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Dissertations / Theses on the topic 'Financial risk management - Forecasting'

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Published: 4 June 2021

Last updated: 18 February 2022

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1

Bedendo, Mascia. "Density forecasting in financial risk modelling." Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/2661/.

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As a result of an increasingly stringent regulation aimed at monitoring financial risk exposures, nowadays the risk measurement systems play a crucial role in all banks. In this thesis we tackle a variety of problems, related to density forecasting, which are fundamental to market risk managers. The computation of risk measures (e.g. Value-at-Risk) for any portfolio of financial assets requires the generation of density forecasts for the driving risk factors. Appropriate testing procedures must then be identified for an accurate appraisal of these forecasts. We start our research by assessing

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2

Lu, Shan. "Essays on volatility forecasting and density estimation." Thesis, University of Aberdeen, 2019. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=240161.

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This thesis studies two subareas within the forecasting literature: volatility forecasting and risk-neutral density estimation and asks the question of how accurate volatility forecasts and risk-neutral density estimates can be made based on the given information. Two sources of information are employed to make those forecasts: historical information contained in time series of asset prices, and forward-looking information embedded in prices of traded options. Chapter 2 tests the comparative performance of two volatility scaling laws - the square-root-of-time (√T) and an empirical law, TH, cha

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3

Manganelli, Simone. "Conditional autoregressive value at risk and other essays in financial econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9980049.

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4

Neves, João Miguel Louçada. "Risk Models and Management - Computing VaR for Options' Portfolio." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/3101.

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Mestrado em Finanças<br>Increasingly, extreme events are less rarely in financial markets behaviour. To face that changes and prevent bigger catastrophes, Value-at-risk (VaR) has emerged as one of the most powerful and disseminated tools. Summarizing into a single number, the maximum loss of a portfolio over a given time horizon at a given level of confidence can be an extremely important way to control and measure risk. In this paper, several techniques of valuation were focused to calculate the risk of a financial options portfolio. Although that approach, not all techniques were integrated

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5

Famy, George. "Forecasting Reurns to Pure Factors: A Study of Time Varying Risk Premia." restricted, 2006. http://etd.gsu.edu/theses/available/etd-04282006-162928/.

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Thesis (Ph.D.)--Georgia State University, 2006.<br>Stephen D. Smith, committee chair; Jason Greene, James Owens, Alok Srivastava, committee members. Electronic text (132 p. : ill. (some co.)) : digital, PDF file. Description based on contents viewed July 12, 2007. Includes bibliographical references (p. 91-97).

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6

Apostolidou, Ilektra-Georgia, and Georgios Karmiris. "Risk-adjusted Earned Value and Earned Duration Management models for project performance forecasting." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-18965.

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Project control is essential to ensure that the investment on a project is providing the intended benefits and is valuable to the customers. Previous methods offer project performance monitoring and forecasting tools, but they lack accuracy and the associated techniques omit the project financial risk (any unplanned event that has an impact on schedule and budget); the main factor of project failure. Poor project execution, and particularly failure to control and accurately forecast the project performance, may lead to increased costs, upset customers and eventually loss of market share. These

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7

Vander, Elst Harry-Paul. "Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data." Doctoral thesis, Universite Libre de Bruxelles, 2016. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/228960.

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This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexi

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8

Thupayagale, Pako. "Essays in long memory : evidence from African stock markets." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/883.

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9

Brabcová, Lucie. "Řízení likvidity a solventnosti (na příkladu konkrétního podniku)." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-206359.

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The thesis deals with the individual aspects of liquidity and solvency management in the context of financial risk management and working capital components. The main accent is put on the foreign exchange risk management and the cash management tools on the group level: netting and cash pooling. These tools are supported by the cash forecasting system and the actual cash flows evaluation. The methods of liquidity and solvency management are demonstrated on the example of a Shared Service Center organisation.

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10

Laurent, Marie-Paule. "Essays in financial risk management." Doctoral thesis, Universite Libre de Bruxelles, 2003. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211221.

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11

Wang, Mulong. "Financial derivatives in corporate risk management." Access restricted to users with UT Austin EID, 2001. http://wwwlib.umi.com/cr/utexas/fullcit?p3036610.

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12

Schaumburg, Julia. "Quantile methods for financial risk management." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2013. http://dx.doi.org/10.18452/16675.

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In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko bezieht sich auf das Risiko des Zusammenbruchs eines Finanzsystems, das durch die Notlage eines einzelnen Finanzinstituts entsteht. Im Zuge der Finanzkrise 2007–2009 realisierten sich beide Risiken, was weltweit zu hohen Verlusten für Investoren, Unternehmen und Steuerzahler führte. Vor diesem Hintergrund besteht sowohl bei Finanzinstituten als auch bei Regulierungsbeh

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13

Genin, Adrien. "Asymptotic approaches in financial risk management." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC120/document.

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Cette thèse se propose de traiter de trois problèmes de gestion des risques financiers en utilisant différentes approches asymptotiques. La première partie présente un algorithme Monte Carlo d’échantillonnage d’importance pour la valorisation d’options asiatiques dans des modèles exponentiels de Lévy. La mesure optimale d’échantillonnage d’importance est obtenue grâce à la théorie des grandes déviations. La seconde partie présente l’étude du comportement asymptotique de la somme de n variables aléatoires positives et dépendantes dont la distribution est un mélange log-normal ainsi que des appl

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14

Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.

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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both

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15

Aas, Roar. "Risk management using derivatives." Thesis, Heriot-Watt University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262000.

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16

Dimitriadis, Timo [Verfasser]. "Three Essays on Estimation, Forecasting and Evaluation of Financial Risk / Timo Dimitriadis." Konstanz : KOPS Universität Konstanz, 2019. http://d-nb.info/1186630825/34.

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17

Bayer, Sebastian [Verfasser]. "Three Essays on Improving Financial Risk Estimation, Forecasting and Backtesting / Sebastian Bayer." Konstanz : Bibliothek der Universität Konstanz, 2018. http://d-nb.info/1159880425/34.

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18

Siyi, Zhou. "Essays on financial and insurance risk management." Thesis, Imperial College London, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.586894.

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This thesis conducts several empirical analyses of important issues in modern quantitative risk management The first exercise examines the joint distribution of changes in agency credit ratings. We estimate both intra- and inter-industry correlations using Maximum Likelihood techniques. The analysis is performed unconditionally and then conditional on de-trended GDP. The latter estimates may be used for macro stress testing in which the credit quality of a portfolio is simulated conditional on a hypothesized future path of real output. Following the financial crisis, banks and regulators are i

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19

Zou, Lin. "Essays in financial economics and risk management." Thesis, [College Station, Tex. : Texas A&M University, 2007. http://hdl.handle.net/1969.1/ETD-TAMU-1476.

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20

Graf, Mario. "Financial Risk Management State-of-the-Art /." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01665710001/$FILE/01665710001.pdf.

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21

Ben, Hadj Saifeddine. "Essays on risk management and financial stability." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E003/document.

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La thèse analyse la question de la stabilité du système financier international dans son ensemble et plus précisément comment améliorer sa résilience. Chaque chapitre se focalise sur un type d'acteur dans ce système complexe, à savoir les banques, les organismes de supervision et les régulateurs internationaux. Le premier chapitre introduit de nouvelles techniques d'optimisation pour accélérer le calcul de mesure de risque dans les banques et les institutions financières. Il propose également une étude théorique pour valider les algorithmes d'optimisation proposés. Le second vise à quantifier

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22

Abbas, Sawsan. "Statistical methodologies for financial market risk management." Thesis, Lancaster University, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547964.

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23

Ewers, Robin B. "Enterprise Risk Management in Responsible Financial Reporting." Thesis, Walden University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10637579.

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<p> Despite regulatory guidelines, unreliable financial reporting exists in organizations, creating undue financial risk-harm for their stakeholders. Normal accident theory (NAT) identifies factors in highly complex integrated systems that can have unexpected, undetected, and uncorrected system failures. High-reliability organization (HRO) theory constructs promote reliability in complex, integrated systems prone to NAT factors. Enterprise risk management (ERM) integrates NAT factors and HRO constructs under a holistic framework to achieve organizational goals and mitigate the potential for st

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24

Pillay, Levina. "Risk practitioner experiences of enterprise risk management in financial institutions." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52296.

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The ability of financial institutions to strengthen enterprise risk management following the global financial crisis has been challenging. The uncertainties of the external environmental within which these organisations operate and the complexity and speed of internal operations required to respond have continued to evolve. As a result, focus on the discipline of enterprise risk management has emerged, within academia and industry, to determine the broader risk implications to which financial institutions are exposed. A qualitative study was undertaken with 16 risk practitioners engaged in da

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25

Shedden, Jason Patrick. "A qualitative approach to financial risk." Pretoria : [s.n.], 2006. http://upetd.up.ac.za/thesis/available/etd-05092007-152751.

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26

Paltalidis, Nikolaos. "Essays on applied financial econometrics and financial networks : reflections on systemic risk, financial stability & tail risk management." Thesis, University of Portsmouth, 2015. https://researchportal.port.ac.uk/portal/en/theses/essays-on-applied-financial-econometrics-and-financial-networks(3534970d-eeba-4748-9812-d18430925664).html.

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The global crisis of 2008 challenged the functioning of the financial markets. In the aftershock era numerous repercussions were felt throughout the world, resulting from a plethora of cross-border and cross-entity interdependencies. An initially systemic banking crunch – where cash strapped banks stopped lending, liquidity abruptly dried up, and credit conditions deteriorated – metastasized into a sovereign debt crisis in the euro area which devastated public finances and provoked higher sovereign default risk. Motivated by the intensity, the magnitude and the speed with which shocks propagat

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27

Chen, Yuang-Sung Al. "Financial analyst forecast dispersion : determinants and usefulness as an ex-ante measure of risk." Diss., Georgia Institute of Technology, 1988. http://hdl.handle.net/1853/29391.

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28

Rodriguez, Marius del Giudice. "Essays on financial analysts' forecasts." Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2006. http://wwwlib.umi.com/cr/ucsd/fullcit?p3222052.

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Thesis (Ph. D.)--University of California, San Diego, 2006.<br>Title from first page of PDF file (viewed September 20, 2006). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 125-132).

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29

Černák, Peter. "Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76579.

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The Master's Thesis deals with the topic of risk management in a non-financial company. The goal of this Thesis is to create a framework for review of risk management process and to practically apply it in a case study. Objectives of the theoretical parts are: stating the reasons for risk management in non-financial companies, addressing the main parts of risk management and providing guidance for review of risk management process. A special attention is paid to financial risks. The practical part applies the framework created in the theoretical part on a case study -- review/gap analysis of r

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30

De, Castilho Lazaro Mariana. "Opportunities for improving corporate budgeting and the financial forecasting process." Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/111475.

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Thesis: M.B.A., Massachusetts Institute of Technology, Sloan School of Management, 2017.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (page 32).<br>This thesis focuses on how the financial planning and budgeting department of a corporation can improve its annual budget and financial forecasting processes. A series of interview were conducted to better assess the main issues and how they can be improved.<br>by Mariana De Castilho Lazaro.<br>M.B.A.

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31

Berny, Jan. "Forecasting and risk analysis applied to management planning and control." Thesis, Aston University, 1988. http://publications.aston.ac.uk/10851/.

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The aim of this research was to improve the quantitative support to project planning and control principally through the use of more accurate forecasting for which new techniques were developed. This study arose from the observation that in most cases construction project forecasts were based on a methodology (c.1980) which relied on the DHSS cumulative cubic cost model and network based risk analysis (PERT). The former of these, in particular, imposes severe limitations which this study overcomes. Three areas of study were identified, namely growth curve forecasting, risk analysis and the int

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32

Yang, Xi. "Applying stochastic programming models in financial risk management." Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/4068.

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This research studies two modelling techniques that help seek optimal strategies in financial risk management. Both are based on the stochastic programming methodology. The first technique is concerned with market risk management in portfolio selection problems; the second technique contributes to operational risk management by optimally allocating workforce from a managerial perspective. The first model involves multiperiod decisions (portfolio rebalancing) for an asset and liability management problem and deals with the usual uncertainty of investment returns and future liabilities. Therefor

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33

Zabarankin, Michael Yurievich. "Optimization approaches in risk management and financial engineering." [Gainesville, Fla.] : University of Florida, 2003. http://purl.fcla.edu/fcla/etd/UFE0001048.

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34

MORAES, ALEX SANDRO MONTEIRO DE. "ESSAYS IN FINANCIAL RISK MANAGEMENT OF EMERGING COUNTRIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26131@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>Nesta tese são desenvolvidos três ensaios que avaliam os riscos relativos a alguns países emergentes. No primeiro ensaio, por meio do uso de modelos da família GARCH, verificou-se que o aumento dos pesos relativos atribuídos às observações mais antigas em função do aumento do horizonte de previsão resulta em melhores estimativas de volatilidade. Por meio da utilização de sete modelos de previsão de volatilidade e séries

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35

Haar, Lawrence. "Business cycles and the management of financial risk." Thesis, University of Surrey, 2000. http://epubs.surrey.ac.uk/844543/.

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The author explicitly specifies a New Keynesian style model embodying a financial constraint on the availability of equity and a financial market imperfection with regard to the existence of state-contingent assets based upon the published papers of Greenwald and Stiglitz (1988, 1990, and 1993). Using computer based numerical simulation, the author validates the three unproven Propositions found in the Greenwald and Stiglitz 1993 article with regard to the model's comparative static behaviour. Through the inclusion of a parameter for technology into the production function, the author shows th

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36

Yao, Rui. "Patterns of financial risk tolerance 1983-2001 /." Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1060624755.

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Thesis (Ph. D.)--Ohio State University, 2003.<br>Title from first page of PDF file. Document formatted into pages; contains xvi, 239 p.; also includes graphics (some col). Includes abstract and vita. Advisor: Sherman D. Hanna, College of Human Ecology. Includes bibliographical references (p. 230-239).

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37

Friedl, Andrew P. (Andrew Philip). "Forecasting failure : a systems perspective on the fall of Countrywide Financial." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107371.

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Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, School of Engineering, System Design and Management Program, Engineering and Management Program, 2016.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 104-107).<br>Countrywide Financial was acquired by Bank of America on January 11th , 2008 for $4.1 B after losing $1.3B in 2007. Not only was it losing money, its financial prospects at the time looked bleak due to their large stake in subprime mortgages. This effective failure of Countrywide Financial set off a chain of even

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38

Hays, Douglas C. "Enterprise risk management solutions a case study /." Monterey, Calif. : Naval Postgraduate School, 2008. http://handle.dtic.mil/100.2/ADA483512.

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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2008."<br>Advisor(s): San Miguel, Joseph ; Summers, Don. "June 2008." "MBA professional report"--Cover. Description based on title screen as viewed on August 8, 2008. Includes bibliographical references (p. 41). Also available in print.

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Derrocks, Velda Charmaine. "Risk management." Thesis, Nelson Mandela Metropolitan University, 2010. http://hdl.handle.net/10948/1480.

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The objective of the study is to establish a perspective of risk management by doing an assessment of current risk management practices, especially in the aftermath of the 2008/2009 global financial crisis. Risk management, as a component of corporate governance, was analysed by addressing the following: - The nature of value-creating assets in business; - The primary challenges for risk management over the next three years; - The changing approaches towards risk management; - The role of legislation and external stakeholders; - The role of risk management in strategic planning; - The cost of

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Nomikos, Nikos K. "Risk management, price discovery and forecasting in the freight futures market." Thesis, City University London, 1999. http://openaccess.city.ac.uk/7749/.

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The success or failure of a futures contract is determined by its ability to provide benefits to economic agents, over and above the benefits they derive from the spot market. These benefits are price discovery and risk management through hedging. The extent to which different commodity and financial futures markets have served as efficient centres of price discovery and risk management has been the focus of considerable empirical research in the literature. The evidence however, on the BIFFEX market is very limited. This thesis therefore, by investigating these issues provides new evidence in

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Andersson, Oscar, and Erik Haglund. "Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-243245.

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This essay investigates three different GARCH-models (GARCH, EGARCH and GJR-GARCH) along with two distributions (Normal and Student’s t), which are used to forecast the Value at Risk (VaR) for different return series. Seven major international equity indices are examined. The purpose of the essay is to answer which of the three models that is better at forecasting the VaR and which distribution is more appropriate. The results show that the EGARCH(1,1) is preferred for all indices included in the study.

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42

Chen, Hua. "Contingent Claim Pricing with Applications to Financial Risk Management." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/rmi_diss/22.

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Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to he

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43

Awiszus, Kerstin [Verfasser]. "Actuarial and financial risk management in networks / Kerstin Awiszus." Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2020. http://d-nb.info/1215427298/34.

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44

Baldwin, Sheena. "Extreme value theory : from a financial risk management perspective." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/53743.

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Thesis (MBA)--Stellenbosch University, 2004.<br>ENGLISH ABSTRACT: Risk managers and regulators are primarily concerned with ensuring that there is sufficient capital to withstand the effects of adverse movements in market prices. The accurate prediction of the maximum amount that a financial institution can expect to Jose over a specified period is essential to guard against catastrophic losses that can threaten the viability of an individual finn or the stability of entire markets. Value-at-risk (VaR) is a quantile-based measure of risk that is widely used for calculating the capital ad

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45

Holifield, Suzanne Marie. "Risk management and hedge accounting decisions at financial institutions." Connect to resource, 1995. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1267632084.

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46

Yamashita, Mamiko. "Three Essays on Financial Risk Management and Fat Tails." Thesis, Toulouse 1, 2020. http://www.theses.fr/2020TOU10056.

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Dans cette thèse, nous étudions les divers impacts de la spécification erronée du modèle et examinons comment gérer l'incertitude d'un modèle. Nous analysons l'impact de l'ignorance des “fat tails” sur un résultat des tests de comparaison des prévisions dans le premier chapitre, puis étudions les effets de l'ignorance de la dynamique de la prime de risque des rendements sur le montant des exigences de fonds propres des banques dans le deuxième chapitre. Le troisième chapitre fournit un moyen robuste de déterminer les exigences de fonds propres face à l'incertitude d'un modèle, c'est-à-dire à u

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47

Simonson, Peter Douglas. "Limiting Financial Risk from Catastrophic Events in Project Management." Diss., North Dakota State University, 2020. https://hdl.handle.net/10365/31939.

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This dissertation develops a mixed integer linear program to establish the upper and lower bounds of the Alphorn of Uncertainty. For a project manager, planning for uncertainty is a staple of their jobs and education. But the uncertainty associated with a catastrophic event presents difficulties not easily controlled with traditional methods of risk management. This dissertation brings and modifies the concept of a project schedule as a bounded “Alphorn of Uncertainty” to the problem of how to reduce the risk of a catastrophic event wreaking havoc on a project and, by extension, the company

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Madaleno, Mara Teresa da Silva. "Essays on energy derivatives pricing and financial risk management." Doctoral thesis, Universidade de Aveiro, 2011. http://hdl.handle.net/10773/7302.

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Doutoramento em Economia<br>This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about h

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Vuillemey, Guillaume. "Derivatives markets : from bank risk management to financial stability." Thesis, Paris, Institut d'études politiques, 2015. http://www.theses.fr/2015IEPP0007/document.

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Dans sa première partie, cette thèse étudie l’utilisation optimale des produits dérivés par les intermédiaires financiers dans leur gestion du risque, en prêtant spécifiquement attention au marché des dérivés de taux d’intérêt. En modélisant la structure de capital optimale d’une banque, le premier chapitre montre comment l’usage optimal des dérivés affecte certaines décisions souvent étudiées en finance d’entreprise : l’offre de crédit, la transformation de maturité, la politique de dividendes ou les probabilités de défaut. La seconde partie de la thèse étudie au contraire le marché des dériv

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Yazid, Ahmad Shukri. "Perceptions and practices of financial risk management in Malaysia." Thesis, Glasgow Caledonian University, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364743.

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