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Dissertations / Theses on the topic 'Banking and capital markets'
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Serra, Ana Paula de Sousa Freitas Madureira. "Tests of international capital market integration : evidence from emerging stock markets." Thesis, London Business School (University of London), 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312308.
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Norton, Simon Dominic. "Application of capital markets instruments in ship finance." Thesis, Cardiff University, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.310180.
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Lee, Sunglyong. "Firm access to capital markets in Europe." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/4711.
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Thesis (Ph. D.)--University of Missouri-Columbia, 2007.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on September 27, 2007) Vita. Includes bibliographical references.
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Willer, Dirk. "The development of equity capital markets in transition economies : privatisation and shareholder rights." Thesis, London School of Economics and Political Science (University of London), 1998. http://etheses.lse.ac.uk/1507/.
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The thesis focuses on two issues that have arisen during the development of equity capital markets in transition economies. First, it has typically been observed that the divestiture of state assets in Russia has not been implemented comprehensively. Following an introductory chapter, the second chapter develops a model to explain this observation in an environment where the objective of the state is to maximize revenues from the sale of its shares on the equity capital markets. If the state has private information about the future macroeconomic environment or about potential improvements of the firms' qualities due to improved corporate governance it can signal its private information to investors. This can be achieved by choosing a percentage of the state's shareholdings to be held back from the immediate sales. A second issue which has typically slowed down the development of capital equity markets in transition economies has been the violation of shareholder rights. Governments have often not guaranteed such rights. However, management might have incentives to introduce shareholder rights voluntarily. The third chapter develops a simple static framework to think about the issue of shareholder rights and tests some of its predictions. The chapter presents evidence from a sample of the 140 largest Russian joint stock companies. Only a minority of firms in this sample do honour shareholder rights and the chapter analyzes which firms are more likely to do that. It turns out that large firms are more likely to introduce shareholder rights, possibly because the expected value of stealing profits is smaller. Furthermore, there is some evidence that large outside blockholders, as well as the state in its role as shareholder, are able to press for shareholder rights. The fourth chapter develops a dynamic model for the introduction of shareholder rights where the firm's ownership is endogenised. The chapter shows that in the short nm, management might be willing to introduce shareholder rights in case it has received a sufficiently large portion of the firm's voting shares in the privatization process. In the long term, more firms will introduce such rights, but only after they have stolen a sufficient part of the firms profits to build up a large equity stake.
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Sabilika, Keith. "Valuation of banks in emerging markets: an exploratory study." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013057.
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Practitioners and academics in emerging markets are yet to agree on how best they can value companies in emerging markets. In contrast, academics and practitioners in developed markets seem to agree on mainstream valuation practices (Bruner, Eades, Harris and Haggins, 1998; Graham and Harvey, 2001). This study was therefore aimed at achieving such consensus with particular attention being paid to the emerging market banks. Emerging market banks are by no means small and are growing fast. Furthermore, these banks are currently involved in lots of cutting age economic activities such as mergers and acquisitions (M&A), joint ventures and strategic alliances which require sound valuation practices that are based on empirical evidence. The primary purpose of this research was to establish consensus of opinion among experts with regard to the valuation of banks in emerging markets. To achieve the purpose of this study the Delphi technique, which is a structured survey method that relies on a panel of experts to answer questionnaires in two or more Delphi rounds, was used to gather data and develop consensus among experts (Kalaian and Kasim, 2012). The main findings in this study pertain to aspects concerning the type of analysis considered by experts when analysing the performance of banks, how experts compare the discounted cash flow (DCF) approach to multiples valuation approach, the challenges encountered by experts when valuing banks in emerging markets, and how experts compute the cost of capital for banks in emerging markets. The main findings of this study can be summarised as follows: ∙ When analyzing the performance of banks, it is essential to conduct a bank-specific, industry and macroeconomic analysis; ∙ When estimating the future performance of banks, the time series analysis and an explicit forecast period of between 4-10 years may be used; ∙ When estimating the terminal value for banks in emerging markets, the perpetuity with growth is used; ∙ When computing the value for banks, the DCF valuation approach (equity DCF and DDM valuation models) are used as primary valuation methods and the relative valuation approach (P/E and P/BV ratio) are used as secondary valuation methods; ∙ The DCF valuation approach is considered as more accurate and popular when valuing banks in emerging markets; and ∙ When estimating the cost of equity, the capital asset pricing model (CAPM) is used.
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Canta, Terreros Michel. "Macroeconomics effects of banking regulation in emerging markets: the role of countercyclical bank capital requirements." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=106269.
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This thesis analyzes, in an emerging market context, the effects of financial frictions and bank prudential regulation on the business cycle. It also proposes a prudential rule that smoothes the external finance premium, and at the same time, improves the effectiveness of the monetary policy. I hypothesize that the macroeconomic effects of bank capital requirements are procyclical and lead to the amplification of monetary shocks, therefore reducing their effectiveness for fighting inflation. These effects increase the financial system vulnerability in recessions, and could be stronger in emerging markets under dollarization or credit market imperfection. By using a Dynamic Stochastic General Equilibrium Model (DSGE), with banks and prudential regulation, I show that there is a need to implement a prudential rule with countercyclical effects, which should complement the monetary rule, and allow for the smoothing of the effects of monetary shocks in the business cycle. This rule supports the Basel Committee for Banking Supervision's efforts to strengthen the capital accord after the subprime financial crisis, which is already under revision by regulators all over the world. The estimated results also show the existence of financial frictions and rigidities that do not allow for a complete pass-through of the monetary policy to interest rate. As well, prudential capital requirements have an amplifier effect in the business cycle, even deeper under the Basel II accord. As the current prudential regulation could increase banking system vulnerability in a recession, a countercyclical capital requirement could help to reduce these effects and to keep the strength and solvency of the financial system.Ce document analyse, dans le contexte d'une économie émergente, les effets des rigidités financières et réglementations prudentiels de capital bancaire sur les fluctuations économiques. En plus, il propose une règle prudentielle qui permettra assouplir ces effets dans le coût du financement externe des sociétés et en même temps qu'améliorera le déménagement de la politique monétaire. Il est aussi proposé l'hypothèse que les effets macroéconomiques des réglementations bancaires ont tendance à être pro cycliques et à amplifier les shocks monétaires tout en affectant le mécanisme de transmission et l'effectivité de la politique monétaire dans le but de contrôler l'inflation. Ces effets, tendent à incrémenter la vulnérabilité du système financier pendant les récessions et deviennent plus grandes à l'économie émergente, avec la dollarisation ou la concurrence imparfaite dans le marché des crédits. A travers de l'usage des Modèles Dynamiques d'Equilibre Général (DSGE) avec des banques et régulation prudentielle, c'est établi la nécessité de l'existence conjointe d'une règle monétaire, d'une règle prudentielle de capital bancaire qu'agisse de manière contra cyclique, permettra assouplir les effets des shocks dans les cycles économiques. Cette règle fondement aux politiques qui propose le Comité de Basel pour la Surveillance Bancaire a partie des modifications à l'accord de capital qui sont en train d'être discutés au niveau international après la crise financière sub-prime. Les résultats des simulations numériques montrent que l'existence des frictions financières et rigidités donnent lieu non pas seulement à un déménagement incomplet de la politique monétaire dans les taux d'intérêt, mais aussi un effet amplificateur de la réglementation prudentielle bancaire Basel II. En même, il se trouve que la politique prudentielle actuelle a une tendance à augmenter la vulnérabilité du system financier pendant la phase de récession, raison pour laquelle une politique de capital bancaire contra cyclique tende à assouplir ces effets et à contribuer à la stabilité et solvabilité des systèmes financiers.
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Aldrich, Paul. "The role and influence of human resource management in the capital markets and investment banking sector." Thesis, Durham University, 2008. http://etheses.dur.ac.uk/80/.
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This thesis presents research on the role and influence of human resource management in the capital markets and investment banking sector. The initial research targeted 22 leading banks in the capital markets and investment banking sector covering the period 2001 to 2003 and further, exploratory, research undertaken between March and May 2007 focused on 14 of these banks. The findings of this thesis indicate: that CEOs have greater influence over the human resource environment than human resource professionals and that where they are competent in human resource management then they can positively impact the human resource environment and following this, firm competitive advantage; that senior business line mangers must clearly understand and embrace their human resource management responsibilities for an integrated approach to human resource management to be successful; and, that the degree of human resource business partner influence is contingent on the degree of human resource business partner credibility. It is argued by this thesis that if human resource professionals have no credibility CEOs and senior business line managers are unlikely to include them in significant decision making. It is also argued that credibility can be both individual and institutional. The implications of these thesis findings include: a strategic approach to management of the talent portfolio, led by the CEO. This involves an understanding of the fundamental links between leadership and management competency as it relates to the human resource environment; talent portfolio management; and, better firm performance; an integrated and strategic working relationship between the human resource function and business managers; stronger numerical, analytical and commercial skills in the human resource function; greater measurement around talent, building up to sophisticated human capital metrics; and, the identification and active management of people related risk.
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Fosu, Samuel. "Capital structure, product and banking market structure and performance." Thesis, University of Leicester, 2014. http://hdl.handle.net/2381/28601.
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This thesis consists of three distinct essays on finance, market structure and performance. Paying particular attention to the degree of industry competition, the first essay investigates the relationship between capital structure and firm performance using panel data consisting of 257 South African firms over the period 1998 to 2009. The essay applies a novel measure of competition, the Boone indicator, to the leverage-performance relationship. The results suggest that financial leverage has a positive and significant effect on firm performance. It is also found that product market competition enhances the performance effect of leverage. The results are robust to alternative measures of competition and leverage. The second essay examines the extent of banking competition in African subregional markets. A dynamic version of the Panzar-Rosse model is adopted beside the static model to assess the overall extent of banking competition in each subregional banking market over the period 2002 to 2009. Consistent with other emerging economies, the results suggest that African banks generally demonstrate monopolistic competitive behaviour. Although the evidence suggests that the static Panzar-Rosse H-statistic is downward biased compared to the dynamic version, the competitive nature identified remains robust to alternative estimators. Paying particular attention to the degree of banking market concentration in developing countries, the third essay examines the effect of credit information sharing on bank lending. Using bank-level data from African countries over the period 2004 to 2009 and a dynamic two-step system generalised method of moments (GMM) estimation, it is found that credit information sharing increases bank lending. The degree of banking market concentration moderates the effect of credit information sharing on bank lending. The results are robust to controlling for possible interactions between credit information sharing and governance.
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Chadwick, Warren. "A study of the New Basel Capital Accord and its impact on South Africa and other emerging markets." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/52710.
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Thesis (MBA)--Stellenbosch University, 2002.ENGLISH ABSTRACT: The new Basel Capital Accord is intended to align capital adequacy of banks more closely with the key components of banking risk and to provide incentives for banks to improve their risk measurement and management capabilities. This has important implications for banks, particularly in the area of credit risk management. The purpose of this study is to take an in-depth look at the implications for banks in the area of credit risk management and the choice of approach (i.e. standardised versus internal ratings based approach) to be adopted. These changes in approach to credit risk will have broader economic implications and the study will in its final analysis explore these in the context of South Africa, as an emerging market. The study is split into three sections: Section A • Introduction and background to the New Basel Capital Accord; • Detailed overview on the New Basel Capital Accord with a particular emphasis on the internal ratings based approach to calculating minimum capital. Section B An in-depth discussion of credit risk management and the practical implications of moving towards an internal ratings based approach, which will eventually allow banks to take on a full portfolio approach to credit risk management. This will enable banks to manage credit risk across sub-portfolios and set economic capital based on the portfolio loss distribution of the banks entire lending book. This is an extremely important development in credit risk management and as a consequence is covered in some detail. The adoption of an internal ratings based approach offers significant rewards in the form of lower statutory capital. A profile of the current capitalisation of SA banks is provided followed by the likely effect of the standardised versus the internal ratings based approach to credit risk management, on the minimum level of statutory capital of banks. Section C The final section covers the envisaged macro effects of the New Accord on emerging markets (procyclical trends, lending concentrations, foreign capital flows and bank failures) with specific comment provided on the implications for the SA banking environment and economy. In conclusion, South African banks should as a priority move towards an internal ratings based approach to credit risk management in order to benefit from the lower statutory requirements, which accrue in the advanced phase. While the accord is likely to impact significantly on emerging markets, South Africa fortunately has a sophisticated banking system by international standards, making the adoption of an internal ratings based approach by the larger SA banks inevitable. The benefits for smaller banks are questionable and at this stage they are unlikely to move beyond the standardised approach, unless compelled to do so.
AFRIKAANSE OPSOMMING: Die "New Basel Capital Accord" het ten doel om die kapitaal vereistes neergelê vir banke meer in lyn te bring met die risiko komponent gekoppel bankwese. Dit hou 'n belangrike implikasie vir banke in en verskaf voorts ook 'n dryfveer vir banke om die bestuur van krediet risiko en algehele bestuursvaardighede te verbeter. In hierdie studie word 'n indiepte ondersoek onderneem aangaande die implikasie op banke van krediet risiko-bestuur en die keuse van die benadering wat gevolg word. Hierdie veranderings in die benadering (dws.standard teenoor interne-graderings benadering) tot krediet risiko hou breër ekonomiese implikasies vir banke in. Hierdie ekonomiese implikasies op SA as 'n ontwikkelende mark word in die finale analise ondersoek. Die studie kan in drie afdelings verdeel word: Afdeling A: • Inleiding en agtergrond tot die "New Basel Capital Accord" en • 'n Gedetaileerde oorsig van die "New Basel Capital Accord" met spesifieke verwysing na die interne-graderings benadering om die minimum vereiste kapitaal te bepaal. Afdeling B: Hierdie afdeling ondersoek krediet risiko bestuur en die praktiese implikasies van die aanvaarding/instelling van 'n interne graderings benadering, en die effek wat dit sal hê op 'n totale portefeulje benadering tot krediet risiko. Die gevolg is dat banke krediet risiko oor sub-portefeuljes sal kan bestuur en kapitaal vlakke vasstel gebaseer op verwagte portefeulje verliese. Hierdie is 'n belangrike ontwikkeling in krediet risiko bestuur en word vervolgens in diepte behandel. Die aanvaarding van 'n interne-graderings benadering tot gradering hou voordele in vir banke in die vorm van laer statutêre kapitaal vereistes. 'n Profiel van die kapitalisasie van SA banke word verskaf, gevolg deur die verskil in die effek van die standaard benadering tot die interne graderings benadering op krediet risiko bestuur en die vereiste minimum statutêre kapitaal. Afdeling C: Die finale afdeling ondersoek die beoogde makro ekonomiese effek van die "New basel capital Accord" op ontwikkelende marke (pro-sikliese neiging, lenings konsentrasies en bank mislukkings) met spesifieke verwysing na die implikasies op SA bankwese en ekonomie. Ter afsluiting moet SA banke so spoedig moontlik die interne-graderings benadering tot krediet risiko aanvaar om voordeel te trek uit die laer kapitaal vereistes wat "ophoop in die gevorderde stadium." Daar word verwag dat die "New Basel Capital Accord" 'n wesenlike invloed op die ontwikkelende mark sal hê. SA het egter 'n gesofistikeerde en gevestigde bankstelsel wat goed vergelyk met internasionale standaarde. Die aanvaarding van 'n interne-graderings benadering deur die die groter SA banke is onafwendbaar. Die voordele wat dit vir kleiner banke inhou kan bevraagteken word en is op hierdie stadium onwaarskynlik dat so 'n benadering deur hulle geïmplimenteer sal word.
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Kosek, Jiří. "Analysis of investment products of domestic and foreign banks." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-192610.
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The objective of this thesis is to show different types of investment opportunities that a small investor has on a standard banking market. Subsequently they are analyzed from both theoretical and practical aspects. The reader will be able to see pros and cons of e.g. traditional saving products, mutual funds and many others. Services will be among other assessed from an international perspective. The main intention of this analysis is to find such financial products, to which a small investor has access and that can be recommended as a meaningful investment.
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He, Wentao. "Credit market under the risk-based capital requirement." Thesis, University of Cambridge, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.648831.
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Imai, Masami. "The banking sector problem and the credit crunch in Japan." For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2002. http://uclibs.org/PID/11984.
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Garcia, Patricia de Oliveira. "Value relevance do índice de Basileia: o impacto da regulação bancária no mercado de capitais." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-18062018-163803/.
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O setor bancário é um dos mais importantes na sociedade, pois suas atividades relacionadas ao processo de pagamentos e sua atuação como intermediário financeiro são essenciais no desenvolvimento da economia. No entanto, em razão da natureza de suas operações e dos riscos envolvidos nas mesmas, o setor bancário também é um dos que apresentam regulação mais rígida. Bancos que atuam globalmente recebem influência de regulação em esfera internacional, como por exemplo, o Acordo de Basileia, que versa sobre requerimentos mínimos de capital. A regulação bancária e, por conseguinte, o Acordo de Basileia, podem impactar as atividades dos bancos, sua captação no mercado, suas estratégias e competição. Tal impacto deve ser avaliado tanto pelos próprios bancos, como pelos reguladores, pelo mercado e pela academia. A presente pesquisa avalia o impacto da regulação bancária, em especial o Acordo de Basileia, no mercado de capitais por meio de um estudo de value relevance. Utilizando o modelo de regressão do preço (Price Regression Model - PRM) com dados de bancos dos 27 países membros do Comitê de Basileia, foi avaliado se o índice de Basileia afeta o preço das ações dos bancos. Conclui-se que o índice de Basileia é value relevant para a amostra completa. No entanto, com a retirada dos Estados Unidos da amostra, devido ao alto percentual de participação (51%) na mesma, o índice de Basileia deixou de ser value relevant. Além disso, os resultados mostraram que o índice de Basileia não é value relevant para países considerados code law (amostra completa) e nem para países adotantes do IFRS (amostra completa).The banking sector is one of the most important in society, because its activities related to the payment process and its role as financial intermediary are essential in the development of the economy. However, because of the nature of its operations and the risks involved in them, the banking sector is also one of the most rigid. And banks that operate globally receive regulatory influence in the international arena, such as the Basle Accord, which deals with minimum capital requirements. Banking regulation, and therefore the Basle Accord, can impact the activities of banks, their capture in the market, their strategies and competition. Such an impact must be assessed by the banks themselves, regulators, the market and academy. The present research evaluates the impact of banking regulation, especially the Basel Accord, on the capital market through a value relevance study. Using the Price Regression Model (PRM) with data from banks of the 27 member countries of the Basel Committee, it was assessed whether the Basel index affects the stock price of banks. We conclude that the Basel index is value relevant for the whole sample. However, with the withdrawal of the United States from the sample, due to the high percentage of participation (51%) in the sample, the Basel index is no longer value relevant. In addition, the results showed that the Basel index is not value relevant for countries considered code law and for adopters of the IFRS (full sample).
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Yee, Eric Michael. "The Cost of Going Bulge: A Comparative Analysis of Bulge Bracket and Non-Bulge Bracket Banks and their Impact on IPO Underpricing." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/971.
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This paper examines the role of investment banks in initial public offerings. More specifically, we uncover whether or not bulge bracket banks, on average, more or less underprice IPOs than non-bulge bracket counterparts. Three different models are utilized to uncover the determinants of underpricing, with an emphasis on deal mechanics and quantitative measures of the going public firm.
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Zhang, Song. "Impacts of relationship banking and capital market concentration on small business finance." Thesis, University of Surrey, 2016. http://epubs.surrey.ac.uk/811005/.
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Small business is important to U.S. economy. However, they are difficult to obtain external finance. Since 1990s, deregulations happened in the U.S. banking market and affected small business finance greatly. Relationship banking is an effective lending technology for small business finance. Therefore, this thesis aims to investigate the nature of relationship banking and its impacts by using the data from U.S. Survey of Small Business Finances 1993, 1998 and 2003. The survey is led by U.S. Federal Reserve Board and it is representative and comprehensive for U.S. small business finance. The thesis contains three pieces of empirical research on small business: 1. Investigation on the impacts of relationship banking and banking market concentration on capital structure. Findings: relationship banking has favourable impacts on the availability of external finance for small firms. 2. Examination on the primary banking relationship switching behaviour and its impacts on loan terms. Findings: such switching behaviour decreases loan approval rate, increases borrowing cost and lengthens loan maturity. 3. Investigation on the determinants of communication in person approach with primary banks and its impacts on small business finance. Findings: ‘soft information’ transmission strengthens the banking relationship, reduces the borrowing costs and improves the availability of finance. The contributions to the existing knowledge regarding small business include: 1. First to investigate the reverse financial life cycle effect of relationship banking on small business’ capital structure; 2. First to examine the impacts of “switching behaviour” on certain terms of loan deals; 3. Frist to capture the beneficial effects of soft information communication on banking relationships, borrowing costs and discouraged borrowing. This thesis sheds lights on policy agenda/debate as follows: 1. Government would be wise not to increase banking market competition. 2. Encouragement from the policy aspects on the innovative information technologies making soft information transmission computerized is meaningful.
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Coppes, Robert C. "Credit and market risk : an analysis of capital requirements for banking institutions." Capelle a/d IJssel : Labyrint Publication, 1997. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008171553&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Greil, Tatjana Barbara. "The West German capital market and the financing behaviour of public limited companies, 1948-1965 : a reassessment." Thesis, London School of Economics and Political Science (University of London), 2002. http://etheses.lse.ac.uk/2650/.
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The objective of this thesis is to identify economic and regulatory issues which affected the development of the West German capital market and the financing behaviour of public limited companies during the early post war period. Following the introductory chapter, the thesis summarises literature on the relevance of capital structure in imperfect markets and discusses findings on the relationship between financial development and economic growth in consideration the historical circumstances of the early post war period. Chapter three provides a detailed account of the West German currency reform which looks beyond the conversion of monetary assets as it incorporates the accompanying conversion of company balance sheets. An analysis of the conversion of balance sheets shows that companies emerged from the reform with significantly reduced leverage. This finding provides an unconventional interpretation of the observed financing behaviour of West German companies during the early post war period. Chapter four discusses how public policy measures affected the development of the West German capital market during the immediate post currency reform period. It is argued that the policy of partial price controls coincided with a restriction of the capital market in providing funds to private and uncontrolled sectors as public authorities introduced measures which favoured funding in public and price controlled sectors. After having outlined the economic environment of the immediate post war period, the thesis analyses the financing behaviour of a sample of 79 non financial public limited companies between 1952 and 1965. The thesis argues that exceptional circumstances created by the war and the following policy decisions affected companies' financing behaviour. It shows that companies entered the post war period with severely altered capital structures and suggests that internally generated funds and bank loans featured no more prominently during the early post war years than during the following decades.
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Al-Quadah, Kamal Ahamad Moh'd. "Capital expenditure decisions and company market value : a study of information flows and associated share price movements." Thesis, University of Abertay Dundee, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.247324.
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Sheikh, Abod Sheikh Ghazali. "Mobilisation of Muslim financial resources for investment in the Malaysian capital market : an analysis of the Bumiputera investors." Thesis, Durham University, 1995. http://etheses.dur.ac.uk/1122/.
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Ian, Ka Ieng. "Capital market development and corporate investment." Thesis, University of Macau, 2008. http://umaclib3.umac.mo/record=b1872932.
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Vieira, Isabel Maria. "Short-term and long-term capital market integration in the European Union : an investigation using interest rate and currency swaps data." Thesis, Loughborough University, 1999. https://dspace.lboro.ac.uk/2134/10561.
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The objective of this thesis is to evaluate the degree of financial integration achieved by the main European Union (EU) members. The study is motivated by the necessity of alternative adjustment mechanisms in countries affected by asymmetric shocks. Economic theory suggests that capital flows may have equilibrating effects in such circumstances, if international markets are integrated. There is therefore a case for evaluating the level of integration already achieved by the EU financial markets, especially in areas less explored in the literature. The empirical application evaluates the level of financial integration between Germany and five EU countries (Belgium, France, Italy, the Netherlands and the UK). The analysis comprises the investigation of covered, uncovered and real interest rate parity conditions, for onshore and offshore assets with maturities between one month and ten years, within the period 1987 to 1997. The use of currency swaps differentiates this work from the usual studies of interest parity relationships, by allowing the analysis of a larger spectrum of maturities, and also a distinct assessment of connections between term-structures of interest rates across countries. The econometric methodologies adopted include cointegration, the ARDL approach (employed to examine long-run relationships between stationary and nonstationary variables), and Granger-causality analysis. The empirical results suggest that, although capital is fairly mobile across borders, asset substitutability is still low, and domestic and foreign (i.e., non-German) real interest rates continue to differ, especially for longer maturities. There is also evidence of links between domestic and foreign term-structures of interest rates, but most foreign long-term rates are independent from German short-term ones. These findings may have implications for the issue of fiscal discipline in the context of a single capital market, as they suggest that longterm interest rates may continue to differ across countries and, consequently, it will not be possible for national governments to borrow at a given common interest rate.
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Burton, Bruce M. "An empirical investigation of the relationship between corporate investment opportunities and the UK stock market reaction to new financing and capital expenditure announcements." Thesis, University of Dundee, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273643.
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Ögren, Anders. "Empirical studies in money, credit and banking : the Swedish credit market in transition under the silver and gold standards 1834-1913 /." Stockholm : Institute for Research in Economic History (Institutet för ekonomisk historisk forskning vid Handelshögsk.) (EHF), 2003. http://web.hhs.se/efi/summary/616.htm.
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Proto, Eugenio. "Financial markets, stagnation and instability in less developed economies." Doctoral thesis, Universite Libre de Bruxelles, 2004. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211076.
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Samek, Michal. "Komparace ochrany investora a vkladatele na českém finančním trhu." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-72004.
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The diploma thesis deals primarily with consumer protection in the capital market in the Czech Republic. It compares the situation in the capital market with conditions existing in the banking sector. It emphasizes the importance and possible consequences of upcoming pension reform in the Czech Republic in 2011. The first part of the thesis describes capital market structure and its functioning, analyses financial position of Czech households and contemplates the reasons that can lead to consumer protection in financial markets. The second part of the thesis deals with specific protective tools that are used in the Czech Republic to protect consumer. It analyses tools that are implemented to protect consumers' financial assets and tools associated with distribution of financial services and information requirements imposed on financial intermediaries. The thesis analyses the efficiency of selected important tools (such as investor compensation schemes or investment limits).
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Eksi, Emrah. "The impact of the market risk of capital regulations on bank activities." Thesis, Loughborough University, 2006. https://dspace.lboro.ac.uk/2134/7837.
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Banking has a unique role in the well-being of an economy. This role makes banks one of the most heavily regulated and supervised industries. In order to strengthen the soundness and stability of banking systems, regulators require banks to hold adequate capital. While credit risk was the only risk that was covered by the original Basle Accord, with the 1996 amendment, banks have also been required to assign capital for their market risk starting from 1998. In this research, the impact of the market risk capital regulations on bank capital levels and derivative activities is investigated. In addition, this study also evaluates the impact of using different approaches that are allowed to be used while calculating the required market risk capital, as well as the accuracy of VaR models. The implementation of the market risk capital regulations can influence banks either by increasing their capital or by decreasing their trading activities and in particular trading derivative activities. The literature review concerning capital regulations illustrates that in particular the impact of these regulations on bank capital levels and derivative activities is an issue that has not yet been explored. In order to fill this gap, the changes in capital and derivatives usage ratios are modelled by using a partial adjustment framework. The main results of this analysis suggest that the implementation of the market risk capital regulations has a significant and positive impact on the risk-based capital ratios of BHCs. However, the results do not indicate any impact of these regulations on derivative activities. The empirical findings also demonstrate that there is no significant relationship between capital and derivatives. The market risk capital regulations allow the use of either a standardised approach or the VaR methodologies to determine the required capital amounts to cover market risk. In order to evaluate these approaches, firstly differences on bank VaR practices are investigated by employing a documentary analysis. The documentary analysis is conducted to demonstrate the differences in bank VaR practices by comparing the VaR models of 25 international banks. The survey results demonstrate that there, is no industry consensus on the methodology for calculating VaR. This analysis also indicates that the assumptions in estimating VaR models vary considerably among financial institutions. Therefore, it is very difficult for financial market participants to make comparisons across institutions by considering single VaR values. Secondly, the required capital amounts are calculated for two hypothetical foreign exchange portfolios by using both the standardised and three different VaR methodologies, and then these capital amounts are compared. These simulations are conducted to understand to what extent the market risk capital regulations approaches produce different outcomes on the capital levels. The results indicate that the VaR estimates are dependent upon the VaR methodology. Thirdly, three backtesting methodologies are applied to the VaR models. The results indicate that a VaR model that provides accurate estimates for a specific portfolio could fail when the portfolio composition changes. The results of the simulations indicate that the market risk capital regulations do not provide a `level playing field' for banks that are subject to these regulations. In addition, giving an option to banks to determine the VaR methodology could create a moral hazard problem as banks may choose an inaccurate model that provides less required capital amounts.
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Makwiramiti, Anthony Munyaradzi. "The implementation of the new capital accord (BASEL II) : a comparative study of South Africa, Switzerland, Brazil and the United States." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002717.
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The international banking environment has become potentially riskier because of the recent developments in financial services and products which have changed the way banks do their day to day business. Imposing minimum capital adequacy regulations is one way of fostering stability in the global banking system. A number of countries have started to implement the new capital adequacy rules (Basel II) following the worldwide consensus among central bankers that bank‟s capital levels should be regulated to enhance global financial stability. In this study, through the comparative analysis of the general implementation issues it was established that emerging countries apply all Basel II rules uniformly across all the banking institutions that operate in their territories. Developed countries apply these rules only to large and internationally active banks and because of the diversity of their banking industries, they also apply domestically modified rules to the domestically based banks. For the successful implementation of Basel II, properly planning, devoting bank resources and making necessary legislative amendments are prerequisites for incorporating Basel II into the regulatory framework for any country. The study concludes that the current global financial turmoil continues to pose a threat to the effectiveness of the Basel II rules which are aimed at achieving global financial stability.
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Muzahem, Abdulla. "An empirical analysis on the practice and determinants of risk disclosure in an emerging capital market : the case of United Arab Emirates." Thesis, University of Portsmouth, 2011. https://researchportal.port.ac.uk/portal/en/theses/an-empirical-analysis-on-the-practice-and-determinants-of-risk-disclosure-in-an-emerging-capital-market-the-case-of-united-arab-emirates(2502d5eb-8871-453f-9c52-90e59dac5642).html.
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The study of corporate risk disclosure is an emerging area and the work that has been done to date focuses on largely developed markets. This study aims to address the gap in the current disclosure literature by examining risk disclosure in an emerging market (the UAE). The study aims to extend our understanding of risk disclosure practice and determinants. The study interprets the subject matter of risk disclosure in the light of certain disclosure theories. The research methodology design uses a mixed method approach. The first methodology was qualitative method through semi-structured interviews with 22 people. The grounded theory approach was applied in order to analyse the interviews. The second method was a quantitative approach based on content analysis and regression analysis for 48 non-financial companies over three years (2007, 2008 and 2009). The study found that there was considerable variation in risk disclosure level by UAE listed companies. The findings suggested that the companies' managers do not provide a full picture of companies' risks suggesting enhancement of regulation with more detailed rules and requirements on risk disclosure. The research found that IFRS risk disclosure requirements have an important influence on the risk disclosure level especially financial risks. The results show that there is a positive association between risk disclosure and firm size and auditor type. The findings suggest mixed results on the association between risk disclosure and company performance, liquidity, risk level and industry type. The results confirm that risk disclosure is positively correlated with the presence of audit committee, reporting the internal control system and risk management system, whereas there was a negative association with duality. The results show that ownership structure has significant influence on the risk disclosure level. There were mixed results on the association between risk disclosure level and board size, non-executive and independent directors. The analysis of the research would be in the interests of shareholders, regulators, accounting setters, managers and stakeholders who focus on disclosure and corporate governance.
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Hirani, Pranav. "Dynamic models of credit ratings and default probabilities." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/5998.
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Thesis (M.A.)--University of Missouri-Columbia, 2007.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 17, 2008) Includes bibliographical references.
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Jebavý, Jan. "Analýza dopadů globální finanční krize na kapitálové trhy a investiční bankovnictví." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-77400.
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This thesis analyses the impacts of global financial crisis 2007 - 2009 on capital markets and investment banking industry. The aim of this work is to find the most important causes of the financial crisis, their relations and sequence as well as the role of investment banking industry in this crisis. First chapter gives a theoretical framework and overview of investment banking and institutional models. Second chapter then analyses the key causes of financial crisis. Third chapter analyses impacts of the crisis on selected capital markets and individual investment banks.
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Li, Yu Fei. "Legal system and market timing effect on capital structure : an international experience." Thesis, University of Macau, 2008. http://umaclib3.umac.mo/record=b1950300.
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Spargoli, Fabrizio. "Three essays in banking : theory and empirics." Doctoral thesis, Universitat Pompeu Fabra, 2013. http://hdl.handle.net/10803/117854.
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This thesis revolves around financial instability and banking regulation. The first chapter examines whether the disclosure of information about banks maximizes welfare in times of crisis. Contrary to conventional wisdom, we demonstrate that transparency is optimal only if banks' distress can be efficiently resolved. The second chapter provides an explanation for the observed inability of market participants to assess banks' solvency in times of crisis. We demonstrate that banks' incentives to understate losses lead to an equilibrium where no information is available in the market in times of crisis, and this makes banks take excessive risk ex-ante. The third chapter, coauthored with Philipp Ager, provides an empirical analysis of the effects of liberalization on bank competition and bank failures. Using the relaxation of bank entry barriers in the 19th century US as a case study, we find that liberalization increases bank entry by 11% and bank failures by 2.6%.Aquesta tesi tracta sobre la inestabilitat financera i la regulació bancària. El primer capítol examina si la divulgació d'informació sobre els bancs maximitza el benestar en temps de crisi. Contràriament a la saviesa convencional, es demostra que la transparència és òptima només si els problemes dels bancs es poden resoldre de manera eficient. El segon capítol ofereix una explicació de la incapacitat observada dels participants del mercat per avaluar la solvència dels bancs en temps de crisi. Es demostra que els incentius dels bancs a subestimar les pèrdues porten a un equilibri en el qual no hi ha informació disponible al mercat en temps de crisi, i on els bancs prenen riscos excessius ex-ante. El tercer capítol, en coautoria amb Philipp Ager, proporciona una anàlisi empírica dels efectes de la liberalització sobre la competència bancària i fallides bancàries. Utilitzant la relaxació de les barreres a l'entrada dels bancs als EUA al segle XIX com a cas d'estudi, ens trobem que la liberalització augmenta l'entrada de bancs en un 11% i la fallida de bancs en un 2,6%.
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Patrick, Carol A. "Short-termism : an investigation of some UK evidence." Thesis, University of Stirling, 1997. http://hdl.handle.net/1893/26689.
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The aim of this thesis is to undertake an empirical investigation into the assertion that UK investors display short-term behaviour. The thesis starts by reviewing the existing literature which comprises a diverse set of explanations of the concept of short-termism. This survey results in, firstly, a more concise definition of short-termism and, secondly, a framework into which the various theories may be placed. The various approaches to short-termism are categorised into two effects: the numerator effect and the denominator effect. The former refers to the underestimation of future cash flows while the latter refers to those cases in which an excessively high discount rate is used. Both these effects result in the present value of a proposed project being reduced. therefore causing the project to be rejected when it might otherwise have been accepted. Although the literature covers many different approaches to short-termism this thesis concentrates only on one aspect of short-termism. namely the denominator effect. Such an approach is advantageous in that it allows the consideration, and possible elimination, of a particular type of short-termism. thus giving direction to future research. By decomposing the discount rate into the following components: a time value of money, a liquidity premium, an equity risk premium and an exchange rate risk premium it becomes possible to distinguish between "true" short-term ism and "general" short-termism. "True" short-termism refers to the existence ofa high time value of money whilst "general" short-termism refers to the use of a high discount rate for whatever reason. whether it be a high time value of money, liquidity premium or equity risk premium. A preliminary investigation into the existence of both types of short-termism is carried out by the comparison of international real rates of return and risk premia as a means of testing for differences in the behaviour of investors across countries. The results of this investigation lend little support to the assertion that UK investors are short-termist, but suggest that if short-termism is present it is in the form of "true" short-termism. Following these results, further empirical analysis is carried out into the issue of "true" short-termism. A key feature of this analysis is the relaxation of the assumption of the rational expectations in both the interest rate and foreign exchange market. The effect of this is two-fold: firstly, ex post and ex ante rates need no longer only differ by a random error, and secondly, a non-zero exchange rate risk premium may exist. Therefore the thesis also derives an ex ante interest rate series and an exchange rate volatility series using the methodology of Mishkin(1984a,b) and a Generalised Autoregressive Conditional Heteroscedasticity framework respectively. Throughout the thesis a parallel hypothesis is considered of whether a distinction could be drawn between investor behaviour in countries with capital market-based financial systems and those with bank-based financial systems. The thesis finds little support, given the assumptions made and dataset used, for the assertion that UK investors are more short-termist than elsewhere and no evidence to support a distinction between investor behaviour across countries.
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Springstube, Woodard R. (Woodard Rex). "Studies in Bank Contagion: Three Regulatory Events." Thesis, University of North Texas, 1998. https://digital.library.unt.edu/ark:/67531/metadc279347/.
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This research describes an analysis, using event-study methodology, of the reaction of the stock returns of a sample, drawn from the one-hundred largest bank holding companies, to certain actions of regulatory agencies. The first part of the analysis examines the reaction of the bank stocks to the closure of the Bank of New England, using cross-sectional variables not previously examined by other investigators. The second event considers the invalidation of interest-rate swap contracts by the British Law Lords, the highest court in Britain. The third case is an examination of the effects of actions taken to enforce the Community Reinvestment Act. All three events have significant abnormal returns in at least one sub-sample and event window. The results of the cross-sectional analysis and the lack of response to later events are consistent with market efficiency in the semi-strong form. The results are also consistent with the hypothesis that regulatory policies that emphasize consistency and banking system safety are desirable.
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Zia, Mujtaba. "Bank Capital, Efficient Market Hypothesis, and Bank Borrowing During the Financial Crisis of 2007 and 2008." Thesis, University of North Texas, 2014. https://digital.library.unt.edu/ark:/67531/metadc699938/.
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During the Great Recession of 2007 and 2008, liquidity and credit dried up, threatening the stability of financial institutions, particularly the banking firms. Traditional source of funds from the last resort, the Discount Window of the Federal Reserve System, failed to remedy the liquidity problem. To assuage the liquidity and credit problem, the Federal Reserve System established several emergency lending facilities and provided unprecedented amount of loans to the banking industry. Using a dataset published by Bloomberg LLP in the aftermaths of the financial crisis, which contains daily loan balances from the Fed, I conduct an event study to test whether financial markets are efficient in reflecting all public, anticipated and classified information in security prices. The most important contribution of this dissertation to the finance discipline and literature is the investigation and analysis of the Fed’s unprecedented loans to the banking industry during the Great Recession and the market reaction to it. The second major contribution of this study is the empirical test of strong form efficient market hypothesis, which has not been feasible due to legal data challenges. This dissertation has other contributions to the finance discipline and banking research. First, I develop an algorithm for measuring the amount of borrowing by banks. Second, I introduce a new “loan balance” ratio to traditional list of bank financial ratios. Third, I use event study methodologies to allow for cross-correlation, heteroscedasticity and event induced-variance change in studying US banks’ performance during the Great Recession.
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Ögren, Anders. "Empirical studies in money, credit and banking : the Swedish credit market in transition under the silver and gold standards 1834-1913." Doctoral thesis, Handelshögskolan i Stockholm, EHFF - Stiftelsen för Ekonomisk-historisk och Företagshistorisk Forskning, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1876.
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The empirical results reached in this thesis contradict the traditional theoretical view of money as being exogenously introduced into an economy as a medium of exchange intended to reduce the transactions costs associated with barter. Instead money was endogenously created in the form of credit. Thus, the long run neutrality of money also is called into question. The varying quality of different kinds of money reflects the demand for them. If legal tender was of higher quality than private promissary notes, it was because the former were in greater demand. Concisely put, the market determines the value, and therefore the quality, of various kinds of money. The principal problem addressed in this thesis is how, during the expansive nineteenth century, it was possible to satisfy the ever growing need for credit and means of payment without sacrificing the fixed exchange rate. Particular attention is paid to the private note issuing banks, the so called Enskilda banks, that dominated the Swedish banking system throughout the nineteenth century. In addition to their note issuing, the Enskilda banks were characterized by unlimited owner liability. An examination of the ongoing political process from a rational choice perspective, indicates that initially the concept of note issuing Enskilda banks enjoyed wide spread support. They were considered to be a reasonable response to the problem of establishing a commercial banking system in an illiquid economy. The distribution of political and economic power in favor of the Crown and the Nobility included their control over the issuance of bank charters. The monopolistic policy they followed in this regard, however, resulted in growing hostility towards these. As a result, starting in the middle 1860's, a more liberal attitude towards the establishment of banks began to prevail. By the end of the nineteenth century, various political interest were able to engineer the revocation of the Enskilda banks’ note issuing rights. The special characteristics of the Enskilda banks, the right to issue bank notes and the unlimited liability of their owners, have caused them to be perceived as outdated, at least once Joint Stock banks were introduced. In contrast to the Enskilda banks, these were unable to issue notes but instead provided their owners with limited liability. The thesis demonstrates that, given the initial illiquidity of the Swedish economy, the Enskilda banks actually were the more efficient alternative. Indeed, the note issuing privileges of the Enskilda banks became one of the principal factors behind the development of liquid domestic capital markets. An empirical study that includes the most basic constraints faced by the nineteenth century Swedish economy, the demands of the specie standard and the general shortages of reliable means of payment and of credit, reveals that the Enskilda bank system can not, strictly speaking, be considered an example of free banking. Instead of holding specie reserves, the Enskilda banks backed their notes with central bank (Riksbank) notes. This was not because the public preferred Enskilda bank to Riksbank notes. Rather it was the result of a monetary adverse selection process; Gresham’s Law. Previously utilized, lower quality, means of payment were replaced by Enskilda bank notes. By accepting some of the discount costs, the Enskilda banks made their notes circulate at par with Riksbank notes. Thus a domestic specie exchange system was created. The note issuance of the Enskilda banks paved the way for the deposit based commercial banking system that followed, and it was essential for the monetization of the economy that occurred during the late 1860's. The long run expansion of the money supply was unrelated to growth in Riksbank reserves, specie holdings or the monetary base. Other countries operating under the specie standard also experienced monetary growth, indicating that the specie standard actually was a system of credit. Money supply, as measured in terms of Riksbank and Enskilda bank notes held by the public, eventually reflected the level of output (GDP). VAR-tests indicated that annual changes in the level of Riksbank reserves preceded changes in the money supply which, in turn, preceded changes in the level of prices, thus supporting the price quantity theory. These results are summarized in a regression model that estimates domestic price movements as a function of current changes in international prices and GDP and of lagged changes in domestic prices and the money supply. The final chapter is an empirical analysis of the support provided to the Swedish banking system during the most severe financial crises of the nineteenth century. Maintaining the specie standard was over riding goal of the Riksbank. In times of crises, this concern prevented the Bank from supporting the banking system in accord with the classical lender of last resort recipe; to inject liquidity and briefly suspend convertibility. The thesis argues that in a transitional economy, such as that of nineteenth century Sweden, the fixed exchange rate makes it impossible in times of crisis to support the banks at all costs. Doing so might well convert a banking crisis into a currency crisis. Indeed, this is exactly what has happened in various countries on several occasions during the late twentieth century. Instead the appropriate procedure for acting as lender of last resort in a transitional economy is to initially support the banks, but only as long as central bank reserves are not exhausted. Should the seriousness of the crisis make this insufficient, the authorities should then proceed to import high powered money as a way of supplementing their reserves. The possibility that such action will be needed makes it particularly important that the country’s public finances be kept in good order.Diss. Stockholm : Handelshögskolan, 2003. Sammanfattning på engelska
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Bierbaumer, Daniel. "Commodity Pricing, Credit and Capital Flows: The Role of Financial Intermediaries." Doctoral thesis, Humboldt-Universität zu Berlin, 2019. http://dx.doi.org/10.18452/20177.
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Die globale Finanzkrise unterstrich die Bedeutung von makrofinanziellen Verknüpfungen für Vermögenspreisdynamiken und Konjunkturschwankungen. Bei angebotsseitigen Finanzfriktionen werden hierbei Finanzintermediäre, insbesondere ihre Bilanz und ihre Risikotragfähigkeit, als zentral erachtet. Diese Dissertation wendet verschiedene Klassen von SVAR Modellen und neueste Identifizierungsmethoden an um empirische Belege für die Rolle von Finanzintermediären für Finanzmärkte und die Realwirtschaft zu liefern. Das erste Kapitel untersucht das regimeabhängige Handelsverhalten von Finanzintermediären auf dem Öl-Futures-Markt und zeigt, dass Finanzintermediäre während Krisenzeiten preisunelastischer werden und mehr ihren eigenen Interessen folgend handeln. Die Ergebnisse deuten auf eine nichtlineare Futures-Preissetzung von Intermediären hin, was die Volatilität im Markt während Krisenzeiten signifikant erhöht. Das zweite Kapitel legt dar, dass die meisten Händlergruppen in Rohstoff-Futures-Märkten eine antizyklische Investitionsstrategie verfolgen. Das einfache SVAR Modell eignet sich für die Analyse der Handelsstrategien verschiedener Händlergruppen sowie deren Auswirkungen für die Preisvolatilität in jedweden Vermögensmärkten. Kapitel 3 identifiziert in einem einzelnen Modell sektorspezifische Kreditangebotsschocks gegenüber Firmen und Haushalten und präsentiert empirische Belege über deren Effekte für die US-Wirtschaft. Die Ergebnisse zeigen, dass beide Kreditangebotsschocks wesentlich zum Konjunkturverlauf während des Beobachtungszeitraums beigetragen haben, wobei Kreditangebotsschocks gegenüber Haushalten klassischen Nachfrageschocks ähneln. Das letzte Kapitel analysiert die globalen Auswirkungen des Schuldenabbaus europäischer Banken und findet, dass europäische Bankbilanzschocks Bruttokapitalzuflüsse und das Kreditwachstum in fortgeschrittenen Ökonomien mit entwickelten Finanzmärkten beeinflussen, aber nur geringfügige Effekte auf das Wirtschaftswachstum haben.The global financial crisis has demonstrated the importance of macrofinancial linkages for asset price dynamics and business cycles. Regarding supply-side financial frictions, financial intermediaries, in particular their balance sheet and risk-bearing capacity, are considered to be pivotal. This thesis applies different classes of SVAR models and state-of-the-art identification techniques to provide empirical findings on the role of financial intermediaries in financial markets and the real economy. The first chapter studies the state-dependent trading behavior of financial intermediaries in the oil futures market and shows that intermediaries become less price-elastic and trade more according to their own demand. The findings suggest that the futures pricing of intermediaries is nonlinear which significantly raises the volatility in the market during crisis times. The second chapter demonstrates that most trader groups in commodity futures markets employ contrarian strategies. The simple SVAR model can be applied for analyzing the trading strategies of different trader groups as well as their effects for price volatility in any asset market. Chapter 3 identifies sector-specific business and household loan supply shocks in one single model and provides empirical evidence on their effects for the U.S. macroeconomy. The results show that both loan supply shocks have contributed significantly to business cycle dynamics over the sample period, with household loan supply shocks resembling classical demand shocks. The last chapter analyzes the global effects of European bank deleveraging and finds that European bank balance sheet shocks significantly affect gross capital inflows and credit growth in in advanced economies with developed financial markets, but have only minor effects on output growth.
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Kourouma, Lancine. "Mesure du capital réglementaire par des modèles de risque de marché." Phd thesis, Université de Grenoble, 2012. http://tel.archives-ouvertes.fr/tel-00864121.
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Suite à la crise financière et économique de 2008, il a été constaté sur le portefeuille de négociation des banques un montant de capital réglementaire significativement inférieur aux pertes réelles. Pour comprendre les causes de cette insuffisance de capital réglementaire, il nous a paru important d'évaluer la fiabilité des modèles de mesure de risque de marché et de proposer des méthodologies de stress test pour la gestion des risques extrêmes. L'objectif est de mesurer le capital réglementaire sur un portefeuille de négociation composé d'actions et de matières premières par la mesure de la Value at Risk (VaR) et l'Expected Shortfall. Pour réaliser cet objectif, nous avons utilisé le modèle Generalized Pareto Distribution (GPD) et deux modèles internes utilisés par les banques : méthode de simulation historique et modèle de la loi normale. Une première évaluation de la fiabilité effectuée sur les trois modèles de risque sous l'hypothèse de volatilité constante, montre que les modèles internes des banques et le modèle GPD ne mesurent pas correctement le risque du portefeuille d'étude pendant les périodes de crise. Néanmoins, le modèle GPD est fiable en période de faible volatilité mais avec une forte surestimation du risque réel ; cela peut conduire les banques à bloquer plus de fonds propres réglementaires qu'il est nécessaire. Une seconde évaluation de la fiabilité des modèles de risque a été effectuée sous l'hypothèse du changement de la volatilité et par la prise en compte de l'effet asymétrique des rentabilités financières. Le modèle GPD s'est révélé le plus fiable quelles que soient les conditions des marchés. La prise en compte du changement de la volatilité a amélioré la performance des modèles internes des banques. L'intégration des scénarios historiques et hypothétiques dans les modèles de risque a permis d'évaluer le risque extrême tout en diminuant la subjectivité reprochée aux techniques de stress test. Le stress test réalisé avec les modèles internes des banques ne permet pas une mesure correcte du risque extrême. Le modèle GPD est mieux adapté pour le stress test. Nous avons développé un algorithme de stress test qui permettra aux banques d'évaluer le risque extrême de leurs portefeuilles et d'identifier les facteurs de risque responsables de ce risque. Le calcul du capital réglementaire sur la base de la somme de la VaR et du stress VaR n'est pas logique et entraîne un doublement des fonds propres réglementaires des banques. Le doublement de ces fonds propres aura pour conséquence le resserrement du crédit à l'économie. Nous observons que le coefficient multiplicateur et le principe de la racine carrée du temps de l'accord de Bâle conduisent les banques à faire un arbitrage en faveur des modèles de risque non fiables.
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Silva, Dora Alexandra Capelo Tomé. "Impacto do Novo Acordo de Basileia nas economias emergentes: o caso do Brasil." Master's thesis, Instituto Superior de Economia e Gestão, 2008. http://hdl.handle.net/10400.5/3433.
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Mestrado em Economia Monetária e FinanceiraA aplicação do Novo Acordo dc Basileia alterará profundamente o mundo financeiro, afectando as políticas de risco das instituições financeiras, já que será da eficiência interna dessa gestão que resultarão os requisitos de capital a alocar para cobrir os riscos que as suas carteiras enfrentam. Consequentemente, a supervisão bancária torna-se mais proactiva - e não tão reactiva - na sua tarefa de salvaguardar o sistema financeiro dos fenómenos dos riscos moral e sistémico, que afectam a economia como um todo. Devido à estrutura assente cm notações dc rating encara-se a possibilidade de Basileia II agravar as condições de acesso ao crédito aos países cm desenvolvimento onde o rating é, tradicionalmente, inferior, representando, um custo de capital superior aos países que o concedem. Ao nível interno desses países, espera-se, no entanto, que, como nos demais países, os requisitos de fundos próprios diminuam ã medida que se avança para modelos mais sofisticados, capazes de captar melhor o risco da carteira das instituições. De modo a captar os pontos anteriores, o presente trabalho divide-se em 6 partes: i) introdução - focando a necessidade de existência da intermediação financeira; ii) a racionalidade económica da supervisão bancária e dos Bancos Centrais; iii) a globalização e sofisticação financeiras que justificaram a criação do Acordo de Basileia I; iv) as causas conducentes à reformulação do acordo de capitais e a estrutura do Acordo dc Basileia 11; v) os potenciais impactos, positivos e negativos, que este Novo Acordo terá nas economias emergentes, no que concerne ao seu acesso internacional ao credito; vi) a evolução recente do mercado bancário e a elaboração de um estudo prático no caso concreto do Brasil, com vista a averiguar se, internamente, as instituições financeiras brasileiras, diminuirão, efectivamente, os seus requisitos de capital, à medida que avançam para modelos internos mais complexos e sensíveis ao risco.
The application of the New Basle Accord will profoundly change the financial world, affecting the risk policies of financial institutions, with internal efficiency of the risk management procedures assuming the responsibility for allocation of capital requirements, in order to cover the risks of their portfolios. Thus, banking supervision shows a more proactive role - and no longer reactive - on its task of keeping the financial system safe from the moral hazard and systemic risk phenomena, which affect the economy as a whole. Due to the ratings based structure - that is, internal and external ratings - it is faced the possibility that Basel II can aggravate the conditions to the international access for credit for developing countries, where the rating is, traditionally, lower, representing a greater capital requirement for the lending countries. In spite of that, it is expected that, at an internal level, like other countries else, the capital requirements low while the sophistication of the risk model gains the ability to internalize the institutions' risks. In order to capture the precedent items, the present working paper is structured in 6 parts: i) introduction - focusing the need for the existence of financial intermediation; ii) the economic rational for cither the banking supervision and a Central Bank; iii) the globalization and sophistication which justify the creation of the I Basel Accord; iv) the causes which led the reformulation of the first Accord and the structure of Basel 11; v) the potential impacts that the New Accord will probably have in the emerging economies, regarding to their international access for credit; vi) the recent evolution of the banking market and a case study for Brazil, in order to check if, internally, the Brazilian financial institutions will, effectively, low their capital requirements when they take more advanced and risk sensitive internal models.
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Ohnsorge, Franziska. "Self-selection, labour markets and capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63648.pdf.
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Akhter, Md Selim. "Financial soundness and development a multi-country analysis using panel data /." View thesis, 2008. http://handle.uws.edu.au:8081/1959.7/41341.
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Thesis (Ph.D.)--University of Western Sydney, 2008.A thesis submitted to the University of Western Sydney, College of Business, School of Economics and Finance, in fulfillment of the requirements for the degree of Doctor of Philosophy. Includes bibliographical references.
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Rahman, Nafis. "Essays on capital markets." Thesis, University of British Columbia, 2016. http://hdl.handle.net/2429/59049.
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This thesis is a collection of three essays on capital markets. The first essay examines how signals of reputation with non-equity stakeholders affect the market reaction to accounting restatements. Using Corporate Social Responsibility (CSR) rating as a proxy for reputation with non-equity stakeholders, I find significantly less negative market reaction to restatements for firms with better reputation. I also find that high-CSR firms experience smaller earnings-decreases and need to engage in fewer reputation restoration activities. The results suggest that a significant portion of the market value loss triggered by restatements reflects an expectation that the restating firms will face a ‘worsening of terms’ in their future transactions with the non-equity stakeholders, and CSR reputation can dampen this effect.
The second essay examines the impact of accounting restatements on the information content of analyst forecast revisions (FRIC). I find that following material restatements that are perceived to be intentional, FRIC increases significantly compared to the pre-restatement period level. The results suggest that investors increase their reliance on analysts when there is uncertainty about the firm and the credibility of management disclosure is compromised. Additional tests reveal that the effect is greater for analysts who are less likely to have close ties with the management.
The third essay studies how misaligned language between the investor and the firm contributes to the foreign investor bias. In particular, we document a significant US institutional investor bias against firms located in Quebec relative to firms located in the Rest of Canada (ROC). The differential bias is surprising given that Quebec and the ROC share the same country, federal law, stock exchange, accounting standards, and regulatory filings are prepared in both English and French; and given that US institutional investors are sophisticated investors at close geographic proximity to both Quebec and the ROC. We also contrast the bias against Quebec firms with different levels of French versus English online presence, and we contrast the bias of institutional investors located in the UK versus France, to bolster our conclusion that incongruent languages are a major source of bias.Business, Sauder School of
Accounting, Division of
Graduate
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Yu, Wayne Weifeng. "Essays on capital markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq23098.pdf.
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Mamaysky, Harry. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9180.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2000.Includes bibliographical references.
The first two chapters of this dissertation study financial asset markets which are not "frictionless." The first chapter focuses on the effects of transaction costs. The second chapter focuses on the interaction between asymmetric information and strategic behavior. The third chapter empirically assesses the informativeness of certain types of price indicators based on technical analysis. In Chapter 1 ( co-authored with Andrew Lo and Jiang Wang) we propose a dynamic equilibrium model of asset pricing and trading volume with heterogeneous investors facing fixed transactions costs. We show that even small fixed costs can give rise to large "notrade" regions for each investor's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyer and seller, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997. Chapter 2 develops an equilibrium model of a dynamic asymmetric information economy. The model is solved under two circumstances: where the informed and uninformed sectors are both competitive, and where the informed sector is competitive and the uninformed sector consists of a single, strategic agent. The strategic uninformed agent, when facing the same signals as the uninformed competitive sector, manages to extract different information abo~t the state of the economy. I find that expected returns, return variability, and unexpected trading volume differ between the competitive and the strategic economies. Furthermore, this difference depends on the degree of informational asymmetry between the two sectors. In the strategic economy, less surplus is lost due to informational arbitrage by the informed sector. Interestingly, the presence of asymmetric information allows even the competitive uninformed agents to gain surplus from allocational trade. Finally, I examine the incentives of agents to become better informed, and find that sometimes both competitive and strategic agents are better off under worse information. Technical analysis, also known as "charting," has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis-the presence of geometric shapes in historical price charts is often in the eyes of the, beholder. In Chapter 3 ( co-authored with Andrew Lo and Jiang Wang), we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution-conditioned on specific technical indicators such as head-and shoulders or double-bottoms-we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.
by Harry Mamaysky.
Ph.D.
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Papanikolaou, Dimitris Ph D. Massachusetts Institute of Technology. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42335.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.Includes bibliographical references (p. 153-161).
In the first chapter, I provide evidence that investment-specific technological change is a source of systematic risk. In contrast to neutral productivity shocks, the economy needs to invest to realize the benefits of innovations in investment technology. A positive shock to investment technology is followed by a reallocation of resources from consumption to investment, leading to a negative price of risk. A portfolio of stocks that produce investment goods minus stocks that produce consumption goods (IMC) proxies for the shock and is a priced risk factor. The value of assets in place minus growth opportunities falls after positive shocks to investment technology, which suggests an explanation for the value puzzle. I formalize these insights in a dynamic general equilibrium model with two sectors of production. The model's implications are supported by the data. The IMC portfolio earns a negative premium, predicts investment and consumption in a manner consistent with the theory, and helps price the value cross section. In the second chapter, based on joint work with Igor Makarov, we use heteroscedasticity of stock returns as an identification tool to isolate four robust factors in the U.S. industry returns. The first factor can be viewed as a proxy for economy wide demand shocks. The second factor is a portfolio of stocks producing investment goods minus stocks producing consumption goods (IMC). The third factor differentiates between cyclical vs. non-cyclical stocks. Finally, the fourth factor is consistent with a proxy for shocks to input good prices. The extracted factors are shown to be important in explaining the cross-section of expected returns. Unlike the CAPM or the Fama and French three factor model, they successfully price the cross-section of 48 industry portfolios and do a good job at explaining the 25 Fama and French size and book-to-market portfolios.
(cont.) The fourth ("input") factor is found to be a robust predictor of the value-weighted market portfolio. In the third chapter, based on joint work with Jiro Kondo, we propose a new foundation for the limits to arbitrage based on financial relationships between arbitrageurs and banks. Financially constrained arbitrageurs may choose to seek additional financing from banks who can understand their strategies. However, a hold-up problem arises because banks cannot commit to provide capital and have the financial technology to profit from the strategies themselves. Wary of this, arbitrageurs will choose to stay constrained and limit their correction of mispricing unless banks have sufficient reputational capital. Using the framework of stochastic repeated games, we show that this form of limited arbitrage arises when mispricing is largest and becomes more substantial as the degree of competition between banks intensifies and arbitrageur wealth increases.
by Dimitris Papanikolaou.
Ph.D.
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Makarov, Igor 1976. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36288.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2006.Includes bibliographical references.
This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations is studied. In particular, it is proved that the model does not admit a finite number of state variables. A comparison of equilibria characterized by identical fundamentals but different information structure shows that the distribution of information has substantial impact on equilibrium prices and returns. In the second essay we explore several sources of serial correlation in returns of hedge funds and other alternative investments. We show that the most likely explanation is illiquidity exposure, i.e., investments in securities that are not actively traded and for which market prices are not always readily available. For portfolios of illiquid securities, reported returns will tend to be smoother than true economic returns, which will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio.
(cont.) For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smoothing coefficients vary considerably across hedge-fund style categories and may be a useful proxy for quantifying illiquidity exposure. In the third essay our objective is to study analytically the effect of borrowing constraints on asset returns. We explicitly characterize the equilibrium for an exchange economy with two agents who differ in their risk aversion and are prohibited from borrowing. In a representative-agenlt economly with CR.RA preferences, the Sharpe ratio of equity returns and the risk-free rate are linked by the risk aversion parameter. We show that allowing for preference hetterogeneity an(l imposing borrowing constraints breaks this link. We find that anll economy with borrowing constraints exhibits simultaneously a relatively high Sharpe ratio of stock returns and a relatively low risk-free interest rate, compared to both representative-agent and unconstrained heterogeneous-agent economies.
by Igor Makarov.
Ph.D.
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Chan, Wesley S. (Wesley Sherwin) 1974. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/28248.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2002.Includes bibliographical references (p. 136-141).
(cont.) Slow information diffusion can cause return momentum. Institutions are thought to be more informed than individuals, and should eliminate return predictability. However, higher institutional ownership is associated with more momentum. Therefore, institutions either herd on returns or can have information before individuals. I find evidence of the latter. However, the effects are economically small, suggesting that aggregate data obscures differences between institutions. I divide institutions by trading aggressiveness. Aggressive institutions are more responsive to recent returns, and a strategy mimicking their trades generates even better performance. This confirms that some investors are more informed than others, but do not eliminate return predictability.
This thesis consists of three chapters, each about a separate aspect of how investors respond to information in equity markets. The first chapter concerns news and stock returns. Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effects. They are, however, mainly seen in smaller, more illiquid stocks. These findings support some integrated theories of investor over- and underreaction. The second chapter is joint work with Richard Frankel and S. P. Kothari. Models based on psychology can explain momentum and reversal in stock returns, but may be overfitted to data. We examine a typical basis for these models, representativeness, in which individuals predict the future based on how closely past outcomes fit certain categories. We use accounting performance to mimic possible investor-defined categories for firm performance. We test the idea that investors predictably bias their expectations about future operations by using these categories. We find little evidence that the sequence or trend of past accounting performance is related to future returns, and is therefore unlikely to bias investor expectations. The third chapter concerns how informational advantage differs between institutional investors.
by Wesley S. Chan.
Ph.D.
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Sodini, Paolo 1968. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/35489.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001.Includes bibliographical references.
The thesis is composed of three chapters. The first chapter proposes that financial innovation induces endogenous changes in the composition of market participants, which can both increase the interest rate and reduce the risk premia earned on pre-existing assets. We consider an exchange economy with endogenous participation. Competitive investors can freely borrow and lend, but must pay a fixed entry cost to invest in risky assets. Security prices and the participation structure are jointly determined in equilibrium. We show existence and constrained optimality of equilibrium under general conditions, and then specialize to a CARA-normal framework with finitely many risk factors. The model reconciles a number of features that have characterized financial markets in the past three decades: substantial financial innovation; a sharp increase in investor participation; improved risk management practices; an increase in interest rates; and a reduction in the risk premium. In the second chapter, we study the effect of margin constraints on volatility and welfare in an intertemporal financial economy. We find that margin requirements do not necessarily reduce market volatility and can generate non-monotonic redistributive effects. The setup allows for full flexibility in setting margin requirements and is well suited to address regulatory issues. We study in detail two types of margin rules. The uniform rule, in which margin constraints are constant over time and states, and the practitioners' rule of tightening margin constraints in bear markets and relaxing them in bull market.
(cont.) The results are compared with the first best rule in which margin requirements are chosen just to prevent default. In the third chapter, we consider a framework with mean-variance investors that face margin and no short-selling constraints and can default on their pre-existing leveraged positions. Margin calls and portfolio rebalancing create spillover-contagion effects across markets. A negative shock in one specific asset can reduce prices of even uncorrelated assets with unchanged fundamentals. We test this result across different forms of margin contracts typically used in practice. Margin constraints can also generate a self-reinforcing mechanism that amplifies price movements and create discontinuity in the price schedule.
by Paolo Sodini.
Ph.D.
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Kogan, Leonid 1974. "Essays in capital markets." Thesis, Massachusetts Institute of Technology, 1999. http://hdl.handle.net/1721.1/28212.
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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 1999.Includes bibliographical references (p. 231-237).
This thesis consists of three essays in capital markets. In the first essay, given a European derivative security with an arbitrary payoff function and a corresponding set of underlying securities on which the derivative security is based, we solve the optimal-replication problem: find a self-financing dynamic portfolio strategy-involving only the underlying securities-that most closely approximates the payoff function at maturity. By applying stochastic dynamic programming to the minimization of a mean-squared- error loss function under Markov state-dynamics, we derive recursive expressions for the optimal-replication strategy that are readily implemented in practice. The approximation error or ... of the optimal-replication strategy is also given recursively and may be used to quantify the "degree" of market incompleteness. To investigate the practical significance of these c-arbitrage strategies, we consider several numerical examples including path-dependent options and options on assets with stochastic volatility and jumps. In the second essay we study the tracking error, resulting from the discrete-time application of continuous-time delta-hedging procedures for European options. We characterize the asymptotic distribution of the tracking error as the number of discrete time periods increases, and its joint distribution with other assets. We introduce the notion of temporal granularity of the continuous time stochastic model that enables us to characterize the degree to which discrete time approximations of continuous time models track the payoff of the option. We derive closed form expressions for the granularity for a put or call option on a stock that follows a geometric Brownian motion and a mean-reverting process. These expressions offer insight into the tracking error involved in applying continuous-time delta hedging in discrete time. We also introduce alternative measures of the tracking error and analyze their properties. The third essay presents a general equilibrium model of financial asset prices with irreversible real investment. The focus is on the effects of the irreversibility of real investment on financial asset prices. The model shows how this irreversibility leads to time variation in volatility and systematic risk of stock returns. Changes in these variables are driven by real economic activity, in particular, by firms' investment decisions. Thus, systematic risk of stock returns and their volatility are affected by economy-wide and industry-specific shocks. Firm-specific variables, particularly market-to-book ratios, are linked to real activity and contain information about the dynamic behavior of stock returns. The model of this paper also provides a framework for analyzing futures prices. A comparison between the economy with irreversible investment and an identical economy without the irreversibility shows that all of these results should be attributed to the irreversibility of real investment.
by Leonid Kogan.
Ph.D.
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Holmberg, Ulf. "Essays on credit markets and banking." Doctoral thesis, Umeå universitet, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-53494.
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This thesis consists of four self-contained papers related to banking, credit markets and financial stability. Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. We find evidence supporting the asset deterioration hypothesis and results that emphasize the importance of accurate firm quality estimates. In addition, we find that an increase in the debt’s time to maturity, homogenous expected default rates and a conservative lending approach, reduces the probability of a credit crunch. Thus, our results suggest some up till now partially overlooked components contributing to the financial stability of an economy. Paper [II] derives an econometric disequilibrium model for time series data. This is done by error correcting the supply of some good. The model separates between a continuously clearing market and a clearing market in the long-run such that we are able to obtain a novel test of clearing markets. We apply the model to the Swedish market for short-term business loans, and find that this market is characterized by a long-run nonmarket clearing equilibrium. Paper [III] studies the risk-return profile of centralized and decentralized banks. We address the conditions that favor a particular lending regime while acknowledging the effects on lending and returns caused by the course of the business cycle. To analyze these issues, we develop a model which incorporates two stylized facts; (i) banks in which lendingdecisions are decentralized tend to have a lower cost associated with screening potential borrowers and (ii) decentralized decision-making may generate inefficient outcomes because of lack of coordination. Simulations are used to compare the two banking regimes. Among the results, it is found that even though a bank group where decisions are decentralizedmay end up with a portfolio of loans which is (relatively) poorly diversified between regions, the ability to effectively screen potential borrowers may nevertheless give a decentralized bank a lower overall risk in the lending portfolio than when decisions are centralized. In Paper [IV], we argue that the practice used in the valuation of a portfolio of assets is important for the calculation of the Value at Risk. In particular, a seller seeking to liquidate a large portfolio may not face horizontal demand curves. We propose a partially new approach for incorporating this fact in the Value at Risk and Expected Shortfall measures and in an empirical illustration, we compare it to a competing approach. We find substantial differences.