Ex-post intraday market-risk extrema are compared with ex-ante standard RiskMetrics parametric Value-at-Risk (VaR) limits for three foreign currency futures markets (British Pound, Japanese Yen, Swiss Frank) to determine whether forecasted volatility of market returns based on settlement price data provides a valid proxy for short-term market risk independent of market leverage. Intraday violations of ex-ante one-day VaR limits at the 95% confidence level should occur for less than 5% of market days. Violation frequencies for each of the markets tested are shown to occur well in excess of this 5% tolerance level: 9.54% for the British Pound, 7.09% for the Japanese Yen, and 7.79% for the Swiss Franc futures markets. Thus, it is empirically demonstrated that VaR is a poor proxy for short-term market risk under conditions of market leverage. Implications for managing (measuring, monitoring, controlling), reporting, and regulating financial market risk are discussed. / Master of Arts

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are not entirely consistent. A common risk and capital framework can level the global playing field and possibly reduce the cost of capital for insurers. In the thesis, a conceptual framework for measuring the insolvency risk of life insurance companies will be proposed. The two main advantages of the proposed solvency framework are that it addresses the issue of incentives in the calibration of the capital requirements and it also provides an associated decomposition of the insurer's insolvency risk by term. The proposed term structure of insolvency risk is an efficient risk summary that should be readily accessible to both regulators and policyholders. Given the inherent complexity of the long-term guarantees and options of typical life insurance policies, the term structure of insolvency risk is able to provide stakeholders with more complete information than that provided by a single number that relates to a specific period. The capital standards for life insurers that are currently existing or have been proposed in Canada, U.S., and in the EU are then reviewed within the risk and capital measurement framework of the proposed standard to identify potential shortcomings.

Magistro baigiamajame darbe pristatomas naujas kapitalo paskirstymo akcijų rinkoje modelis. Modelio teoriniam pagrindui naudojama modernioji portfelio teorija ir statistiniai prognozavimo metodai. Modelio praktinis panaudojimas pavaizduojamas Europos rinkų pavyzdžiu – peržiūrimi Nasdaq OMX internetiniame portale esantys 647 Europos akcijų pelningumo duomenys. Iš šių akcijų išrenkamos 7-ios, kurių pelningumas per paskutinius septynis metus buvo didžiausias. Atrinktos pelningiausių Europos firmų akcijos yra magistro baigiamojo darbo objektas. Darbo tikslas – išanalizavus ARIMA ir moderniosios portfelio teorijos kapitalo paskirstymo modelius suformuoti optimalų investicijų portfelį iš pelningiausių Europos akcijų, bei patikrinti hipotezę, kad taikant matematinius prognozavimo ir kapitalo paskirstymo modelius galima suformuoti portfelį, kurio pelningumo premijos ir rizikos santykis bus geresnis, nei palyginamųjų rinkų indeksų. Atsižvelgiant į darbo tikslą ir suformuotus uždavinius, pirmiausiai išrenkamos pelningiausios Europos akcijos ir trumpai apibūdinama išrinktų firmų veikla. Pristatomas kuriamo modelio teorinis pagrindas: supažindinama su ARIMA modelio koncepcija ir metodika, paaiškinama kapitalo paskirstymo atsižvelgiant į pelningumo ir rizikos santykį logika. Teorinis-loginis modelio formavimas pritaikomas praktiniame lygmenyje DNORD, MIC SDB, MOLS, ALFA, UIE, EKTA B, LEL akcijoms (santrumpų reikšmes galite rasti darbo pradžioje). Suformuoto investicijų portfelio... [toliau žr. visą tekstą] / In this concluding paper of master degree there is a new capital allocation in stock market model invented. The main principles of the modern portfolio theory and statistical forecasting are used as the theoretical basis of the model. The practical significance of the model is presented by using an example from the European markets – there are 647 European stock market shares analyzed. Seven shares that have the highest profitability over the last 7 years are selected as the components of the new portfolio. These shares are considered as the object of the research. The main goal of the research is to analyze ARIMA statistical forecasting and basic models of the modern portfolio theory and form an optimal investment portfolio consisting of the most profitable shares from the European market. The relevance of the research is verified by testing a hypothesis that mathematical models of forecasting and capital allocation can be applied to form a portfolio which would perform better than main indexes of the global markets in respect of the balance between profitability premium and risk. The process of the research is constructed as follows: selecting the most profitable shares from the European market, forming the theoretical background of the new model by introducing ARIMA forecasting and capital allocation principles, forming a new capital allocation and management model by combining ARIMA and H.Markowitz’s principles and practically using the new model for the selected (DNORD... [to full text]

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are not entirely consistent. A common risk and capital framework can level the global playing field and possibly reduce the cost of capital for insurers. In the thesis, a conceptual framework for measuring the insolvency risk of life insurance companies will be proposed. The two main advantages of the proposed solvency framework are that it addresses the issue of incentives in the calibration of the capital requirements and it also provides an associated decomposition of the insurer's insolvency risk by term. The proposed term structure of insolvency risk is an efficient risk summary that should be readily accessible to both regulators and policyholders. Given the inherent complexity of the long-term guarantees and options of typical life insurance policies, the term structure of insolvency risk is able to provide stakeholders with more complete information than that provided by a single number that relates to a specific period. The capital standards for life insurers that are currently existing or have been proposed in Canada, U.S., and in the EU are then reviewed within the risk and capital measurement framework of the proposed standard to identify potential shortcomings.

<p><br></p> <p>In my dissertation research I document information price discovery through investments in the alternate asset class of Venture Capital. The two chapters of this dissertation studies the effect of these investments in two different contexts. The first chapter analyses improvements in valuations of venture capital funds through syndication by VC funds. The second chapter documents improvements in stock prices, and valuations, of publicly traded firms through investments by institutional investors in VC funds and in public equity.</p> <p><br></p> <p>In the first chapter I examine the effect of syndication among venture capital (VC) funds on the funds' incentives to manipulate their performance measures. I show that the presence of new syndicate partners reduces misreporting by VC funds. About half of the reduction in manipulation is during the follow-on fundraising period. To identify that syndicate partners reduce performance misreporting I use: (i) a triple-difference approach around fundraising and (ii) availability-of-syndicate-partners as an instrument for the number of new syndicate partners. The implications of my findings are that LPs should better monitor VC funds with fewer new syndicate partners and regulators should consider the presence of peer-monitoring among VC funds before imposing disclosure requirements.</p> <p>  </p> <p>  Chapter two includes John J. McConnell, Timothy E. Trombley, and M. Deniz Yavuz as coauthors. In this chapter we report evidence consistent with institutional investors using industry-level information that they obtain from their investments in venture capital (VC) funds to earn excess returns in publicly-traded equities.  We use court rulings regarding the Freedom of Information Act as an exogenous shock affecting the information flow between VC firms and institutional investors to show that the excess returns are explained by information received via this channel.  Thus, institutional investors serve as conduits of information, making publicly-traded stock prices more efficient.  In the process, institutional investors earn higher returns from their VC investments than implied by the cash flows thereby received. </p>

Initialement, la théorie du risque supposait l’indépendance entre les différentes variables aléatoires et autres paramètres intervenant dans la modélisation actuarielle. De nos jours, cette hypothèse d’indépendance est souvent relâchée afin de tenir compte de possibles interactions entre les différents éléments des modèles. Dans cette thèse, nous proposons d’introduire des modèles de dépendance pour différents aspects de la théorie du risque. Dans un premier temps, nous suggérons l’emploi des copules comme structure de dépendance. Nous abordons tout d’abord un problème d’allocation de capital basée sur la Tail-Value-at-Risk pour lequel nous supposons un lien introduit par une copule entre les différents risques. Nous obtenons des formules explicites pour le capital à allouer à l’ensemble du portefeuille ainsi que la contribution de chacun des risques lorsque nous utilisons la copule Farlie-Gumbel-Morgenstern. Pour les autres copules, nous fournissons une méthode d’approximation. Au deuxième chapitre, nous considérons le processus aléatoire de la somme des valeurs présentes des sinistres pour lequel les variables aléatoires du montant d’un sinistre et de temps écoulé depuis le sinistre précédent sont liées par une copule Farlie-Gumbel-Morgenstern. Nous montrons comment obtenir des formes explicites pour les deux premiers moments puis le moment d’ordre m de ce processus. Le troisième chapitre suppose un autre type de dépendance causée par un environnement extérieur. Dans le contexte de l’étude de la probabilité de ruine d’une compagnie de réassurance, nous utilisons un environnement markovien pour modéliser les cycles de souscription. Nous supposons en premier lieu des temps de changement de phases de cycle déterministes puis nous les considérons ensuite influencés en retour par les montants des sinistres. Nous obtenons, à l’aide de la méthode d’erlangisation, une approximation de la probabilité de ruine en temps fini. / Initially, it was supposed in risk theory that the random variables and other parameters of actuarial models were independent. Nowadays, this hypothesis is often relaxed to take into account possible interactions. In this thesis, we propose to introduce some dependence models for different aspects of risk theory. In a first part, we use copulas as dependence structure. We first tackle a problem of capital allocation based on the Tail-Value-at-Risk where the risks are supposed to be dependent according to a copula. We obtain explicit formulas for the capital to be allocated to the overall portfolio but also for the contribution of each risk when we use a Farlie-Gumbel-Morenstern copula. For the other copulas, we give an approximation method. In the second chapter, we consider the stochastic process of the discounted aggregate claims where the random variables for the claim amount and the time since the last claim are linked by a Farlie-Gumbel-Morgenstern copula. We show how to obtain exact expressions for the first two moments and for the moment of order m of the process. The third chapter assumes another type of dependence that is caused by an external environment. In the context of the study of the ruin probability for a reinsurance company, we use a Markovian environment to model the underwriting cycles. We suppose first deterministic cycle phase changes and then that these changes can also be influenced by the claim amounts. We use the erlangization method to obtain an approximation for the finite time ruin probability.

In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. The measurement procedure is straightforward under assumptions of elliptical distributions but not under the commonly used multivariate log-normal distributions. Two portfolio strategies are considered, the "buy and hold" and the "constant mix" strategy. The profits and losses of the components of a generic portfolio strategy are defined in order to enable a proper definition of risk contribution for the constant mix strategy. Then kernel estimation of risk contribution is performed for both portfolio strategies using Monte Carlo simulation. Further, applications for asset and risk management with risk contributions are discussed in the context of life insurance. / En viktig aspekt inom riskhantering är tilldelning av total portföljrisk till tillångsportföljens beståndsdelar. Detta kan åstadkommas genom att mäta riskbidrag, som även kan ta hänsyn till beroenden mellan risktillgångar. Beräkning av riskbidrag är enkel vid antagande om elliptiska fördelningar så som multivariat normalfördelning, men inte vid antagande om multivariat log-normalfördelning där analytiska formler saknas. Skillnaden mellan riskbidragen inom två portföljstrategier undersöks. Dessa strategier är "buy and hold" och "constant mix" (konstant ombalansering). Tilldelning av resultaten hos de olika beståndsdelarna med en generisk portföljstrategi härleds för att kunna definiera riskbidrag för "constant mix" portföljstrategin. "Kernel estimering" används för att estimera riskbidrag genom simulering. Vidare diskuteras applikationer för tillgångs- och riskhantering inom ramen för livförsäkringsbolag.

The purpose of this study is to investigate how the introduction of the EU Taxonomy for sustainable activities will affect investors capital allocation towards green investments, and how it will impact the financial market. This master thesis has been conducted with a qualitative approach and semi-structured interviews. The interviews involved 14 financial professionals within the Nordic area, as well as one economic analyst from the European Commission in Brussels, Belgium. In addition, it includes a thorough literature study and a theoretic framework involving the Efficient Market Hypothesis (EMH). Based upon the findings, this research shows that the EU taxonomy will be an adequate tool in order to facilitate the process of shifting capital towards sustainable investments. However, the allocation of capital may be delayed at first, but is expected to achieve a capital reallocation towards green investments in the long term. Challenges identified include the balance between risk adjusted profits and making a transition to attract capital. Both investors and listed companies will face the challenge of choosing the best strategy to attract more capital than their peers. All investors participating in this research expect to see increasing stock prices of listed taxonomy aligned companies in the near future. This short-term increase in stock prices could be derived from the demand of early movers of the green investments. Investors are expected to invest in taxonomy aligned. The research defines that financial regulations are regarded as complex information and therefore not regarded as information available to all investors, the Efficient Market Hypothesis could not be confirmed for complex information. Future research could explore how other market participants outside of the EU could be affected by the implementation of the EU Taxonomy. For future research it could also be interesting and of great use to conduct research based on the variables, risk and profit in combination with a reallocation of capital towards green investments. / Syftet med denna studie är att undersöka hur införandet av EU: s taxonomi för hållbar verksamhet kommer att påverka investerarnas kapitalallokering till gröna investeringar och hur det kommer att påverka den finansiella marknaden. Detta examensarbete har genomförts med en kvalitativ metod och semistrukturerade intervjuer. Intervjuerna involverade 14 yrkesverksamma inom den nordiska finansbranschen samt en ekonomisk analytiker från Europeiska kommissionen i Bryssel, Belgien. Dessutom innehåller den en grundlig litteraturstudie och ett teoretiskt ramverk som involverar the Efficient Market Hypothesis (EMH). Baserat på resultaten visar denna forskning att EU: s taxonomi kommer att vara ett adekvat verktyg för att främja processen av att flytta kapital mot hållbara investeringar. Tilldelningen av kapital kan dock försenas först, men förväntas uppnå en kapitalallokering mot gröna investeringar på lång sikt. Bland de identifierade utmaningarna ingår balansen mellan riskjusterade vinster och en övergång för att attrahera kapital. Både investerare och börsnoterade företag kommer att stå inför utmaningen att välja den bästa strategin för att locka mer kapital än sina konkurrenter. Alla investerare som deltar i denna forskning förväntar sig att stigande aktiekurser för börsnoterade taxonomirelaterade företag kommer inom en snar framtid. Denna kortsiktiga ökning av aktiekurserna kan härledas från efterfrågan från de tidiga flyttarna av de gröna investeringarna. Investerare förväntas investera i taxonomi. Forskningen definierar att finansiella regler betraktas som komplex information och därför inte betraktas som information tillgänglig för alla investerare. Den effektiva marknadshypotesen kunde inte bekräftas för komplex information. Framtida forskning kan undersöka hur andra marknadsaktörer utanför EU kan påverkas av genomförandet av EU: s taxonomi. För framtida forskning kan det också vara intressant och till stor nytta att bedriva forskning baserad på variabler, risk och vinst i kombination med en omfördelning av kapital till gröna investeringar.

鑒於金融機構跨業經營乃係現況發展趨勢，而風險管理已成為金融機構業務管理之首務，本研究將探討國際金融機構風險管理的新規範－新版巴賽爾資本協定（Basel II），並蒐集民國八十三年六月至民國九十二年三月我國上市公司公開發行之財務資訊，分別以商業銀行、證券公司、人壽保險公司、產物保險公司及票券公司為代表，模擬為金融控股公司下之各個子公司，將結合營運性、風險性、及法令為考量之資本配置模型；進一步探討金融控股公司之風險管理與資本配置。 歸納模擬結果如下： 以營運性為考量並配合法令要求之資本配置，此配置模型係在設定盈餘目標下，追求風險極小值，或設定風險容忍水準，以追求盈餘之極大值。經過目標值的變動下，此最適化模型可得一效率前緣曲線。由此效率前緣圖可知，在盈餘維持在平均盈餘水準下，此模型可使風險值由原來的8,860佰萬元降至7,045佰萬元，其降幅為20%，RAROC由原來的0.77升至0.97，升幅為25%；若固定風險值在原來未分配前的平均水準，則盈餘由先前的7,681佰萬元提升至8,821佰萬元，其提升幅度為14%，RAROC由原來的0.77提升至0.90，提升幅度為16%，亦相當可觀。若將資本維持在歷史平均水準，則可使其盈餘達到7,305佰萬元，而風險值為6,446佰萬元，RAROC為1.00，升幅為29%。據此推論，依此配置模型分配結果，將可改善整體金融控股公司之經營績效。 綜合營運性、風險性並考量法令要求之資本分配模型，納入了風險限制條件，主要係考量高風險之業務，須有高資本以因應其非預期性損失，但同時為兼顧經營績效，必須在營運性與風險性間求得平衡點；實證結果發現，受到風險性限制條件的影響，使得此條效率前緣曲線均落在以營運性為考量資本配置模型之下方，這代表的是在此模型下，無法達到較高之盈餘，原因來自於高盈餘伴隨著高風險，但高風險在此配置模型中是不允許的。惟此模型依然有提升整體經營績效的功能。例如，將盈餘目標設為原來的7,681佰萬元，則風險值降為7,601佰萬元，降幅約14%，RAROC也提升至0.90，升幅為16%；若資本維持在平均水準177,185佰萬元，則盈餘可達到5,802佰萬元，風險值則為4,528佰萬元，RAROC為1.09，較原先高出41%。 / As cross business managing is the modern development trend and risk management has been the first task for the financial institutions, this study attempts to analyze the new standard of the international financial institutions’ risk management – new Basel II. The data concerning business operations, risks, regulations from June 1992 to March 2003 are collected for each group of commercial banks, security houses, life insurance companies, non-life insurance companies, bill finance companies to build a capital allocation model. The financial holding companies’ risk management and capital allocation is further discussed. The results of this study are summarized as follows: The capital allocation model considers business operations and regulations. This allocation model sets up profit target, seeks minimum risk or sets up level of risk tolerance to seek maximum profit. After the variable target, the suitable model can get a efficient frontier curve. From this curve we find out that the profit maintains under the average profit level. The model can make Value-at-Risk reduce from 8,860 million to 7,045 million, down 20%, RAROC rise from 0.77 to 0.97, up 25%; if the fixed Value-at-Risk is before distributing, the profit will rise from 7,681 mission to 8,821 million, up 14%, RAROC will rise from 0.77 to 0.90, up 16%, still outstanding. If the capital remains at historical average level, then the profit can reach 7,305 million, and the Value-at-Risk is 6,446 million, RAROC is 1.00, up 29%. According to the inference, the distributing result of the allocation model can improve the operation performance of the financial holding company. The capital allocation model synthesize operation, risk and consider legal requirement, bring into the restriction of risk is to consider high risky business should have high capital to deal with unexpected loss, but also to consider operation performance, need to seek balance between operation and risk; From the result of this study finds that under risk restriction, the efficient frontier curve is within the capital allocation model which considers operation, this means under the model, higher profit is hard to achieve, the reason is high profit accompanies high risk, and high risk is prohibited from the model. But this model still has the function to approve whole operation performance. For example, if the profit target is 7,681 million as original, the Value-at-Risk will reduce to 7,601 million, down 14%, RAROC will rise to 0.90, up 16%; if the capital remains at the average level’s 177,185 million, the profit can reach 5,802 million, the Value-at-Risk is 4,528 million and RAROC is 1.09, up 41%.

L'entrée en application depuis le 1er Janvier 2016 de la réforme réglementaire européenne du secteur des assurances Solvabilité 2 est un événement historique qui va changer radicalement les pratiques en matière de gestion des risques. Elle repose sur une prise en compte importante du profil et de la vision du risque, via la possibilité d'utiliser des modèles internes pour calculer les capitaux de solvabilité et l'approche ORSA (Own Risk and Solvency Assessment) pour la gestion interne du risque. La modélisation mathématique est ainsi un outil indispensable pour réussir un exercice réglementaire. La théorie du risque doit être en mesure d'accompagner ce développement en proposant des réponses à des problématiques pratiques, liées notamment à la modélisation des dépendances et aux choix des mesures de risques. Dans ce contexte, cette thèse présente une contribution à l'amélioration de la gestion des risques actuariels. En quatre chapitres nous présentons des mesures multivariées de risque et leurs applications à l'allocation du capital de solvabilité. La première partie de cette thèse est consacrée à l'introduction et l'étude d'une nouvelle famille de mesures multivariées élicitables de risque qu'on appellera des expectiles multivariés. Son premier chapitre présente ces mesures et explique les différentes approches utilisées pour les construire. Les expectiles multivariés vérifient un ensemble de propriétés de cohérence que nous abordons aussi dans ce chapitre avant de proposer un outil d'approximation stochastique de ces mesures de risque. Les performances de cette méthode étant insuffisantes au voisinage des niveaux asymptotiques des seuils des expectiles, l'analyse théorique du comportement asymptotique est nécessaire, et fera le sujet du deuxième chapitre de cette partie. L'analyse asymptotique est effectuée dans un environnement à variations régulières multivariées, elle permet d'obtenir des résultats dans le cas des queues marginales équivalentes. Nous présentons aussi dans le deuxième chapitre le comportement asymptotique des expectiles multivariés sous les hypothèses précédentes en présence d'une dépendance parfaite, ou d'une indépendance asymptotique, et nous proposons à l'aide des statistiques des valeurs extrêmes des estimateurs de l'expectile asymptotique dans ces cas. La deuxième partie de la thèse est focalisée sur la problématique de l'allocation du capital de solvabilité en assurance. Elle est composée de deux chapitres sous forme d'articles publiés. Le premier présente une axiomatisation de la cohérence d'une méthode d'allocation du capital dans le cadre le plus général possible, puis étudie les propriétés de cohérence d'une approche d'allocation basée sur la minimisation d'indicateurs multivariés de risque. Le deuxième article est une analyse probabiliste du comportement de cette dernière approche d'allocation en fonction de la nature des distributions marginales des risques et de la structure de la dépendance. Le comportement asymptotique de l'allocation est aussi étudié et l'impact de la dépendance est illustré par différents modèles marginaux et différentes copules. La présence de la dépendance entre les différents risques supportés par les compagnies d'assurance fait de l'approche multivariée une réponse plus appropriée aux différentes problématiques de la gestion des risques. Cette thèse est fondée sur une vision multidimensionnelle du risque et propose des mesures de nature multivariée qui peuvent être appliquées pour différentes problématiques actuarielles de cette nature / The entry into force since January 1st, 2016 of Solvency 2, the European regulatory reform of insurance industry, is a historic event that will radically change the practices in risk management. It is based on taking into account the own risk profile and the internal view of risk through the ability to use internal models for calculating solvency capital requirement and ORSA (Own Risk and Solvency Assessment) approach for internal risk management. It makes the mathematical modeling an essential tool for a successful regulatory exercise. The risk theory must allow to support this development by providing answers to practical problems, especially those related to the dependence modeling and the choice of risk measures. In the same context, this thesis presents a contribution to improving the management of insurance risks. In four chapters we present multivariate risk measures and their application to the allocation of solvency capital. The first part of this thesis is devoted to the introduction and study of a new family of multivariate elicitable risk measures that we will call multivariate expectiles. The first chapter presents these measures and explains the different construction approaches. The multivariate expectiles verify a set of coherence properties that we also discuss in this chapter before proposing a stochastic approximation tool of these risk measures. The performance of this method is insufficient in the asymptotic levels of the expectiles thresholds. That makes the theoretical analysis of the asymptotic behavior necessary. The asymptotic behavior of multivariate expectiles is then the subject of the second chapter of this part. It is studied in a multivariate regular variations framework, and some results are given in the case of equivalent marginal tails. We also study in the second chapter of the first part the asymptotic behavior of multivariate expectiles under previous assumptions in the presence of a perfect dependence, or in the case of asymptotic independence. Finally, we propose using extreme values statistics some estimators of the asymptotic expectile in these cases. The second part of the thesis is focused on the issue of solvency capital allocation in insurance. It is divided into two chapters; each chapter consists of a published paper. The first one presents an axiomatic characterization of the coherence of a capital allocation method in a general framework. Then it studies the coherence properties of an allocation approach based on the minimization of some multivariate risk indicators. The second paper is a probabilistic analysis of the behavior of this capital allocation method based on the nature of the marginal distributions of risks and the dependence structure. The asymptotic behavior of the optimal allocation is also studied and the impact of dependence is illustrated using some selected models and copulas. Faced to the significant presence of dependence between the various risks taken by insurance companies, a multivariate approach seems more appropriate to build responses to the various issues of risk management. This thesis is based on a multidimensional vision of risk and proposes some multivariate risk measures that can be applied to several actuarial issues of a multivariate nature