Philosophiae Doctor - PhD / In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.

Le bar (Dicentrarchus labrax) est une espèce majeure de l'aquaculture méditerranéenne, dont la production est passée de presque rien en 1985 à plus de 100 000 tonnes annuelles aujourd'hui. Dans un grand nombre de cas, des géniteurs sauvages sont encore utilisés pour produire des juvéniles chez cette espèce, et l'on constate une forte prédominance des mâles, aux performances zootechniques inférieures, dans les populations d'élevage. Le but du présent travail de recherche était tout d'abord de quantifier les variations génétiques de la croissance et du sex ratio entre familles de bar produites par fécondation artificielle et élevées en commun, en utilisant le génotypage de locus microsatellites pour reconstruire les pedigrees des animaux mesurés. Dans un second temps, nous avons également étudié la réponse en termes de croissance et de sex ratio à une sélection expérimentale sur la croissance en longueur. Nous avons tout d'abord pu montrer que la technique expérimentale choisie (fécondation artificielle, élevage en commun et reconstruction des pedigrees par génotypage) était efficace et susceptible d'être appliquée non seulement en expérimentation, mais aussi pour la mise en place de programmes de sélection chez le bar. La croissance chez le bar montre une héritabilité élevée pour le poids à taille commerciale de 400g environ (h²=0.38-0.44), mais plus modeste pour le taux de croissance de 35 à 400g (0.16-0.34), montrant l'importance de la croissance précoce, très héritable (h²=0.61) dans la construction de la performance à taille commerciale. Par ailleurs, la croissance du bar n'est pas significativement influencée par des effets maternels non génétiques ou de dominance. Nous avons estimé les interactions génotype-milieu pour la croissance entre des sites de grossissement très différents, et si ces interactions se sont révélées modestes pour le poids à taille commerciale (rA=0.70-0.99 entre sites), elles étaient beaucoup plus fortes pour le taux de croissance (rA=0.21-0.61 entre sites). Bien que nous ayons à dessein choisi des environnements très différents pour ce test, ceci souligne l'importance de conduire les programmes de sélection dans un environnement proche de l'environnement d'élevage. Nous avons montré que le sex-ratio des populations naturelles de bar ne différait pas de 50-50 en moyenne, mais que certaines classes d'âge pouvaient avoir un sex-ratio biaisé, vraisemblablement du fait d'effets environnementaux. En élevage, les sex-ratios sont variables entre familles et influencés à la fois par le père et par la mère. Aucun modèle purement génétique ne permet d'expliquer les distributions observées, qui peuvent être décrites soit par un modèle ayant au moins deux loci bialléliques et une variance micro-environnementale, soit par un modèle polygénique à seuil (h²=0.62 pour la tendance sexuelle sur l'échelle sous-jacente). Avec ce dernier modèle, on note une corrélation génétique positive (rA=0.50) entre tendance sexuelle et croissance. Ceci permet de prédire que la domestication devrait permettre un rééquilibrage du sex-ratio vers 50-50, la sélection croissance biaisant le sex-ratio vers plus de femelles. C'est ce que nous observons ensuite dans notre expérience de réponse à la sélection pour la croissance. Cette même expérience nous permet de confirmer le potentiel de l'espèce pour une amélioration génétique de la croissance, avec un gain de 23% en première génération. Le modèle polygénique (ou à tout le moins polyfactoriel) de déterminisme du sexe est a priori rare chez les Vertébrés. Après avoir développé son utilisation possible pour obtenir à terme des populations de bars d'élevage monosexes femelles, le modèle polygénique est replacé dans la théorie du déterminisme du sexe chez les Vertébrés ectothermes, où il semble pouvoir être considéré comme beaucoup plus répandu qu'on ne le considère classiquement. [...] Suite et fin du résumé dans la thèse. / The European sea bass (Dicentrarchus labrax) is a major species of Mediterranean aquaculture, the production of which rose from almost nothing in 1985 to more than 100.000 tonnes annually at present. In many cases, wild-caught broodstock is still used to produce juveniles for aquaculture, and farmed population are predominantly male – which unfortunately perform less than females. The aim of the present research was first to quantify the genetic variation of growth and sex ratio between families of sea bass produced by artificial fertilization and reared in a “common garden” approach, using the genotyping of microsatellite markers to reconstruct the pedigrees. In a second phase, we also studied the response in terms of growth and sex ratio to an experimental selection applied on body length.We first could show that the experimental technique chosen (artificial fertilization, common garden rearing and pedigree reconstruction by genotyping) was efficient and could be applicable not only to conduct experiments but also to set up breeding programmes in sea bass.Growth is a heritable trait in sea bass, with a high heritability for body weight at commercial size (h²=0.38-0.44 around 400 g mean weight), but a lower value for growth rate from 35 to 400g (0.16-0.34), showing the importance of the highly heritable (h²=0.61) early growth in the building of the performance at commercial size. Additionally, we showed that sea bass growth was not significantly impacted by dominance or non genetic maternal effects. We estimated genotype by environment interactions for growth between highly divergent ongrowing sites, showing that although interactions were moderate for body weight at commercial size (rA= 0.70-0.99 between sites), they were much higher for growth rate (rA=0.21-0.61 between sites). Although we purposely chose very divergent ongrowing environments, this highlights the importance of conducting breeding programs in environments resembling the production environment.We showed that the sex ratio of natural populations in the wild did not differ from 50-50 on average, although some age classes could have a biased sex ratio, probably due to environmental effects. In a farmed population, sex ratios were shown to differ between families and to be equally influenced by the sire and the dam. No purely genetic model could account for the distributions observed, which could fit either to a model with a minimum of two bi-allelic loci plus micro-environmental variance, or to a polygenic threshold model with h²=0.62 for sex tendency on the underlying scale. This last model also revealed a positive genetic correlation (rA=0.50) between sex tendency and growth. This allowed us to predict that domestication should tend towards a balancing of the sex ratio at 50-50, while selection for faster growth should bias population sex ratios towards females. This is precisely what we observed later on in our selection response experiment, which also confirmed the potential of the species to be selected for faster growth, with a 23% gain in body weight in the first generation.The polygenic (or at least polyfactorial) model of sex determination is considered rare in Vertebrates. After developing its possible use to tend towards monosex female farmed populations of sea bass, we assessed its position in the theory of sex determination in ectotherm Vertebrates, where it seems that it could well be more frequent as initially thought. Polygenic sex determination could be a means for species and populations to move along the ESD-GSD continuum (Environmental or Genetic Sex Determination).

Firstly, we deal with the verification of normality and other necessary prerequisites needed in this thesis. We also introduce transformations to converse non-normally distributed data to normal and continue with capability analysis. We describe the design of control charts, useful tools to assess process stability. They help us to eliminate assignable causes and leave only chance causes in process. We obtain process in control state. Finally, we introduce both capability and performance ratios for both normal and non-normal data, and analyse some of their properties. At the end of the thesis, we prove acquired knowledge by performing capability analysis of real process.

This thesis deals with exchange traded funds (ETFs). The theoretical part is focused on familiarization with the issue from a broader perspective in the form of collective investment characteristics, leading through the current trends in this area. This part is followed by chapter about ETF, including specific areas. Selected classic and leveraged ETFs are analyzed in the practical part for the period between 2010 and 2015. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators. Results are commented in a broader context in summary and discussion chapter as well as recommendations.

This Master Thesis deals with the usability of fundamental indicators for building a stock portfolio regarding chosen equities from the Prague Stock Exchange. The output of the work is finding that stocks with the lowest values of price to earnings ratio and price to book ratio make higher return than stocks with the highest values of these indicators. These stocks exceed latter with taking lower risk based on standard deviation of returns. The usability of indicators was confirmed by these findings. Another conclusion of this Thesis is finding that stocks with the lowest values of these indicators exceeded benchmark represented by PX-TR index.

This essay examines a professional situation where the writer as a consultant is faced with a request for a ”tool” from one of the participants. This request elicits an emotional reaction that leads to the investigation of the tool-word as a metaphor. The Aristotelian concept of fronesis, the practical wisdom, forms the basis for the investigation. The tool-metaphor is seen as an effect of a neoliberal and hyper-individual culture that places the clinical psychologist in a combat between discourses. In an effort to find a more suitable metaphor, an associative comparison is made between the psychologist’s professional activity and dancing as an artform and phenomenon. Thinkers within the phenomenological and hermeneutical traditions as well as dancing philosophers enters into the investigation to highlight how dependent the psychologist is on an improvised interaction in the professional performance, and the importance of an ethically based view on human beings in this interaction.

A high return is a driving factor for most investors. The ways to reach success are many and different investment strategies on how to earn high returns have been discussed for decades. Value stocks (low P/E ratios) and growth stocks (high P/E ratios) are two strategies among the investment area with different and contrary results on which strategy can give the highest possible return. However, studies of the P/E effect have shown different results the last years compared to previous findings of a value premium for low P/E stocks, with trends of a higher return for growth stocks compared to value stocks. This led us to the research question “Does a portfolio of growth stocks present a higher return than a portfolio with value stocks on the Swedish and Norwegian stock markets?”. The problem that the study aims to answer is therefore if a portfolio of growth stocks provides a higher return than a portfolio of value stocks between the years 2001-2021. The long timespan will give us the opportunity to evaluate the stock markets during both booms and busts. Our study is made on historical data on the Swedish and the Norwegian stock markets since we found a lack of previous research in these countries within the research area. To fulfil the purpose of the study and to answer the research question, a quantitative method is used with historical data provided from Eikon (Thomson Reuters DataStream) where firms are sorted on the P/E ratios and after that growth and value portfolios are created. We will present both the actual return as well as a risk adjusted return for the stocks. The risk adjusted returns are conducted by using the financial measurements Sharpe ratio and Jensen’s alpha. The result of the study shows that on a 5 % significance level, growth stocks presented a higher actual return than value stocks for both Sweden and Norway. The same evidence was found for the returns for growth stocks compared to market index. Though, when testing the risk adjusted returns, the null hypothesis could not be rejected, which implies that a statistical difference between the portfolios could not be found.

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京都大学 / 0048 / 新制・課程博士 / 博士(情報学) / 甲第21915号 / 情博第698号 / 新制||情||120(附属図書館) / 京都大学大学院情報学研究科数理工学専攻 / (主査)教授 梅野 健, 教授 山下 信雄, 教授 守倉 正博 / 学位規則第4条第1項該当 / Doctor of Informatics / Kyoto University / DFAM

The housing prices have increased in a rapid pace in Stockholm the past decades. Simultaneously, the interest rates have decreased drastically, since the global financial crisis in 2008. The two movements combined have led to higher debt among Swedish households and especially in the capital, Stockholm. This article presents a quantitative research investigating which types of households, based on their social economic profile, will be mostly affected by an increased mortgage rate. The DSR is calculated for each HH, taking in account the amortization regulations introduced in 2016 and 2018. By doing a regression analysis using the DSR as the dependent variable and the socioeconomic factors as independent variables, we find that income and age are the variables with highest significance describing the DSR. Additionally, we investigate the socioeconomic profile of those households that have the highest DSR increment, based on specific cluster made by Insightone. The findings of the paper suggest that four out of 44 types of families have exceptionally higher exposure to the two different mortgage-rate increase scenarios. Three of these four family clusters are young, have children, high income and lives in houses. The remaining family cluster is young, have no children, has low income but is highly educated. / Bostadspriserna har ökat snabbt de senaste åren i Stockholm. Samtidigt har räntan sjunkit jämfört med de nivåerna som var under finanskrisen 2008. Dessa två faktorer kombinerade med varandra har lett till högra bolån bland det svenska folket och främst för de som bor i Stockholm. Denna artikel är en kvantitativ studie som undersöker vilka typer av hushåll baserad på deras socioekonomiska profil som påverkas mest av en ökad bolåneränta. Först räknade vi ut skuldsättningsgrad för varje hushåll. I dessa beräkningar tog vi hänsyn till de nya amorteringskraven som har införts från 206 och framåt. Därefter gjorde vi en regressionsanalys där vårt resultat blev att inkomst, ålder och amortering är de faktorer som påverkar skuldsättningsgrad mest. Senare undersöker vi hur den typiska familjen ser ut där resultatet blev att unga, utan barn, låg inkomst och högutbildade är de som påverkas mest av en ökad bolåneränta.