Master of Agribusiness / Department of Agricultural Economics / Bryan Schurle / Quantifying the impact of various economic events is essential for risk management in community banks. Interest rate shocks of either rapidly increasing or decreasing rates, in magnitudes of at least 200 basis points, is one of the more common risks modeled. Liquidity crises that impact deposits or loan demand can arise from either local or national economic events is another risk factor that regulators are requiring banks to quantify and plan for. Excel spreadsheets can be used to develop models to measure and quantify these risks. Simulation tools and what-if analysis using data table and scenario manager identify possible outcomes for differing interest rate scenarios, interest rate shocks and liquidity stresses. Data table was used for simulation of a stochastic model to produce a cumulative distribution function of two hundred results each on three different interest rate environments. Scenario manager was used to narrow the simulation to a certain set of expectations affecting the balance sheet of the bank and another set of expectations from an interest rate shock. Changes in the bank’s balance sheet resulting from three different commodity price expectations were modeled. An interest rate shock of four hundred basis points over a two year period was also modeled. These models are simple and cost effective. Once data are captured, the time required to develop and generate scenarios is manageable. The model can be used for a wide range of what-if alternatives as an individual bank may see fit. These models are adequate to meet present regulatory requirements for a community bank of smaller size that is not complex and does not possess a high risk profile.

Understanding the determinants of aggregated default probabilities (PDs) has attracted substantial research over the past decades. This study addresses two major difficulties in understanding the determinants of aggregate PDs: Model uncertainty and multicollinearity among the regressors. We present Bayesian Model Averaging (BMA) as a powerful tool that overcomes model uncertainty. Furthermore, we supplement BMA with ridge regression to mitigate multicollinearity. We apply our approach to an Austrian dataset. Our findings suggest that factor prices like short term interest rates and energy prices constitute major drivers of default rates, while firms' profits reduce the expected number of failures. Finally, we show that the results of our baseline model are fairly robust to the choice of the prior model size. / Series: Research Report Series / Department of Statistics and Mathematics

Stress testing is a macro-prudential analytical method of assessing the financial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank-by-bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting-up the framework for the countries that were not much covered in former studies and that face the limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to the emerging markets that suffer from the similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk

Background: Stress tests have been increasingly used as a part of the supervisory tool by national regulators after the financial crisis, which can also be used to conduct authorities’ supervisory for determining bank capital levels, assessing the health of a bank. Purpose: The main purpose of this study is to assess whether some micro factors play important roles on the changes of Common Equity Tier One Capital Ratio (between the bank accounting value and the stress testing results under the adverse scenarios).  Our secondary purpose is to investigate if our empirical results will help to provide some theoretical suggestions to regulators when they exercise stress tests.   Method: An empirical analysis by using Panel Data, introducing GARCH model to measure volatility.   Empirical foundation: The results of EU-wide stress tests and bank financial statements   Conclusion: The coefficient associated with non-performing loans to total loans is positively significant and the coefficient associated with bank size is negatively significant.  In addition, the financial system of strong banks is better to absorb financial shocks. These findings are useful, as banks is a reflection of the financial stability of an economic entity, we can use these findings as another reason to pay attention to the process of the stress testing rather just stress testing results.

Em julho de 2008, a ANVISA publicou um informe técnico esclarecendo um item importante da RE nº 1 (2005), que trata sobre os estudos de estabilidade de medicamentos. Este documento originou uma nova RDC de nº 58, publicada em dezembro de 2013, a qual estabelece limites para produtos de degradação em medicamentos. O objetivo do presente trabalho foi avaliar o comportamento do antineoplástico cloridrato de doxorrubicina frente a condições de decomposição (hidrólise ácida, básica, oxidação, temperatura e fotólise), a fim de se determinar suas principais vias de degradação e também elucidar as estruturas de seus principais produtos de degradação. Para isso foi desenvolvido e validado um método indicativo de estabilidade por HPLC-DAD-MS, o qual utiliza como fase estacionária uma coluna Luna C18(2) (150 mm x 3,0 mm, µm) com gradiente de fase móvel de tampão formiato de amônio 5 mmoles.L-1 pH 3 e metanol e fluxo de 0,3 mL.min-1. Ao longo do estudo foram encontrados diversos produtos de degradação, dentre eles a 7- deoxidehidrodoxorrubicinona, originada por hidrólise ácida e também o produto da degradação térmica de m/z 530, o qual foi encontrado nas análises do medicamento após expirado seu prazo de validade. Além disso, a avaliação da toxicidade in vitro de amostras contendo produtos de degradação de origem térmica indicou atividade citotóxica para células mononucleares. / ANVISA has published in July 2008, a technical sheet expaining an important item of the RE No. 1 (2005), which describes drugs stability studies. This document originated a new RDC No. 58, published in December 2013, which sets thresholds for degradation products in pharmaceuticals. The aim of this study was to evaluate the behavior for the antineoplastic doxorubicin when exposed to stress conditions (acid and base hydrolysis, oxidaton, photolysis and temperature) in order to determine the major pathaways of degradation and also to elucidate the stuctures of their main degradation products. To this was developed and validated a target stability indicatinf method by HPLC-DAD-MS, with Luna C18 (2) (150 mm x 3.0 mm. 3 µm) column as stationary phase and a mobile phase gradient composed of ammonium formate buffer 5 mmoles.L-1 and pH 3 and metanol with flow of 0.3 ml min-1. Throughout the study many degradation products was discovered, among them 7- deoxydehydrodoxorubicinone, formed by acid hydrolysis and also the main product of termal decomposition of m/z 530, wich was found in the analyzes of the medicine after the expiry of its validity were found. Furthermore, evaluation of the in vitro toxicity of samples containing degradation products of thermal decomposition was found to be citotoxic for mononuclear cells.

Em julho de 2008, a ANVISA publicou um informe técnico esclarecendo um item importante da RE nº 1 (2005), que trata sobre os estudos de estabilidade de medicamentos. Este documento originou uma nova RDC de nº 58, publicada em dezembro de 2013, a qual estabelece limites para produtos de degradação em medicamentos. O objetivo do presente trabalho foi avaliar o comportamento do antineoplástico cloridrato de doxorrubicina frente a condições de decomposição (hidrólise ácida, básica, oxidação, temperatura e fotólise), a fim de se determinar suas principais vias de degradação e também elucidar as estruturas de seus principais produtos de degradação. Para isso foi desenvolvido e validado um método indicativo de estabilidade por HPLC-DAD-MS, o qual utiliza como fase estacionária uma coluna Luna C18(2) (150 mm x 3,0 mm, µm) com gradiente de fase móvel de tampão formiato de amônio 5 mmoles.L-1 pH 3 e metanol e fluxo de 0,3 mL.min-1. Ao longo do estudo foram encontrados diversos produtos de degradação, dentre eles a 7- deoxidehidrodoxorrubicinona, originada por hidrólise ácida e também o produto da degradação térmica de m/z 530, o qual foi encontrado nas análises do medicamento após expirado seu prazo de validade. Além disso, a avaliação da toxicidade in vitro de amostras contendo produtos de degradação de origem térmica indicou atividade citotóxica para células mononucleares. / ANVISA has published in July 2008, a technical sheet expaining an important item of the RE No. 1 (2005), which describes drugs stability studies. This document originated a new RDC No. 58, published in December 2013, which sets thresholds for degradation products in pharmaceuticals. The aim of this study was to evaluate the behavior for the antineoplastic doxorubicin when exposed to stress conditions (acid and base hydrolysis, oxidaton, photolysis and temperature) in order to determine the major pathaways of degradation and also to elucidate the stuctures of their main degradation products. To this was developed and validated a target stability indicatinf method by HPLC-DAD-MS, with Luna C18 (2) (150 mm x 3.0 mm. 3 µm) column as stationary phase and a mobile phase gradient composed of ammonium formate buffer 5 mmoles.L-1 and pH 3 and metanol with flow of 0.3 ml min-1. Throughout the study many degradation products was discovered, among them 7- deoxydehydrodoxorubicinone, formed by acid hydrolysis and also the main product of termal decomposition of m/z 530, wich was found in the analyzes of the medicine after the expiry of its validity were found. Furthermore, evaluation of the in vitro toxicity of samples containing degradation products of thermal decomposition was found to be citotoxic for mononuclear cells.

Magistro baigiamajame darbe nagrinėjamas Lietuvos bankinio sektoriaus kredito rizikos valdymas 2008-2011 m. laikotarpiu: teorinėje dalyje pateikiama bendroji kredito rizikos esmė, išskiriami galimi kreditų rizikos valdymo modeliai, metodai ir priemonės, lyginami skirtingų užsienio mokslininkų kredito rizikos valdymo empiriniai tyrimai. Empirinėje dalyje atliekama Lietuvos bankų sektoriaus suteiktų kreditų dinaminė analizė 2008-2011 m., sąryšiu su pagrindiniais kredito ir bankinės veiklos kokybės rodikliais, kreditų palūkanų normomis ir aptariama Lietuvos ūkinė situacija finansinės krizės metu. Konstruktyvioje dalyje pateikiamas galimas kredito rizikos valdymo modelis Lietuvos bankiniame sektoriuje. / In the final thesis of the Master‘s degree there are analyzed the credit risk management in Lithuanian banking sector in year 2008-2011: in the theoretical part there are described the general credit risk definition, highlighted models, approaches and tool for credit risk management, compared the interpretation aspects of credit risk management researches by different scientists. In the empirical part there are represented the dynamics of given credits in year 2008-2011, and its’ relationship with the main measures of the quality of credit portfolio and commercial banks‘ activity. In the last part there is represented the model for credit risk management in Lithuanian banking sector.

Dans cette thèse, nous discutons du stress, de l'incertitude et de la multimodalité des mesures de risque en accordant une attention particulière à deux parties. Les résultats ont une influence directe sur le calcul du capital économique et réglementaire des banques. Tout d'abord, nous fournissons une nouvelle mesure de risque - la VaR du stress du spectre (SSVaR) - pour quantifier et intégrer l'incertitude de la valeur à risque. C'est un modèle de mise en œuvre de la VaR stressée proposée par Bâle III. La SSVaR est basée sur l'intervalle de confiance de la VaR. Nous étudions la distribution asymptotique de la statistique de l'ordre, qui est un estimateur non paramétrique de la VaR, afin de construire l'intervalle de confiance. Deux intervalles de confiance sont obtenus soit par le résultat gaussien asymptotique, soit par l'approche saddlepoint. Nous les comparons avec l'intervalle de confiance en bootstrapping par des simulations, montrant que l'intervalle de confiance construit à partir de l'approche saddlepoint est robuste pour différentes tailles d'échantillons, distributions sous-jacentes et niveaux de confiance. Les applications de test de stress utilisant SSVaR sont effectuées avec des rendements historiques de l'indice boursier lors d'une crise financière, pour identifier les violations potentielles de la VaR pendant les périodes de turbulences sur les marchés financiers. Deuxièmement, nous étudions l'impact de la multimodalité des distributions sur les calculs de la VaR et de l'ES. Les distributions de probabilité unimodales ont été largement utilisées pour le calcul paramétrique de la VaR par les investisseurs, les gestionnaires de risques et les régulateurs. Cependant, les données financières peuvent être caractérisées par des distributions ayant plus d'un mode. Avec ces données nous montrons que les distributions multimodales peuvent surpasser la distribution unimodale au sens de la qualité de l'ajustement. Deux catégories de distributions multimodales sont considérées: la famille de Cobb et la famille Distortion. Nous développons un algorithme d'échantillonnage de rejet adapté, permettant de générer efficacement des échantillons aléatoires à partir de la fonction de densité de probabilité de la famille de Cobb. Pour une étude empirique, deux ensembles de données sont considérés: un ensemble de données quotidiennes concernant le risque opérationnel et un scénario de trois mois de rendement du portefeuille de marché construit avec cinq minutes de données intraday. Avec un éventail complet de niveaux de confiance, la VaR et l'ES à la fois des distributions unimodales et des distributions multimodales sont calculés. Nous analysons les résultats pour voir l'intérêt d'utiliser la distribution multimodale au lieu de la distribution unimodale en pratique. / In this thesis, we focus on discussing the stress, uncertainty and multimodality of risk measures with special attention on two parts. The results have direct influence on the computation of bank economic and regulatory capital. First, we provide a novel risk measure - the Spectrum Stress VaR (SSVaR) - to quantify and integrate the uncertainty of the Value-at-Risk. It is an implementation model of stressed VaR proposed in Basel III. The SSVaR is based on the confidence interval of the VaR. We investigate the asymptotic distribution of the order statistic, which is a nonparametric estimator of the VaR, in order to build the confidence interval. Two confidence intervals are derived from either the asymptotic Gaussian result, or the saddlepoint approach. We compare them with the bootstrapping confidence interval by simulations, showing that the confidence interval built from the saddlepoint approach is robust for different sample sizes, underlying distributions and confidence levels. Stress testing applications using SSVaR are performed with historical stock index returns during financial crisis, for identifying potential violations of the VaR during turmoil periods on financial markets. Second, we investigate the impact of multimodality of distributions on VaR and ES calculations. Unimodal probability distributions have been widely used for parametric VaR computation by investors, risk managers and regulators. However, financial data may be characterized by distributions having more than one modes. For these data, we show that multimodal distributions may outperform unimodal distribution in the sense of goodness-of-fit. Two classes of multimodal distributions are considered: Cobb's family and Distortion family. We develop an adapted rejection sampling algorithm, permitting to generate random samples efficiently from the probability density function of Cobb's family. For empirical study, two data sets are considered: a daily data set concerning operational risk and a three month scenario of market portfolio return built with five minutes intraday data. With a complete spectrum of confidence levels, the VaR and the ES from both unimodal distributions and multimodal distributions are calculated. We analyze the results to see the interest of using multimodal distribution instead of unimodal distribution in practice.

This dissertation proposes stress testing of a bank’s corporate credit portfolio in a Basel Internal Ratings Based (IRB) framework, using publicly available macroeconomic variables. Corporate insolvencies are used to derive a credit cycle index, which is linked to macroeconomic variables through a multiple regression model. Probability of default (PD) and loss given default (LGD) that are conditional on the worst state of the credit cycle are derived from through-the-cycle PDs and LGDs. These are then used as stressed inputs into the Basel regulatory and Economic capital calculation for credit risk. Contrary to the usual expert judgement stress testing approaches, where management apply their subjective view to stress the portfolio, this approach allows macroeconomic variables to guide the severity of selected stress testing scenarios. The result is a robust stress testing framework using Rösch and Scheule (2008) conditional LGD that is correlated to the stressed PD. The downturn LGD used here is an alternative to the widely used Federal Reserve downturn LGD which assumes no correlation between PDs and LGDs. / Dissertation (MSc)--University of Pretoria, 2014. / gm2014 / Mathematics and Applied Mathematics / Unrestricted

This project deals with testing of web services. The result of this work will be a tool for load testing of web services using fault injection in their communication. The first part of the project discusses the basic aspects of testing web services. The second part of the work is more focused on testing high loads in combination with fault injection. The tool will allow automated run of the tests. The distributed model of the tool was designed to simulate real loads. In the last chapter are summarized achieved results.