in vraag en aanbod op die kapitaalmark. Die veranderinge in opbrengskoerse bei'nvloed die pryse van vasterentedraende effekte, asook van die opsies op hierdie effekte en stel beleggers in hierdie instrumente bloot aan beleggingsrisiko. Hierdie studie ondersoek die uitwerking van veranderings in die opbrengskoerse op die pryse van vasterentedraende eff ekte en opsies indien geen verskansing teen beleggingsrisiko toegepas word nie. Verder word verskillende verskansingstegnieke vergelyk ten einde te bepaal welke tegniek beleggingsrisiko die mees doeltreffendste kan beperk. Die studie toon aan dat dit wenslik is om beleggings en vasterentedraende effekte en opsies teen beleggingsrisiko te verskans. Empiriese toetse is op verskeie tegnieke gedoen om te bepaal watter verskansingstegnieke beleggingsrisiko die doeltreffendste kan beperk. Die gevolgtrekking is dat beleggingsrisiko inderdaad doeltreffend beperk kan word. Vir elke posisie in vasterentedraende en opsies is 'n spesifieke verskansingstegniek gei'dentifiseer om sodanige posisie doeltreffend in terme van winsgewendheid te verskans. / Yield on fixed interest bearing securities change as a result of changes in the supply and demand in the capital market. These changes in the yield influence the prices of fixed interest securities, as well as options on fixed interest securities and expose .investors in these instruments to investment risk. This study investigates the effect of changes in yield on the prices of fixed interest securities and options if no hedging against investment risk is instituted. Different techniques are compared to establish which technique will restrict investment risk effectively. This study shows that it is desirable to hedge investments in fixed interest securities and options against investment risk. Empirical tests were conducted on a variety of techniques to establish which technique would restrict investment risk effectively. The conclusion is that investment risk can be limited. A specific technique has been identified for each position in fixed interest securities and options that can hedge such a position effectively against investment risk in terms of profitability. / Business Management / MCOM (Bedryfsekonomie)

It is unfair to the investing public and detrimental to the interests of the security markets for a person to trade on the basis of inside information. In this short dissertation, the laws regulating insider trading in South Africa prior to the current legislative provisions are briefly discussed. It is found that the old provisions were inadequate in deterring and punishing insider trading activities. The current legislative provisions are analysed in detail. It becomes clear that whilst the current provisions are a substantial improvement on their predecessor, certain aspects need to be reconsidered. These include the widening of their scope to include trading in all kinds of derivatives; the reformulation of the statutory civil action and the empowerment of the securities regulation panel to bring a civil action against insider traders. / Private Law / LL.M.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

This dissertation studies the adverse financial implications of "longevity risk" and "mortality risk", which have attracted the growing attention of insurance companies, annuity providers, pension funds, public policy decision-makers, and investment banks. Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing mortality-linked securities that facilitates the emergence of liquid markets. First, this dissertation introduces the discrete models proposed in previous literature. The models include: the Lee-Carter Model, the Renshaw Haberman Model, The Currie Model, the Cairns-Blake-Dowd (CBD) Model, the Cox-Lin-Wang (CLW) Model and the Chen-Cox Model. The different models have captured different features of the historical mortality time series and each one has their own advantages. Second, this dissertation introduces a stochastic diffusion model with a double exponential jump diffusion (DEJD) process for mortality time-series and is the first to capture both asymmetric jump features and cohort effect as the underlying reasons for the mortality trends. The DEJD model has the advantage of easy calibration and mathematical tractability. The form of the DEJD model is neat, concise and practical. The DEJD model fits the actual data better than previous stochastic models with or without jumps. To apply the model, the implied risk premium is calculated based on the Swiss Re mortality bond price. The DEJD model is the first to provide a closed-form solution to price the q-forward, which is the standard financial derivative product contingent on the LifeMetrics index for hedging longevity or mortality risk. Finally, the DEJD model is applied in modeling and pricing of life settlement products. A life settlement is a financial transaction in which the owner of a life insurance policy sells an unneeded policy to a third party for more than its cash value and less than its face value. The value of the life settlement product is the expected discounted value of the benefit discounted from the time of death. Since the discount function is convex, it follows by Jensen's Inequality that the expected value of the function of the discounted benefit till random time of death is always greater than the benefit discounted by the expected time of death. So, the pricing method based on only the life expectancy has the negative bias for pricing the life settlement products. I apply the DEJD mortality model using the Whole Life Time Distribution Dynamic Pricing (WLTDDP) method. The WLTDDP method generates a complete life table with the whole distribution of life times instead of using only the expected life time (life expectancy). When a life settlement underwriter's gives an expected life time for the insured, information theory can be used to adjust the DEJD mortality table to obtain a distribution that is consistent with the underwriter projected life expectancy that is as close as possible to the DEJD mortality model. The WLTDDP method, incorporating the underwriter information, provides a more accurate projection and evaluation for the life settlement products. Another advantage of WLTDDP is that it incorporates the effect of dynamic longevity risk changes by using an original life table generated from the DEJD mortality model table. / text

Past several decades have been an extraordinary time period in the history of extreme catastrophes e, g., the September 11 terrorist attack (2001), the South Asia tsunami (2004), and Hurricane Katrina (2005). Life insurance industry also faces catastrophic risk events- longevity and mortality risks. Facing this insurance/reinsurance capacity shortage, raising additional equity capital is one of solutions. Then, innovation occurred. Insurance-linked securities (ILS) was created. Insurance-linked securities is a means of transferring insurance risks to the capital market. Since the inception of the market in 1996, ILS has evolved to become a strong complement to traditional reinsurance, providing benefits to transaction sponsors, i.e. ceding companies. This study explores the prospects for ILS by focusing on some issues, First of all, the product features of ILS, reviewing the structure, trigger mechanism, perils, capacity, pricing and costs of ILS. Secondly, this will make some analysis for the international market development of ILS. Thirdly, This study will turn on to the potential market in Taiwan. The study tries to review the potential market in Taiwan from property casualty insurance and life insurance respectively. Finally, with the analysis in various aspects, hopefully, the study can provide solid conclusion for ILS development in Taiwan. / Past several decades have been an extraordinary time period in the history of extreme catastrophes e, g., the September 11 terrorist attack (2001), the South Asia tsunami (2004), and Hurricane Katrina (2005). Life insurance industry also faces catastrophic risk events- longevity and mortality risks. Facing this insurance/reinsurance capacity shortage, raising additional equity capital is one of solutions. Then, innovation occurred. Insurance-linked securities (ILS) was created. Insurance-linked securities is a means of transferring insurance risks to the capital market. Since the inception of the market in 1996, ILS has evolved to become a strong complement to traditional reinsurance, providing benefits to transaction sponsors, i.e. ceding companies. This study explores the prospects for ILS by focusing on some issues, First of all, the product features of ILS, reviewing the structure, trigger mechanism, perils, capacity, pricing and costs of ILS. Secondly, this will make some analysis for the international market development of ILS. Thirdly, This study will turn on to the potential market in Taiwan. The study tries to review the potential market in Taiwan from property casualty insurance and life insurance respectively. Finally, with the analysis in various aspects, hopefully, the study can provide solid conclusion for ILS development in Taiwan.

This thesis presents three essays on the Chinese equity market. Specifically I focus on the long run common trends and microstructure of the market after a set of regulatory events that surrounded a trading reform in 2001. The major goal of the thesis is to establish the interaction between the composition and medium of the transaction environment and the overall observed trends within the market at the aggregate level. In Chapter 2, I present a model of common trends amongst the Chinese equity market segments and implement a robust test for cointegrating relations.  In Chapter 3, I derive a multivariate linear rational expectations model in the presence of heteroscedasticity and information asymmetry.  In Chapter 4, I implement this theoretical model for A and B share cross listed stocks on the Shanghai stock exchange and impute the model parameters.  Whilst these chapters concentrate on China, the methodology and economic rationale are of practical relevance to all countries and most types of traded securities.

For an equity-linked insurance, the death benefit is linked to the performance of the company’s investment portfolio. Hence, both mortality risk and equity return shall be considered for pricing such insurance. Several studies have found some dependence between mortality improvement and economy growth. In this thesis, we showed that American mortality rate and Dow Jones Industrial Average (DJIA) index price are negatively dependent by using several copulas to define the joint distribution. Then, we used these copulas to forecast mortality rates and index prices, and calculated the payoffs of a 10-year term equity-linked insurance. We showed that the predicted insurance payoffs will be smaller if dependence between mortality and index price is taken into account. / October 2016