The thesis is focused on economic capital management of top-ranked world banks. A basic theoretical framework is summarised at the beginning. The theoretical framework is then utilised in the main - empirical part. Since economic capital is not a figure commonly reported in any available database, we have created our own database based on annual reports of top fifty world banks of the year 2008. Based on this database we provide an extensive empirical study focused on years 2007-2010. Even though one third of the banks disclose economic capital only, thanks to our approach combining both quantitative and qualitative analysis we were able to study the topic in detail. Within quantitative part the development of economic capital and its allocation is studied, the differences between regulatory and economic capital in time is measured, a relationship between quality of economic capital disclosure and rating is searched for and relationship between the value of economic capital and changes in profits during financial crisis is studied. The qualitative part consists of case studies of fourteen banks. It is focused on special and unique features of economic capital management of individual financial institutions.

During the work of this research project we were interested in mathematical techniques that give us an insight to the following questions: How do we understand the trading decisions made by a manager of a hedge fund and what influences these decisions? In what way does an illiquid market affect these decisions and the performance of the fund? And how does the payment scheme affect the investor's decisions? Based on existing work on hedge fund management, we start with a fund that can be modelled with one risky investment and one riskless investment. Next, subject to the hedge fund special reward scheme we maximise the expected utility of wealth of the manager, by controlling the percentage invested in the risky investment, namely the portfolio. We use stochastic control techniques to derive a partial differential equation (PDE) and numerically obtain its corresponding viscosity solution, which provides a weak notion of solutions to these PDEs. This is then taken to a liquidity constrained scenario, to compare the behaviour of the two scenarios. Using the same approach as before we notice that due to the liquidity restriction we cannot use a simple model to combine the risky and riskless investments as a total amount, and hence the PDE is one order higher than before. We then model an investor who is investing in the hedge fund subject to the manager's optimal portfolio decisions, with similar mathematical tools as before. Comparisons between the investor's expected utility of wealth and the utility of having the money invested in the risk-free investment suggests that, in some cases, the investor is paying more to the manager than the return he is receiving for having invested in the hedge fund, compared to a risk-free investment. For that reason we propose a strategic game where the manager's action is to allocate the money between the two assets and the investor's action is to add money to the fund when he expects profit. The result is that the investor profits from the option to reinvest in the fund, although in some extreme cases the actions of the manager make the investor receive a negative value for having the option.

Distributed processing cluster design using commodity hardware and software has proven to be a technological breakthrough in the field of parallel and distributed computing. The research presented herein is the original investigation on distributed processing using hybrid processing clusters to improve the calculation efficiency of the compute-intensive applications. This has opened a new frontier in affordable supercomputing that can be utilised by businesses and industries at various levels. Distributed processing that uses commodity computer clusters has become extremely popular over recent years, particularly among university research groups and research organisations. The research work discussed herein addresses a bespoke-oriented design and implementation of highly specific and different types of distributed processing clusters with applied load balancing techniques that are well suited for particular business requirements. The research was performed in four phases, which are cohesively interconnected, to find a suitable solution using a new type of distributed processing approaches. The first phase is an implementation of a bespoke-type distributed processing cluster using an existing network of workstations as a calculation cluster based on a loosely coupled distributed process system design that has improved calculation efficiency of certain legacy applications. This approach has demonstrated how to design an innovative, cost-effective, and efficient way to utilise a workstation cluster for distributed processing. The second phase is to improve the calculation efficiency of the distributed processing system; a new type of load balancing system is designed to incorporate multiple processing devices. The load balancing system incorporates hardware, software and application related parameters to assigned calculation tasks to each processing devices accordingly. Three types of load balancing methods are tested, static, dynamic and hybrid, which each of them has their own advantages, and all three of them have further improved the calculation efficiency of the distributed processing system. The third phase is to facilitate the company to improve the batch processing application calculation time, and two separate dedicated calculation clusters are built using small form factor (SFF) computers and PCs as separate peer-to-peer (P2P) network based calculation clusters. Multiple batch processing applications were tested on theses clusters, and the results have shown consistent calculation time improvement across all the applications tested. In addition, dedicated clusters are built using SFF computers with reduced power consumption, small cluster size, and comparatively low cost to suit particular business needs. The fourth phase incorporates all the processing devices available in the company as a hybrid calculation cluster utilises various type of servers, workstations, and SFF computers to form a high-throughput distributed processing system that consolidates multiple calculations clusters. These clusters can be utilised as multiple mutually exclusive multiple clusters or combined as a single cluster depending on the applications used. The test results show considerable calculation time improvements by using consolidated calculation cluster in conjunction with rule-based load balancing techniques. The main design concept of the system is based on the original design that uses first principle methods and utilises existing LAN and separate P2P network infrastructures, hardware, and software. Tests and investigations conducted show promising results where the company's legacy applications can be modified and implemented with different types of distributed processing clusters to achieve calculation and processing efficiency for various applications within the company. The test results have confirmed the expected calculation time improvements in controlled environments and show that it is feasible to design and develop a bespoke-type dedicated distributed processing cluster using existing hardware, software, and low-cost SFF computers. Furthermore, a combination of bespoke distributed processing system with appropriate load balancing algorithms has shown considerable calculation time improvements for various legacy and bespoke applications. Hence, the bespoke design is better suited to provide a solution for the calculation of time improvements for critical problems currently faced by the sponsoring company.

Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-09T11:36:55Z No. of bitstreams: 1 EESP - Analysis of HF Replication Products.pdf: 1357816 bytes, checksum: 6f8cc53a8c46b361a07188306396d0d7 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, Your Thesis is complete different from the structure that should be. In the email that I send there is a model of thesis. please follow the instructions that I send. All work must be done using the standards defined by ABNT or APA (American Psychology Association): http://bibliotecadigital.fgv.br/site/bkab/normalizacao. I wil send you again the model. Don't forget to ask for the Ficha catalográfica. Best. Ana Luiza Holme 37993492 on 2016-10-10T12:32:21Z (GMT) / Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-17T18:34:06Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1421318 bytes, checksum: a87439a38f564feee0905e7798b4d441 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, The numbers of the pages are missing, remember that the number of the pages count from the cover but only appear in the introduction. Best. Ana Luiza Holme 37993492 on 2016-10-17T18:48:35Z (GMT) / Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-17T20:18:52Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1424345 bytes, checksum: 81b1d6017b1eaac36e10addc679df407 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, The numbers of the pages should appear only in the introduction. Please remove the number of the pages 8 and 9. Best. Ana Luiza Holme 37993492 on 2016-10-18T11:19:23Z (GMT) / Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-18T19:13:16Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-18T19:19:53Z (GMT) No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) / Made available in DSpace on 2016-10-18T19:55:48Z (GMT). No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) Previous issue date: 2016-09-26 / Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, transparency and lower due diligence costs. The purpose of this dissertation is therefore to provide a detailed critical analysis of available hedge fund replication products. The results show that the performance of replication products can vary widely, and replication approaches are still a work in progress. However, they offer an attractive way to enhance the returns of a portfolio while simultaneously diversifying risk because they show a low correlation to traditional asset classes. / Replicação de fundos de hedge gerou interesse acadêmico significativo e recebido maior atenção a partir de uma ampla base de investidores. Este é impulsionado principalmente pelas suas competitivos retornos pós-taxa, juntamente com a sua liquidez superior, transparência e custos de diligência menor devido. O objetivo deste trabalho é, portanto, fornecer uma análise crítica detalhada dos disponível de hedge produtos de replicação de fundo. Os resultados mostram que o desempenho dos produtos de replicação podem variar amplamente, e abordagens de replicação são ainda um trabalho em curso. No entanto, eles oferecem uma maneira atraente de aumentar os retornos de uma carteira e simultaneamente a diversificação do risco, porque eles mostram uma baixa correlação com as classes de ativos tradicionais.

The aim of the thesis is to analyze the evolution of hedge funds and their regulation, especially in the context of the global financial crisis. The first part focuses on defining the term "hedge fund", then it is compared with another institutional investor, mutual fund. The history and description of basic investment strategies of hedge funds are also analyzed. The second part overhauls the market of hedge funds, including its quantity, assets under management and performance. The last part is mainly devoted to the theoretical aspects of regulation and supervision of hedge funds, it analyzes the legal status of regulation and supervision of these funds in selected countries before the global financial crisis, the AIFM Directive requirements are discussed and their possible implications are analyzed; the AIFM Directive is compared with the Dodd Frank Act's requirements at the end.

In dieser Dissertation wird die Hedgefonds-Industrie erstmals aus einer umfassenden Governanceperspektive betrachtet. Das Anreizgeflecht zwischen Hedgefonds und ihren wichtigsten Stakeholdern wird analysiert, um darzustellen, welche Interessenskonflikte zwischen Hedgefonds und ihren Stakeholdern, aber auch innerhalb der Stakeholdern-Society der Industrie existieren. Einige dieser Konflikte können das operative Risiko und somit die Kreditrisiken einzelner Fonds erhöhen und strahlen durch die verbreitete Intransparenz und die zunehmenden Ansteckungsgefahren innerhalb der Hedgefonds-Industrie auf weite Teile der Industrie ab. Diese Arbeit ergänzt die wissenschaftliche Literatur, indem erstmals die grundlegenden Interessenskonflikte der Hedgefonds-Industrie gegenüber ihren wichtigsten Stakeholdern (Investoren, Gläubigern & Gesellschaft) identifiziert, umfassend dargestellt und Lösungsansätze diskutiert werden. Zur Identifizierung und Analyse dieser grundlegenden Anreizprobleme und der daraus resultierenden Interessenskonflikte wird sich eines Datensatzes bedient, der bisher noch keine Behandlung in der wissenschaftlichen Literatur über Hedgefonds gefunden hat: Den Hedgefonds-Anklagen der U.S. Securities and Exchange Commission (SEC) zwischen den Jahren 2000 und 2011. Der Blick aus der Stakeholderperspektive ermöglicht es, die Anreize, denen ein Fondsmanager oder verschiedene Stakeholder ausgesetzt sein können, besser zu verstehen, zentrale Anreizprobleme der Industrie zu identifizieren und potenzielle Lösungsansätze vor dem Hintergrund der Governancetheorie zu diskutieren. Zudem wird der Zusammenhang zwischen den Governanceproblemen und den systemischen Risiken der Hedgefonds-Industrie hergestellt. Es wird gezeigt, dass verbesserte Governancestrukturen, die transparenzerhöhend und anreizangleichend wirken, nicht ausschließlich Investoren und Gläubigern, sondern auch der Gesellschaft als zentraler Stakeholder der Industrie einen Mehrwert bringen können. Denn die Governanceprobleme, die noch immer Teile der Hedgefonds-Industrie prägen, wie immer neue und größere Betrugsskandale andeuten, zeigen auch, dass sie aus einer Governance- beziehungsweise operativen Perspektive für ihre wachsende Rolle im Finanzsystem noch nicht gerüstet zu sein scheint. Diese operativen Risiken können die Kreditrisiken vieler Fonds erhöhen und negative Auswirkungen auf systemrelevante Gläubiger haben, die im Brokerage/Depotgeschäft den Risiken einer Vielzahl von Hedgefonds ausgesetzt sein können. Im Lauf der vergangenen Dekade hat zusätzlich noch die Vernetzung innerhalb der Hedgefonds-Industrie und mit systemrelevanten Institutionen zugenommen. Daher sind nicht mehr nur die Kreditrisiken großer Fonds, sondern durch potenzielle Ansteckungsgefahren innerhalb der Industrie werden auch die Kreditrisiken kleinerer Fonds relevant, wenn diese korreliert ausfallen. So können Governanceprobleme in der Hedgefonds-Industrie durch die Erhöhung des operativen und des Kreditrisikos die systemischen Risiken der Industrie beeinflussen. Daher können durch geeignete Governancemechanismen den einzelnen Stakeholdern, der Wissenschaft sowie der Politik grundlegende Informationen und Steuerungsinstrumente zugänglich gemacht werden, die die Mess- und Steuerbarkeit von operativen Risiken erhöhen, potenzieller Überregulierung besser vorbeugen und Kredit- und systemische Risiken abschwächen.

No description available.

Plusieurs trillions de dollars d’actifs sous gestion : tel est le poids de l’industrie des hedge funds dans le système financier. Acteurs indispensables des marchés, les hedge funds sont pourtant des créatures méconnues. Réservés aux investisseurs professionnels ou qualifiés, ils ont longtemps tiré partie d’exemptions et échappé à une trop forte contrainte réglementaire. La crise financière de 2008 a bouleversé ce schéma et fait apparaître, en Europe et aux États-Unis, une même volonté d’encadrer davantage ces structures, par le biais de leurs gestionnaires. Aussi cette étude propose-t-elle une analyse comparée des dispositions introduites en la matière par la directive AIFM et par le Dodd Frank Act. Après un nécessaire éclairage sur cette industrie de l’ombre, elle examine les apports des deux textes, les confronte avant d’en dégager forces et faiblesses. Le traumatisme de la crise a fait émerger un double impératif : mieux protéger les investisseurs et prévenir le risque systémique. C’est à la lumière de ces deux objectifs que la seconde partie s’attarde sur le bien-fondé des réformes, leur portée réelle ainsi que leurs limites. Cette vue d’ensemble de la régulation applicable aux gestionnaires de hedge funds est également prétexte à une réflexion plus large sur la régulation financière, ses finalités, ses contours et ses défis. Nous concluons sur une feuille de route pour un acte II de la directive AIFM et formulons plusieurs propositions, en particulier l’interdiction totale de commercialisation auprès d’investisseurs de détail et la création d’une base de données mondiale du risque systémique. / The hedge fund industry manages several trillion dollars in assets. Though they are key players of the financial system, hedge funds remain mysterious creatures. Available only to professional or qualified investors, they managed, for a long time, to take advantage of exemptions and to avoid a heavy regulatory burden. The 2008 financial crisis profoundly changed perspectives and led the European Union and the United States to introduce new regulations targeting hedge funds, through their managers and advisers. This study is a comparative analysis of such regulations, brought about by the AIFM Directive and the Dodd Frank Act. After a brief overview of the industry, both texts are examined and compared so as to identify their respective strengths and weaknesses. Two imperatives emerged out of the crisis: increasing investor protection and preventing systemic risk. In light of these two objectives, part II discusses the validity of the reforms, their scope and their limits. This extensive analysis of hedge fund regulation also leads to broader remarks on financial regulation, its aims, contours and challenges. Finally, a roadmap for a revised version of the AIFM Directive is proposed and concrete measures are suggested, such as the total prohibition of marketing to retail investors and the creation of a global database of systemic risk.