This dissertation presents a liquidity stress-testing model for evaluating liquidity and systemic risk in banks from developed and emerging economies respectively. The model further relies on simulations to generate liquidity buffer losses for both a non-crisis and crisis period as well. The emerging economy is represented by South Africa (SA) and the developed economy by the United Kingdom (henceforth UK). The Liquidity Stress Tester model (LST) has been successfully applied to both the Dutch and UK markets in previous research. The model's flexibility and adaptability allows it to assess different banking systems and different reactions (buffer restoration and leverage targeting) of participants within these milieus. The LST considers feedback effects arising from bank reactions and allows for the assessment of severely stressed haircuts and systemic risk increases caused by reputation degradation and increased contagion from other banks. Losses stemming from the second round effects of a liquidity event are explored through the reactions conducted by banks in the banking system. The study conducts a review of liquidity risk models utilised in previous research. Characteristics of these models and the data they used are highlighted, shedding light on the advantages and shortcomings of these models. Possible restrictions in liquidity risk management are also explored. The study discusses the relevance of the South African/UK economies' comparison, as well as the selected periods chosen for investigation. To assist further research with the LST, the study illustrates and discusses how it is modelled and developed in Microsoft Office Excel. The results obtained illustrate the potential severity of second round feedback effects of a liquidity event on liquidity positions in banks. The effects of mitigating actions conducted by banking institutions reacting to initial liquidity stress shocks are explored, as well as the way these actions could potentially affect second round effects on banks. The analysis and discussion of simulated results attempts to isolate and identify characteristics of economies and periods used that may have contributed to specific liquidity events. The study concludes with a summary of the research and suggestions for possible future work and development using the LST. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

This dissertation presents a liquidity stress-testing model for evaluating liquidity and systemic risk in banks from developed and emerging economies respectively. The model further relies on simulations to generate liquidity buffer losses for both a non-crisis and crisis period as well. The emerging economy is represented by South Africa (SA) and the developed economy by the United Kingdom (henceforth UK). The Liquidity Stress Tester model (LST) has been successfully applied to both the Dutch and UK markets in previous research. The model's flexibility and adaptability allows it to assess different banking systems and different reactions (buffer restoration and leverage targeting) of participants within these milieus. The LST considers feedback effects arising from bank reactions and allows for the assessment of severely stressed haircuts and systemic risk increases caused by reputation degradation and increased contagion from other banks. Losses stemming from the second round effects of a liquidity event are explored through the reactions conducted by banks in the banking system. The study conducts a review of liquidity risk models utilised in previous research. Characteristics of these models and the data they used are highlighted, shedding light on the advantages and shortcomings of these models. Possible restrictions in liquidity risk management are also explored. The study discusses the relevance of the South African/UK economies' comparison, as well as the selected periods chosen for investigation. To assist further research with the LST, the study illustrates and discusses how it is modelled and developed in Microsoft Office Excel. The results obtained illustrate the potential severity of second round feedback effects of a liquidity event on liquidity positions in banks. The effects of mitigating actions conducted by banking institutions reacting to initial liquidity stress shocks are explored, as well as the way these actions could potentially affect second round effects on banks. The analysis and discussion of simulated results attempts to isolate and identify characteristics of economies and periods used that may have contributed to specific liquidity events. The study concludes with a summary of the research and suggestions for possible future work and development using the LST. / MCom (Risk Management), North-West University, Potchefstroom Campus, 2013

This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.

本研究之目的在以利用不同之準備金利率來計算保險責任準備金，探討利率對於保單責任準備金之影響。以20年限期繳付、被保險人為30歲男性的終身壽險為例，當責任準備金利率下降時，保單責任準備金將在整個契約有效期間皆增加，而增加的幅度將隨著契約年度的增加而增加，至約19-20年增加幅度最大，而後隨著時間的經過增加的幅度再慢慢減少。我們觀察在不同被保險人性別下，改變繳費期間之敏感度分析，發現在利率不變之下繳費期間越長，則責任準備金最高差額之年齡也較高。

The purpose of this study was to disentangle the psychobiological mechanisms and social-evaluative conditions that mediate the process by which the Autonomic Nervous System reacts in male and female humans. We used the original Trier Social Stress Test, as well as two modifications to this original social stressor: a punishment modification and a reward modification. We obtained measures of autonomic (heart rate and respiratory sinus arrhythmia; HR and SA respectively) reactivity before, during and after the stress test. To distinguish the contribution of the different modifications and any additional difference in reactivity due to gender, the participants were randomly separated into the three modifications, where N=35 (17 male) for the no modification group, N=12 (7 male) for the punishment condition, and N=13 (8 male) for the reward condition. All participants exhibited ANS reactivity to the stressor; females exhibited the most magnified response to all modifications. Overall, the most ANS reactivity was found within the reward condition, with the no modification group exhibiting the least amount of reactivity. This suggests that the reward paradigm was the most salient of all the stressors. Evidence indicated that the ANS stress response system is highly sensitive to potential for gain and reward, especially in females.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-07-09T19:24:27Z No. of bitstreams: 1 CristianeRochadaSilvaDissertacao2018.pdf: 5301288 bytes, checksum: d93f6864fe5fb158fcddd3b560878637 (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-07-09T19:24:49Z (GMT) No. of bitstreams: 1 CristianeRochadaSilvaDissertacao2018.pdf: 5301288 bytes, checksum: d93f6864fe5fb158fcddd3b560878637 (MD5) / Made available in DSpace on 2018-07-09T19:24:49Z (GMT). No. of bitstreams: 1 CristianeRochadaSilvaDissertacao2018.pdf: 5301288 bytes, checksum: d93f6864fe5fb158fcddd3b560878637 (MD5) Previous issue date: 2018-05-14 / The aim of the present study was to analyse heart rate recovery (HRR) and chronotropic index (CI) after treadmill Bruce test in obese elderly women classified on the basis of relative manual grip strength. Methods: Eighty-eight obese elderly women who were between the ages of 60 and 87 participated in the study and were categorized and enrolled to one of two groups based on lower (< 1.51 m²) or higher (≥ 1.51 m²) relative handgrip strength, respectively. The heart rate recovery in the first and second minutes following the treadmill exercise test and the chronotropic index were compared between groups. Results: The higher relative handgrip strength group presented a significantly higher peak heart rate (p= 0,019) during exercise and a faster HRR at the first (p = 0.003) and second minutes (p = 0.002) after the ergometric test compared to the low manual grip strength group (p=0,001). Furthermore, there was a tendency (p = 0.059) towards a significantly higher CI, six-minute walk test (p = 0.001) and low time up and go time in the group of high relative manual grip strength compared to the low force group. Conclusion: In conclusion, elderly women with greater relative handgrip strength also demonstrated a better heart rate response during and following exercise and tendency to higher chronotropic index, possibly indicating better autonomic balance. / O objetivo do presente estudo foi analisar a recuperação da frequência cardíaca (RFC) e o índice cronotrópico (IC) após teste de Bruce em esteira em mulheres idosas obesas classificadas com base na força de preensão manual relativa (FPMR). Métodos: Participaram voluntariamente do estudo 88 mulheres idosas obesas entre 60 e 87 anos que foram categorizadas em dois grupos: baixa força de preensão manual relativa (<1,51 m²) e alta força de preensão manual relativa (≥ 1,51 m²). A RFC no primeiro e no segundo minutos e o índice cronotrópico após o teste ergométrico em esteira foram comparados entre os grupos. Resultados: O grupo de alta força de preensão manual relativa apresentou valores de frequência cardíaca máxima significativamente maiores durante o teste ergométrico (p= 0,019), RFC mais rápida no primeiro (p = 0,003) e segundo minutos (p = 0,002) após o teste ergométrico comparado ao grupo de baixa força de preensão manual relativa (p=0,001). Observamos tendência (p = 0,059) em direção a um IC significativamente maior, Teste de caminhada de 6 minutos (p = 0,001) e baixo tempo no time up and go no grupo de alta força de preensão manual relativa comparado ao grupo de baixa força. Conclusão: Mulheres idosas com alta força de preensão manual relativa apresentam uma melhor resposta da frequência cardíaca durante e após o teste ergométrico, tendência a um índice cronotrópico superior possivelmente indicando um melhor equilíbrio autonômico após o esforço físico e maior capacidade funcional.

This thesis explored whether haemodynamic responses to psychological stress test predict future blood pressure (BP) levels: the Reactivity Hypothesis. The research included a systematic review and two prospective cohort studies in the UK and Thai samples. In addition, the Blunted Reactivity Hypothesis, which posits that cardiovascular reactivity is inversely related to symptoms of anxiety and depression, was examined in cross-sectional analyses. A systematic review with meta-analysis and meta-regression with 41 prospective cohort studies (from 1950 to 2012) examined whether cardiovascular responses to psychological stress tests predict future BP levels, hypertension status, preclinical coronary heart disease (CHD) and cardiac events. Three possible moderators were included in analyses: type of task (active versus passive coping), age group (children versus adults), and duration of follow-up (short versus long-term follow-up). The review found that systolic BP reactions to psychological stress tests predict future systolic BP levels and that there was better prediction in child samples with shorter follow-up periods. Similarly, diastolic BP reactions to psychological stress predicted future diastolic BP levels. Cardiovascular reactions to psychological stress tests did not predict hypertension, preclinical CHD, or cardiac events. Cross-sectional analysis of two studies conducted in the UK and Thailand provided some evidence that anxiety and depressive symptoms were negatively associated with cardiovascular reactivity: these findings supported the Blunted Cardiovascular Hypothesis. However, these relationships were observed in the UK sample, but not in the Thai sample. Further, Thai participants responded to psychological stress task with large cardiovascular reactions, of a similar magnitude to the UK participants and observed in previous studies of Europeans and North Americans. Finally, prospective analyses revealed that systolic BP responses to mental arithmetic predict future systolic BP levels after one year of follow-up in both UK and Thai individuals, after controlling for baseline cardiovascular activity and traditional risk factors. In contrast, haemodynamic responses did not predict future BP. These results provide support for the “Reactivity Hypothesis” although the effect sizes were relatively small. However, responses to only one of the three stressors, mental arithmetic, predicted future BP implicating beta-adrenergically mediated cardiovascular responses. However, there was no physiologic evidence (i.e., cardiac output responses) that suggested beta-adrenergic mechanisms. Accordingly, future studies should examine alternate mechanisms (e.g., platelet aggregation and endothelial function) and cardiovascular responses in larger samples with a longer follow-up to further clarify the predictive value of reactivity in the development of hypertension, along with potential mechanisms.

Suite à la crise financière et économique de 2008, il a été constaté sur le portefeuille de négociation des banques un montant de capital réglementaire significativement inférieur aux pertes réelles. Pour comprendre les causes de cette insuffisance de capital réglementaire, il nous a paru important d'évaluer la fiabilité des modèles de mesure de risque de marché et de proposer des méthodologies de stress test pour la gestion des risques extrêmes. L'objectif est de mesurer le capital réglementaire sur un portefeuille de négociation composé d'actions et de matières premières par la mesure de la Value at Risk (VaR) et l'Expected Shortfall. Pour réaliser cet objectif, nous avons utilisé le modèle Generalized Pareto Distribution (GPD) et deux modèles internes utilisés par les banques : méthode de simulation historique et modèle de la loi normale. Une première évaluation de la fiabilité effectuée sur les trois modèles de risque sous l'hypothèse de volatilité constante, montre que les modèles internes des banques et le modèle GPD ne mesurent pas correctement le risque du portefeuille d'étude pendant les périodes de crise. Néanmoins, le modèle GPD est fiable en période de faible volatilité mais avec une forte surestimation du risque réel ; cela peut conduire les banques à bloquer plus de fonds propres réglementaires qu'il est nécessaire. Une seconde évaluation de la fiabilité des modèles de risque a été effectuée sous l'hypothèse du changement de la volatilité et par la prise en compte de l'effet asymétrique des rentabilités financières. Le modèle GPD s'est révélé le plus fiable quelles que soient les conditions des marchés. La prise en compte du changement de la volatilité a amélioré la performance des modèles internes des banques. L'intégration des scénarios historiques et hypothétiques dans les modèles de risque a permis d'évaluer le risque extrême tout en diminuant la subjectivité reprochée aux techniques de stress test. Le stress test réalisé avec les modèles internes des banques ne permet pas une mesure correcte du risque extrême. Le modèle GPD est mieux adapté pour le stress test. Nous avons développé un algorithme de stress test qui permettra aux banques d'évaluer le risque extrême de leurs portefeuilles et d'identifier les facteurs de risque responsables de ce risque. Le calcul du capital réglementaire sur la base de la somme de la VaR et du stress VaR n'est pas logique et entraîne un doublement des fonds propres réglementaires des banques. Le doublement de ces fonds propres aura pour conséquence le resserrement du crédit à l'économie. Nous observons que le coefficient multiplicateur et le principe de la racine carrée du temps de l'accord de Bâle conduisent les banques à faire un arbitrage en faveur des modèles de risque non fiables.

Suite à la crise financière et économique de 2008, il a été constaté sur le portefeuille de négociation des banques un montant de capital réglementaire significativement inférieur aux pertes réelles. Pour comprendre les causes de cette insuffisance de capital réglementaire, il nous a paru important d'évaluer la fiabilité des modèles de mesure de risque de marché et de proposer des méthodologies de stress test pour la gestion des risques extrêmes. L'objectif est de mesurer le capital réglementaire sur un portefeuille de négociation composé d'actions et de matières premières par la mesure de la Value at Risk (VaR) et l'Expected Shortfall. Pour réaliser cet objectif, nous avons utilisé le modèle Generalized Pareto Distribution (GPD) et deux modèles internes utilisés par les banques : méthode de simulation historique et modèle de la loi normale. Une première évaluation de la fiabilité effectuée sur les trois modèles de risque sous l'hypothèse de volatilité constante, montre que les modèles internes des banques et le modèle GPD ne mesurent pas correctement le risque du portefeuille d'étude pendant les périodes de crise. Néanmoins, le modèle GPD est fiable en période de faible volatilité mais avec une forte surestimation du risque réel ; cela peut conduire les banques à bloquer plus de fonds propres réglementaires qu'il est nécessaire. Une seconde évaluation de la fiabilité des modèles de risque a été effectuée sous l'hypothèse du changement de la volatilité et par la prise en compte de l'effet asymétrique des rentabilités financières. Le modèle GPD s'est révélé le plus fiable quelles que soient les conditions des marchés. La prise en compte du changement de la volatilité a amélioré la performance des modèles internes des banques. L'intégration des scénarios historiques et hypothétiques dans les modèles de risque a permis d'évaluer le risque extrême tout en diminuant la subjectivité reprochée aux techniques de stress test. Le stress test réalisé avec les modèles internes des banques ne permet pas une mesure correcte du risque extrême. Le modèle GPD est mieux adapté pour le stress test. Nous avons développé un algorithme de stress test qui permettra aux banques d'évaluer le risque extrême de leurs portefeuilles et d'identifier les facteurs de risque responsables de ce risque. Le calcul du capital réglementaire sur la base de la somme de la VaR et du stress VaR n'est pas logique et entraîne un doublement des fonds propres réglementaires des banques. Le doublement de ces fonds propres aura pour conséquence le resserrement du crédit à l'économie. Nous observons que le coefficient multiplicateur et le principe de la racine carrée du temps de l'accord de Bâle conduisent les banques à faire un arbitrage en faveur des modèles de risque non fiables. / During the financial and economic crisis of 2008, it was noticed that the amount of capital required for banks' trading portfolio was significantly less than the real losses. To understand the causes of this low capital requirement, it seemed important to estimate the reliability of the market risk models and to propose stress testing methodologies for the management of extreme risks. The objective is to measure the capital requirement on a trading portfolio, composed of shares and commodities by the measure of the Value at Risk (VaR) and Expected Shortfall. To achieve this goal, we use the Generalized Pareto Distribution (GPD) and two internal models commonly used by banks: historical simulation method and model of the normal law. A first evaluation of the reliability made on the three risk models under the hypothesis of constant volatility, shows that the internal banks' models and the GPD model do not measure correctly the risk of the portfolio during the crisis periods. However, GPD model is reliable in periods of low volatility but with a strong overestimation of the real risk; it can lead banks to block more capital requirement than necessary. A second evaluation of the reliability of the risk models was made under the hypothesis of the change of the volatility and by considering the asymmetric effect of the financial returns. GPD model is the most reliable of all, irrespective of market conditions. The performance of the internal banks' risk models improves when considering the change of the volatility. The integration of the historic and hypothetical scenarios in the risk models, improves the estimation of the extreme risk, while decreasing the subjectivity blamed to the stress testing techniques. The stress testing realized with the internal models of banks does not allow a correct measure of the extreme risk. GPD model is better adapted for the stress testing techniques. We developed an algorithm of stress testing which allow banks to estimate the extreme risk of their portfolios and to identify the risk factors causing this risk. The calculation of the capital requirement based on the sum of the VaR and the stress VaR is not logical and leads to doubling the capital requirement of banks. Consequently, it conducts to a credit crunch in the economy. We observe that the multiplier coefficient and the principle of square root of time of the Basel's agreement lead banks to make arbitration in favor of risk models that are not reliable.

This thesis investigates two different web server solutions. One is a commercial, proprietary solution known as the Windows solution that consists of Windows Server 2003, IIS and ASP. The other is a free, open source solution consisting of FreeBSD, Apache and PHP. The both solutions had the database MySQL as a common component. The hypothesis that was used in this investigation is as follows: IIS on Windows Server is not better than Apache on FreeBSD for e-commerce systems. To answer the hypothesis two empirical comparisons were conducted. One was a response time experiment testing two symmetrical web shops developed for the both solutions. For this response time test a stress test application was developed. The second comparison was a case study in the ease of installation of the two different solutions. The third empirical research method was a survey that was conducted among Swedish web hotel administrators. The survey identifies various factors that play a part when choosing one of the solutions. Open source users prefer performance, security and costs of software while Windows users prefer required knowledge, usability and compatibility. By analysing our result it is shown that the hypothesis is verified proving that an open source solution reports better performance because it has lower response times than the Windows solution. The results from the case study show that Windows is the easiest solution to install. / Den här uppsatsen undersöker två olika webbservrar lösningar. En är kommersiell patentskyddad lösning känd som Windows lösningen som består av Windows Server 2003, IIS och ASP. Den andra lösningen är en gratis open source lösning som består av FreeBSD, Apache och PHP. Båda lösningarna har databasen MySQL som en jämensam komponent. Hypotesen som användes i denna forskning är; IIS på Windows Server är inte bättre än Apache på FreeBSD för e-handel system. För att kunna besvara hypotesen gjordes två empirisk jämförelsen. En var respons tid experiment som testade två symmetriska webb shops som var utvecklad av oss för bägge lösningarna. För detta experiment utvecklades en stress test program. Den andra jämförelsen var en fallstudie i lätthet av installation av dessa två lösningar. Den tredje forsknings metoden är en undersökning bland svensk webb hotell administratörer. Undersökningen identifierar olika faktorer som spelar roll när man väljer en av lösningarna. Open source användare föredrar prestanda, säkerhet och kostnad av mjukvara medan Windows användare föredrar obligatorisk kunskap, användbarhet och jämförbarhet. Genom analys av våra resultat har vi visat att vår hypotes är verifierad och detta bevisar att open source lösningen har bättre prestanda genom att den har lägre respons tid än Windows lösningen. Resultatet av fallstudien visar att Windows är lättare att installera.