With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.

With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-08-17T14:48:23Z No. of bitstreams: 1 LeonardoNascimentoCastroDissertacao2017.pdf: 1765989 bytes, checksum: fb4cfd563d11e2aa428d7c5af632c835 (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-08-17T14:50:34Z (GMT) No. of bitstreams: 1 LeonardoNascimentoCastroDissertacao2017.pdf: 1765989 bytes, checksum: fb4cfd563d11e2aa428d7c5af632c835 (MD5) / Made available in DSpace on 2017-08-17T14:50:34Z (GMT). No. of bitstreams: 1 LeonardoNascimentoCastroDissertacao2017.pdf: 1765989 bytes, checksum: fb4cfd563d11e2aa428d7c5af632c835 (MD5) Previous issue date: 2017-01-01 / Due to the Crisis of 2008, the Basel Committee accelerated the process for update the Accord and identified some weaknesses such as the inability of V aR to capture the tail risk. Subsequently, it was recommended to substitute V aR, a non-coherent measure of risk due to the absence of subadditivity, by CV aR. However, in 2011 the absence of elicitability for CV aR was shown and this has led some people to believe that it is impossible to perform a backtesting for this risk measure. Elicitability is an mathematical property for model selection and not for validation, although the convexity of its scoring function is required for backtesting. It is important to know the identifiability and testability, which have a relation with elicitability. For a good backtesting in the Trading Book, the testable function must be sharp, which is strictly increasing and decreasing with respect to the predictive and realized variables, respectively, and meet the requirement of ridge backtest, which depends on the least possible V aR. The CV aR, while not being testable or elicitable, is at least conditionally elicitable and therefore also conditionally testable. To validate the CV aR models, simulations were made with the three Acerbi methods, two of this study for testing and another adapted from the quantile approximation. Of these six, none were perfect, but two presented better results than the V aR Backtesting. This study analyzed the risk measures V aR and CV aR by the Historical Simulation, Delta-Normal, Correlated Normal, Monte Carlo and Quasi-Monte Carlo Simulation methods in the 95%, 97.5% and 99% for the Brazilian bond and stock portfolios, as well as the Brazilian Real against the Dollar, Euro and Yen currencies, and used some backtesting for the two measures. This study also proposed a method to improve Backtesting results of V aR. / Devido ?? Crise de 2008 o Comit?? de Basileia acelerou o processo para atualiza????o do Acordo e identificou algumas falhas como, por exemplo, a incapacidade do V aR em captar o risco de cauda. Posteriormente, recomendou-se substituir o V aR, uma medida n??o coerente de risco devido ?? aus??ncia de subaditividade, pelo CV aR. Entretanto, em 2011 foi mostrada a aus??ncia da elicitabilidade para o CV aR e isso induziu algumas pessoas a pensarem ser imposs??vel realizar um backtesting para esta medida de risco. A elicitabilidade ?? uma propriedade matem??tica para a sele????o de modelo e n??o para a valida????o, apesar de que a convexidade de sua fun????o scoring ?? necess??ria para o backtesting. Foram introduzidos os conceitos de identificabilidade e testabilidade, que possuem uma rela????o com a elicitabilidade. Para um bom backtesting no Trading Book, a fun????o test??vel deve ser n??tida, que ?? estritamente crescente e decrescente em rela????o ??s vari??veis preditiva e realizada, respectivamente, e atender o requisito de ridge backtest, que dependa o m??nimo poss??vel do V aR. O CV aR, apesar de n??o ser elicit??vel nem test??vel, ?? pelo menos condicionalmente elicit??vel e, portanto, tamb??m condicionalmente test??vel. Para validar os modelos do CV aR, foram feitas simula????es com os tr??s m??todos de Acerbi, dois desta pesquisa para teste e outro adaptado da Aproxima????o dos N??veis de V aR. Destes seis, nenhum foi perfeito, mas dois apresentaram resultados melhores que o Backtesting do V aR. Esta pesquisa analisou as medidas de risco V aR e CV aR pelos m??todos Simula????o Hist??rica, Delta-Normal, Normal Correlacionado, Simula????o Monte Carlo e Quase-Monte Carlo nos intervalos de confian??a de 95%, 97,5% e 99% para as carteiras de t??tulos e a????es brasileiras, al??m das cota????es do Real frente ??s moedas D??lar, Euro e Iene, e utilizou alguns testes de ader??ncia para as duas medidas. Esta pesquisa tamb??m prop??s um m??todo para melhorar os resultados do Backtesting do V aR.

This paper studies the interval estimation of three discrete distributions: thebinomial distribution, the Poisson distribution and the negative-binomialdistribution. The problem is the chaotic behavior of the coverage probabilityfor the Wald interval. To solve this problem, alternative confidence intervals areintroduced. Coverage probability and expected length are chosen to be thecriteria evaluating the intervals.In this paper, I firstly tested the chaotic behavior of the coverageprobability for the Wald interval, and introduced the alternative confidenceintervals. Then I calculated the coverage probability and expected length forthose intervals, made comparisons and recommended confidence intervals forthe three cases. This paper also discussed the relationship among the threediscrete distributions, and in the end illustrated the applications on binomialand Poisson data with brief examples.

Abstract The purpose of this study was to explore the differences among college students¡¦ personality traits, gender identities and types of expected occupations. One hundred ninety-one participants were selected by convenient sampling for completing Gender Role Identity Scale, Expected Occupational Type Scale, Big Five Inventory Chinese version, Sexist Attitudes toward Women Scale Chinese version and personal information questions in 2010 to 2011. Frequency distribution, descriptive analyses, independent t-test and analysis of variance were conducted for answering research questions. The initial findings were as follows: 1. The highest percentages of females college students¡¦ gender role identity types was androgynous¡]30.77%¡^; The highest percentages of male college students¡¦ gender role identity was masculine¡]31.63%¡^. 2. Students¡¦ background (i.e. sex, college, parenting style and birth order) presented non-significant relationship to gender role identity types. 3. Female college students expected to engage in female-related occupations while males preferred in male-related occupations. 4. Feminine college students presented non-significant difference in take male-related jobs. 5. Female and male college students presented non-significant differences on big five traits. 6. Masculine college students tended to have higher scores on extraversion and be more emotional stability than Feminine college students. 7. Androgynous college students have the highest scores on openness than these feminine and undifferentiated college students. 8. Females tended to have better gender equality perceptions. 9. There were non-significant differences on sexist attitudes toward gender scores between different gender role identity college students.

After the 1990s, the activities of acquisition among firms have become an international trend. Associated with the situation of global economic slump, both the domestic and international enterprises are eager to establish more powerful and effective business groups, and strengthen their competitiveness in order to create firms with higher commercial value. The rapid acquisition by firms usually results in the situation of promptly laying off employees, decreasing employees¡¦ salary, etc, and therefore generates many risks to the entire groups. The employees of those enterprises being acquired feel unsafe about their future, so their working pressure keeps growing. Similarly, the employees of the firms that conduct acquisition also worry about their working rights being threatened by the increasing number of competitors brought by the organizational reformation. These negative impacts usually have several effects: e.g. reluctance of working, uncomfortable working atmosphere, loss of human resources, and decrease of firm¡¦s overall productivity. It is found that comparative less literature focuses on exploring the influences of acquisition, and investigate the correlation between its impact and the promise given by firms and employees¡¦ working effectiveness. This study distributed 120 questionnaires in total: 90 returned and 80 effective. First, the construct validity of factor analysis and evaluation and the reliability of Cronbach alpha value were used as the tool of analysis. Then Regression Analysis was also adopted and the conclusions listed below were made: A. After acquisition, the employees¡¦ (those of enterprises being acquired) expected distance has significant negative influence toward organizational promise. 1. After acquisition, the employees¡¦ expected distance has negative influence upon firm¡¦s emotional promise. 2. After acquisition, the employees¡¦ expected distance has negative influence upon firm¡¦s sustained promise. 3. After acquisition, the employees¡¦ expected distance has negative influence upon firm¡¦s moral promise. B. After acquisition, the influence of employees¡¦ (those of enterprises being acquired) expected distance toward their working effectiveness is uncertain. 1. Evaluation of working effectiveness from subjective perspectives: 1.1. After acquisition, the employees¡¦ expected distance has no significant influence upon missionary effectiveness. 1.2. After acquisition, the employees¡¦ expected distance has positive influence upon contextual effectiveness. 2. Evaluation of working effectiveness from both subjective and objective perspectives (only limited to those who have records of subjective working effectiveness): 2.1. After acquisition, the employees¡¦ expected distance has no significant influence upon objective working effectiveness. 2.2. After acquisition, the employees¡¦ expected distance has no significant influence upon subjective missionary effectiveness. 2.3. After acquisition, the employees¡¦ expected distance has no significant influence upon subjective contextual effectiveness.

Abstract Facing to the upcoming of knowledge and economic age, the intellectual property of manpower resource is the key factor for government to upgrade the competitive capability. If the governmental employees desired to be a worker of knowledge, the department in government must provide the opportunity to let governmental employees learn. And they must have equipped themselves with ability and intention for learning the new knowledge so as to expand their intellectual property and to be an authentic worker for knowledge. Starting from July 1, 2001, the lifelong learning passport of governmental employees was officially implemented. This is the first time to promote this activity for governmental employees for lifelong learning. In addition to investigate the satisfaction of governmental employees on lifelong learning, this study also researches on personal statistical variance, individual attitude, organization factor, individual behavior and intention, and influence on satisfaction with lifelong learning passport for the governmental employees. This study adopts questionnaire method, and because it is limited by time and labor, only governmental employees served in Taichung City Government are interviewed. There are total 1173 copies of questionnaire issued, and 966 copies are collected. Among them, 916 copies are effective, and 51 copies are ineffective. The recovery rate is 82.35%, and effective recovery is 78.09%. Through SPSS software and statistical analysis with LISREL, the results of this study are concluded as follows: 1. Variance of statistical for individual attitude under analysis, there is a significant difference on lifelong learning passport for governmental employees at different ages. And the rest assumptions are unacceptable. 2. In the structure of behavior intention affected to lifelong learning passport of governmental employees, ¡§Recognition¡¨, ¡§Preference¡¨, ¡§Colleague Relationship¡¨ have reached a significant standard for behavior and have a positive relation. Moreover, ¡§Organization Supporting¡¨ and ¡§Senior Officer¡¦s Attitude¡¨ have no significant relation with behavior intention. 3. In the structure of satisfaction on lifelong learning for governmental employees, ¡§Behavior Intention¡¨ ¡§Organization Supporting¡¨ ¡§Senior Officer¡¦s Attitude¡¨ and ¡§Colleague Relationship¡¨ have a significant standard for satisfaction and have a positive relation.

Physical security systems are intended to prevent or mitigate potentially catastrophic loss of property or life. Decisions regarding the selection of one system or configuration of resources over another may be viewed as design decisions within a risk theoretic setting. The problem of revealing a clear preference among design alternatives, using only a partial or inexact delineation of event probabilities, is examined. In this dissertation, an analytical framework for the assessment of the risk associated with a physical security system is presented. Linear programming is used to determine bounds on the expected utility of an alternative, and conditions for the separation of preferences among alternatives are shown. If distinguishable preferences do not exist, techniques to determine what information may help to separate preferences are presented. The linear programming approach leads to identification of vulnerabilities in a security system through an examination of the solution to the dual problem. Security of a hypothetical military forward operating base is considered as an illustrative example. For two alternative security schemes, the uncertainty inherent in the scenario is represented using probability assessments consisting of bounds on event probabilities and exact probability assignments. Application of the framework reveals no separation of preferences between the alternatives. Examination of the primal and dual solutions to the linear programming problems, however, reveals insights into information which, if obtained, could lead to a separation of preferences as well as information on vulnerabilities in one of the alternative security postures.

The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. Furthermore, we document that total volatility of liquidity is priced in the presence of systematic liquidity risk: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggregate liquidity, and the covariance of stock liquidity with the market return. The separate pricing of total volatility of liquidity indicates that idiosyncratic liquidity risk is important in the cross section of returns. This result is puzzling in light of Acharya and Pedersen (2005) who develop a model in which only systematic liquidity risk affects returns. The positive correlation between the volatility of liquidity and expected returns suggests that risk averse investors require a risk premium for holding stocks that have high variation in liquidity. Higher variation in liquidity implies that a stock may become illiquid with higher probability at a time when it is traded. This is important for investors who face an immediate liquidity need and are not able to wait for periods of high liquidity to sell.

This thesis investigates the revenue management (RM) problem encountered in an airport carpark of finite capacity, where the available parking spaces should be sold optimally in advance in order to maximise the revenues on a given day. Customer demand is stochastic, where random pre-booking times and stay lengths overlap with each other, a setting that generates strong inter-dependence among consecutive days and hence leads to a complex network optimisation problem. Several mathematical models are introduced to approximate the problem; a model based on a discrete-time formulation which is solved using Monte Carlo (MC) simulations and two single-resource models, the first based on a stochastic process and the other on a deterministic one, both developed in continuous-time that lead to a partial differential equation (PDE). The optimisation for the spaces is based on the expected displacement costs which are then used in a bid-price control mechanism to optimise the value of the carpark. Numerical tests are conducted to examine the methods’ performance under the network setting. Taking into account the methods’ efficiency, the computation times and the resulting expected revenues, the stochastic PDE approach is shown to be the preferable method. Since the pricing structure among operators varies, an adjusted model based on the stochastic PDE is derived in order to facilitate the solution applicable in all settings. Further, for large carparks facing high demand levels, an alternative second-order PDE model is proposed. Finally, an attempt to incorporate more information about the network structure and the inter-dependence between consecutive days leads to a weighted PDE scheme. Given a customer staying on day T, a weighting kernel is introduced to evaluate the conditional probability of stay on a neighbouring day. Then a weighted average is applied on the expected marginal values over all neighbouring days. The weighted PDE scheme shows significant improvement in revenue for small-size carparks. The use of the weighted PDE opens the possibility for new ways to approximate network RM problems and thus motivates further research in this direction.