This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Value at Risk was calculated using semi-parametric model. Then the weekly losses of the stock portfolio and the daily losses of the entire portfolio were both fitted into ARMA(1,1)-GARCH(1,1), and the estimated parameters were used to find their conditional value at risks (CVaR) and the conditional expected shortfalls (CES).

In order to evaluate and manage portfolio risk, we separated this project into three sections. In the first section we constructed a portfolio with 15 different stocks and six options with different strategies. The portfolio was implemented in Interactive Brokers and rebalanced weekly through five holding periods. In the second section we modeled the loss distribution of the whole portfolio with normal and student-t distributions, we computed the Value-at-Risk and expected shortfall in detail for the portfolio loss in each holding week, and then we evaluated differences between the normal and student-t distributions. In the third section we applied the ARMA(1,1)-GARCH(1,1) model to simulate our assets and compared the polynomial tails with Gaussian and t-distribution innovations.

A la lumière du débat actuel visant la comptabilisation des engagements de retraite, la thèse examine les forces et faiblesses de la comptabilisation telle que stipulée par le normalisateur international, l’International Accounting Standards Board (IASB). Afin d’étayer nos arguments, nous étudions l’influence de certains paramètres, à savoir la rentabilité, les flux, le levier financier, le levier des engagements de retraite, ou la composition du portefeuille d’actifs du régime, parmi d’autres, sur le choix du taux d’actualisation et du taux de rendement attendu des actifs du régime dans le cadre des régimes à prestations définies. La littérature, incluant en particulier les travaux d’Amir et Benartzi (1998), Asthana (1999), Picconi (2006), ou Adams, Frank et Perry (2011), identifie ces paramètres comme influents sur le choix des taux. A l’échelle de l’entreprise, l’impact de ces taux peut être significatif sur le niveau d’endettement ou de rentabilité, et à l’échelle de l’économie, le provisionnement correct des engagements de retraite représente un défi majeur pour des secteurs, industries ou nations (OECD, 2011). Dans ce contexte, la dissertation analyse en détails les règles comptables, la recherche et les pratiques en usage en Europe, une région qui a traditionnellement attiré relativement peu d’intérêt empirique à un niveau paneuropéen notamment à cause de la grande diversité qui caractérise les pratiques comptables et les juridictions locales. Une étude basée sur les membres du Stoxx Europe Total Market Index a été réalisée afin de répondre à la problématique suivante : quels sont les facteurs influençant et expliquant le choix du taux d’actualisation et du taux de rendement attendu des actifs du régime ? / In light of the current debate about pension accounting, the dissertation examines the strengths and weaknesses of pension accounting as stipulated by the International Accounting Standards Board (IASB). To substantiate our arguments, we study the influence of key parameters, namely profitability, cash flow, leverage, funding status, and plan asset investment allocation, among others, on the choice of the discount rate and the expected rate of return used when accounting for defined benefit pension schemes. Prior literature, including research performed by Amir and Benartzi (1998), Asthana (1999), Picconi (2006), and Adams, Frank and Perry (2011), identifies these factors as influential in the choice of these rates. At a micro level, the impact of these rates can be tremendous on the financial status of reporting entities (e.g. inflated/deflated indebtedness or earnings) and at a macro level, the correct provisioning of pension represents a major challenge for sectors, industries or nations as a whole (OECD, 2011). In such a context, the dissertation reviews in details current regulation, research, and practices across Europe, a region which has historically attracted relatively little empirical research on a pan-European basis mainly because of the great diversity in accounting practices and local jurisdictions. A study focused on members of Stoxx Europe Total Market Index is performed to address the following research question: what are the factors impacting and explaining the choice of the discount rate and the expected rate of return ?

A dissertação aborda o Plano Metropolitano de Desenvolvimento Integrado da Grande São Paulo - PMDI-GSP de 1970, seu processo de elaboração, metodologia e propostas prioritárias, relações com outros planos e estudos em curso naquele momento, e seus desdobramentos ao longo dessa década, sob a perspectiva técnica do planejamento e do urbanismo considerando aspectos socioeconômicos e ambientais do desenvolvimento do país. Abrange o período de 1950 a 1980, centrado nas atividades e na produção durante a vida institucional do Grupo Executivo da Grande São Paulo - GEGRAN - entre 1967 e 1975. Criado no governo Roberto Abreu Sodré para executar o PMDI e implantar o Sistema de Planejamento, teve o apoio do sucessor Laudo Natel. O GEGRAN deu início a um intenso trabalho que envolveu técnicos, dirigentes de diferentes setores da administração pública e grandes quadros técnicos da iniciativa privada; gerou um volume de análises e propostas concretas, objetivas, e bem detalhadas, que permitiram repropor estratégias e prioridades setoriais, sobretudo nos transportes públicos e no saneamento básico. No governo seguinte de Paulo Egydio Martins, abandonou-se subitamente a solução para o saneamento e retirou-se o órgão metropolitano de planejamento da Secretaria de Economia e Planejamento do Governo do Estado- SEP, diminuindo seu poder de atuação. / The present work addresses the Metropolitan Plan of Integrated Development of Greater São Paulo - PMDI - GSP 11970, its elaboration, methodology and priority proposals, relations with other ongoing plans and studies at that time and their development along that decade, under the planning and urbanism technical perspective, considering social, economical and environmental aspects of the country development. It covers the period between 1950 and 1980, and focuses the activities and production of Executive Group of Greater São Paulo - GEGRAN - during its institutional life - from 1967 to 1975. It was created during Governor Roberto Abreu Sodré\'s term in order to carry out the PMDI and set up the Planning System. The next Governor, Laudo Natel, supported it and carried it on. GEGRAN started intense work involving technicians, managers of several public administration departments and large technical staff of private enterprises; it generated a great amount of concrete, objective and carefully detailed analyses and proposals, which allowed re-proposing sectotrial strategies and priorities, especially on public transportation and sanitation. In Paulo Egydio Martins, the next governor\'s term, the solution for the sanitation problem was abandoned and the planning metropolitan agency was withdrawn from Secretaria de Economia e Planejamento do Governo do Estado - SEP, which decreased its action power.

One major criticism about the traditional mean-variance portfolio optimization is that it tends to magnify the estimation error. A little estimation error can cause the distortion of the whole portfolio. Two popular ways to solve this problem are to use a resampling method or the Black-Litterman method (Bayesian method). The clustering method is a newer way to solve the problem. Clustering means we group the highly correlated stocks first and treat the group as a single stock. After we group the stocks, we will have some clusters of stocks, then we run the traditional mean-variance portfolio optimization for these clusters. The clustering method can improve the stability of the portfolio and reduce the impact of estimation error. In this project, we will explain why it works and we will perform tests to determine if clustering methods do improve the stabilities and performance of the portfolio.

Bakgrund: Kunskaperna om smärta och fysiologin runt smärtan har ökat väsentligt under åren. Trots det ökade intresset och nya kunskaper om smärta och smärtbehandling får flera patienter ännu samma oförändrad och otillräcklig smärtbehandling postoperativt. Syfte: Syftet med studien är att beskriva patienters upplevelse av postoperativ smärta. Metod: Litteraturstudien baseras på sex vetenskapliga artiklar, alla med kvalitativ forskningsansats. Studien granskades och analyserades efter Graneheim &amp; Lundmans analysprocess. Resultat: Alla patienter upplevde mer eller mindre smärta efter operationen. Att smärtan skulle vara så intensiv hade de inte räknat med. Patienter som upplevde smärta använde sig av olika metoder för att ta kontrollen. Många patienter upplevde brist på pre- och postoperativ information angående smärtskattning och smärtlindring, vilket uppfattades som ett stort problem. En bra och omsorgsfull vård får patienten att känna trygghet vilket också lindrar smärta. Att inte bli sedda av personalen gav patienterna en känsla av att förlora kontrollen och en känsla av att inte vara viktig. Citaten beskriver patientens egna upplevelser av postoperativ smärta. Diskussion: Beskriva och uttrycka sin smärta var ett problem då flera patienter saknade ord. Informationen har stor betydelse men var ofta bristfällig både pre- och post operativt. Delaktighet i sin vård ökar patienternas förtroende till sjuksköterskorna och inger en trygghetskänsla. / <p>Program: Sjuksköterskeutbildning</p><p>Uppsatsnivå: C</p>

The purpose of this study is to form an understanding for communication managers acceptance of the chatbot. This understanding could be useful if the usage of the chatbot at various companies increases. This study also aims to study the relevance of Davis (1989) Technology Acceptance Model, which is one of the most frequent used theories in acceptance studies.  Hence, this study is based on the following questions: <ul type="disc">How can communication managers' perception of the chatbot be understood? Is the Technology Acceptance Model (TAM) a useful model for understanding the acceptance level of the chatbot? If not; how can it be developed to achieve this purpose? The study is based on qualitative interviews of four communication managers from different companies in the Stockholm area. The empirical data collected from the interviews has been analyzed according to thematic analysis, and further understood with support of the TAM-model. Due to the qualitative approach, but also according to the purpose of possibly developing the TAM-model, the study has been characterized by openness and ambition to explore the empirical material and theory. The study showed a unified understanding of the chatbot as helpful in simple types of customer communication areas. The technology was also considered to have a future usefulness in this area. The study also came to clarify that the respondents have shared understandings of the chatbot. The views consisted of both advantages and disadvantages of implementing a chatbot to the workplace. The opinions are based on three emerging themes that were considered relevant to the respondents; the efficient business, future vision for the chatbot and secondary view of the chatbot. The TAM-model proved helpful in understanding the empirical evidence and understanding the grounds to acceptance. The study found that the model would be made even more relevant if it would include social influence, in order to understand how the respondent is expected to understand the users experience of the chatbot. Therefore, this study has proposed an extension of the TAM-model that includes the expected user experience. By developing this parameter to the TAM-model the theory is expected to be more rewarding for further similar studies.

Nesta tese analisamos a influência dos preços dos ativos na condução da política monetária nos países emergentes no período de 1990 a 2006. Primeiramente, investigamos a presença de bolhas racionais nos preços das ações dos países emergentes através de testes de cointegração linear e não linear. Os resultados indicam a presença de bolhas racionais em pelo menos um dos testes realizados para cada um dos países estudados. Todavia, nossos resultados permitem concluir que as bolhas tendem a ser provocadas por fatores extrínsecos e não pela relação não linear intrínseca entre os preços das ações e os dividendos. Estudamos também a relação entre os retornos de mercado, inflação esperada e crescimento/hiato do produto, através de testes individuais e em conjunto utilizando modelos em painel linear e não linear. Em ambos verificamos que as variáveis financeiras carregam informações úteis, tanto direta como indireta, a respeito da inflação e do crescimento do produto, dentro ou fora da amostra. Por fim, investigamos se os preços dos ativos devem exercer um papel central nas decisões de política monetária, através de modelos GMM (individuais e em painel) e de otimização dinâmica. Os resultados indicam que a razão dividendo-preço e a taxa de câmbio real são bons instrumentos na função de reação dos bancos centrais dos países emergentes, porém não podemos concluir que estas variáveis devam ser utilizadas como argumentos nestas funções de reação. Os resultados também indicam que, nos países que optaram pelo regime de metas de inflação estrita, a melhor opção seria não considerar explicitamente os retornos das ações em suas funções de reação. Para bancos centrais atuando em regimes de metas de inflação com política monetária acomodatícia ou outro tipo de regime, a melhor opção seria considerar os preços das ações em suas funções de reação. / We examine the relationship (if any) between stock prices and monetary policy in 22 emerging countries over the period 1990-2006. First, we investigate whether rational stock price bubbles are present in such countries using linear and nonlinear cointegration. Bubbles were found in at least one out of the six tests considered. These were likely to be caused by extrinsic factors, rather than by the intrinsic nonlinear relation between the stock prices and dividends. Secondly, we evaluate the link between market returns, expected inflation and output gap and growth by employing both individual and joint tests of linear and nonlinear panel models. We find that the stock prices convey useful information about inflation and output growth in-sample and out-of-the-sample Finally, we ask whether the stock prices are to be given a central role in monetary policy decisions using both (individual and panel) GMM models and dynamic optimization. We find that though the dividend-price ratio and the real exchange rate can provide useful information for monetary policy decisions, we should not jump to the conclusion that they have to be considered as arguments of the central banks' reaction functions. For the central banks with explicit inflation targeting, the best choice is not to consider the stock returns in their reaction functions. However, for the other regimes the best choice is to consider the stock returns in the reaction functions.

Determination of the stock expected return is an important element of asset management. This paper presents an Arbitrage Pricing Theory model, which strives to estimate the expected return explaining the historical volatility of the stock prices. This paper presents the model as it was introduced, necessary extension for application to a small market included. Statistical methods on which the model has been build are discussed -- factor analysis completed by principal component analysis. In the practical part, the model is applied to the Czech market with an assessment of the success of the application. The forces which were expected to represent risk factors for the market have been examined as well. It will be shown that the model may contribute to the understanding of risk behaviour of the stocks.

A dissertação aborda o Plano Metropolitano de Desenvolvimento Integrado da Grande São Paulo - PMDI-GSP de 1970, seu processo de elaboração, metodologia e propostas prioritárias, relações com outros planos e estudos em curso naquele momento, e seus desdobramentos ao longo dessa década, sob a perspectiva técnica do planejamento e do urbanismo considerando aspectos socioeconômicos e ambientais do desenvolvimento do país. Abrange o período de 1950 a 1980, centrado nas atividades e na produção durante a vida institucional do Grupo Executivo da Grande São Paulo - GEGRAN - entre 1967 e 1975. Criado no governo Roberto Abreu Sodré para executar o PMDI e implantar o Sistema de Planejamento, teve o apoio do sucessor Laudo Natel. O GEGRAN deu início a um intenso trabalho que envolveu técnicos, dirigentes de diferentes setores da administração pública e grandes quadros técnicos da iniciativa privada; gerou um volume de análises e propostas concretas, objetivas, e bem detalhadas, que permitiram repropor estratégias e prioridades setoriais, sobretudo nos transportes públicos e no saneamento básico. No governo seguinte de Paulo Egydio Martins, abandonou-se subitamente a solução para o saneamento e retirou-se o órgão metropolitano de planejamento da Secretaria de Economia e Planejamento do Governo do Estado- SEP, diminuindo seu poder de atuação. / The present work addresses the Metropolitan Plan of Integrated Development of Greater São Paulo - PMDI - GSP 11970, its elaboration, methodology and priority proposals, relations with other ongoing plans and studies at that time and their development along that decade, under the planning and urbanism technical perspective, considering social, economical and environmental aspects of the country development. It covers the period between 1950 and 1980, and focuses the activities and production of Executive Group of Greater São Paulo - GEGRAN - during its institutional life - from 1967 to 1975. It was created during Governor Roberto Abreu Sodré\'s term in order to carry out the PMDI and set up the Planning System. The next Governor, Laudo Natel, supported it and carried it on. GEGRAN started intense work involving technicians, managers of several public administration departments and large technical staff of private enterprises; it generated a great amount of concrete, objective and carefully detailed analyses and proposals, which allowed re-proposing sectotrial strategies and priorities, especially on public transportation and sanitation. In Paulo Egydio Martins, the next governor\'s term, the solution for the sanitation problem was abandoned and the planning metropolitan agency was withdrawn from Secretaria de Economia e Planejamento do Governo do Estado - SEP, which decreased its action power.