Master of Agribusiness / Department of Agricultural Economics / Brian C. Briggeman / As the recent financial crisis brought to light, the ability of commercial banks to quantify and better manage risk in their loan portfolios is paramount to their continued success and viability. Assessing, managing, and retaining capital is now a larger issue than ever given this event as well as the advent of the Basel III Accord. Pinnacle Bancorp is a community banking organization headquartered in Omaha, Nebraska with roughly $8.6 billion in assets. The company is also one of the largest agricultural lenders in the country and the largest agricultural lender among traditional community banks. Given the ominous outlook heading into 2016 for agricultural producers from lower projected net incomes and increased borrowing costs following Federal Reserve action on the Fed Funds Rate, many banks worry about the increased likelihood of default for agricultural producers. The objective of this thesis is to determine the adequacy of Pinnacle Bank’s equity capital relative to the agricultural loan portfolio. This process begins by employing binary logit regression in an effort to determine the probability of default for the bank’s agricultural loan portfolio. With default likelihood quantified, efforts are then made to determine the bank’s credit value-at-risk at various solvency levels. These figures are then compared to current capital levels in order to determine the adequacy of bank capital as measured by five key regulatory ratios ultimately imposed by Basel III. Finally, recommendations are made to management as to the adequacy of bank capital relative to the agricultural loan portfolio and any future efforts that need to be made in order to determine and ensure the adequacy of bank capital for the entire loan portfolio.

Net interest margin (NIM) is an important indicator of a bank's operational efficiency. Based on the balance sheet data of 189 major listed banks in Europe from 2010 to 2019, this thesis studies the bank's NIM mechanism in a negative interest rate environment. This thesis focuses on the system GMM method and the results show that the policy interest rate is positively related to NIM in the long run and negatively related in the short run, but the relationship between the two is not significant in the short run. Moreover, in a negative interest rate environment, bank NIM's sensitivity to policy interest rates has greatly increased, especially the policy of interest rate cuts. In addition, the sensitivity of NIMs of different banks to policy interest rates also differs significantly. Generally, the NIMs of banks with a high degree of internationalization and larger size are less sensitive to changes in policy interest rates, while the NIMs of banks with a higher share of retail business in their total business are more sensitive to changes in policy interest rates. Finally, through the value-at-risk analysis and stress test, this thesis concludes that the policy interest rate, net loan-to-asset ratio, non-performing loan ratio and inflation rate are sensitive factors of NIM. When NIM is subject to a...

Stress tests are on a regular basis mentioned on the financial markets where some institutions have to perform it as a regulatory requirement and others have it as an optional way to complement their predictions. Stress tests are used to see how robust a financial instrument or a portfolio are in various scenarios. The challenge is to construct a stress test that is sufficiently extreme, while it is still plausible. The objective of this work is to study various stress testing methods that can be applied at Second Swedish National Pension Fund (AP2) associated with their prediction of market risks. Two different methods are implemented with various scenarios and thus unique analyzes are performed for each method. Hence, the methods are not compared against each other, but each method is analyzed individually with the advantages and disadvantages based on the choice of method and type of scenarios. The results of the first method, historical stress test, shows that the stressed portfolio would decrease in value under the specified scenario. For the second method, coherent stress test, the results vary for the different scenarios. / På den finansiella marknaden förekommer termen stresstester med jämna mellanrum, där vissa institutioner har det som krav och andra har det som ett frivilligt sätt att komplettera prediktioner. Stresstester används för att mäta hur robust ett finansiellt instrument eller en portfölj är i olika scenarion, där utmaningen blir att konstruera ett stresstest som är relevant och tillräckligt extremt. Målet med arbetet är att studera olika stresstestmetoder som ska kunna bli tillämpade hos Andra AP-fonden (AP2) i samband med deras prediktion av marknadsrisker. Två olika metoder implementeras med olika scenarion och således utförs unika analyser för respektive metod. Därav jämförs inte metoderna mot varandra utan varje metod analyseras individuellt med för- och nackdelar utifrån valet av metod och typen av scenarion. Resultatet för den första metoden, historiskt stresstest, påvisar att portföljen som stressas skulle minska i värde under det specificerade scenariot. För den andra metoden, koherent stresstest, varierar resultatet för de olika scenarierna.

Le but de cette thèse est de relier la valorisation des produits dérivés àl’analyse par scénario qui fait référence dans la gestion des banques. La valorisationdes options est un domaine qui a donné lieu à une très large littératureavec un cadre mathématique bien défini, développé plutôt à destinationdes praticiens de la finance de marché dans l’optique d’une couverture par réplication.La gestion du risque de ces produits est donc analysée sous l’angledu fameux principe d’absence d’opportunité d’arbitrage. Selon ce principe,l’estimation pour un taux futur devient celle qu’anticipe les marchés dès aujourd’huigrâce à la présence d’instrument de couverture. D’un autre côté, lepilotage financier en entreprise se base sur une approche dite “par scénario”.Différents scénarios qui semblent perspicaces et font sens économiquementpour les dirigeants de la banque sont retenus, et une projection pour chaquescénario est étudiée. Ces scénarios ne sont en général pas probabilisés; noussommes dans une modélisation de l’incertain où la notion de probabilité etd’espérance n’intervient pas. La banque, qui possède des produits complexesliés à son activité, ne se couvre pas comme le fait un service lié à des activitésde marché. C’est dans l’étude de ce cadre d’analyse que s’inscrit lathèse. Nous analysons ce besoin de projection par scénario sur le périmètredes produits complexes. / The aim of this thesis is to link the pricing of derivative products to the scenariobased analysis used in banks management. Options’ pricing has a wideliterature and a well-defined mathematical framework focusing on the marketfinance problematics and in particular on delta hedging. The risk managementof these products are thus analyzed with this point of view based onthe famous absence of arbitrage opportunity principle. Under this principle,the best estimates for tomorrow are those anticipated by the market todaydue to the presence of hedging instuments. On the other side, corporate financialmanagement is based on a scenario based approach. Senior managersselect scenarios which seem both interesting and plausible and a projectionfor each scenario is analyzed. Generally, we do not attribute probability tothe scenarios, which implies a modeling based on uncertainty where the notionof probability and mathematical expectation are not involved. Bank hascomplex products for the needs of its activity and it does not hedge them asa service related to market activities would do. We do our analyze in thisframework. We analyze this need of scenario based projection for complexproducts.

Childhood adversity is often associated with devastating physical, cognitive, and psychosocial outcomes, and is a major public health problem in terms of its prevalence and economic cost. Childhood adversity is associated with increased risk for psychopathology, as well as with dysregulation of the neurobiological stress response. An additional factor known to alter neuroendocrine functioning and increase psychopathology risk is polymorphisms within the FKBP5 gene. The goal of the current study was to examine the gene-environment interaction of childhood adversity and variation in the FKBP5 gene on the cortisol response to a psychosocial stress task (i.e., the Trier Social Stress Test). The final sample consisted of 90 depressed and non-depressed adolescents and young adults (11 - 21 years). Childhood adversity was assessed using the Childhood Experience and Abuse Scale (CECA; Bifulco et al., 1994), and was defined as the presence versus absence prior to 18 years of age of severe physical, sexual, or emotional abuse or neglect, witness to domestic discord/violence, or peer-perpetrated bullying. Participants were genotyped at the rs1360780 site of the FKBP5 gene and grouped according to whether they had at least one risk T allele (i.e., TT or TC genotype versus the CC genotype). Controlling for depression and anxiety psychopathology, I found a significant interaction of FKBP5 and childhood adversity status such that individuals with the FKBP5 risk allele (i.e., TT or TC genotype) and a history of childhood adversity showed a distinct cortisol response pattern characterized by decreasing cortisol from baseline and less cortisol output compared to individuals without childhood adversity. This relationship was specific to the experience of severe adversity and appeared to be strongest when adversity was defined as witnessing domestic discord/violence. These results are consistent with a diathesis-stress model in which the FKBP5 risk allele leaves individuals vulnerable to neurobiological dysregulation in the face of severe adverse experience in childhood. The implications of this research for understanding stress-related psychopathology and the limitations of this gene-environment interaction design are discussed. / Thesis (Master, Psychology) -- Queen's University, 2013-09-05 11:24:45.764

The life insurance business is currently going through a lot of changes. The turmoil in stock markets during the last years has made regulators realize that there is a greater need for risk management and solvency supervision in the business. Denmark was one of the first countries in Europe to react to this and in 2001 the Danish FSA implemented a stress test called the Traffic Lights System. This is a tool to measure various risks in different scenarios for financial institutions. The purpose of this thesis is to analyze the effects of imposing a Danish style stress test on the Swedish life insurance market. In order to analyze the various effects of this stress test a theoretical framework consisting of fixed income securities and interest rate theory have been applied, since one of the largest risk a life insurer faces is the interest rate risk. Due to the fact that the Danish stress test is not fully applicable on the Swedish market, the authors created a model based on the Danish test to analyze Swedish life insurers. The model estimates the financial risks a life insurer faces. Analyzing the results based on the model, the authors found that three out of seven life insurers in the sample had solvency problems to various extend. The authors conclude that a great part of financial risks within life insurers can be reduced by reallocating equity holding to bonds and by duration matching between assets and liabilities. The authors also conclude that Swedish life insurers are in better financial shape today than their Danish counterparts were in 2001, which is why less dramatic effect is to be expected on the Swedish financial markets as a result of imposing the stress test.

<p>The life insurance business is currently going through a lot of changes. The turmoil in stock markets during the last years has made regulators realize that there is a greater need for risk management and solvency supervision in the business. Denmark was one of the first countries in Europe to react to this and in 2001 the Danish FSA implemented a stress test called the Traffic Lights System. This is a tool to measure various risks in different scenarios for financial institutions.</p><p>The purpose of this thesis is to analyze the effects of imposing a Danish style stress test on the Swedish life insurance market. In order to analyze the various effects of this stress test a theoretical framework consisting of fixed income securities and interest rate theory have been applied, since one of the largest risk a life insurer faces is the interest rate risk. Due to the fact that the Danish stress test is not fully applicable on the Swedish market, the authors created a model based on the Danish test to analyze Swedish life insurers. The model estimates the financial risks a life insurer faces. Analyzing the results based on the model, the authors found that three out of seven life insurers in the sample had solvency problems to various extend.</p><p>The authors conclude that a great part of financial risks within life insurers can be reduced by reallocating equity holding to bonds and by duration matching between assets and liabilities. The authors also conclude that Swedish life insurers are in better financial shape today than their Danish counterparts were in 2001, which is why less dramatic effect is to be expected on the Swedish financial markets as a result of imposing the stress test.</p>

Dysregulation of the hypothalamo-pituitary-adrenal (HPA) axis activity has been commonly observed among breast cancer patients and has been linked to adverse health consequences. However, whether these alterations persist long after the cancer diagnosis has not been well-documented. In the first study, the diurnal cortisol rhythms and the cortisol stress response of breast cancer survivors who had completed all local and/or systemic adjuvant therapy with the exception of hormonal therapy were compared to those of women without a history of cancer. The Trier Social Stress Test was used to elicit a moderate stress response and the subjective levels of stress of participants were recorded using visual analog scales. The results indicate similar diurnal patterns in both groups; however, significant differences in stress reactivity were noted, with breast cancer survivors displaying a relatively flat profile following the acute stress induction. Subjective levels of psychological stress were similar in both groups, indicating that the subjective appraisal did not account for the blunted cortisol stress response. In the second study, the impact of the stressful life events that happened during the previous year on the cortisol stress response was analyzed in the same groups of participants. The frequency of stressful life events as well as their subjective impact was documented using the Life Experience Survey. Results suggest no group differences between the total number of stressful life events and their perceived effect. However, the number of stressful life events and their perceived impact correlated negatively with the peak cortisol concentration in breast cancer survivors. The results suggest that the cumulative effect of stressful life events contribute significantly to the low levels of cortisol reported in breast cancer survivors following a stressful situation. Together, these studies emphasize that breast cancer survivors are at risk of presenting a subtle alteration of their HPA axis activity when their system is challenged and that an accumulation of stressors plays a role in this dysregulation. These results reinforce the need for interventions intended to reduce the levels of psychological stress experienced by breast cancer survivors.

No description available.

With the development of hydrogen fuel cell technology continuing to advance, rapid characterization of membranes is increasingly important for design purposes. Pressurized blister testing has been suggested as an accelerated characterization alternative to traditional relative humidity (RH) cycling tests, and is the focus of this project. Prior efforts to determine the stress state present in the pressurized membrane blister test, however, have required constitutive properties of the membrane (Young's modulus and Poisson's ratio), along with Hencky's classic model for circular membrane stresses. Herein we describe an analysis method and computer vision imaging technique that are capable of determining the stress state in a pressurized circular membrane based solely on simple equilibrium equations and geometric considerations. This analysis method is applied to an image of the blister during testing, and the only additional required data is the pressure at the time the image was taken. By pressurizing circular blisters, an equi-biaxial, mechanical stress state is induced, simulating membrane stresses experienced during fuel cell operation as humidity levels fluctuate. The analysis leverages membrane theory and the axisymmetric geometry to determine the stress state from a profile image of the inflated blister. As a check for the method, an elastomer with known constitutive properties was analyzed using both the previous Hencky's solution method, as well as the new computer vision imaging method. The comparison of stress calculation results show that the two methods agree within 5 percent. A primary mechanism of membrane failure through mechanical stressors is the growth of local defects (usually chemically induced) due to the cyclic equi-biaxial stress state. In order to better understand and characterize the effect of disparate initial defects on CCM, two primary methods to defect membranes were introduced. The first was a compression against sandpaper method meant to simulate GDL compression, and the second was a targeted method using a hypodermic needle to initiate a defect at a central location on the membrane prior to pressurization. Observing the pressure decay in these defected blisters as compared to undefected tests showed that, while undefected samples did not experience pressure decay until failure, defected samples began showing signs of leaking through pressurization cycle profiles and steady state pressures achieved. Pressure data showed that samples tended to lose pressure more quickly with increasing initial defect severity. Undefected samples exhibited no pressure loss until the moment of failure, which was often catastrophic and instantaneous. Sandpaper defected samples exhibited a slow decay in cycle steady state pressure throughout tests, with no increase in cycle pressurization time. Needle samples showed a slow decay in cycle steady state pressure as well as an increase in time for the cycles to reach steady state. The needle defects were the most locally severe and thus the pressure decay indicators were most significant out of all the samples tested. The blister test method rapidly cycles mechanical stresses in a CCM, and elucidates signs of leaking that correlate to flaw development in recorded pressure data. With further development, it might serve as a robust method to quickly test flaw growth rate and development in CCM samples. / Master of Science / Fuel cells are a technology used to supply energy to many sources. In fuel cells, the membrane can limit the lifetime of the entire cell, as the membrane separates the reactant gases allowing the generation of power. If that membrane develops holes or cracks, the fuel cell won't be able to generate as much power, and cell replacement is costly in time and money. Thus, it is important to develop robust membranes to avoid loss in efficiency as much as possible. The research here focuses on rapidly testing how long these membranes last, so that membrane performance can be appropriately ranked, leading to faster technological improvements. We developed two main methods for use in combination with existing blister pressurization equipment; an image-based method that can determine the forces in the membrane, and a novel method to defect membranes before testing. The first method uses a code-based approach to process the image of the blister profile and return stresses. The second method defects the blister before testing so the growth of the defect can be observed over time. Leaking characteristics in the blister were identified in several tests, and the severity of the defects was determined from this information. Thus, the development of the defects can be monitored through these leak characteristics.