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Risk and reward in the use of financial derivatives: risk and benefits relating to portfolio managementChan, T. M., 陳祖明. January 1995 (has links)
published_or_final_version / Business Administration / Master / Master of Business Administration
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Study on insurance risk models with subexponential tails and dependence structuresChen, Yiqing, 陳宜清 January 2009 (has links)
published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy
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Risk management of oil refineryDo, Hyunsoo 23 September 2014 (has links)
Every business faces risks and the first step in managing risk is making an inventory of the risks that a business faces and getting measure of the exposure to each risk. There are several risks that can affect an oil refinery. Generally recognized risks related to refineries are as follows: crude oil price, crack spread, marketing margin, sales volume, exchange rate, costs, credit and counterparty risk, and hazard risk. In this thesis, among these risk factors, major market price variables, such as crude oil price and crack spread, are regarded as risks or simulation variables; some of the other risks, such as marketing margin, utilization rate, and energy cost, are treated as uncertainties; the others are excluded or fixed. This thesis develops a hypothetical refinery financial model that reasonably approximates real models encountered in practice. To measure the impacts of risk factors on the refinery, three criteria are adopted; present value of net income for ten years, present value of net cash flow, and return on capital employed (ROCE). For sensitivity analysis, five variables are selected: crude oil price, crack spread, marketing margin, utilization rate, and energy cost. In order to measure the risk exposure of an oil refinery, this thesis makes Monte Carlo simulation 10,000 times, by using @RISK software. / Energy and Earth Resources / text
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A three factor model for MBS with credit risk林怡潔 Unknown Date (has links)
本篇論文將Kariya, Ushiyama, and Pliska三位學者在2003所發表之三因子不動產證券化評價模型加入信用風險(credit risk)的考量. / In this paper, we extend Kariya, Ushiyama, and Pliska’s three factor mortgage-backed securities pricing model with credit risk. In our model, two reasons that cause prepayment behaviors are the refinancing factor and the equity factor. Our pricing model is a discrete-time model, and the credit risk is priced due to the concept of reduced form model. We also use Monte Carlo simulation to test our theoretical value and make some comparisons between changing parameters.
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Default Risk Management of Credit Derivatives with HJM Model胡伯聖, Hu, Bo-shen Unknown Date (has links)
債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險. / Abstract
In this study, we combine credit valuation approaches developed by Jarrow&Turnbull (1995)、Duffie&Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives.
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From Incidents Handling to Suggest a Framework for Better Control of Operational Risk陳香君, Chen,Hsiang Chun Unknown Date (has links)
由帶領處理三件銀行作業疏失看作業風險 / The initial idea to this paper is from the experience of leading the taskforces in real operating losses which included a series of plans in root cause identification, control gaps assessment, financial impact analysis, and corrective actions implementation. Secondly, a snapshot on the recent famous scandals in the world to prove the control breakage is from the similar factors but might be with different combinations. The similar factors could be concluded due to the definition of Operational Risk is clearly provided by the Basel. Thirdly, from the viewpoint of new regulation to highline the environment did change to affect the competition by different capital reserve. Finally, try to provide a comprehensive internal framework in a Bank. The content is organized to descript below per chapter.
Chapter 1 is the object and approach to this paper.
Chapter 2 is to brief from environment overview to highline the impact of capital charge requirement for operating risk and effect of internal control on financial reporting.
Chapter 3, outlook in the recent scandals to echo the importance of internal control as well as operating risk.
In chapter 4, three significant incidents from taking a lead to conduct a series of investigation taskforces, an overall picture from inside out to address the failure in operating error, the financial impact, and corrective actions plan.
In chapter 5, it is to provide a design of the internal control framework, as well as the implementation in daily operation from end to end.
Finally in chapter 6, making a conclusion and recommendation to wish more feedback in strengthen the control of operation risk.
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Essays on Uninsurable Individual Risk and Heterogeneity in MacroeconomicsSantos Monteiro, Paulo 26 June 2008 (has links)
This thesis examines empirical and theoretical issues related to the role of uninsurable individual risk and heterogeneity in macroeconomics. The thesis includes four chapters. The first chapter uses data from the Panel Study of Income Dynamics (PSID) to test full risk-sharing among North American households. The second chapter is a short essay where I use simulated data to show how the method applied in the previous chapter can be used to distinguish between partial risk sharing and imperfect credit markets. The third chapter develops a heterogeneous agent dynamic general equilibrium model which jointly models aggregate saving and employment. Finally, the fourth chapter investigates empirically the ability of financial market incompleteness to help explaining the equity premium puzzle. The central motivation throughout this dissertation is the recognition that the interaction between cross-sectional volatility and aggregate volatility is of fundamental importance to understand the way we should model macroeconomic aggregates such as aggregate consumption, asset prices and business cycle fluctuations.
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The precautionary principleSandin, Per January 2002 (has links)
<p>This thesis aims at providing reasonable explications of theprecautionary principle and the concept of precaution, todefend the precautionary principle against some commoncriticisms, and to give an indication of how the precautionaryprinciple might be operationalised.</p><p>In Essay I, the concept of precaution is analysed in termsof precautionary actions. Distinctions between precaution andtwo related concepts, prevention and pessimism, are discussed.A definition involving three necessary and jointly sufficientconditions is proposed as a reasonable explication of aprecautionary action.</p><p>Essay II attempts to provide an analytical apparatus whichmay be used for finding an authoritative formulation of theprecautionary principle. Several formulations of theprecautionary principle are examined. It is argued that theprecautionary principle can be recast into a four-dimensionalif-clause, and that this format can be used in negotiationsconcerning the precautionary principle.</p><p>In Essay III, the precautionary principle is defendedagainst five common charges, namely that it is ill-defined,absolutist, and a value judgement, increases risk-taking, andmarginalises science.</p><p>In Essay IV, a simple formalised model is introduced, inwhich the precautionary principle is interpreted in terms ofdefault values of chemicals regulation.</p><p><b>Key words:</b>Precautionary principle, precaution, risk</p>
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An investigation of the measurement of individual risk attitudesWinter, John R. 06 December 1985 (has links)
Two direct elicitation of utility (D.E.U.) techniques
were used to estimate risk attitudes of a group of agricultural
producers. The two elicitation techniques used in the
study were 1) an error-in-response model using a modified
Ramsey method, and 2) stochastic dominance with respect to a
function (SDF). The primary objective of the study was to
determine whether the two elicitation techniques yield consistent
estimates of risk attitudes. A second major objective
of the study was to provide additional information
about the distribution of risk attitudes among agricultural
producers.
The study confirmed the results of other research
efforts that the majority of risk attitude parameters of
agricultural producers lie within the range -.0001 and .001
with income measured in dollars [King and Robison, 1980]. The
study also supports previous research results which indicate
that a significant portion of decision makers exhibit risk
preferring behavior, at least over some ranges of incomes.
The error-in-response model classified 38.1% of the respondents
as risk preferring, 47.6% as risk neutral, and 14.3% as
risk averse. With only one exception, the SDF technique
elicited risk preferring attitudes for every respondent over
some range of income values.
Individual and aggregate tests for decreasing
(increasing) absolute risk aversion were conducted. No
respondents were found to exhibit increasing or decreasing
absolute risk aversion. The statistical comparison of the
two elicitation techniques was inconclusive. A paired t-test
failed to reject the null hypothesis of no difference in the
estimated risk attitudes. However, the correlation between
the two measures was virtually zero (-.046) suggesting that
the two measures of risk attitudes are not closely related.
The two elicitation techniques were also compared on
other grounds. Both elicitation techniques are designed to
prevent certainty bias that has plagued other D.E.U.
methods. The SDF technique is found to be superior in overcoming
possible interviewer bias. Neither technique is
superior in coping with probability bias.
The SDF technique is easier to implement but the error-in-
response questionnaire is easier to formulate. The error-in-
response model results in a specific estimate of the
respondent's risk attitude when the negative exponential
utility function is used. Based on the comparisons made in
the study, the SDF procedure is considered to be superior to
the error-in-response model for eliciting risk attitudes. / Graduation date: 1986
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'Sentinels against 'Silent Spring'' : a study of knowledge production in the reporting of organophosphorous toxicityBartle, Hazel January 1994 (has links)
No description available.
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