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Zhu, Dongming 1963. "Asymmetric heavy-tailed distributions : theory and applications to finance and risk management." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102854.
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This thesis focuses on construction, properties and estimation of asymmetric heavy-tailed distributions, as well as on their applications to financial modeling and risk measurement. First of all, we suggest a general procedure to construct a fully asymmetric distribution based on a symmetrically parametric distribution, and establish some natural relationships between the symmetric and asymmetric distributions. Then, three new classes of asymmetric distributions are proposed by using the procedure: the Asymmetric Exponential Power Distributions (AEPD), the Asymmetric Student-t Distributions (ASTD) and the Asymmetric Generalized t Distribution (AGTD). For the first two distributions, we give an interpretation of their parameters and explore basic properties of them, including moments, expected shortfall, characterization by the maximum entropy property, and the stochastic representation. Although neither distribution satisfies the regularity conditions under which the ML estimators have the usual asymptotics, due to a non-differentiable likelihood function, we nonetheless establish asymptotics for the full MLE of the parameters. A closed-form expression for the Fisher information matrix is derived, and Monte Carlo studies are provided. We also illustrate the usefulness of the GARCH-type models with the AEPD and ASTD innovations in the context of predicting downside market risk of financial assets and demonstrate their superiority over skew-normal and skew-Student's t GARCH models. Finally, two new classes of generalized extreme value distributions, which include Jenkinson's GEV (Generalized Extreme Value) distribution (Jenkinson, 1955) as special cases, are proposed by using the maximum entropy principle, and their properties are investigated in detail.
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Wang, Shuye. "Asymmetric lead-lag relation, nonsynchronous trading, time-varying risk premium, and cointegration." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ35984.pdf.
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Chu, Ba Manh. "Application of the large deviation technique to optimal portfolio choice and asymmetric financial risk estimation." Thesis, Birkbeck (University of London), 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415915.
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Gunnestrand, Victor, and Oskar Bäcklin. "Regional riskdelning genom skatter och överföringar : En kvantitativ studie av det svenska skattesystemet." Thesis, Karlstads universitet, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-78465.
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Vid en asymmetrisk chock, det vill säga en chock som ger olika utfall över regioner, eller är regionsspecifik, försvåras stabiliseringsåtgärder. Penningpolitiska åtgärder kan inte bedrivas utan att påverka alla regioner och att överlåta stabiliseringsprocessen till enskilda regioner medför även problem. Dock har det visats att det centrala skattesystemet utjämnar disponibel inkomst vid asymmetriska chocker och stabiliserar inkomster mellan regioner. I den här uppsatsen analyserar vi hur det svenska skattesystemet absorberar asymmetriska inkomstchocker sett till utjämning av personlig disponibel inkomst genom skatter och överföringar. Genom att använda paneldata under perioden 2000 till 2018 utför vi en kvantitativ studie baserad på en ekonometrisk modell där vi mäter hur inkomstchocker absorberas av skattesystemet vid en förändring i inkomst på 1 krona. Våra resultat visar att skattesystemet absorberar i genomsnitt 18 procent av den initiala chocken, detta sker främst genom skatter. Fortsättningsvis finns det stora skillnader mellan regioner där absorberingen varierar mellan -15 till 71 procent. Vid jämförelse mot tidigare studier på det svenska systemet tyder resultaten på att riskdelning bör vara lägre, men vi ser en högre grad av inkomstutjämning, vilket kan bero på skillnad i dataspecifikation. Vi ser även att utjämningen sker till större del genom skatter än överföringar jämfört med tidigare undersökningsperiod. Vi undersöker också om skattesystemet har lika utjämningseffekt mellan olika kommungrupper där resultatet visar att detta inte stämmer.Facing asymmetric shocks i.e. a shock that act differently over regions or a region-specific shock imposes hardship on stabilization policies. Monetary policies cannot be conducted without causing disturbances across regions and assigning the stabilization process to individual regions also implies difficulties. However, the fiscal system has been proven to be a smoothening component facing asymmetrical disturbances stabilizing income across regions. In this thesis we analyze how the Swedish fiscal system absorbs asymmetric income shocks regarding smoothening disposable income via taxes and transfers. Using panel data over the period 2000-2018 we perform a quantitative study based on an econometric model where we measure the amount of an income shock absorbed by the fiscal system due to a 1-krona change in personal income. Our results show that the fiscal system absorbs on average 18 percent of the initial shock, this is mostly due to the tax effect. However, there is major differences across regions where the amount of shock absorbing varies between -15 to 71 percent. Comparing our results to previous studies on the Swedish system evidence suggests that the amount of risk-sharing should be lower, but we see a higher degree of income smoothening, which might be due to difference in data specification. There is also evidence that income smoothening is more reliant on taxes compared to previous study. We also explore if the fiscal system has an equal smoothening effect across different municipal groups where evidence shows that this is not true.
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Bohman, Peter, and Erik Karlsson. "Leasing Risks and Commercial Real Estate : A Study on the Relationship Between Risk Premium and Leasing Risks." Thesis, KTH, Fastigheter och byggande, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254721.
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Purpose: The purpose of this thesis paper is to evaluate what the current market practice of real estatevaluation and investment decisions is when it comes to different leasing risks and the risk premium.With regard to some of the ongoing trends within real estate, it is believed that investor preferencesaffect the market practice and the underlying theories of valuation does not fully comply to the currentmarket practice. Method: The implementation of the method is stage wise. At first already existing research andliterature was evaluated and triangulated to find relevant knowledge as basis for the theoreticalframework. Afterwards an analysis was performed to answer whether there is a research gap or not.By analyzing the literature, a research gap as well as potential problems related to leasing risks wasfound. The second phase consisted of a qualitative method where experts in the field were interviewedregarding leasing risk to evaluate whether the problem exist in practice or only in literature.Experts on the topic also helped to develop the questions consequently delivered to the interviewees.The mentioned strategy was done with guidance of our tutor Han-Suck Song at KTH and DanielHolmkvist at CBRE. Interviews: Nine interviews were conducted where experts in the business (consultants and propertyfirms) participated to deliver different perspectives on the research question. All interviews were madein Stockholm and held in Swedish and afterwards translated to English. Results: The results consist of the answers from the interview-part, where the relevant findings weresummarized and pin-pointed with regard to the respective field of business and property segment.The general themes that arose throughout the methods are presented, as well as the extremes in termsof opinions and answers. It was found that there is a clear relationship between the leasing risk and therisk premium for commercial real estate. The relationship depends on several factors such asgeographical location, the different submarkets and finally the segment. A municipal- or corporate bondcannot be fully comparable to a leasing contract but for a 20 year or longer contract where the tenant ispublicly financed, the contract can become an interesting investment alternative due to the currentinterest rate cycle. Finally the leasing contract needs to be more effortless to liquidate in order to becomparable to the bond situation. Scientific relevance: The recent transaction activity on the Swedish real estate market has been ratherdefensive for multiple segments the last twelve months with an exception of community properties.A common understanding is that such objects feature “stable tenants” and are viewed as a safeinvestment by the market. This investment practice raises the awareness of what a stable tenant is, andhow the consultants and property owners’ reason during investments and appraising decisions.This research paper illustrates that a common perception on the subject is that the risk exposurecompletely depends on the specific segments, location or contract length etc. The academic researchexplains the theory behind how to derive the discount rate for an investment decision, however thisstudy has during the literature review proven that several important concepts are left out in the theorypartand thus does not fully cover phenomena’s that investors and appraisers are exposed to duringmarket practice. The most critical part is how to relate leasing risk to the risk premium on the Swedishmarket. Since this study focuses on specifically the Swedish market it is crucial to relate to suitableliterature review for further discussions. On foreign markets, more rigid literature on the subject wasfound.Syfte: Syftet med detta examensarbete är att undersöka vad den aktuella marknadspraxisen inomfastighetsvärdering samt investeringsbeslut är gällande olika nivåer av hyresgästrisker och riskpremie. Metod: Genomförandet av undersökningen har gjorts i två steg. I ett första steg har tidigare forskninginom ämnet analyserats för att finna relevant teori samt identifiera eventuella forskningsgap. Efteranalysen konstaterades ett uppenbart informationsgap inom litteraturen relaterat till hyresgästrisker.Den andra fasen bestod av en kvalitativ metod där experter inom området har intervjuats gällandehyresgästrisker, för att utvärdera om problemet finns i praktiken eller endast i teorin. För att konstruerafrågorna fick vi assistans av experter inom ämnet via våra handledare Han-Suck Song, KTH och DanielHolmkvist, CBRE. Intervjuer: Nio intervjuer genomfördes med experter inom ämnet där både konsulter ochfastighetsägare deltog för att presentera olika synvinklar på problemet. Samtliga intervjuer ärgenomförda i Stockholm och på svenska. Intervjuavsnitten har översatts till engelska i efterhand. Resultat: Resultatavsnittet består av de svar som har erhållits från intervjuerna, där relevantaresonemang har summerats och noggrant strukturerats för att koppla marknadsområden till korrektfastighetssegment. Återkommande teman och ämnen har presenterats i resultatavsnittet, så väl somavvikande uppfattningar. Resultatet visar att det finns ett tydligt samband mellan riskpremium ochhyresgästrisker gällande kommersiella fastigheter. Sambandet beror på ett flertal faktorer där läge ochfastighetssegment har störst inverkan på riskpremien. Gällande obligationsmarknaden går det inte attlikställa ett hyresavtal med en obligation under något förhållande. Däremot om avtalet avser enkontraktslängd på 20 år eller längre och en offentligt finansierad hyresgäst så kan kassaflödet bli ettintressant investeringsalternativ till befintliga obligationer på marknaden. Detta beror till stor del pånuvarande ränteläge. Slutligen måste ett hyresavtal bli lättare att omsätta för att kunna jämföras meden alternativ obligation. Vetenskaplig relevans: Transaktionsaktiviteten på den svenska fastighetsmarknaden har varit relativtdefensiv för flertalet segment med undantag för samhällsfastigheter de senaste tolv månaderna. Dengenerella uppfattningen är att samhällsfastigheter avser ”stabila hyresgäster” och därmed ses som enmindre riskfylld investering. Detta medför frågeställningen, vad avses för att klassificera en hyresgästsom stabil, och hur resonerar konsulter samt fastighetsägare vid investerings- och värderingsbeslut?Efter att ha genomfört undersökningen går det att konstatera att en allmän uppfattning bland experterinom området är att hyresgästrisken till största del beror på vilket segment, lokalisering ellerkontraktslängd som avses. Den akademiska litteraturen förklarar hur diskonteringsräntan härleds förinvesteringsbeslut, men denna undersökning visar att den tillgängliga litteraturen antingen utelämnarflera viktiga koncept eller inte tillräckligt belyser fenomen som investerare och värderare möter i sittpraktiska arbete. Det grundläggande avsnittet som svensk litteratur till viss del utelämnar är sambandetmellan risk premium och hyresgästrisk på specifikt den svenska marknaden. Det finns utländsk litteratursom belyser denna typ av frågeställningar, men just för den svenska marknaden är litteraturen till vissdel ej tillräcklig och därmed har ett potentiellt forskningsgap inom området identifieras.
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Ngene, Geoffrey M. "Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1469.
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In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and long run dynamic relationships between any two cointegrated assets may change. To capture this phenomenon, this study tests for nonlinearities that may characterize the regimes, how cointegration relationships, short term dynamic interaction and price discovery (speed of adjustment to new information between two assets) may change in alternative regimes. To this end, I employ threshold cointegration, threshold vector error correction model (TVECM) asymmetrical return spillover modeling for sovereign credit default swaps (CDS), bonds and equity markets of seventeen emerging markets from four geographical regions. I find that there is non-linear cointegration and momentum in long-run adjustment process in 43/51 spreads analyzed. All countries analyzed have at least 2/6 possible regime specific asymmetric price discovery process. The study also finds evidence in support of asset substitution hypothesis and news-based hypothesis of financial contagions in sovereign CDS, bond and equity markets. The findings have important implications for asset allocation and portfolio rebalancing decisions by investors, policy intervention in financial markets, risk management and regime specific short and/or long term dynamic interactions among assets held in a portfolio as well as nonlinear speed of adjustment to new information.
In chapter 2, I hypothesize that financial intermediaries can be categorized into bank-based institutions (BBIs) and market-based institutions (MBIs). MBIs and BBIs are under different regulatory agencies. Traditionally, only BBIs, regulated by the Fed, are used as conduits of transmitting liquidity and monetary policy into real economy and financial markets yet MBIs also play important role in providing liquidity and stability in financial markets. I use two tools of monetary policy (Federal fund rate and monetary aggregate) under two monetary policy regimes to investigate the impact of monetary policy under each regime on the liquidity of MBIs and BBIs. I investigate whether MBIs be used as conduits of transmitting monetary policy and liquidity in the market and if they should, under what economic and financial conditions (Regimes) should they be used. Moreover, what monetary policy tool is more effective for MBIs relative to BBIs under different regimes? Using Threshold vector auto-regressions and regime specific impulse response functions, I find that liquidity of BBIs and MBIs respond differently to different monetary policy tools under different regimes. Moreover, monetary policies are uncertain and vary over time. The Fed cannot continue to ignore MBIs in formulating and implementing monetary policy. Moreover, monetary aggregate policy is more effective when used on MBIs during contractionary monetary policy intervention (economic downturn) while Federal fund rate is more effective when used on BBIs under expansionary monetary policy.
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Petruska, Karin A. "Accounting Conservatism, Cost of Capital, and Fraudulent Financial Reporting." Kent State University / OhioLINK, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=kent1214829860.
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Claassen, Roger. "Asymmetric information and alternate premium rating methods in U.S. crop insurance a comparison of high and low risk regions /." College Park, Md.: University of Maryland, 2008. http://hdl.handle.net/1903/7869.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.Thesis research directed by: Dept. of Agricultural and Resource Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Werner, Katarzyna Maria. "Essays on non-expected utility theory and individual decision making under risk." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-nonexpected-utility-theory-and-individual-decision-making-under-risk(e73bd3eb-8031-45f9-b34d-e5e9edb78e03).html.
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This thesis investigates the choices under risk in the framework of non-expected utility theories. One of the key contributions of this thesis is providing an approach that allows for a complete characterisation of Cumulative Prospect Theory (CPT) preferences without prior knowledge of the reference point. The location of the reference point that separates gains from losses is derived endogenously, thus, without any additional assumptions on the decision makers risk behaviour. This is different to the convention used in the literature, according to which, the reference point is preselected. The problem arising from imposing the location of the reference point is that the underlying preference conditions might not be alligned with the predictions made by the model. Consequently, it is difficult to verify such a model or to test it empirically. The present contribution offers a set of normatively and descriptively appealing preference conditions, which enable the elicitation of the reference point from the decision makers behaviour. Since these conditions are derived using objective probabilities, they can also be applied to settings such as health or insurance, where the continuity of the utility function is not required. As a result, the obtained representation theorem is not only the most general foundation for CPT currently available, but it also provides further support for the use of CPT as a modelling tool in decision theory and fi
nance. Another contribution that this thesis can be credited with is an application of rank-dependent utility theory (RDU) to the problem of insurance demand in the monopoly market affected by adverse selection. The present approach extends the classical model of Stiglitz (1977) by accounting for an additional component of heterogeneity among consumers, the heterogeneity in risk perception. Speci
fically, consumers employ distinctive probability weighting functions to assess the likelihood of risky events. This aspect of consumers' behaviour highlights the importance that the probabilistic risk attitudes within the RDU framework, such as optimism and pessimism, have for the choice of insurance contract. The analysis yields a separating equilibrium, with full insurance for a sufficiently pessimistic decision maker. An important implication of this result is that any low-risk individual who sufficiently overestimates his probability of loss will induce the uninformed insurer to o¤er him full coverage, thereby, affecting the high-risk type adversely. This outcome is consistent with the recent empirical puzzle regarding the correlation between ex-post risk and insurance coverage, according to which, agents with low exposure to risk receive a larger amount of compensation. By providing an explanation of this pattern of individual behaviour, the current work demonstrates that theory and practice of insurance demand can be reconciled to a greater extent. The paper also provides a behavioural rationale for policy intervention in the market with RDU agents, where the initial distortions in contracts due to unobservable risks are aggravated by the non-linear weighting of probability of a risky event.
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Giat, Yahel. "Venture capital financing with staged investment, agency conflicts and asymmetric beliefs." Diss., Available online, Georgia Institute of Technology, 2005, 2005. http://etd.gatech.edu/theses/available/etd-11232005-145909/.
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Thesis (Ph. D.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2006.Hackman, Steve, Committee Chair ; Tovey, Craig, Committee Member ; Platzman, Loren, Committee Member ; Deng, Shijie, Committee Member ; Subramanian, Ajay, Committee Co-Chair.
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Jung, Hae Won. "Essays on Financial Structure, Managerial Compensation and the Product Market." Digital Archive @ GSU, 2012. http://digitalarchive.gsu.edu/rmi_diss/27.
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This thesis consists of three chapters on financial structure, managerial compensation, and product markets. The unifying theme of these chapters is to examine how the financial decisions of firms are affected by market imperfections. Chapter 1 places emphasis on the impact of internal imperfections arising from asymmetric beliefs (or behavioral biases) and agency conflicts by examining how these internal imperfections affect managerial compensation and corporate financial structure. On the other hand, Chapters 2 and 3 incorporate external market imperfections especially arising from imperfect product market competition. More specifically, these two chapters develop market equilibrium frameworks to examine how the matching market for CEOs and firms interacts with the product market to affect the distributions of CEO compensation and firm size.
In Chapter 1, we develop a dynamic model to examine the effects of asymmetric beliefs of a firm's manager and blockholders regarding the profitability of the firm's projects, and differing attitudes towards their risk, on its capital structure. The firm's capital structure reflects the tradeoff between the positive incentive effects of managerial optimism that increases the manager's output and blockholders' private benefits against the negative effects of risk-sharing costs. We provide several testable implications for the effects of the degree of managerial optimism as well as permanent and transitory components of the firm's risk on different components of capital structure. In our calibration of the model, performed separately for different industries, we show that while optimism and risk have qualitatively similar effects on capital structure in different industries, their quantitative effects are significantly different. The interactive effects of asymmetric beliefs and agency conflicts could potentially explain a significant portion of the substantial inter-industry variation in capital structure.
Chapter 2 studies how the distributions of CEO talent and compensation vary across industries, and how product market characteristics affect these distributions. We develop a market equilibrium model that incorporates the competitive assignment of CEOs to firms in a framework in which firms engage in imperfect product market---specifically, monopolistic---competition. Using the distributions of CEO pay and firm value in each of twelve Fama-French industries, we calibrate the parameters of our structural model, and indirectly infer the unobserved distributions of CEO talent and firm quality that together determine firm output. We then conduct several counterfactual experiments using the calibrated models corresponding to each of the industries. We find that the distribution of CEO talent does, indeed, vary dramatically across industries. More importantly, contrary to the conclusions of earlier studies that abstract away from the effects of the product market (Tervio, 2008 and Gabaix and Landier, 2008), the impact of CEO talent on firm value appears to be quite significant. Our estimates of the effect of CEO talent on firm value for the industries in our sample are two orders of magnitude higher than those obtained by the aforementioned studies. Further, our estimates suggest that the compensation of CEOs is quantitatively in line with their contributions to firms. Broadly, our study shows that it is important to incorporate the product market environment in which firms operate when assessing the contributions of CEOs to firms.
Chapter 3 builds a market equilibrium framework in which the CEO-firm matching process is affected by the product market. We show that under reasonable assumptions there is a unique equilibrium in which only managers with ability above a unique cutoff level are matched to firms. This very simple screening process endogenizes the distribution of active managers who match with firms. Our calibration of the model using a parametric approach, which is in contrast with the empirical analysis performed in Chapter 2, strongly supports the principle arguments on the importance of CEO talent and appropriate CEO talent levels (on average) in Chapter 2. In addition, due to the law of demand and supply, which is a key feature of the extended model, we obtain somewhat different influence of some of product market characteristics on CEO pay. Furthermore, our parametric approach allows us to draw some implications for the effects of CEO talent distribution on the market equilibrium.
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Khalil, Medhat. "Exploring Beta’s Changing Behavior ofSwedish Real Estate Stocks." Thesis, KTH, Fastigheter och byggande, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-131473.
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This study aims to analyze the beta and risk behavior of the Swedish listed real estate stocks. Such a study will provide a clearer picture for investors and researchers about the changing nature of that behavior over time. The research method is based on descriptive statistics and CAPM beta regression analysis of the monthly returns. Correlation analysis is employed to identify diversification benefits within the sector stocks. In order to understand the behavior of beta/riskiness over time, the stationary and time-varying beta estimations are conducted using CAPM market excess-return model and rolling windows technique. In this investigation, the time period from 2003 to 2012 is analyzed. The results reveal that a) the betas of real estate stocks are asymmetric over time such that their values are higher during market upturns than in market downturns, b) the betas for the various types of real estate stocks are different, and c) there are low correlation coefficients among returns of real estate stocks, and within the various property type stock groups. While the real estate stock index as a whole is highly correlated to the market and has relatively stable betas over time, there are diversification benefits among Swedish real estate stocks. Hence, understanding the changing behaviors of beta over time of the various property type stocks can help investors optimize their market timing and cost of capital expectations according to the investment horizon. It is important to notice that a lot of capital for real estate equity investments in Sweden is allocated through non-traded private equity real estate funds. Therefore, transforming these private funds into real estate traded funds might add the data depth and the market efficiency necessary for better research validity and investment optimization. There are currently very few traded real estate securities in the Swedish market.
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Valenzuela-Beltrán, Federico, Sonia Ruiz, Alfredo Reyes-Salazar, and J. Gaxiola-Camacho. "On the Seismic Design of Structures with Tilting Located within a Seismic Region." MDPI AG, 2017. http://hdl.handle.net/10150/626403.
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A reliability-based criterion to estimate strength amplification factors for buildings with asymmetric yielding located within a seismic region presenting different soil conditions is proposed and applied. The approach involves the calculation of the mean annual rate of exceedance of structural demands of systems with different levels of asymmetric yielding. Two simplified mathematical expressions are developed considering different soil conditions of the valley of Mexico. The mathematical expressions depend on the ductility of the structural systems, their level of asymmetric yielding, their fundamental vibration period and the dominant period of the soil. In addition, the proposed expressions are compared with that recommended by the current Mexico City Building Code (MCBC). Since the expressions are developed with the help of simplified structural systems, the validity of such expressions is corroborated by comparing the expected ductility demand of multi-degree of freedom (MDOF) structural systems with respect to that of their equivalent simplified systems. Both structural representations are associated with a given annual rate of exceedance value of an engineering demand parameter. The expressions proposed in this study will be incorporated in the new version of the MCBC.
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De, Barros Cruz Julio Cesar. "Effects of Endogenous Risks in Contract Design : A Theoretical and Empirical Analysis of the Optimal Contract Design in the Swedish Construction Industry." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-298069.
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The architecture, engineering and construction industry faces challenges when dealing withprocurement contract design and risk-handling. The optimal contracting practices have beenworldwide studied in areas of contract theory which studies how the optimal incentivemechanism (“contracts”) can be designed to encourage the parties to behave more efficiently.The parties usually consist of a principal and an agent, where the principal hires an agent todeliver goods or services. However, the complexity of contract theory calls for a morepracticable approach in an attempt to understand the procurement problem in the industry andincrease knowledge-sharing between projects. The purpose of this study is to propose a model based on contract theory that can be used inpractice to investigate the effects of project endogenous risks in three different types ofprocurement contracts: fixed-price, time and material, and incentive. Thus, this study usesquantitative methods with the aim to explain the current procurement problem in the Swedisharchitecture, engineering, and construction industry, compare theory and practice, andcontribute to knowledge about the linkage between endogenous risks, optimal risk sharing andcontract design. The conclusions from this study are that the current contracting practices in the industry arenot aligned with the optimal contract design described by the theory. The theory in this researchshowed that, given endogenous project risks, the optimal incentives vary in the agent’saversion to risk resulting in a non-monotone relationship between optimal contract power andproject risk. Further, a contract becomes optimal and efficient when cost savings and qualityincentives are aligned. However, the analysis of real-world projects presented no clearrelationship between contract power and project risk, i.e. some projects with fixed-pricecontracts or time and material contracts presented the same risk level. Hence, this researchproposes a method for computing the optimal incentive contract which can be used in manycases where the other two types of contract are currently being used. Based on the theory, theoptimal incentive contract may add valuable benefits for both parties involved since it aims toefficiently share the project risk between them while providing the agent the right incentivesto work more efficiently to reduce costs and deliver high-quality services or goods.Byggbranschen står inför utmaningar när det gäller kontraktsdesign och riskhantering. Deoptimala upphandlingsmetoderna har studerats över hela världen inom områden avkontraktsteori som i sin tur studerar hur den optimala incitamentsmekanismen ("kontrakt") kanutformas för att uppmuntra parterna att agera mer effektivt. Parterna består vanligtvis av enprincipal och en agent, där principalen anställer en agent för att leverera varor eller tjänster.Men komplexiteten i kontraktsteori kräver ett mer praktiskt tillvägagångssätt i ett försök attbättre förstå upphandlingsproblemet i byggbranschen samt att öka kunskapsutbytet mellanprojekt. Syftet med denna studie är att föreslå en modell baserad på kontraktsteori som kan användas ipraktiken för att undersöka effekter av endogena risker i tre olika typer avupphandlingskontrakt: fastpris, rörligt pris (time and material) och incitament. Denna studieanvänder därmed kvantitativa metoder i syfte att förklara det aktuella upphandlingsproblemeti den svenska byggbranschen, jämföra teori och praktik, och bidra till utökad kunskap omsambandet mellan endogena risker, optimal riskdelning och kontraktsdesign. Slutsatsen från denna studie är att den nuvarande upphandlingspraxisen i branschen inte är ilinje med den optimala kontraktsdesignen som beskrivs av teorin. Teorin i denna studie visaratt, förutsatt endogena projektrisker, så varierar de optimala incitamenten med agentensriskaversion vilket resulterar i ett icke-monoton förhållande mellan optimal kontraktsdesignoch projektrisk. Dessutom blir ett kontrakt optimalt och effektivt när kostnadsbesparingar ochkvalitetsincitament är i linje med varandra. Men analysen av verkliga projekt visar inget tydligtsamband mellan kontraktsdesign och projektrisk, det vill säga en del projekt med fastpris ellerrörligt pris visade sig ha samma risknivå. Därför föreslår denna studie en metod för beräkningav det optimala incitamentet som kan användas i många fall där de andra två typerna avkontrakt för närvarande används. Teorin säger att det optimala incitamentet kan ge värdefullafördelar för de inblandade parterna eftersom det syftar till att på ett effektivt sätt fördelaprojektrisken mellan dem samtidigt som agenten får rätt incitament att arbeta mer effektivt föratt sänka kostnaderna och leverera högkvalitativa tjänster eller varor.
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Jonsson, Kim, and Jacob Larsson. "Investerares riskexponering i hållbara investeringar : En studie av asymmetrisk risk och hur den påverkas av positivt urval och dynamisk SRI." Thesis, Högskolan i Gävle, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-26883.
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Titel: Investerares riskexponering i hållbara investeringar - En studie av asymmetrisk risk och hur den påverkas av positivt urval och dynamisk SRI Nivå: Examensarbete på kandidatnivå i företagsekonomi Författare: Kim Jonsson & Jacob Larsson Handledare: Peter Lindberg Datum: Maj, 2018 Syfte: “Undersöka huruvida en portföljs negativa asymmetriska risk, ur ett investerarperspektiv påverkas av positivt urval utifrån dynamisk SRI, baserad på ESG-faktorer”. Metod: Konstruktion av en hypotetisk portfölj bestående av aktier, utifrån dynamisk SRI och positivt urval. Med finansiell backtracking mäts hur portföljen presterat avseende asymmetriskt betavärde förutsatt att den varit implementerade under en historisk tidsperiod. Portföljen reallokeras efter förutbestämda kriterier vid ingången av varje år under den historiska tidsperioden. Resultat: Den konstruerade portföljen uppvisar konsekvent lägre betavärde än marknaden, både traditionellt och asymmetriskt. Det asymmetriska betavärdet är, för den tidsperiod som inkluderar finanskrisen 2008, högre vid utfall under medelvärdet för att sedan avta vid negativa utfall. Då studien justeras för finanskrisen förändras resultatet till att visa successivt avtagande betavärden för utfall under medelvärdet och vidare, negativa utfall. Slutsats: Studiens resultat indikerar att urvalskriterier baserade på ESG-faktorer och positiv urvalsmetod, under vissa premisser har påverkan på portföljens asymmetriska riskexponering. Denna slutsats tyder också på att företag genom aktivt hållbarhetsarbete har möjlighet att minska sin kapitalkostnad, då investerares avkastningskrav på företaget sjunker. Forskningsbidrag: Utvecklad insikt i praktisk tillämpning av asymmetrisk riskanalys och avseende att en portfölj med begränsat antal tillgångar kan prestera lägre systematisk riskexponering än marknaden. Samt att urvalsmetod och urvalskriterier kan påverka asymmetrisk riskexponering. Vidare forskning: Framförallt avseende om någon av hållbarhetsfaktorerna har större betydelse för den asymmetriska systematiska riskexponeringen än övriga. Ytterligare forskning inom AMH och dess paradigm är också nödvändigt då random walk är ifrågasatt. Nyckelord: Asymmetrisk risk, hållbarhet, ESG, betavärde, dynamisk SRI, positivt urval, urvalskriterier, portföljallokering och RobecoSAM.Title: Investors risk exposure for sustainable investments – A study of asymmetrical risk and how it is affected by positive screening and dynamic SRI Level: Bachelor thesis in Business Administration Author: Kim Jonsson & Jacob Larsson Supervisor: Peter Lindberg Date: May, 2018 Aim: “Investigate whether a portfolios negative asymmetric risk, from an investors perspective, is influenced by positive screening based on dynamic SRI, based on ESG-factors”. Method: Construction of a hypothetical portfolio consisting of stocks, based on dynamic SRI and positive screening. Financial backtracking measures how the portfolio performed regarding asymmetric beta values, provided it was implemented during a historical period of time. The portfolio is reallocated according to predefined criteria in the beginning of each year during the historical period. Results: The constructed portfolio consistently demonstrates lower beta values than the market, both traditionally and asymmetrically. The asymmetric beta value, is for the period of time including the 2008 financial crisis, higher than traditional beta value at outcomes below the mean value, then decreases in negative outcomes. As the study is adjusted for the financial crisis, the result changes to show gradually decreasing beta values for outcomes below average and further negative outcomes. Conclusions: The study results indicate that selection criteria based on ESG factors and positive selection screening, under certain conditions, affect the asymmetric risk exposure of the portfolio. This conclusion also indicates that companies through active sustainability awareness have the opportunity to reduce their cost of capital, as investors' required rate of return declines. Contribution of the thesis: Practical insight regarding asymmetric risk analysis, and the fact that a portfolio composed of a limited amount of assets potentially demonstrates lower systematic risk exposure than the market. Furthermore, selection methods and selection criteria can affect asymmetric risk exposure. Suggestion for future research: If any of the sustainability factors are of greater significance regarding the asymmetric risk exposure. Further research within AMH and its paradigms is also necessary as random walk is questioned. Key words: Asymmetric risk, sustainability, ESG, beta value, dynamic SRI, positive screening, selection criteria, portfolio allocation and RobecoSAM
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Johnson, Mark Anthony. "Studying How Changes in Consumer Sentiment Impact the Stock Markets and the Housing Markets." ScholarWorks@UNO, 2010. http://scholarworks.uno.edu/td/1113.
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Consumer sentiment has the ability to provide researchers with many avenues to test existing Finance and Economic theories. Chapter 1 introduces the issues that I seek to explore within the area of Behavioral Finance. Chapter 2 utilizes thirty years of consumer sentiment data to explore extant economic theories and hypotheses. In particular, I study the Prospect Theory and the Life Cycle Investment Hypothesis. In addition, I also study how changes in consumer sentiment can foretell future stock returns for firms in different industries and of different sizes. By studying how individuals of different ages display optimism and pessimism through consumer sentiment surveys, I am able to contribute to the literature by shedding additional light on just how the important age is with respect to a person's economic outlook. One particular phenomenon that I discuss in this chapter is downside risk. I will provide further support to the existing literature which shows that gains and losses are not viewed equally by individuals. To account for this discrepancy, this paper models the time series relationship between consumer sentiment and stock returns using asymmetric response models. Chapter 3 builds upon the previous chapter's findings by using consumer sentiment to explore if this index can forecast housing market variables such as changes in home sales and home prices. Given the recent financial market turmoil that stemmed from the U.S. housing market debacle, this chapter is timely. Using widely cited housing indices, I explore regional differences in the U.S. housing market and how the sentiment of local consumers can possibly affect their housing markets. I also include analyses in which the age of the consumer is accounted for to see if evidence of the Life Cycle Investment Hypothesis emerges. This theory postulates that younger individuals are more likely to demand housing as a financial asset and if this were true, I hypothesize that changes in younger individuals' sentiment would have more forecasting power with respect to future housing sales and price changes. Lastly, I conclude this dissertation with Chapter 4 which includes additional discussions of the issues studied.
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Lee, Jae Min. "Households Saving and Reference Dependent Changes in Income and Uncertainty." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1408967943.
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Maduka, Victor I. "Considerations for employment of Marine helicopters in future conflicts how much risk is acceptable? /." Quantico, VA : Marine Corps Command and Staff College, 2008. http://handle.dtic.mil/100.2/ADA490607.
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Ivaschenko, Iryna. "Essays on corporate risk, U.S. business cycles, international spillovers of stock returns, and dual listing." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/625.htm.
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Liao, Lingrui. "Novel Approaches for Some Stochastic and Deterministic Scheduling Problems." Diss., Virginia Tech, 2011. http://hdl.handle.net/10919/77109.
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In this dissertation, we develop novel approaches to independently address two issues that are commonly encountered in machine scheduling problems: uncertainty of problem parameters (in particular, due to job processing times), and batching of jobs for processing on capacitated machines.
Our approach to address the uncertainty issue regards the indeterminate parameters as random variables, and explicitly considers the resulting variability of a performance measure. To incorporate variability into the schedule selection process, we develop a method to evaluate both the expectation and variance of various performance measures for a given schedule. Our method is based on the use of mixture models to approximate a variety of distribution types. The Expectation-Maximization algorithm of Dempster et al. (1977) is applied to derive mixture models of processing time distributions. Our method, then, utilizes these mixture models to calculate the distributions of other random variables in order to derive the expectation and variance of various scheduling performance measures, assuming that the job sequencing decisions are known a priori. To make our method more computationally efficient, we adapt a mixture reduction method to control the number of mixture components used in the intermediate steps. We apply our method to two different scheduling problems: the job shop makespan scheduling problem and the single machine total weighted tardiness scheduling problem, and compare its performance with that of Monte-Carlo method. The results show the efficacy of our mixture approximation method. It generates fairly accurate results while requiring significantly less CPU times. The proposed method offers a good compromise between the Monte Carlo method, which requires extensive effort, and use of simple normal approximation, which produces lower-quality results.
Next, we introduce and demonstrate for the first time in the literature the use of conditional-value-at-risk (CVaR) as a criterion for stochastic scheduling problems in order to obtain risk-averse solutions. This criterion has the tendency of minimizing both the expectation and variance of a performance measure simultaneously, which is an attractive feature in the scheduling area as most of the literature in this area considers the expectation and variance of a performance measure separately. Also, the CVaR has an added advantage of maintaining a linear objective function. We develop a scenario-based mixed integer programming formulation to minimize CVaR for the general scheduling problem involving various performance measures, and employ a decomposition-based approach for its solution. Furthermore, a set of valid inequalities are incorporated to strengthen the relaxed master problem of this decomposition scheme. The proposed approach is demonstrated on the single machine total weighted tardiness scheduling problem. Our computational investigation reveals the efficacy of the proposed decomposition approach and the effectiveness of using the CVaR as an optimization criterion for scheduling problems. Besides providing an exact approach to solve our stochastic scheduling problem, we also develop an efficient heuristic method to enable the use of CVaR for large-sized problems. To that end, we modify the Dynasearch method of Grosso et al. (2004) to minimize CVaR for a stochastic scheduling problem. Furthermore, we extend the application of CVaR to a parallel-machine total weighted tardiness problem. The use of CVaR appears to be quite promising for simultaneously controlling both the expected value and variability of a performance measure in a stochastic scheduling environment.
Scenario-based formulations have frequently been used for stochastic scheduling problems. However, the determination of a lower bound can be a time-consuming task for this approach. Next, we develop a new method for scenario generation that is computationally competitive and that assures attainment of an exact lower bound. Our approach is based on discretization of random parameter distributions of job processing times. We use the idea of Recursive Stratified Sampling to partition the probability space, so that the conditional expectations in each region yield scenario-wise parameter values. These scenarios are, then, used to formulate a two-stage stochastic program, which yields a lower bound for the original stochastic problem. We provide theoretical basis of our bounding approach for both the expectation and CVaR objectives. Our discrete bounding method generates exact lower bounds, as against the probabilistic bounds generated by Sample Average Approximation. We also present results of our numerical experimentation to compare the performances of these two approaches in terms of the bound value obtained and the CPU time required.
The problem pertaining to integrated batching and scheduling of jobs on capacitated parallel machines that we consider arises in the primary manufacturing sector of a pharmaceutical supply chain. We, first, develop a comprehensive mathematical programming model that can accommodate various realistic features of this problem. These features include batch production, sequence-dependent setup time/cost, and inter-period carryover of setup status. We further derive several valid inequalities that are based on the embedded subproblem structure. We also consider an alternative formulation (termed the Plant Location model) based on the lot-sizing perspective of the problem. Noting the resemblance of the campaign sequencing subproblem to the high multiplicity asymmetric traveling salesman problem (HMATSP), we adapt various ideas from the HMATSP to enforce the connectivity of the sequencing graph. Due to the complexity of this problem, we also explore the possibility of applying column generation technique for its solution. Various schemes of problem decomposition are considered, along with the use of dual stabilization technique to improve the convergence of the column generation procedure. We also develop heuristic methods to generate initial feasible solutions that further enhance the performance of the column generation method. A computational experimentation has been conducted on a data set that mimics real-life problem instances. It illustrates the effectiveness of using the proposed column generation method.Ph. D.
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Dantas, RÃgis FaÃanha. "Modelo de Risco e DecisÃo de CrÃdito Baseado em Estrutura de Capital com InformaÃÃo AssimÃtrica." Universidade Federal do CearÃ, 2006. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1293.
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nÃo hÃEste trabalho se inicia analisando os aspectos teÃricos relacionados ao financiamento das empresas e os riscos atrelados a esta atividade de emprÃstimo realizada pelo sistema financeiro bancÃrio. Dada uma estrutura Ãtima de capital buscada pelas empresas, passa-se a analisar se este parÃmetro ou conjunto de parÃmetros à um bom indicativo para discriminar as empresas quanto ao seu risco de crÃdito analisado pelo mercado financeiro. Em relaÃÃo à gestÃo de risco, serà testado um modelo, tendo como variÃvel explicativa principal a variÃvel(ou conjunto de variÃveis) utilizada como parÃmetro de sinalizaÃÃo ao mercado de limite de risco, dentro dos conceitos de seleÃÃo adversa e modelos de sinalizaÃÃo num ambiente em que impera a informaÃÃo assimÃtrica. Assim, o uso de um sinalizador Ãtimo da estrutura de capital pelos bancos levaria a um equilÃbrio de Nash1 com informaÃÃo assimÃtrica no mercado de fundos emprestÃveis. No desenvolvimento do modelo estatÃstico utilizamos um modelo Logit em virtude da nÃo normalidade e as condiÃÃes de nÃo linearidade do modelo de probabilidade linear, entretanto, a anÃlise discriminante e Probit serÃo testados concomitantemente para efeitos comparativos entre os modelos. Outro ponto importante à a incorporaÃÃo de um modelo de decisÃo de crÃdito com o uso de programaÃÃo Linear Inteira. O uso deste modelo incorpora cenÃrios prospectivos com a taxa de juros, qualificando o ponto de corte(limites de aceitaÃÃo) para tomada de decisÃo. Ressaltamos aqui a importÃncia do uso da anÃlise fatorial no tratamento e configuraÃÃo das variÃveis explicativas, ferramenta nÃo observada para modelagem de risco nas diversas referencias deste trabalho. Diversos mÃtodos estatÃsticos univariados e multivariados, assim como critÃrios qualitativos sÃo usados na discriminaÃÃo e classificaÃÃo do risco, no entanto, o uso da AnÃlise Fatorial qualifica ainda mas as variÃveis independentes usadas, colocando-as em grupos de explicaÃÃo que captam melhor os efeitos dos diversos indicadores econÃmicofinanceiros. Neste trabalho foram revisados os principais modelos de insolvÃncia para avaliaÃÃo de risco de crÃdito no Brasil, concluindo-se com uma proposta de adoÃÃo de um modelo estatÃstico com o uso do modelo Logit e ProgramaÃÃo Linear Inteira, com o objetivo de medir o risco associado ao financiamento e emprÃstimo a clientes.
This work to research the theory about enterprises financial, financial struture, risk of the borrowe (enterprises) to repay the loan, credit of banks. In views of the optimal capital struture, credit analyses examines factors that may lead to default in the repayment of a loan. As for the risk management the general kinds of risks are described, particularly the credit risc and the credit concession models are evaluated. The risc models will have the financial demonstrations of interprises, here can be viewed as a signal, about the concept of asymmetric information. Thus, the signal to leave a nash equilibrium in this credit market. In the development of the statistic model, using the Logit Model because the problems of functional form of the linear probability model, the resÃduos is heteroscedastic and not have normal distribuition. The discriminant analyse, probit e logit will be test. Another important point in this work is the decision model. This model have predtion of interest to improve the decision with the cutoff. Referring to the factorial analyse in the statistic of the independentes variable, the use of factorial analyses is not observations in the reference. Having this purpose in mind a statistic model was developed, using logit regression with factorial analyse in variable and linear programming. This project aims at evaluating the used models and proposing the adoption of new models, for the allowance for dobtful accounts, with the objetive of mensuring the risk related to customers financing and loan activities.
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Neri, Breno de Andrade Pinheiro. "A study on time-varying quantile and its applications." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/256.
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Previous issue date: 2006-06-12This Thesis is the result of my Master Degree studies at the Graduate School of Economics, Getúlio Vargas Foundation, from January 2004 to August 2006. am indebted to my Thesis Advisor, Professor Luiz Renato Lima, who introduced me to the Econometrics' world. In this Thesis, we study time-varying quantile process and we develop two applications, which are presented here as Part and Part II. Each of these parts was transformed in paper. Both papers were submitted. Part shows that asymmetric persistence induces ARCH effects, but the LMARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools. In the Part II, we compare four different Value-at-Risk (VaR) methodologies through Monte Cario experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust method ologies have higher probability to predict VaRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate VaR for returns of São Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.
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Tófoli, Paula Virgínia. "Ensaios em modelagem de dependência em séries financeiras multivariadas utilizando cópulas." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2013. http://hdl.handle.net/10183/115528.
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O presente trabalho foi motivado pela forte demanda por modelos de dependência mais precisos e realistas para aplicações a dados financeiros multivariados. A recente crise financeira de 2007-2009 deixou claro quão importante é uma modelagem precisa da dependência para a avaliação correta do risco financeiro: percepções equivocadas sobre dependências extremas entre diferentes ativos foram um elemento importante da crise do subprime. O famoso teorema dc Sklar (1959) introduziu as cópulas como uma ferramenta para se modelar padrões de dependência mais sofisticados. Ele estabelece que qualquer função de distribuição conjunta ndimensional pode ser decomposta em suas n distribuições marginais e uma cópula, sendo que a última caracteriza completamente a dependência entre as variáveis. Enquanto existe uma variedade de famílias de cópulas bivariadas que podem descrever um amplo conjunto de dependências complexas, o conjunto de cópulas com dimensão mais elevada era bastante restrito até recentemente. Joe (1996) propôs uma construção de distribuições nmltivariadas baseada em pair-copulas (cópulas bivariadas), chamada pair-copula construction ou modelo de vine cópula, que reverteu esse problema. Nesta tese, desenvolvemos três ensaios que exploram a teoria de cópulas para obter modelos de dependência multivariados muito flexíveis para aplicações a dados financeiros. Patton (2006) estendeu o teorema de Sklar para o caso de distribuições condicionais e tornou o parâmetro de dependência da cópula variante no tempo. No primeiro ensaio, introduzimos um novo enfoque para modelar a dependência entre retornos financeiros internacionais ao longo do tempo, combinando cópulas; tempo-variantes e o modelo de mudança Markoviana. Aplicamos esses modelos de cópula e também os modelos propostos por Patton (2006), Jondeau e Rockinger (2006) e Silva Filho et al. (2012a) aos retornos dos índices FTSE 100, CAC 40 e DAX. Comparamos essas metodologias em termos das dinâmicas de dependência resultantes e das habilidades dos modelos em prever Valor em Risco (VaR). Interessantemente, todos os modelos identificam um longo período de alta dependência entre os retornos começando em 2007, quando a crise do subprime teve início oficialmente. Surpreendentemente, as cópulas elípticas mostram melhor desempenho na previsão dos quantis extremos dos retornos dos portfólios. No segundo ensaio, estendemos nosso estudo para o caso de n > 2 variáveis, usando o modelo de vine cópula para investigar a estrutura de dependência dos índices CAC 40, DAX, FTSE 100, S&P 500 e IBOVESPA, e, particularmente, checar a hipótese de dependência assimétrica nesse caso. Com base em nossos resultados empíricos, entretanto, essa hipótese não pode ser verificada. Talvez a dependência assimétrica com caudas inferiores mais fortes ocorra apenas temporariamente, o que sugere que a incorporação de variação temporal ao modelo de vine cópula pode melhorá-lo como ferramenta para modelar dados financeiros internacionais multivariados. Desta forma, no terceiro ensaio, introduzimos dinâmica no modelo de vine cópula permitindo que os parâmetros de dependência das pair-copulas em uma decomposição D-vine sejam potencialmente variantes no tempo, seguindo um processo ARMA(l,m) restrito como em Patton (2006). O modelo proposto é avaliado em simulações e também com respeito à acurácia das previsões de Valor em Risco (VaR) em períodos de crise. Os experimentos de Monte Cailo são bastante favoráveis à cópula D-vine dinâmica em comparação a uma cópula D-vine estática. Adicionalmente, a cópula D-vine dinâmica supera a cópula D-vine estática em termos de acurária preditiva para os nossos conjuntos de dadosThis work was motivated by the strong demand for more precise and realistic dependence models for applications to multivariate financial data. The recent financial crisis of 2007-2009 has made it clear how important is a precise modeling of dependence for the accurate assessment of financial risk: misperceptions about extreme dependencies between different financial assets were an important element of the subprime crisis. The famous theorem by Sklar (1959) introduced the copulas as a tool to model more intricate patterns of dependence. It states that any n-dimensional joint distribution function can be decomposed into its n marginal distributions and a copula, where the latter completely characterizes the dependence among the variables. While there is a variety of bivariate copula families, which can match a wide range of complex dependencies, the set of higher-dimensional copulas was quite restricted until recently. Joe (1996) proposed a construction of multivariate distributions based on pair-copulas (bivariate copulas), called pair-copula construction or vine copula model, that has overcome this issue. In this thesis, we develop three papers that explore the copula theory in order to obtain very flexible multivariate dependence rnodels for applications to financial data. Patton (2006) extended Sklar's theorem to the conditional case and rendered the dependence parameter of the copula time-varying. In the first paper, we introduce a new approach to modeling dependence between International financial returns over time, combining time-varying copulas and the Markov switching model. We apply these copula models and also those proposed by Patton (2006), Jondeau and Rockinger (2006) and Silva Filho et al. (2012a) to the return data of FTSE 100, CAC 40 and DAX indexes. We compare these methodologies in terms of the resulting dynamics of dependence and the models' abilities to forecast Value-at-Risk (VaR). Interestingly, ali the models identify a long period of high dependence between the returns beginning in 2007, when the subprime crisis was evolving. Surprisingly, the elhptical copulas perform best in forecasting the extreme quantiles of the portfolios returns. In the second paper, we extend our study to the case of n > 2 variables, using the vine copula model to investigate the dependence structure of the broad stock market indexes CAC 40, DAX, FTSE 100, S&P 500 and IBOVESPA, and, particularly, check the asymmetric dependence hypothesis in this case. Based on our empirical results, however, this hypothesis cannot be verified. Perhaps, asymmetric dependence with stronger lower tails occurs only temporarily, what suggests that incorporating time variation into the vine copula rnodel can improve it as a tool to rnodel multivariate International financial data. So, in the third paper, we introduce dynamics into the vine copula model by allowing the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially timevarying, following a nonlinear restricted ARMA(l,m) process as in Patton (2006). The proposed model is evaluated in simulations and further assessed with respect to the accuracy of Value-at- Risk (VaR) forecasts in crisis periods. The Monte Cario experiments are quite favorable to the dynamic D-vine copula in comparison with a static D-vine copula. Moreover, the dynamic Dvine copula outperforms the static D-vine copula in terms of predictive accuracy for our data sets.
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Santa, brigida pimentel Isaque. "Valorisation optimale asymptotique avec risque asymétrique et applications en finance." Thesis, Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLX059/document.
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Cette thèse est constituée de deux parties qui peuvent être lues indépendamment. Dans la première partie de la thèse, nous étudions des problèmes de couverture et de valorisation d’options liés à une mesure de risque. Notre approche principale est l’utilisation d’une fonction de risque asymétrique et d’un cadre asymptotique dans lequel nous obtenons des solutions optimales à travers des équations aux dérivées partielles (EDP) non-linéaires.Dans le premier chapitre, nous nous intéressons à la valorisation et la couverture des options européennes. Nous considérons le problème de l’optimisation du risque résiduel généré par une couverture à temps discret en présence d’un critère asymétrique de risque. Au lieu d'analyser le comportement asymptotique de la solution du problème discret associé, nous avons étudié la mesure asymétrique du risque résiduel intégré dans un cadre Markovian. Dans ce contexte, nous montrons l’existence de cette mesure de risque asymptotique. Ainsi, nous décrivons une stratégie de couverture asymptotiquement optimale via la solution d’une EDP totalement non-linéaire.Le deuxième chapitre est une application de cette méthode de couverture au problème de valorisation de la production d’une centrale. Puisque la centrale génère de coûts de maintenance qu’elle soit allumée ou non, nous nous sommes intéressés à la réduction du risque associé aux revenus incertains de cette centrale en se couvrant avec des contrats à terme. Nous avons étudié l’impact d’un coût de maintenance dépendant du prix d’électricité dans la stratégie couverture.Dans la seconde partie de la thèse, nous considérons plusieurs problèmes de contrôle liés à l'économie et la finance.Le troisième chapitre est dédié à l’étude d’une classe de problème du type McKean-Vlasov (MKV) avec bruit commun, appelée MKV polynomiale conditionnelle. Nous réduisons cette classe polynomiale par plongement de Markov à des problèmes de contrôle en dimension finie.Nous comparons trois techniques probabilistes différentes pour la résolution numérique du problème réduit: la quantification, la régression par randomisation du contrôle et la régression différée. Nous fournissons de nombreux exemples numériques, comme par exemple, la sélection de portefeuille avec incertitude sur une tendance du sous-jacent.Dans le quatrième chapitre, nous résolvons des équations de programmation dynamique associées à des valorisations financières sur le marché de l’énergie. Nous considérons qu’un modèle calibré pour les sous-jacents n’est pas disponible et qu’un petit échantillon obtenu des données historiques est accessible.En plus, dans ce contexte, nous supposons que les contrats à terme sont souvent gouvernés par des facteurs cachés modélisés par des processus de Markov. Nous proposons une méthode nonintrusive pour résoudre ces équations à travers les techniques de régression empirique en utilisant seulement l’historique du log du prix des contrats à terme observablesThis thesis is constituted by two parts that can be read independently.In the first part, we study several problems of hedging and pricing of options related to a risk measure. Our main approach is the use of an asymmetric risk function and an asymptotic framework in which we obtain optimal solutions through nonlinear partial differential equations (PDE).In the first chapter, we focus on pricing and hedging European options. We consider the optimization problem of the residual risk generated by a discrete-time hedging in the presence of an asymmetric risk criterion. Instead of analyzing the asymptotic behavior of the solution to the associated discrete problem, we study the integrated asymmetric measure of the residual risk in a Markovian framework. In this context, we show the existence of the asymptotic risk measure. Thus, we describe an asymptotically optimal hedging strategy via the solution to a fully nonlinear PDE.The second chapter is an application of the hedging method to the valuation problem of the power plant. Since the power plant generates maintenance costs whether it is on or off, we are interested in reducing the risk associated with its uncertain revenues by hedging with forwards contracts. We study the impact of a maintenance cost depending on the electricity price into the hedging strategy.In the second part, we consider several control problems associated with economy and finance.The third chapter is dedicated to the study of a McKean-Vlasov (MKV) problem class with common noise, called polynomial conditional MKV. We reduce this polynomial class by a Markov embedding to finite-dimensional control problems.We compare three different probabilistic techniques for numerical resolution of the reduced problem: quantization, control randomization and regress later.We provide numerous numerical examples, such as the selection of a portfolio under drift uncertainty.In the fourth chapter, we solve dynamic programming equations associated with financial valuations in the energy market. We consider that a calibrated underlying model is not available and that a limited sample of historical data is accessible.In this context, we suppose that forward contracts are governed by hidden factors modeled by Markov processes. We propose a non-intrusive method to solve these equations through empirical regression techniques using only the log price history of observable futures contracts
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Lönnbark, Carl. "On Risk Prediction." Doctoral thesis, Umeå universitet, Nationalekonomi, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-22200.
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This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition, we find evidence of asymmetric effects of shocks arising in Moscow and in the Baltic states on both returns and volatilities. Paper [II] argues that the estimation error in Value at Risk predictors gives rise to underestimation of portfolio risk. A simple correction is proposed and in an empirical illustration it is found to be economically relevant. Paper [III] studies some approximation approaches to computing the Value at Risk and the Expected Shortfall for multiple period asset re- turns. Based on the result of a simulation experiment we conclude that among the approaches studied the one based on assuming a skewed t dis- tribution for the multiple period returns and that based on simulations were the best. We also found that the uncertainty due to the estimation error can be quite accurately estimated employing the delta method. In an empirical illustration we computed five day Value at Risk's for the S&P 500 index. The approaches performed about equally well. Paper [IV] argues that the practise used in the valuation of the port- folio is important for the calculation of the Value at Risk. In particular, when liquidating a large portfolio the seller may not face horizontal de- mandcurves. We propose a partially new approach for incorporating this fact in the Value at Risk and in an empirical illustration we compare it to a competing approach. We find substantial differences.
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Dieye, Abdoulaye Ndiaye. "Asset Return Determinants : risk Factors, Asymmetry and Horizon consideration." Thesis, Lyon, 2019. http://www.theses.fr/2019LYSE2070.
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Les déterminants du rendement des actifs demeurent un sujet de recherche actif dans la littérature financière. Cette thèse s’intéresse au rôle de certains facteurs de risque, de l’asymétrie de la distribution des rendements et de l’horizon d’investissement comme déterminants des rendements d’actifs. Nous démontrons d’abord que l’effet de taille peut être considéré comme étant partiellement le fait de certains secteurs industriels jugés statistiquement pertinents pour expliquer spécifiquement la performance des portefeuilles constitués d’entreprises de petites (grandes) tailles puis nous en étudions les implications empiriques sur les modèles d’évaluation des actifs. Nous considérons, dans un deuxième temps, la relation entre le marché et les principaux facteurs de risque proposés dans la littérature – dont le facteur SMB qui prend explicitement en compte l’effet de taille – et soulignons que les facteurs considérés peuvent être partiellement expliqués par le facteur de marché de manière non-linéaire. En outre, nous montrons que l’exploitation de la relation non-linéaire entre le marché et ces facteurs de risque peut être profitable en termes de stratégies d’investissement. La dernière partie de cette thèse s’intéresse à la question de la diversification temporelle et analyse l’impact de l’horizon sur lespropriétés de la distribution des rendements composés pour montrer que l’effet de composition est la raison principale de la forme des distributions de rendement à long terme. Nous apportons alors un nouvel éclairage permettant d’expliquer les divergences d’opinions exprimées dans la littérature quant aux stratégies de placement à suivre sur le long termeThe determinants of asset returns remain an active research topic in the financial literature. This thesis focuses on the role of certain risk factors, of the asymmetry of the distribution of returns and of the investment horizon as determinants of asset returns. We first demonstrate that the size effect can be considered partially due to specific industries that are considered statistically relevant to explain the performance of the portfolios of small (big) firms and we study the empirical implications of this finding in terms of asset pricing. We then consider the relationship between the market and the main risk factors proposed in the literature – including the factor SMB that explicitly accounts for the size effect – and point out that the considered factors can be partially explained by a non-linear relation with the market factor. In addition, we show that exploiting the non-linear relationship between the market and these risk factors can be profitable in terms of investmentstrategies. The last part of this thesis focuses on the issue of time diversification and analyses the impact of the horizon on the properties of the compounded return distributions to show that the compounding effect is the main reason for the shapeof the long-term return distributions. We then shed new light on the divergences of opinion expressed in the literature regarding long-term investment strategies
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Rafezy, Behzad. "Global vibration analysis of symmetric and asymmetric high rise buildings." Thesis, Cardiff University, 2004. http://orca.cf.ac.uk/55960/.
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This thesis presents two global analysis approaches to the calculation of the natural frequencies of high rise buildings. The structures are proportional and their component members are repeated at each storey level unless there is a step change of properties. Within this scope many geometric configurations can be encompassed, ranging from uniform structures with doubly symmetric floor plans to doubly asymmetric ones comprising plane frame and wall structures running in two orthogonal directions. The first method utilises a continuum element approach in which the structure is divided into segments by cutting through the structure horizontally at those storey levels corresponding to changes in storey properties. A typical segment is then replaced by an appropriate substitute beam that has uniformly distributed mass and stiffness. Subsequently, the governing differential equations of the substitute beam are formulated using the continuum approach and posed in the form of a dynamic member stiffness matrix that is exact to small deflection theory. Since the formulation allows for the distributed mass and stiffness of the member, it necessitates the solution of a transcendental eigenvalue problem. The required natural frequencies are thus determined using a cantilever model in conjunction with the Wittrick-Williams algorithm, which ensures that no natural frequencies can be missed. In addition, a two step process has been developed for certain asymmetric structures in which the natural frequencies corresponding to coupled motion between the planes of vibration can be obtained from the equivalent uncoupled ones through a simple cubic relationship. This enables coupled, three-dimensional vibration problems to be solved very efficiently using a two dimensional approach. The second method utilises the Principle of Multiples which, when applicable, enables any frame, regardless of the number of storeys or bays, to be simplified to an equivalent one bay frame, that has precisely the same natural frequencies. If the original frame does not fully satisfy the Principle, the same process can still be utilised, but the resulting substitute frame will yield approximate frequencies, although they will normally be acceptable to engineering accuracy. Like the first method, it can also be used for the vibration analysis of asymmetric, three-dimensional frame and wall-frame structures in a two-step procedure. First the analogous uncoupled system is analysed using substitute frames, then the relationship between the uncoupled and coupled responses is imposed through a cubic equation. Both of the above methods assume rigid floor diaphragms and require a knowledge of the building's static eccentricity at each storey level. The current methods of calculating this are cumbersome and even the definitions are open to dispute. A practical method of calculation is therefore presented and a small parametric study enables recommendations to be made. Overall, the proposed methods require little effort, offer clear and concise output and can sometimes yield solutions of sufficient accuracy for definitive checks, but more usually provide engineering accuracy for intermediate checks during tasks such as scheme development or remedial work. This claim is supported by the results of extensive parametric studies undertaken for this thesis. In all examples, the results from the proposed methods have been compared with the results of a full finite element analysis of the original structure obtained using the vibration programme ETABS. The exercise confirms that the proposed methods can yield results of sufficient accuracy for engineering calculations.
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Nilsson, Victor, and Månsson Sofie. "Försäkringsbolags premiesättning : Vilka är bedömningsfaktorerna vid riskbedömning samt hur påverkar principal-agentteorin försäkringsbolagens beslutsfattande." Thesis, Högskolan i Halmstad, Akademin för ekonomi, teknik och naturvetenskap, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-38228.
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För försäkringsbolag är beslutsfattande en viktig process där privatpersoners situationer ska bedömas. Vilka bedömningsfaktorer som försäkringsbolag tar hänsyn till vid premiesättning har därför diskuterats. Likaså vilka svårigheter försäkringsbolag upplever inför och under beslutsfattandeprocessen av en försäkringspremie. Tidigare studier visar att beslutsfattandeprocessen innehåller element från ett bolags riskhantering till en försäkringstagares beteende och livssituation. I vår studie har vi valt att fokusera på motorförsäkring, sjuk- och olycksfallsförsäkring samt livförsäkring där premien kan variera utifrån försäkringstagarens beteende. Tidigare studier belyser också principal-agentteorin utifrån moral hazard och adverse selection som försäkringsbolags främsta dilemman. Vidare har vi i vår studie valt att undersöka genom intervju hur de nämnda dilemman påverkar försäkringsbolags beslutsfattande. Intervjuerna genomfördes med en kvalitativ metod. I vår slutsats konstateras att osäkerhet präglar försäkringsbolags beslutsfattande vilket påverkas av både moral hazard och adverse selection. Försäkringsbolag vill minska denna osäkerhet och använder sig därför av en tydlig riskhanteringspolicy. Likaledes läggs förhoppningar på att digitaliseringen ska underlätta visst beslutsfattande.For insurance companies decision making is an important process where the situation for private persons are assessed. Which assessment criterias that are used for premium setting by insurance companies have therefore been discussed. Also what difficulties insurance companies experience before and during the decision making process of an insurance premium. Previous research shows that the decision making process contains elements from a company's risk management to a policyholder's behaviour and life situation. In our research we have chosen to focus on motor insurance, health insurance and life insurance where the premium can vary due to a policyholder’s behaviour. Previous research also estimate that principal-agent problem whit moral hazard and adverse selection constitutes insurance companies’ main dilemma. Furthermore, in our research we have chosen to look into, with interview, how the mentioned difficulties affect the decision making in insurance companies. The interviews were conducted with a qualitative method. In our conclusion is it noted that insecurity is characterized by insurance companies’ decision making which is affected by both moral hazard and adverse selection. Insurance companies want to decrease this insecurity and therefore uses a clear enterprise risk management. Likewise, hopes are being made that the digitization will facilitate certain decision making.
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Hayenhjelm, Madeleine. "Trust, risk and vulnerability : towards a philosophy of risk communication." Licentiate thesis, Stockholm : Kungliga Tekniska högskolan, 2006. http://www.diva-portal.org/kth/theses/abstract.xsql?dbid=3979.
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DARRIS, KAYLA REBECCA. "ASYMMETRICAL MUSCLE DEVELOPMENT IN SPECIALIZED ATHLETES AND ASSOCIATED INJURY RISK." Thesis, The University of Arizona, 2016. http://hdl.handle.net/10150/612822.
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Hamstring strains and knee sprains are occurring in professional sports at an alarming
rate that might suggest athletes are being subjected to increased injury risk. This increased risk
may come from the asymmetric development of the quadriceps and hamstring muscle groups.
Injury surveillance systems and individual studies have revealed a significant relationship
between the rate of occurrence of lower limb injury and a low eccentric hamstring to concentric
quadriceps strength ratio. Nevertheless, the current literature contains conflicting studies on the
effects of sport-specific training on muscle development. While muscle asymmetries might play
a role in injury risk, there has not yet been a proven association between sport-specific training
and the development of muscle asymmetries. The results of multiple studies still suggest that
hamstring and knee injuries can be prevented through the implementation of a balanced workout
program and flexibility training.
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Jung, Boo Chun. "Information asymmetry, dividend increases, risk and expected future earnings changes." Connect to online resource, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3273740.
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Polin, Yevgen. "Consideration of Asymmetry in Different Approaches to Financial Risk Measurement." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03605607002/$FILE/03605607002.pdf.
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Tingström, Martin, and Marcus Pettersson. "Offentlig Privat Samverkan : En studie om synen på finansiering av kollektivtrafiken." Thesis, Södertörns högskola, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-31682.
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Problem: Sverige har ett tydligt behov att investera i vår infrastruktur och kollektivtrafik samtidigt som det krävs ökade anslag för att upprätthålla och underhålla redan befintlig infrastruktur. Då det påpekas gång på gång att gapet mellan vårt statliga budgetanslag och det faktiska behovet ökar för varje år som går växer problemet. Samtidigt visar erfarenheter från andra europeiska länder att det finns tydliga fördelar med att involvera privata aktörer till samhällsinvesteringar. Sverige ligger dock efter i den utvecklingen, och vi riskerar att våra behov i samhället inte uppfylls. Syfte: Syftet med studien är att utreda huruvida aktörer verksamma inom transportinfrastrukturbranschen ställer sig till OPS-finansiering av kollektivtrafiken. Metod: Undersökningen har utgått från en kvalitativ ansats med semi-strukturerade intervjuer som primär datakälla. Slutsats: I undersökningen har forskarna fastslagit att aktörerna i kollektivtrafiksbranschen är positivt inställda till OPS och dess syfte, och att det finns goda utvecklingspotentialer inom kollektivtrafiken. Forskarna vill dock klargöra att aktörerna menar att det är en lång resa kvar till att större projekt finansieras via OPS, men att kollektivtrafiken i mångt och mycket skulle må bra av att introducera OPS-lösningar i mindre utsträckning för att på så sätt öka kompetensen och öka samarbetet mellan den offentliga och den privata sektorn.Problem: Sweden has a clear need to invest in our infrastructure and public transport, while it requires increased funding to sustain and maintain existing infrastructure. As pointed out repeatedly that the gap between our state budget and the actual need is increasing, every passing year is a growing problem. At the same time the experience in other European countries, there are clear advantages to involve private players to community investments. Sweden is behind in this development, and we run the risk that our community needs are not met. Purpose: The purpose of the study is to investigate whether the operators active in the transport industry stands to PPP financing of public transport. Method: The survey was based on a qualitative approach with semi structured interviews as the primary data source. Conclusion: In the study, the researchers determined that the actors in the public transport industry are positive to the OPS and its purpose, and that there is good potential for development in public transport. Researchers want to make clear, however that the actors believe that it is a long way to go to major projects financed through PPP, but the public transport in many respects would do well to introduce PPP solutions to a lesser extent so as to increase skills and boost cooperation between the public and private sectors.
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Daing, N. I. "Managerial responses to risk in capital budgeting under asymmetries of information." Thesis, University of Dundee, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.259949.
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Schultz, Elza Maria Santos. "Avaliação microeconômica do aumento dos gastos nas empresas brasileiras de saúde suplementar – período de 2000 a 2009." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2010. http://hdl.handle.net/10183/27164.
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O aumento de gastos com a atenção à saúde apresenta-se como um fato econômico de merecida relevância no cenário internacional, sendo resultante da elevação progressiva de preços dos produtos e serviços deste mercado. Pela sua importância social e peculiaridades recebe um tratamento especial nos estudos econômicos. A economia da saúde avalia os fatores que influenciam demanda e oferta neste mercado, direcionando suas observações à interação entre seus agentes e atores, destacando seus comportamentos em relação às suas reações com o tratamento do risco de ficar doente. Possíveis falhas de mercado, envolvendo risco moral, assimetria de informação e seleção adversa, podem ser atribuídas como causas de uma demanda que foge às regras de equilíbrio econômico e favorece a elevação da oferta. Esses problemas remetem à discussão sobre como a mudança de incentivos pode acarretar aumento de gastos e perda de eficiência no provimento dos bens e serviços de saúde dos Estados Unidos da América (EUA) e no mercado de saúde suplementar brasileiro, levando em conta que a situação de elevação dos gastos com saúde, que se agrava no Brasil nos últimos dez anos, já vem sendo vivida há mais tempo em outros países e particularmente nos EUA, mostrando que o problema apresenta tendência de ser persistente.The health care expenditure increase that presents itself as an economic fact of worldly relevance on the international scene, being the result of the gradual increase of prices of products and services in this market. Due to its social relevance and peculiarities it deserves a special treatment in economic studies. Health economics evaluates the factors influencing supply and demand in this market, directing its comments to the interaction between actors and their agents, highlighting their behaviors in relation to their reactions to the treatment of the risk of getting sick. Possible flaws in this market , involving moral hazard, information asymmetry and adverse selection can be attributed as causes of a demand that evades the rules of economic equilibrium and favors lifting the offer. These problems relate to discuss how changing incentives may lead to increased expenses and loss of efficiency in the provision of goods and services of health of United States of America (USA) and the Brazilian health plan market, taking into account the situation of rising health spending, which deepens in Brazil over the past ten years, as has been the longest lived in other countries and particularly the USA, showing that the problem shows a trend to be persistent.
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Tam, Hon Keung. "Estimation risk, information asymmetry and information production in public equity offerings /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?FINA%202004%20TAM.
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Alkiyumi, Aiman Hamed Said. "Information asymmetry, credit risk, and profitability in Islamic and conventional banks." Thesis, University of Glasgow, 2018. http://theses.gla.ac.uk/8907/.
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The thesis empirically investigates and compares some of the main aspects of Islamic and conventional banks during four periods: the pre-financial crisis, financial crisis, post-financial crisis and entire sample periods (2002-2015). Specifically, it investigates and compares the information asymmetry, credit risk and profitability in Islamic and conventional banks. For the information asymmetry investigation, a total sample of 211 Islamic and conventional publicly listed banks from Asia, Europe and Africa is used over the period 2002-2015. Quarterly data is retrieved from Datastream for the sample. However, for credit risk and profitability investigations, annual data for 225 Islamic and conventional banks are extracted from Datastream for the periods from 2002 to 2015 from Asia, Europe and Africa. The study aims to: (i) investigate and compare the degree of information asymmetry in Islamic and conventional banks for the pre-financial crisis, crisis, post-crisis and full sample periods; (ii) investigate and compare the degree of credit risk in Islamic and conventional banks for the pre-financial crisis, crisis, post-crisis and full sample periods; and (iii) investigate and compare the degree of profitability in Islamic and conventional banks for the pre-financial crisis, crisis, post-crisis and full sample periods. The empirical investigations provide important results in the three areas. First, the results show a significant difference in the information asymmetry level between Islamic and conventional banks for the crisis, post-crisis, and full sample periods. In fact, Islamic banks showed significantly lower information asymmetry levels than their counterparts in all information asymmetry proxy measures (i.e. Bid-Ask Spread, Share Turnover ratio and Stock Price Synchronicity SYNCH). These findings are robust with the intangibility ratio as a proxy of information asymmetry for all four periods (including the pre-crisis period). To the best of the author’s knowledge, such results are presented for the first time, and will add to the Islamic banking literature. Second, mixed results were found for the credit risk levels in Islamic and conventional banking credit risk for the four periods when Z-score and non-performing loans are used as credit risk proxy measures. However, the robustness check shows that there are no significant differences between Islamic and conventional banks in their credit risk for all of the different periods used in the study. This suggests that despite the different nature of both banks, their credit risk for the study periods do not statistically differ. These results contradict some prior studies conducted in the same area. Nevertheless, using only publicly listed banks, this thesis covers a longer period than other studies and investigates credit risk in four periods while using a combination of different control variables. Third, the results show that the profitability of Islamic banks is lower than conventional banks for the crisis, post-crisis and full sample period when using return-on-asset and return-on-equity as profitability measures. However, there are no significant differences between Islamic and conventional banks’ profitability during the pre-crisis period. These results are robust. Nevertheless, they affirm some prior studies’ findings and contradict others. This thesis uses up-to-date data for a longer period and investigates the profitability of publicly listed Islamic and conventional banks four different periods. Its findings add to the Islamic banking literature.
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Wang, Chaoyan. "Securities trading in multiple markets : the Chinese perspective." Thesis, University of Stirling, 2009. http://hdl.handle.net/1893/2278.
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This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis.
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Silva, Marcos José da. "Economia das licitações, a contratação de obras e reformas em prédios públicos : o caso da UFRGS." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2018. http://hdl.handle.net/10183/182415.
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Este estudo faz uma análise teórica e empírica dos processos de licitação e contratação de obras e reformas de prédios públicos em uma Universidade Pública Federal, utilizando a Teoria da Informação Assimétrica e dos Contratos. O período da pesquisa foi entre 2010 a 2013, na Universidade Federal do Rio Grande do Sul, sendo que foram analisados 127 processos licitatórios e contratos. As análises revelaram diversas ocorrências em licitações e nas contratações de obras e reformas. Na etapa licitatória, anterior à contratação (ex ante), a sessão para lances das licitações de obras e reformas, em alguns casos, estiveram desertas. Na contratação e execução de obras e reformas (ex post), foram constatados diversos pedidos de prorrogação de prazos e de reequilíbrio econômico financeiro, e na fiscalização das obras e reformas foram constatadas 31 ocorrências nos serviços finalizados pelas Empreiteiras. Os resultados também indicaram que, do total dos processos analisados no período de 2010 – 2013, cerca de 30% das obras e reformas ainda não foram finalizadas ou estão suspensas, o que demonstra deficiências na fiscalização e na gestão dos contratos. Além disso, o tempo médio entre a abertura do processo e a conclusão dos serviços gira em torno de três anos, sendo que grande parte deste tempo foi despendido com procedimentos internos da UFRGS. Tais fatos indicam problemas de seleção adversa e assimetria de informações, além do Hold up problem, em que o Principal é tomado como refém pelo Agente e do problema do Risco moral (Moral Hazard), em que o Agente passa a agir de modo não apropriado ou não aprovado pelo Principal, com a ocorrência dos custos de transação.This study makes a theoretical and empirical analysis of the processes of bidding and contracting works and reforms of public buildings in a Federal Public University, using Asymmetric Information Theory and Contracts. The period analyzed was between 2010 and 2013, at the Federal University of Rio Grande do Sul, being that 127 bidding processes and contracts were analyzed. The analyses revealed several occurrences in tenders and hiring of work and restoration. In the bidding phase, prior to hiring (ex ante), the bidding session for work and renovations, in some cases, was deserted. There were several requests for deadline extension, and economic-financial adjustment in the work and restoration hiring and execution (ex post), while in the inspection of work and restoration it could be noticed 31 occurrences in services finalized by the contractors. The results also indicated that, of the total number of processes analyzed in the period 2010-2013, about 30% either have not been completed or are suspended, which shows deficiencies in the supervision and management of the contracts. In addition, the average time between the opening of the process and the conclusion of services is about three years, and much of this time was spent with internal procedures of UFRGS. These facts indicate problems of adverse selection and information asymmetry , in addition to the "Hold up problem", in which the Principal is taken hostage by the Agent besides the problem of Moral Hazard, when the Agent begins to act inappropriately or in a way which is disapproved by the Principal, together with the incidence of transaction costs.
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Jansson, Andreas. "Asymmetrisk information, moral hazard och riskhantering – för Venture Capital-bolag." Thesis, Högskolan i Gävle, Avdelningen för ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-14674.
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Syfte: Studiens syfte är att undersöka ”venture capital”-branschen och hur omfattande problemen med asymmetrisk information och ”moral hazard” är samt hur risk hanteras. Syftet är också att arbeta fram en hypotes för framtida kvantitativ forskning. Ansats/metod: Med en deduktiv ansats har en kvalitativ studie genomförts. Datainsamling av empirisk primärdata har skett genom semi-strukturerade intervjuer. Teoretisk referensram: Det teoretiska kapitlet tar upp grundläggande teorier kring asymmetrisk information, ”moral hazard”, ”agency costs” och riskhantering. Avsnittet tar även upp metoder för att motverka och minimera effekterna av agent-problemet. Empiri: I empirikapitlet redogörs för de fem intervjuer som genomförts med personer som representerar fem olika VC-bolag. Det empiriska kapitlet visar hur bolagen arbetar i investeringsprocessen med att hantera risk. Slutsats: Uppsatsens slutsats visar på relativt stora skillnader mellan vad som beskrivs i den teoretiska referensramen jämfört med hur svenska VC-bolag arbetar.
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Jaff, Kani, and Josef Oguz. "Kreditgivning till företag : En jämförelse mellan två svenska storbankers kreditbedömning för små och medelstora företag." Thesis, Högskolan i Skövde, Institutionen för handel och företagande, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-11305.
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Bakgrund: Kreditvärdighet är ett ämnesområde för bankerna att bedöma om en kund är kreditvärdig. Bankerna använder sig av olika bedömningsfaktorer för att bedöma huruvida företaget är en lämplig låntagare. Detta görs för att man skall få en uppfattande bild av företaget. Problemfråga: Hur går bankers kreditbedömning av små och medelstora företag till? Syfte: Syftet är att studera om bankerna skiljer sig åt vad det gäller kreditbedömningen för små och medelstora företag samt på vilket sätt de granskar informationen som de får av företagen. Metod: Syftet kommer att besvaras med en empirisk undersökning som grundar sig på teorin förtroende och principal-agentteorin. Vi har kompletterat teorierna med tidigare studier, vetenskapliga artiklar, litteraturer, årsredovisningar och intervjuer. Slutsats: Slutsatsen är att det inte finns några markanta skillnader i den här studien, därför att samtliga banker gör en allsidig bedömning av företaget för att bedöma kreditvärdigheten, genom att de tar hänsyn till både finansiella och icke-finansiella faktorer. En liten avvikelse som vi dock fann är att Handelsbanken betonar tron på verksamheten mer i jämförelse med Nordea, detta har göra med att frihet ges till Handelsbanken vid beviljande av krediten då banken är väldigt decentraliserad.Background: Creditworthiness is a subject for banks to assess whether a customer is creditworthy or not. The banks use different assessment factors in order to assess whether the company is a suitable borrowers. This is done in order to get a perception picture of the companies. Problem issue: How does banks credit evaluate to small and medium-sized enterprises? Purpose: The purpose is to study whether the banks proves to be different in terms of credit assessment for small and medium-sized enterprises and in what way they review the information they receive from companies Method: The purpose will be answered by an empirical study based on the theory of trust and principal-agent theory. We have complemented the theories with previous studies, scientific articles, literatures, annual reports and interviews. Conclusion: The conclusion is that there are no significant differences in this study because all banks make a comprehensive assessment of the company to assess creditworthiness, by taking into account both financial and non-financial factors. A small difference we found is that Handelsbanken underlines belief the business more in comparison with Nordea, this has to do with the liberty given to Handelsbanken in the granting of credit which the banks are highly decentralized.
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Moataz, Fatima Zahra. "Vers des réseaux optiques efficaces et tolérants aux pannes : complexité et algorithmes." Thesis, Nice, 2015. http://www.theses.fr/2015NICE4077/document.
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Nous étudions dans cette thèse des problèmes d’optimisation avec applications dans les réseaux optiques. Les problèmes étudiés sont liés à la tolérance aux pannes et à l’utilisation efficace des ressources. Les résultats obtenus portent principalement sur la complexité de calcul de ces problèmes. La première partie de cette thèse est consacrée aux problèmes de trouver des chemins et des chemins disjoints. La recherche d’un chemin est essentielle dans tout type de réseaux afin d’y établir des connexions et la recherche de chemins disjoints est souvent utilisée pour garantir un certain niveau de protection contre les pannes dans les réseaux. Nous étudions ces problèmes dans des contextes différents. Nous traitons d’abord les problèmes de trouver un chemin et des chemins lien ou nœud- disjoints dans des réseaux avec nœuds asymétriques, c’est-à-dire des nœuds avec restrictions sur leur connectivité interne. Ensuite, nous considérons les réseaux avec des groupes de liens partageant un risque (SRLG) en étoile : ensembles de liens qui peuvent tomber en panne en même temps suite à un événement local. Dans ce type de réseaux, nous examinons le problème de recherche des chemins SRLG-disjoints. La deuxième partie de cette thèse est consacrée au problème de routage et d’allocation de spectre (RSA) dans les réseaux optiques élastiques (EONs). Les EONs sont proposés comme la nouvelle génération des réseaux optiques et ils visent une utilisation plus efficace et flexible des ressources optiques. Le problème RSA est central dans les EONs. Il concerne l’allocation de ressources aux requêtes sous plusieurs contraintesWe study in this thesis optimization problems with application in optical networks. The problems we consider are related to fault-tolerance and efficient resource allocation and the results we obtain are mainly related to the computational complexity of these problems. The first part of this thesis is devoted to finding paths and disjoint paths. Finding a path is crucial in all types of networks in order to set up connections and finding disjoint paths is a common approach used to provide some degree of protection against failures in networks. We study these problems under different settings. We first focus on finding paths and node or link-disjoint paths in networks with asymmetric nodes, which are nodes with restrictions on their internal connectivity. Afterwards, we consider networks with star Shared Risk Link Groups (SRLGs) which are groups of links that might fail simultaneously due to a localized event. In these networks, we investigate the problem of finding SRLG-disjoint paths. The second part of this thesis focuses on the problem of Routing and Spectrum Assignment (RSA) in Elastic Optical Networks (EONs). EONs are proposed as the new generation of optical networks and they aim at an efficient and flexible use of the optical resources. RSA is the key problem in EONs and it deals with allocating resources to requests under multiple constraints. We first study the static version of RSA in tree networks. Afterwards, we examine a dynamic version of RSA in which a non-disruptive spectrum defragmentation technique is used. Finally, we present in the appendix another problem that has been studied during this thesis
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Liu, Guanting. "P2P LENDING MARKET: DETERMINANTS OF INTEREST RATE AND DEFAULT RISK." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44052.
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The peer to peer (p2p) lending industry has grown fast in recent years. This study put an eye on the credit evaluation system of one of the p2p platform named lending club. The author used the empirical method and discussed the determinants of the interest rate and the default risk in the p2p lending market. The author concluded that the evaluation system founded by lending club could predict the risk of loans. Collecting more information about borrowers’ credit history may increase the accuracy of the model.
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Ismail, Hassan Ismail Hassan. "Information asymmetry and the valuation of new issues : the case of Egypt." Thesis, University of Aberdeen, 2009. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=109953.
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While the literature on underpricing of initial public offerings (IPOs) of common stock is various and expansive, very little research has been undertaken in countries where capital markets are less developed. This thesis therefore attempts to address the shortage of such research in Egypt, which has been witnessing an important phase of transition towards a broader adoption of market-oriented policies through the revitalisation of its stockmarket since 1991. The aim is to measure the short-run performance of IPOs in an effort to compare the maturity of the Egyptian capital market with that of other nations, both of developed countries and a peer group of developing countries. This thesis also seeks to determine whether the underpricing phenomenon is due to the usual factors suggested by classical IPO theories or is related to some specific features of the Egyptian market transformation. This thesis employs a sample of 59 Egyptian IPOs listed in the Egyptian Stock Exchange (ESE) during 1994-2005. This thesis suggests the winner’s curse model can be applied. On average, Egyptian IPOs offer an initial return of about 10.16%, which is considered, to some extent, lower than the initial returns of many other developing countries. Additionally, there is a general tendency for privatised IPOs (PIPOs) to be underpriced to a greater degree than private sector IPOs. The industry of the firm and year of an IPO significantly affects the level of underpricing in Egypt. Results are consistent with the political economy theory as the Egyptian government tried to build up investors’ confidence by underpricing PIPOs more than private-sector IPOs, underpricing regulated industries more than competitive industries and underpricing early IPOs more than late IPOs.
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Harkin, Seán. "Role of ownership and governance in bank risk and performance : an econometric study." Thesis, University of Edinburgh, 2017. http://hdl.handle.net/1842/23378.
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The banking sector is central to the economy, but has recurrent dysfunctions. Following the Global Financial Crisis of 2007-2009, regulators have attempted to reform governance in banks. However, previous empirical studies on the effects of governance structures have important gaps. Using an econometric framework with novel simultaneous equations models and new dependent variables, I investigate whether corporate governance and ownership have significant effects on bank risk and performance. I employ a novel data set combining financial data from the Bankscope database with governance and ownership data collected painstakingly by hand from annual reports and Basel Pillar 3 disclosures of UK banks over the period 2003-2012. My findings are supported by interpretation of relevant literature and are summarised as follows (stated along with policy implications in parentheses for which features of banking should be encouraged, based on normative assumptions stated in section 9.3). My work shows that the effects of a particular ownership or governance structure can be attributed to the ways in which categories of decision-maker within the bank are empowered by that structure, and that factors relating to information processing capability have important effects. Mutual and foreign ownership each have negative effects on risk and return because of managerial incentives and information asymmetries, respectively, without either affecting provision of investment to the wider economy. A foreign parent also increases the probability of bank failure (implying mutuality is socially beneficial while foreign ownership is not). A higher NED ratio reduces the probability of bank failure, as does having a remuneration committee, because of greater accounting for risk in decisions (implying they are desirable). The presence of an independent Chairman increases risk because it weakens CEO accountability and confuses decision-making (implying it is undesirable). An independent CRO (as a full Board member) may have similar effects. A higher proportion of Directors with no previous financial services experience increases both returns and the probability of failure because of weaker use of information (implying it is undesirable). Permission to use IRB models lowers risk and return because it provides information to empower risk-averse agents, again without affecting credit provision to the wider economy (implying it is desirable). I report other novel findings on effects of ownership, governance, remuneration and size. These results can guide bank reform.
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Xu, Zhongxiang. "Cross-sectional return predictability : the predictive power of return asymmetry, skewness and tail risk." Thesis, University of Nottingham, 2017. http://eprints.nottingham.ac.uk/41310/.
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This thesis attempts to investigate the cross-sectional predictive power of return asymmetry, skewness and tail risk. It mainly consists of three empirical chapters on the relation between predictive patterns of the return distribution and expected stock returns. In the first empirical chapter, I adopt a measure of asymmetry, originally proposed by Patil et al. (2012), which can be employed to characterise the shape of the entire distribution of asset returns instead of skewness. Empirical evidence on the relation between asset returns and the skewness of the return distribution is mixed. As skewness is primarily influenced by the tail behaviour of the return distribution, it is possible for two distributions with identical skewness to have quite different asymmetry. I will examine the relationship between this new measure and stock returns. My empirical analysis indicates that stocks with high return asymmetry exhibit low expected returns. The negative relation between return asymmetry and expected returns persists after I control for size, book-to-market, momentum, short-term return reversals, liquidity, idiosyncratic volatility and various skewness factors. My results are consistent with the findings from theoretical models such as those of Brunnermeier et al. (2007) and Barberis and Huang (2008). In the second empirical chapter, I examine the default risk and financial crisis explanations for the market skewness risk effect and find that the effect is stronger among stocks with large size, high growth, and low default risk. This suggests that the positive skewness preference theory only holds for safe stocks. Moreover, the effect of market skewness risk on stock returns interacts with default risk significantly. Market skewness risk has explanatory power for stock returns only during the periods of good economic conditions. Additionally, the market skewness risk effect is not persistent. After the financial crisis of 2007-2008, the strong effect disappears. In the last empirical chapter, I know that investors sometimes underweight the tail event. I then try to figure out this situation by examining the default risk and financial crisis explanations for the tail risk effect. I find that market size, book-to-market ratio, and default risk have large impact on the tail risk effect. Moreover, tail risk only has explanatory power for stock returns during the periods of good economic conditions. The results suggest that when investors hold stocks with small size, low growth, and high default risk, the tail risk tends to be ignored. The tail risk effect is not persistent. The significant tail risk effect also disappear after the financial crisis of 2007-2008.
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Ploskonka, Karolina. "Collection of essays on mergers & acquisitions." Thesis, University of Exeter, 2015. http://hdl.handle.net/10871/18118.
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This PhD thesis consists of three essays which are interlinked by two themes - the problem of risk and information asymmetry in cross-border mergers and acquisitions carried out by UK investors. Majority of empirical research in finance, and in particular in mergers and acquisitions focuses on the US outward investments. However, UK investors are the second most active when it comes to international acquisitions. The country's physical proximity to continental Europe and common legal system make UK transactions a particularly interesting dataset. In the first essay we try to understand how UK investors decide in which country to invest. We investigate in which cases increased level of risk and higher information asymmetry are desired by UK investors and find that higher corporate governance standards, more stringent accounting standards and strong creditor and shareholder protection deter investors. Legal system seems to be of no statistical significance indicating that the law of the host country does not fully reflect the level of such standards, while lack of significance of media coverage indicates that investors are not concerned about the public scrutiny. The second paper looks at how increased risk and information asymmetry impact the likelihood of using a contingent payout agreement and if investors always will use this method to reduce the risk of overpaying for the target. The evidence shows that deal-specific features reflecting higher asymmetry of information and risk increase the chances of using an earnout contract. However, cross-border transactions do not involve earnout contracts more often than the domestic ones which is most likely due to potential enforcement issues resulting from different legal systems. The last chapter of this thesis looks at the ways in which the acquirer can structure the transaction to reduce the risk that the offer will be rejected. Our results stress the importance of bilateral negotiations. Although the size of the premium is significant, its importance is fairly negligible when compared with the impact of hostile transactions, competing bids and the inclusions of a termination fee. From the above we can infer that carefully planned bilateral negotiations leading to a high premium would maximise the chances of deal completion. Recapitulating, in this collection of essays we try to answer the questions of how risk and information asymmetry influence UK investors' decision where to invest, how to pay for the target and whom and how to acquire in order to maximise the chances that the transaction will be successfully finalised.
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Combrink, Sean. "The relationship among underdog bias, self-rated performance and personal risk propensity." Diss., University of Pretoria, 2018. http://hdl.handle.net/2263/66038.
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Individuals are affected by different biases and heuristics in different ways. This dissertation explores the two of these (underdog bias and self-rated performance) and their relationship with personal risk propensity in the South African investment professional community.
To measure risk propensity in investment professionals, a new instrument was developed. This was tested against a risk measurement scale based on the original work in prospect theory. Both risk propensity measures found similar and comparable results in the investment professionals, and similar results when compared to other studies that studied risk propensity in a more general population and risk tolerance in investment professionals in Europe.
Similarly, self-rated performance had comparable results to other studies on overconfidence bias and the better than average effect. Investment professionals, on average, think that they are better than their average peer.
Underdog bias, or the headwinds/tailwinds asymmetry, had an unexpected result where the investment professionals felt they did not suffer from stronger headwinds and barriers compared to their peers. This was an unexpected result and may show that the South African investment industry feel more grateful than others to be where they are or, the sample may have triggered the boundary condition of underdog bias where individuals feel their personalised benefits more than their shared headwinds. Further testing is required in the same population as well as similar populations to confirm the boundary condition.
The three constructs were tested to understand the relationship between them. In each of the three cases, there was no significant relationship between any of the constructs. The results were different to what was expected and, subject to further testing, may have found a blind spot in investment professionals where they believe that what when they are doing something they consider to be right, they do not perceive the increased risks associated with the action. These blind spots have an impact on how risk is managed investment firms and needs to be monitored to protect the overall firm.Mini Dissertation (MBA)--University of Pretoria, 2018.
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
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Flores, Diego Gonzalo. "Asymmetry of Gains and Losses: Behavioral and Electrophysiological Measures." BYU ScholarsArchive, 2016. https://scholarsarchive.byu.edu/etd/6578.
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The purpose of this research was to explore the effects of small monetary or economic gains and/or losses on choice behavior through the use of a computerized game and to determine gain/loss ratio differences using both behavioral and electrophysiological measures. Participants (N=53) played the game in several 36 minute sessions. These sessions operated with concurrent variable-interval schedules for both rewards and penalties. Previously, asymmetrical effects of gains and losses have been identified through cognitive studies, primarily due to the work of nobel laureates Daniel Kahneman and Amos Tversky (1979). They found that the effect of a loss is twice (i.e., 2:1) that of a gain. Similar results have been observed in the behavioral laboratory as exemplified by the research of Rasmussen and Newland (2008), who found a 3:1 ratio for the effect of losses versus gains. The asymmetry of gains and losses was estimated behaviorally and through event-related brain potentials (ERPs) and the cognitive (Kahneman and Tversky) and behavioral (Rasmussen and Newland) discrepancy elucidated. In the game, the player moves an animated submarine around sea rocks to collect yellow coins and other treasures on the sea floor. Upon collecting a coin, one of three things can happen: The player triggers a penalty (loss), the player triggers a payoff (gain), or there is no change. The behavioral measures consisted in counting the number of clicks, reinforces, and punishers and then determining ratio differences between punished (loss) and no punished condition (gain) conditions. The obtained gain/loss ratio corresponded to an asymmetry of 2:1. Similarly ratio differences were found between male and female, virtual money and cash, risk averse versus risk seeking, and generosity versus profit behavior. Also, no ratio difference was found when players receive information about other player's performances in the game (players with information versus players without information). In electroencephalographic (EEG) studies, visual evoked potentials (VEPs) and ERPs components (e.g., P300) were examined. I found increased ERP amplitudes for the losses in relation to the gains that corresponded to the calculated behavioral asymmetry of 2:1. A correlational strategy was adopted that sought to identify neural correlates of choice consistent with cognitive and behavioral approaches. In addition, electro cortical ratio differences were observed between different sets of electrodes that corresponded to the front, middle, and back sections of the brain; differences between sessions, risk averse and risk seeking behavior and sessions with concurrent visual and auditory stimuli and only visual were also estimated.
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Petersson, Jesper, and Tobias Lindberget. "Riskupplysning i svenska företags årsredovisningar : Hur företagsstorlek och branscher påverkar omfattningen av riskupplysningar." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105766.
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Bakgrund Bakgrunden ger uppsatsen en kort förklaring till vad risk är, vilka faktorer som bidragit till att riskrapportering blivit en viktig del av svenska företags årsredovisningar samt vilka riktlinjer som finns vid framtagande av risker. Syfte Studiens syfte är att undersöka huruvida ett företags storlek påverkar hur många riskkategorier företag behandlar i sin årsredovisning. Dessutom syftar studien till att undersöka om företagens bransch påverkar hur många risker som tas upp i årsredovisningen. Vårt bidrag till forskningen är att se om storlek samt bransch kan förklara hur många riskkategorier som tas upp i årsredovisningen. Metod Studien använder sig av en kvantitativ forskningsmetod med en deduktiv ansats där två hypoteser formats med hjälp av tidigare forskning. Studien använder sig av en innehållsanalys på 100 stycken börsnoterade företag. Den insamlade empirin kommer från respektive företags riskavsnitt i deras årsredovisning. Materialet har sedan kodats om i SPSS till olika variabler där studien sedan använder sig av en multivariat regressionsanalys för att få fram statistiska resultat. Slutsats Studien visar att storleken på företaget har betydelse för hur många riskkategorier företagen redovisar i sina riskavsnitt, större företag involverar generellt sett fler riskkategorier än mindre företag. Likaså visar studien att företagens bransch påverkar till viss del vilka olika riskkategorier som involveras i årsredovisningen.Background The background gives the paper a short explanation as to what a risk is, what factors have contributed to risk disclosures becoming an essential part of annual reports and what guidelines are in place for risk reporting. Purpose The study aims to investigate whether company size affects how many risk categories a company discloses in the annual report. Furthermore the study also aims to investigate whether the industry type of a company affects the amount of risk categories disclosed in the annual report. Method The study uses a quantity based research strategy with a deductive approach where two hypotheses are formed based on prior scientific findings. The study uses content analysis which includes 100 listed companies. The empiric data is collected from each company’s risk section in their annual report. The material was later coded in SPSS to their different variables where the study uses a multiple regression analysis to collect statistical results Conclusion Our study shows that the company's size is related to how many risk categories companies disclose in their annual report, larger companies generally involve more risk categories than smaller companies. Furthermore the study concludes that a company’s industry in certain cases affects the amount of risk categories that is incorporated in the annual report.