The US sub-prime mortgage crisis greatly affected not only the US economy but also other countries in the world. This thesis employs the extreme value theory and Value at Risk (VaR) analysis to assess the impact of the US sub-prime mortgage crisis on various stock markets of the MSCI indexes, including 10 countries and 7 areas. It is reasonable to guess that VaR value should increase after the crisis. The empirical analyses on these indexes conclude that (1) the American market indexes not only do not agree with the guess after the crisis but four American indexes are identical; (2) not all the Asia market indexes consist with the guess; (3) the European market indexes agree with the guess; (4) MSCI AC PACIFIC, NEW ZEALAND, and AUSTRALIA consist with the guess; (5) the behavior for the positive log returns is different from that for the negative returns in some MSCI indexes. Over speaking, the impacts of US sub-prime mortgage crisis on those countries are not the same.

La thèse est composée de trois parties. La première présente un certain nombre de mesures de dépendance extrême. Une application sur les actions et les obligations de 49 pays montre que la théorie des valeurs extrêmes multivariées conduit aux résultats différents de ceux issus du coefficient de corrélation, mais relativement proches de ceux obtenus du rho de Spearman conditionnel multivarié. Cette partie évalue aussi le risque de pertes importantes simultanées. La deuxième partie examine les déterminants des co-mouvements extrêmes entre 5 pays core et 49 pays non core. Les mécanismes de transmission des chocs varient de la période moins récente à la période récente, des pays développés aux pays émergents, des chocs normaux aux chocs extrêmes. La troisième partie étudie le rôle de valeur refuge de l’or sur la période 1986-2012. Les gains positifs extrêmes de l'or peuvent être liés aux pertes extrêmes du S&P. Cependant, ce lien n'est pas toujours valable, il évolue dans le temps et serait conditionné par d'autres facteurs. / The thesis consists of three parts. The first part introduces a number of measures of extreme dependency. An application on stock and bond markets of 49 countries shows the multivariate extreme value theory leads to results which are different from those from the correlation coefficient, but relatively close to those obtained from multivariate conditional Spearman's rho. This part also assesses the risk of simultaneous losses. The second part examines the determinants of extreme co-movements between 5 core countries and 49 non-core countries. Transmission mechanisms of shocks vary from less recent to recent period, from developed to emerging markets, from normal to extreme shocks. The third part examines the role of safe haven of gold over the period 1986-2012. Extreme positive gains of gold can be linked to extreme losses of S&P. However, this relationship is not always valid, it evolves over time and could be determined by other factors.

Notre intérêt dans cette thèse est de combiner les différentes techniques de mesure du risque opérationnel dans les secteurs financiers, et on s'intéresse plus particulièrement aux conséquences du risque d'estimation dans les modèles, qui est un risque opérationnel particulier. Nous allons présenter les concepts mathématiques et actuariels associés ainsi qu'une application numérique en ce qui concerne l'approche de mesure avancée comme Loss Distribution pour calculer l'exigence en capital. En plus, on se concentre sur le risque d'estimation illustré avec l'analyse des scénarios de l'opinion d'experts en conjonction avec des données de pertes internes pour évaluer notre exposition aux évènements de gravité. Nous concluons cette première partie en définissant une technique de mise l'échelle sur la base de (MCO) qui nous permet de normaliser nos données externes à une banque locale Libanaise.Dans la deuxième partie, on donne de l'importance sur la mesure de l'erreur induite sur le SCR par l'erreur d'estimation des paramètres, on propose une méthode alternative pour estimer une courbe de taux et on termine par attirer l'attention sur les réflexions autour des hypothèses de calcul et ce que l'on convient de qualifier d'hypothèse "cohérente avec les valeurs de marché" serait bien plus pertinente et efficace que la complexification du modèle, source d'instabilité supplémentaire, ainsi mettre en évidence le risque d'estimation qui est lié au risque opérationnel et doit être accordé beaucoup plus d'attention dans nos modèles de travail / Our interest in this thesis is first to combine the different measurement techniques for operational risk in financial companies, and we highlight more and more the consequences of estimation risk which is treated as a particular part of operational risk. In the first part, we will present a full overview of operational risk, from the regulatory laws and regulations to the associated mathematical and actuarial concepts as well as a numerical application regarding the Advanced Measurement Approach, like Loss Distribution to calculate the capital requirement, then applying the Extreme Value Theory. We conclude this first part by setting a scaling technique based on (OLS) enabling us to normalize our external data to a local Lebanese Bank. On the second part, we feature estimation risk by first measuring the error induced on the SCR by the estimation error of the parameters, to having an alternative yield curve estimation and finishing by calling attention to the reflections on assumptions of the calculation instead of focusing on the so called hypothesis "consistent with market values", would be more appropriate and effective than to complicate models and generate additional errors and instability. Chapters in this part illustrate the estimation risk in its different aspects which is a part of operational risk, highlighting as so the attention that should be given in treating our models

La thèse comporte deux parties distinctes. La première partie concerne des modèles pour les extrêmes multivariés.On donne une construction de vecteurs aléatoires multivariés à variations régulières. La construction se base sur une extension multivariée d'un lemme de Breiman établissant la propriété de variation régulière d'un produit $RZ$ de variable aléatoire avec $R$ positive à variation régulière et $Z$ positive suffisamment intégrable. En prenant $mathbf{Z}$ multivarié et suffisamment intégrable, on montre que $Rmathbf{Z}$ est un vecteur aléatoire à variations régulières et on caractérise sa mesure limite. On montre ensuite que pour $mathbf{Z}$ de loi bien choisie, on retrouve des modèles stables classiques comme le modèle t-extremal, Hüsler-Reiss, etc. Puis, on étend notre construction pour considérer la notion de variation régulière multivariée non standard. On montre ensuite que le modèle de Pareto (qu'on appelle Hüsler-Reiss Pareto) associé au modèle max-stable Hüsler-Reiss forme une famille exponentielle complète. On donne quelques propriétés du modèle Hüsler-Reiss Pareto puis on propose un algorithme de simulation exacte. On étudie l'inférence par le maximum de vraisemblance. Finalement, on considère une extension du modèle Hüsler-Reiss Pareto utilisant la notion de variation régulière non standard. On étudie l'inférence par le maximum de vraisemblance du modèle généralisé et on propose une méthode d'estimation des paramètres. On donne une étude numérique sur l'estimateur du maximum de vraisemblance pour le modèle Hüsler-Reiss Pareto. Dans la second partie qui concerne l'apprentissage statistique, on commence par donner une borne sur la valeur singulière minimale d'une matrice perturbée par l'ajout d'une colonne. On propose alors un algorithme de sélection de colonne afin d'extraire les caractéristiques de la matrice. On illustre notre algorithme sur des données réelles de séries temporelles où chaque série est pris comme étant une colonne de la matrice. Deuxièmement, on montre que si une matrice $X$ à une propriété d'incohérence alors $X$ possède aussi une version affaiblie de la propriété NSP (null space property). Puis, on s'intéresse au problème de sélection de matrice incohérente. A partir d'une matrice $Xin mathbb{R}^{n imes p}$ et $mu>0$, on cherche la plus grande sous-matrice de $X$ avec une cohérence inférieure à $mu$. Ce problème est formulé comme un programme linéaire avec contrainte quadratique sur ${0,1}^p$. Comme ce problème est NP-dur, on considère une relaxation sur la sphère et on obtient une borne sur l'erreur lorsqu'on considère le problème relaxé. Enfin, on analyse l'algorithme de gradient stochastique projeté pour l'analyse en composante principale online. On montre qu'en espérance, l'algorithme converge vers un vecteur propre maximum et on propose un algorithme pour sélectionner le pas de l'algorithme. On illustre ensuite cet algorithme par une expérience de simulation. / This thesis in divided in two parts. The first part studies models for multivariate extremes. We give a method to construct multivariate regularly varying random vectors. The method is based on a multivariate extension of a Breiman Lemma that states that a product $RZ$ of a random non negative regularly varying variable $R$ and a non negative $Z$ sufficiently integrable is also regularly varying. Replacing $Z$ with a random vector $mathbf{Z}$, we show that the product $Rmathbf{Z}$ is regularly varying and we give a characterisation of its limit measure. Then, we show that taking specific distributions for $mathbf{Z}$, we obtain classical max-stable models. We extend our result to non-standard regular variations. Next, we show that the Pareto model associated with the Hüsler-Reiss max-stable model forms a full exponential family. We show some properties of this model and we give an algorithm for exact simulation. We study the properties of the maximum likelihood estimator. Then, we extend our model to non-standard regular variations. To finish the first part, we propose a numerical study of the Hüsler-Reiss Pareto model.In the second part, we start by giving a lower bound of the smallest singular value of a matrix perturbed by appending a column. Then, we give a greedy algorithm for feature selection and we illustrate this algorithm on a time series dataset. Secondly, we show that an incoherent matrix satisfies a weakened version of the NSP property. Thirdly, we study the problem of column selection of $Xinmathbb{R}^{n imes p}$ given a coherence threshold $mu$. This means we want the largest submatrix satisfying some coherence property. We formulate the problem as a linear program with quadratic constraint on ${0,1}^p$. Then, we consider a relaxation on the sphere and we bound the relaxation error. Finally, we study the projected stochastic gradient descent for online PCA. We show that in expectation, the algorithm converges to a leading eigenvector and we suggest an algorithm for step-size selection. We illustrate this algorithm with a numerical experiment.

Die vorliegende Arbeit untersucht die Testteilnahmemotivation von Schülerinnen und Schülern in großangelegten Schulleistungsstudien. Es wurde ein theoretisches Erwartung-Wert-Anstrengung-Modell der Testteilnahmemotivation herausgearbeitet, das in drei empirischen Studien überprüft wurde. Dabei wurde das komplexe Beziehungsgefüge zwischen Erfolgserwartung, dem wahrgenommene Wert des Tests, Anstrengungsbereitschaft und Testleistung untersucht. Datengrundlage der Studie I bildete die erste PISA-Erhebung aus dem Jahr 2000, in der die Testteilnahmemotivation durch Fragen zur Anstrengungsbereitschaft und zum wahrgenommenen Wert des Tests erhoben wurde. In Studie II und III gaben die Jugendlichen, die an der Ländervergleichsstudie im Jahr 2012 teilnahmen, Einschätzungen zu ihrer Erfolgserwartung, dem wahrgenommenen Wert des Tests und ihrer Anstrengungsbereitschaft ab. Die Ergebnisse zeigen, dass Testteilnahmemotivation zur Erklärung individueller Unterschiede in der Testleistung beiträgt (Studie I), auch wenn diverse Hintergrundinformationen der Teilnehmenden berücksichtigt werden (Studie III). Die theoretisch angenommenen Beziehungen im Erwartung-Wert-Anstrengung-Modell wurden fast vollständig bestätigt: Vor allem der wahrgenommene Wert, aber auch die Erwartungen sagten die berichtete Anstrengungsbereitschaft der Teilnehmenden vorher; die Erfolgserwartung und die Anstrengungsbereitschaft wiesen einen Zusammenhang mit der Testleistung auf (Studie II). Im Verlauf eines Leistungstests berichteten die Teilnehmenden im Durchschnitt eine Abnahme in der Anstrengung und dem Wert sowie einen stabilen Verlauf ihrer Erfolgserwartung. Zur Erklärung der Testleistung trug neben der anfänglichen Erfolgserwartung und Anstrengungsbereitschaft auch die Veränderung in der Erfolgserwartung bei (Studie III). Für eine hohe Testleistung ist es wichtig, dass die Teilnehmenden den Test motiviert beginnen und während des Tests selbstsicher bezüglich ihrer Erfolgserwartung bleiben. / The thesis investigates effects of test-taking motivation on test performance in low-stakes assessments. An expectancy-value-effort model of test-taking motivation was developed and tested in three empirical studies. The studies investigated the complex relationship between expectancy for success, perceived value of the test, test-taking effort, and test performance. The database of study I is the first PISA study. Test-taking motivation was assessed with questions about effort and the perceived value of the test. Study II and III are premised on the national assessment study in the year 2012. The students reported their expectancy for success, their perceived value of the test, and their test-taking effort. Overall, the results showed that test-taking motivation explained test performance (study I) although controlling for various students’ background characteristics (e.g., socio-economic background, study III). We found support for nearly all of the theoretically assumed relationships in the expectancy-value-effort model: Expectancy for success and perceived value of the test explained test-taking effort; expectancy for success and test-taking effort had the most pronounced effects on test performance (study II). The students reported, on average, a stable course of expectancy for success over the testing session; perceived importance of the test and test-taking effort slightly decreased within the testing session. The initial expectancy for success and the initial test-taking effort as well as change in expectancy for success explained students’ test performance. Above all, it is crucial that students begin the test with a high level of test-taking motivation and remain confident about a successful test completion to the end of the testing session.

Neste trabalho são definidos, discutidos e estimados o Valor em Risco e o Expected Shortfall. Estas são medidas de Risco Financeiro de Mercado muito utilizadas por empresas e investidores para o gerenciamento do risco, aos quais podem estar expostos. O objetivo foi apresentar e utilizar vários métodos e modelos para a estimação dessas medidas e estabelecer qual o modelo mais adequado dentro de determinados cenários. / In this work Value at Risk and Expected Shortfall are defined, discussed and estimated . These are measures heavily used in Financial Market Risk, in particular by companies and investors to manage risk, which they may be exposed. The aim is to present and use several methods and models for estimating those measures and to establish which model is most appropriate in certain scenarios.

The debate on quantitative operational risk modeling has only started at the beginning of the last decade and the best-practices are still far from being established. Estimation of capital requirements for operational risk under Advanced Measurement Approaches of Basel II is critically dependent on the choice of risk measure, which quantifies the risk exposure based on the underlying simulated distribution of losses. Despite its well-known caveats Value-at-Risk remains a predominant risk measure used in the context of operational risk management. We describe several serious drawbacks of Value-at-Risk and explain why it can possibly lead to misleading conclusions. As a remedy we suggest the use of coherent risk measures - and namely the statistic known as Expected Shortfall - as a suitable alternative or complement for quantification of operational risk exposure. We demonstrate that application of Expected Shortfall in operational loss modeling is feasible and produces reasonable and consistent results. We also consider a variety of statistical techniques for modeling of underlying loss distribution and evaluate extreme value theory framework as the most suitable for this purpose. Using stress tests we further compare the robustness and consistency of selected models and their implied risk capital estimates...

Neste trabalho são definidos, discutidos e estimados o Valor em Risco e o Expected Shortfall. Estas são medidas de Risco Financeiro de Mercado muito utilizadas por empresas e investidores para o gerenciamento do risco, aos quais podem estar expostos. O objetivo foi apresentar e utilizar vários métodos e modelos para a estimação dessas medidas e estabelecer qual o modelo mais adequado dentro de determinados cenários. / In this work Value at Risk and Expected Shortfall are defined, discussed and estimated . These are measures heavily used in Financial Market Risk, in particular by companies and investors to manage risk, which they may be exposed. The aim is to present and use several methods and models for estimating those measures and to establish which model is most appropriate in certain scenarios.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-11-03T11:54:04Z No. of bitstreams: 1 Murillo da Silveira Grübler_.pdf: 3027339 bytes, checksum: 2fdb175c76ab90e275bf8ba04792e452 (MD5) / Made available in DSpace on 2016-11-03T11:54:04Z (GMT). No. of bitstreams: 1 Murillo da Silveira Grübler_.pdf: 3027339 bytes, checksum: 2fdb175c76ab90e275bf8ba04792e452 (MD5) Previous issue date: 2016-08-19 / CNPQ – Conselho Nacional de Desenvolvimento Científico e Tecnológico / O Gerenciamento de Leitos é uma importante área de planejamento e controle hospitalar. Sua função é garantir o equilíbrio entre os pacientes que chegam através do setor de emergência, os eletivos que possuem algum tratamento agendado e aqueles que saem do hospital. Dessa forma, esse gerenciamento possibilita manter alta a taxa de ocupação dos quartos, mas sem realmente lotá-los, além de prever qualquer situação não planejada. A gestão eficaz de leitos hospitalares como recurso sempre foi um desafio para os gestores. Nas décadas de 80 e 90, por exemplo, milhares de pacientes tiveram operações canceladas em virtude de razões não médicas. Como há necessidade de um melhor controle do fluxo, a área de Gerenciamento de Leitos começou, então, a receber mais atenção acadêmica e também políticas nacionais para a sua gestão. O processo de admissão e posicionamento de enfermos, a partir do Gerenciamento de Leitos, vem se desenvolvendo nos últimos anos através de diversas técnicas de pesquisa operacional, tais como simulação, teoria de filas, análise estatística, entre outras. Devido às constantes incertezas vividas pelos hospitais atualmente, o uso do modelo cognitivo Ciência de Situação em pesquisas científicas na área da saúde vem crescendo cada vez mais. A Ciência de Situação é uma área de estudo que busca compreender o contexto dos ambientes e projetar ações futura. Em suma, é uma técnica que vai além do tradicional processamento de informações, visto que procura explicar o comportamento humano na operação de sistemas complexos. Nessa assertiva, este trabalho tem como objetivo utilizar a Ciência de Situação na área de Gerenciamento de Leitos, usando um modelo híbrido que une a técnica de Rede Neural Artificial Multilayer Perceptron com a Teoria do Valor Multiatributo para tomada de decisão, auxiliando gestores no processo de atribuição de pacientes em leitos adequados ao seu tratamento. Através da implementação de um protótipo baseado neste modelo híbrido de apoio à decisão, nomeado de IMBEDS, foram avaliados 50 pacientes em um total de 266 leitos gerenciados pela Central de Leitos, no Hospital Mãe de Deus, localizado em Porto Alegre. O resultado final dos testes foi de 93,5% de similaridade entre o leito apto apresentado pelo modelo e o processo real de alocação dos enfermos. / The Bed Management is an important area of planning and control hospital. It’s function is to ensure the balance between the patients who come through the emergency department, elective that have some scheduled treatment and those leaving the hospital. Thus, the Bed Management enables the hospital keep high occupancy rate of rooms, but without fill all the beds, in addition to providing any unplanned situation. Effective management of hospital beds as a resource has always been a challenge for managers. In the 80s and 90s, for example, thousands of patients have operations canceled due to non-medical reasons. As there is need for better control of the flow, Bed Management area then began to receive more academic attention and also policies national for the Bed Management. The process of admission and positioning the patients, from the management of beds, has been developing in recent years through of operational research, such as simulation, queuing theory, statistical analysis, among others. Due to the uncertainties experienced by hospitals nowadays, the use of model Situation Awareness in research in the health field is growing increasingly. Situation Awareness is a field of study that seeks to understand the context of the environment and designing future actions. In short, it is a technique that goes beyond the traditional information processing, as it seeks to explain human behavior in the operation of complex systems. In this statement, this work aims to use the Situation Awareness in Bed Management area, using a hybrid model that combines the technique Artificial Neural Network Multilayer Perceptron with the Multi-Attribute Value Theory for decision making, assisting managers in process of patient's allocation to the bed suitable in his treatment. Through the implementation of a prototype based on this hybrid model of decision support, named of IMBEDS, were evaluated 50 patients in a total of 266 beds managed by Beds Center, in the Hospital Mãe de Deus, located in Porto Alegre. The final result of the tests was 93.5% similarity between the bed apt selected by the model and the allocation process of the patients.

本論文的目的在比較標準法和風險值法（VaR）於外匯部位資本計提數額上的差異。在VaR法方面，本篇採用變異數-共變異數法、歷史模擬法以及極端值法等三種衡量方法，並利用回溯測試（backtest）對三種方法預測風險的能力做一檢測。標準法是指財政部規定的資本計提標準方法。 本篇論文實證結果發現用VaR法所計提的資本數額是依標準法所需計提數額的一半。也就是說依標準法提列會造成過多的資金成本。另外，從安全性的角度觀之，經過回溯測試，發現採取歷史模擬法或極端值法則是值得信賴的資本計提的方法。反之，變異數-共變異數法會有低估的現象。但因計算極端值法所需要的資料過於龐大，建議使用歷史模擬法，如此相對於標準法將可省下可觀的資金成本。 第一章 研究動機與目的…………………………………1 第二章 國內外資本適足的規定…………………………3 第一節 資本適足規定(BIS)的發展……………………3 第二節 台灣相關法令規定……………………………6 第三章 文獻探討……………………………………… 10 第四章 研究方法與模型……………………………… 14 第一節 VaR模型…………………………………… 14 第二節 回溯測試…………………………………… 24 第五章 實證分析……………………………………… 28 第一節 實證資料介紹……………………………… 28 第二節 實證結果…………………………………… 29 第六章 結論…………………………………………… 42 參考文獻……………………………………………………44