Dissertations / Theses: 'Financial risk management'

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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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Zhang, Lequn. "Extreme Risk Forecast for Quantitative Financial Risk Management." Thesis, Curtin University, 2022. http://hdl.handle.net/20.500.11937/89362.

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Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions. This thesis develops methods based on an extended extreme value approach to improve the forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature.

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Gueye, Djibril. "Some contributions to financial risk management." Thesis, Strasbourg, 2021. http://www.theses.fr/2021STRAD027.

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Cette thèse traite différentes questions liées à la gestion quantitative des risques financiers. Nous nous intéressons, dans une première partie, aux modèles de temps de défaut en risque de crédit dans le cadre de la théorie de grossissement de filtrations. Nous proposons des modèles où le temps de défaut peut coïncider avec des instants de chocs économiques. D’abords, nous étendons le modèle de Jiao et Li (2018) dans le cas où les chocs ne sont pas prévisibles en étudiant les caractéristiques du temps de défaut. Nous présentons ensuite le modèle de Cox généralisé qui est une extention de celui de Lando (voir Lando, 1998). Nous proposons une large gamme d’exemples pour ullistrer notre construction. La seconde partie porte sur la construction de surfaces de volatilités des actifs financiers sous la condition d’absence d’opportunité d’arbitrage (AOA) en utilisant les méthodologies de krigeage (où la regression par processus Gaussien). Notre approche consiste á mettre en œuvre l’apprentissage du krigeage sur les prix d’options européennes en respectant les conditions de non-arbitrage. Ces conditions sont caractérisées par des contraintes de forme sur les prix, à savoir la monotonicité dans la direction des maturités et la convexité dans la direction des strikes. Etant donné que ces contraintes correspondent à un nombre fini d’inégalités linéaires, nous adoptons une technique de krigeage sous contraintes d’inégalités linéaires. Nous utilisons, pour cela, la méthode d’eveloppée par Maatouk et Bay (2016) qui est basée sur l’approximation fini-dimensionnelle du processus Gaussien. L’algorithme de Monte Carlo Hamiltonien de Pakman et Paninski (2014) sera utilisé pour simuler les coefficients Gaussiens. Nous proposons une méthode de calcul du Maximum a Posteriori (MAP) du processus Gaussien. Nous comparons notre méthode avec celles des réseaux de neuronne contraints et des SSVI
This thesis deals with various issues related to quantitative management of financial risks. We are interested, in a first part, in the models of default time in credit risk within the framework of enlargement of filtrations theory. We propose models where the default time can coincide with some instants of economic shocks. We first extend the model of Jiao and Li (2018) in the case where the shocks are not predictable by studying the characteristics of the default time. Secondly, we present the generalized Cox model which is an extension of Lando's (see Lando, 1998). We offer a wide range of examples to ulistate our construction. The second part deals with the construction of volatility surfaces of financial assets under the condition of no arbitrage opportunity (AOA) using kriging methodologies (or Gaussian process regression). Our approach consists in learning kriging on European option prices by taking into account non-arbitrage conditions. These conditions are characterized by shape constraints on prices, namely monotonicity in the direction of maturities and convexity in the direction of strikes. Since these constraints correspond to a finite number of linear inequalities, we adopt a kriging technique under constraints of linear inequalities. For this, we use the method developed by Maatouk and Bay (2016) which is based on the finite-dimensional approximation of the Gaussian process. The Monte Carlo Hamiltonian algorithm of Pakman and Paninski (2014) will be used to simulate the Gaussian coefficients. We propose a method for calculating the Maximum a Posteriori (MAP) of the Gaussian process. We compare our method with those of constrained neural networks and SSVIs

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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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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 Regulierungsbehörden Interesse an neuen Ansätzen für das Risikomanagement. Die Gemeinsamkeit der in dieser Dissertation entwickelten Methoden besteht darin, dass unterschiedliche Quantilsregressionsansätze in neuartiger Weise für das Finanzrisikomanagement verwendet werden. Zum einen wird nichtparametrische Quantilsregression mit Extremwertmethoden kombiniert, um extreme Markpreisänderungsrisiken zu prognostizieren. Das resultierende Value at Risk (VaR) Prognose- Modell für extremeWahrscheinlichkeiten wird auf internationale Aktienindizes angewandt. In vielen Fällen schneidet es besser ab als parametrische Vergleichsmodelle. Zum anderen wird ein Maß für systemisches Risiko, das realized systemic risk beta, eingeführt. Anders als bereits existierende Messgrößen erfasst es explizit sowohl Risikoabhängigkeiten zwischen Finanzinstituten als auch deren individuelle Bilanzmerkmale und Finanzsektor-Indikatoren. Um die relevanten Risikotreiber jedes einzelnen Unternehmens zu bestimmen, werden Modellselektionsverfahren für hochdimensionale Quantilsregressionen benutzt. Das realized systemic risk beta entspricht dem totalen Effekt eines Anstiegs des VaR eines Unternehmens auf den VaR des Finanzsystems. Anhand von us-amerikanischen und europäischen Daten wird gezeigt, dass die neue Messzahl sich gut zur Erfassung und Vorhersage systemischen Risikos eignet.
This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During the financial crisis 2007–2009, both types of risk materialized, resulting in huge losses for investors, companies, and tax payers all over the world. Therefore, considering new risk management alternatives is of interest for both financial institutions and regulatory authorities. A common feature of the models used throughout the thesis is that they adapt quantile regression techniques to the context of financial risk management in a novel way. Firstly, to predict extreme market risk, nonparametric quantile regression is combined with extreme value theory. The resulting extreme Value at Risk (VaR) forecast framework is applied to different international stock indices. In many situations, its performance is superior to parametric benchmark models. Secondly, a systemic risk measure, the realized systemic risk beta, is proposed. In contrast to exististing measures it is tailored to account for tail risk interconnections within the financial sector, individual firm characteristics, and financial indicators. To determine each company’s relevant risk drivers, model selection techniques for high-dimensional quantile regression are employed. The realized systemic risk beta corresponds to the total effect of each firm’s VaR on the system’s VaR. Using data on major financial institutions in the U.S. and in Europe, it is shown that the new measure is a valuable tool to both estimate and forecast systemic risk.

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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 applications en gestion des risque de portefeuille d’actifs. Enfin, la dernière partie, présente une application de la notion de variations régulières pour l’analyse du comportement des queues de distribution d’un vecteur aléatoire dont les composantes suivent des distributions à queues épaisses et dont la structure de dépendance est modélisée par une copule Gaussienne. Ces résultats sont ensuite appliqués au comportement asymptotique d’un portefeuille d’options dans le modèle de Black-Scholes
This thesis focuses on three problems from the area of financial risk management, using various asymptotic approaches. The first part presents an importance sampling algorithm for Monte Carlo pricing of exotic options in exponential Lévy models. The optimal importance sampling measure is computed using techniques from the theory of large deviations. The second part uses the Laplace method to study the tail behavior of the sum of n dependent positive random variables, following a log-normal mixture distribution, with applications to portfolio risk management. Finally, the last part employs the notion of multivariate regular variation to analyze the tail behavior of a random vector with heavy-tailed components, whose dependence structure is modeled by a Gaussian copula. As application, we consider the tail behavior of a portfolio of options in the Black-Scholes model

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Nikoci, Besjana <1989&gt. "Stress Testing for Financial Risk Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/6935.

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The complexity and duration of the financial crisis has led many banks and authorities to question the adequacy of stress testing practices prior to the crisis and their efficiency to cope with rapidly changing circumstances. Stress testing is a process to identify and manage situations that could cause extraordinary losses and it is an important risk management tool that is used by banks as part of their internal risk management. Majority of models make assumptions that do not hold in abnormal markets. Therefore, stress tests are vital for a comprehensive picture of risk. In this thesis we will be introducing basics of stress-testing and elaborate on its models and methodologies.

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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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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 in a theoretical and empirical way. The main focus is on copulas, which is a way to model and construct complex dependencies. Copulas are a useful tool since it allows the user to separately specify the marginal distributions and then link them together with the copula. However, copulas can be quite complex to understand and it is not trivial to know which copula to use. An implemented copula model might give the user a "black-box" feeling and a severe model risk if the user trusts the model too much and is unaware of what is going. Another model would be to use the linear correlation which is also a way to measure dependence. This is an easier model and as such it is believed to be easier for all users to understand. However, linear correlation is only easy to understand in the case of elliptical distributions, and when we move away from this assumption (which is usually the case in financial data), some clear drawbacks and pitfalls become present. A third model, called historical simulation, uses the historical returns of the portfolio and estimate the risk on this data without making any parametric assumptions about the dependence. The dependence is assumed to be incorporated in the historical evolvement of the portfolio. This model is very easy and very popular, but it is more limited than the previous two models to the assumption that history will repeat itself and needs much more historical observations to yield good results. Here we face the risk that the market dynamics has changed when looking too far back in history. In this paper some different copula models are implemented and compared to the historical simulation approach by estimating risk with Value-at-Risk and Expected shortfall. The parameters of the copulas are also investigated under calm and stressed market periods. This information about the parameters is useful when performing stress tests. The empirical study indicates that it is difficult to distinguish the parameters between the stressed and calm market period. The overall conclusion is; which model to use depends on our beliefs about the future distribution. If we believe that the distribution is elliptical then a correlation model is good, if it is believed to have a complex dependence then the user should turn to a copula model, and if we can assume that history will repeat itself then historical simulation is advantageous.

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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 risk management process in a Czech non-financial companies operating in utilities. Risk management process in this company is described with a special attention to management of financial risk. Author's own remarks on the process and recommendations are stated in the practical part.

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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 propagate in the entire financial system, this thesis presents five essays on applied financial econometrics and financial networks which examine, model and investigate: i) systemic risk and the resilience of the banking industry via employing financial networks and entropy maximization; ii) the role of credit derivatives and the two-way feedback ramification, triggered by government interventions, on financial stability; iii) the symptoms of acute liquidity withdrawal in emerging markets; iv) a Bayesian three state switching regime approach to price financial assets; v) tail risk management with portfolio asymmetries and asset monotonic volatility. More precisely, in Chapter three the Maximum Entropy method is employed to capture systemic risk, the resilience of the banking system in Europe and the propagation of financial contagion in a dynamic financial network framework. As conditions deteriorate, three channels (interbank loan, sovereign, asset-backed loan) trigger severe direct and indirect losses and cascades of defaults, whilst the dominance of the sovereign credit risk channel amplifies, as the primary source of financial contagion in the banking network. Systemic risk within the northern euro area banking system is less apparent, while the southern euro area is more prone and susceptible to bank failures. By modelling the contagion path the results demonstrate that the euro area banking system insists to be markedly vulnerable and conducive to systemic risks, implying that there is a need for additional policies to increase the resilience of the sector. Moreover, the thesis develops a Markov-Switching Bayesian Vector Autoregression (MSBVAR) model in Chapter four to study the two-way feedback hypothesis between credit default swaps and the role of government interventions on financial stability. The results demonstrate that a rise in sovereign debt due to the countercyclical discretionary fiscal policy measures, is perceived by stock markets as a catastrophe on economic growth prospects. Interestingly, government interventions in the banking sector deteriorate the credit risk of sovereign debt, whilst higher risk premium required by investors for holding riskier government bonds depresses the sovereign debt market, and attenuates the collateral value of loans, leading to bank retrenchment. The ensuing two-way banking-fiscal feedback loop indicates that government interventions do not necessarily stabilize the banking sector. Furthermore, the thesis employs several copula functions and the Extreme Value theory in Chapter five, to estimate and quantify joint downside risks and the transmission of shocks in emerging currencies, evolving from domestic emerging stock markets, liquidity (banks’ credit default swaps), credit risk (Volatility Index) and growth (commodity prices) channels. The models measure the time-varying shock spillover intensities to ascertain a significant increase in cross-asset linkages during periods of high volatility which is over and above any expected economic fundamentals, providing strong evidence of asymmetric investor induced contagion, triggered by cross asset rebalancing. The critical role of the credit crisis is amplified, as the beginning of an important reassessment of emerging market currencies which lead to changes in the dependence structure, a revaluation and recalibration of their risk characteristics. Additionally, the thesis employs a Markov-switching vector autoregression (MSVAR) model to capture the transmission of shocks from stock, commodity and credit markets to four shipping indices in Chapter six. By estimating the impulse response functions (IRF), the model identifies the episodes and documents the existence of three regimes and directional spillovers between low, intermediate and high volatility regimes. The estimation results obtained using a Gibbs sampler indicate that the S&P 500, the S&P GSCI, Banks’ CDS and the VIX behave as channels which transform and spread the risk to the shipping market with the propagation of shocks. Interestingly, higher risk premium that is required by investors for holding financial assets depresses the shipping market substantially. Finally, several copula functions are employed to model tail dependence during periods of extreme, asset monotonic volatility and reverse portfolio asymmetry conditions between shipping, stock, commodity and credit markets in Chapter seven. The findings reveal that shocks in the shipping market coincide with dramatic changes in other markets and document the existence of extreme co-movements during severe financial conditions. Lower tail dependence exceeds conditional upper tail dependence, indicating that during periods of economic turbulence, dependence increases and the crisis spreads in a domino fashion, causing asymmetric contagion which advances during market downturns. In the post crisis period the level of dependence drops systematically and shipping assets become more pronouncedly heavy-tailed in downward moves. According to the estimated results accelerated decreases in commodities and prompt variations in volatility, provoke accelerated decreases and function as a barometer of shipping market fluctuations. The global financial crisis has profoundly shaped modern finance. This thesis examines the prominent role of the crisis in financial markets, provides important implications for understanding systemic and liquidity risk, for analysing policies designed to mitigate financial contagion, and for capturing the fluctuations of emerging currencies and financial assets during distress economic conditions.

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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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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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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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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 stakeholder risk-harm. Literature on how HRO constructs promote ERM in responsible integrated financial systems has been limited. The purpose of this qualitative, grounded theory study was to use HRO constructs to identify and define the psychological factors involved in the effective ERM of responsible organizational financial reporting. Standardized, open-ended interviews were used to collect inductive data from a purposeful sample of 13 reporting agents stratifying different positions in organizations that have maintained consistent operational success while attenuating stakeholder risk-harm. The data were interpreted via transcription, and subsequent iterative open, axial, and narrative coding. Results showed that elements of culture and leadership found in the HRO construct of disaster foresightedness and mitigation fostered an internal environment of successful enterprise reporting risk management to ethically achieve organizational goals and abate third-party stakeholder risk-harm. The findings will contribute to positive social change by suggesting an approach for organizations to optimize strategic objectives while minimizing stakeholders’ financial risk-harm.

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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 increasingly relying on stress tests to understand portfolio risk. Particularly important has been macro stress testing in which the effects of macroeconomic scenarios on bank portfolios are traced through. The second exercise builds on Pesaran, Schuermann, and Weiner (2004) in devising and implementing macro stress testing techniques for a bank credit portfolio. In contrast to this and earlier studies, richer dependencies of credit market conditions on macroeconomic variables are developed. Specifically, the model allows sovereign ratings, the credit quality of corporate credit exposures (categorized by rating and maturity) and credit spreads to be driven by macroeconomic developments The challenges in understanding enterprise-wide risk are exacerbated when very different financial organizations are combined. The third exercise devises a unified framework for analysing risk in bancassurance organizations and employs this to examine the diversification benefits of conglomerates involving general insurance and traditional banking.

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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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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 l'externalité négative générée par les activités d'une banque ou d'une d'institution financière. Finalement, le dernier chapitre concerne la coopération entre régulateurs nationaux en présence de coûts de coordination en proposant une analyse qui s'appuie sur la théorie des jeux
We first investigate the computational complexity for estimating quantile based risk measures, such as the widespread Value at Risk for banks and Solvency II capital requirements for insurance companies, via nested Monte Carlo simulations. The estimator is a conditional expectation type estimate where two stage simulations are required to evaluate the risk measure: an outer simulation is used to generate risk factor scenarios that govern price movements and an inner simulation is used to evaluate the future portfolio value based on each of those scenarios. The second essay considers the financial stability from a macro perspective. Measuring negative externalities of banks is a major challenge for financial regulators. We propose a new risk management approach to enhance the financial stability and to increase the fairness of financial transactions. The basic idea is that a bank should assume as much risk as it creates. Any imbalance in the tails of the distribution of profit and losses is a sign of the bank's failure to internalize its externalities or the social costs associated with its activities. The aim of the third essay is to find a theoretical justification toward the mutual benefits for members of a bonking union in the context of a strategic interaction model. We use a unique contagion dynamic that marries the rich literature of game theory, contagion in pandemic crisis and the study of collaboration between regulators. The model is focused toward regulating asset classes, not individual banks. This special design addresses moral hazard issues that could result from government intervention in the case of crisis

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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 daily risk management activities within financial institutions. The purpose of this research was to explore their experiences of enterprise risk management. This research intended to obtain a view of their involvement in various key components of the discipline, and to determine the challenges experienced with respect to effective management of enterprise risk, according to perception. The results of the study identified a need for key components of enterprise risk management within financial institutions to be more effective in terms of; framework adoption, risk committee oversight, chief risk officer capabilities, and risk practitioner and business stakeholder education and coordination of risk. The main findings identified the need for an evolved enterprise risk management model that acknowledged these key components and which were incorporated into an existing model. The results of this research provided additional insight to enhance the development of the enterprise risk management discipline within financial institutions.
Mini Dissertation (MBA)--University of Pretoria, 2015.
vn2016
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted

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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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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.
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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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. Therefore it is well-suited to a stochastic programming approach. A stochastic dominance concept is applied to control the risk of underfunding. A small numerical example and a backtest are provided to demonstrate advantages of this new model which includes stochastic dominance constraints over the basic model. Adding stochastic dominance constraints comes with a price: it complicates the structure of the underlying stochastic program. Indeed, new constraints create a link between variables associated with different scenarios of the same time stage. This destroys the usual tree-structure of the constraint matrix in the stochastic program and prevents the application of standard stochastic programming approaches such as (nested) Benders decomposition and progressive hedging. A structure-exploiting interior point method is applied to this problem. Computational results on medium scale problems with sizes reaching about one million variables demonstrate the efficiency of the specialised solution technique. The second model deals with operational risk from human origin. Unlike market risk that can be handled in a financial manner (e.g. insurances, savings, derivatives), the treatment of operational risks calls for a “managerial approach”. Consequently, we propose a new way of dealing with operational risk, which relies on the well known Aggregate Planning Model. To illustrate this idea, we have adapted this model to the case of a back office of a bank specialising in the trading of derivative products. Our contribution corresponds to several improvements applied to stochastic programming modelling. First, the basic model is transformed into a multistage stochastic program in order to take into account the randomness associated with the volume of transaction demand and with the capacity of work provided by qualified and non-qualified employees over the planning horizon. Second, as advocated by Basel II, we calculate the probability distribution based on a Bayesian Network to circumvent the difficulty of obtaining data which characterises uncertainty in operations. Third, we go a step further by relaxing the traditional assumption in stochastic programming that imposes a strict independence between the decision variables and the random elements. Comparative results show that in general these improved stochastic programming models tend to allocate more human expertise in order to hedge operational risks. The dual solutions of the stochastic programs are exploited to detect periods and nodes that are at risk in terms of expertise availability.

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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
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
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 de retornos de ativos do mercado financeiro brasileiro (ações de Petrobrás e Vale, índice Ibovespa, taxa de câmbio Real/Dólar, taxa de juros de 1 ano e taxa de juros de 3 anos de títulos de dívida do governo brasileiro emitidos em reais) compararam-se as estimativas obtidas na amostra (in-sample) com as observações fora da amostra (out-of-sample). Com base nesta comparação, constatou-se que as melhores estimativas de previsão de volatilidade foram obtidas, predominantemente, por dois modelos que permitem que seus parâmetros variem em função do horizonte de previsão: o modelo modificado EGARCH e o modelo ARLS. Concluiu-se que a utilização de modelos de previsão de volatilidade tradicionais, os quais mantêm inalterados os pesos relativos atribuídos às observações antigas e recentes, independente do horizonte de previsão, mostrou-se inapropriada. No segundo ensaio comparou-se os desempenhos dos modelos de memória longa (FIGARCH) e curta (GARCH) na previsão de value-at-risk (VaR) e expected shortfall (ES) para múltiplos períodos à frente para seis índices de ações de mercados emergentes. Utilizou-se, para dados diários de 1999 a 2014, uma adaptação da simulação de Monte Carlo para estimar previsões de VaR e ES para 1, 10 e 20 dias à frente, usando modelos FIGARCH e GARCH para quatro distribuições de erros. Os resultados sugerem que, em geral, os modelos FIGARCH melhoram a precisão das previsões para horizontes mais longos; que a distribuição dos erros pode influenciar a decisão de escolha do melhor modelo; e que apenas para os modelos FIGARCH houve redução do número de subestimações do VaR verdadeiro com o aumento do horizonte de previsão. Com relação ao terceiro ensaio, percebeu-se que aadministração de riscos é um assunto que há muito tempo já faz parte do dia-adia das instituições financeiras e não financeiras, todavia não é comum a utilização de métricas de risco na Administração Pública. Considerando a existência dessa lacuna e a importância do tema para uma adequada gestão dos recursos públicos, principalmente para países emergentes, esse terceiro ensaio teve como propósitos estimar, em um único valor, o risco de liquidez de um Órgão Público, a Marinha do Brasil, e identificar as fontes desse risco. Para isso, utilizou-se o exposure-based Cash-Flow-at-Risk (CFaR) model, o qual, além de resumir a estimação do risco de liquidez a um único valor, ajuda no gerenciamento desse risco pelo fornecimento de informações adicionais sobre a exposição do fluxo de caixa da organização a diversos fatores de risco. Usando dados trimestrais do período compreendido entre o primeiro trimestre de 1999 ao quarto trimestre de 2013, identificaram-se as taxas de câmbio real/dólar, dólar/libra, a taxa SELIC, a Necessidade de Financiamento do Setor Público e a taxa de inflação dos Estados Unidos como os fatores de risco macroeconômicos e de mercado que impactam o fluxo de caixa da Marinha, bem como se calculou seu CFaR com 95 por cento de nível de confiança para o período de um trimestre à frente.
In this thesis we develop three essays on risk management in some emerging countries. On the first one, using models of the GARCH family, we verified that the increase in relative weights assigned to the earlier observations due to the increase of the forecast horizon results in better estimates of volatility. Through the use of seven forecasting models of volatility and return series of financial markets assets (shares of Petrobras and Vale, Bovespa index, exchange rate Real/Dollar, 1-year and 3 years interest rates of Brazilian Government bonds issued in Reais) the estimates obtained in the sample (in-sample) were compared with observations outside the sample (out-of-sample). Based on this comparison, it was found that the best estimates of expected volatility were obtained predominantly by two models that allow its parameters to vary depending on the forecast horizon: the modified EGARCH model (exponential generalized autoregressive conditional heteroskedastic) and the ARLS model proposed by Ederington and Guan (2005). We conclude that the use of traditional forecasting models of volatility, which keeps unchanged relative weights assigned to both old and new observations, regardless of the forecast horizon, was inappropriate. On the second essay we compared the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock índices. We used daily data from 1999 to 2014 and an adaptation of the Monte Carlo simulation to estimate VaR and ES forecasts for multiple steps ahead (1, 10 and 20 days ), using FIGARCH and GARCH models for four errors distributions. The results suggest that, in general, the FIGARCH models improve the accuracy of forecasts for longer horizons; that the error distribution used may influence the decision about the best model; and that only for FIGARCH models the occurrence of underestimation of the true VaR is less frequent with increasing time horizon. Regarding the third essay, we realized that risk management is a subject that has long been part of the day-to-day activities of financial and nonfinancial institutions, yet the use of risk metrics is not common among public agencies. Considering this gap, and the importance of the issue for the proper management of public resources, the purpose of this third essay is to estimate, in a single value, the liquidity risk of a public agency, in this case, the Brazilian Navy, and to identify the sources of risk. To do this, the exposure-based Cash-Flow-at- Risk (CFaR) model has been developed, which, in addition to summarizing the liquidity risk estimation in a single value, helps in managing risk by providing additional information about the exposure of the organization s cash flow to various risk factors. Using quarterly data for the period between the first quarter of 1999 and the fourth quarter of 2013, the macroeconomics and market risk factors that impact the Navy s cash flow were identified. Moreover, the CFaR was calculated at a 95 percent confidence level for a period of one quarter ahead.

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23

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 that observations made by Greenwald and Stiglitz with regard to the effect of equity infusions is subject to qualification. Investigation of the model's inter-temporal behaviour reveals that the claims made by Greenwald and Stiglitz with regard to multiple periodicity are again subject to many qualifications. Linearization around the steady-state equilibrium as suggested by Greenwald and Stiglitz is shown to offer limited insight because of the implied non-linearity of the model's first order difference equation. Calibrated numerical simulation of the nonlinear difference equation reveals the potential for both single and multiple periodicity, period doubling bifurcations, and chaotic trajectories displaying sensitivity to initial conditions. In addition it was shown that the model's implied random attractor was key to understanding its inter-temporal behavior. In the Greenwald and Stiglitz articles the existence of derivative markets such as futures or options to manage risk are assumed away. The author, in order to investigate the effects of futures or options markets upon business cycles, modifies the explicitly specified model to include the use of state-contingent assets. Introducing the use of derivative financial products to manage risk, using numerical simulation, produces the surprising result that in the aggregate they may lead to slightly greater output instability. In addition to the model's structure, several intuitive reasons for these results are discussed in depth. The Greenwald and Stiglitz model also assumed that the cost of capital was not risk adjusted. The author modifies the explicitly specified model and using numerical simulation shows that like other unrealistic assumptions concerning dividend distribution, leads to alternative laws of motion. The research is concluded with discussion of possible policy and regulatory implications.

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24

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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25

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."
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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26

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 risk management; and - The benefits of improved risk management capabilities. A survey was conducted in the form of a questionnaire in order to obtain primary information from business owners on the current role of risk management in their organisations as well as their view on the role of risk management going forward. Businesses operating in the Port Elizabeth and surrounding area with an existing relationship with Absa Business Banking Services participated in the study. Quantitative techniques were used to analyse the data that were obtained from the sample group. The study revealed that the role of risk management in enterprises is evolving into an integrated, enterprise wide risk management function that can be utilised as a source of competitive advantage, from both a funding perspective for Banks and a business perspective for business owners. Capitalising on risk management as a competitive advantage will ultimately lead to long term sustainability and profitability of South African business enterprises and the South African Banking system.

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27

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 whether option-implied densities, which constitute the most obvious forecasts of the distribution of the underlying asset at expiry, do actually represent unbiased forecasts. We first extract densities from options on currency and equity index futures, by means of both traditional and original specifications. We then appraise them, via rigorous density forecast evaluation tools, and we find evidence of the presence of biases. In the second part of the thesis, we focus on modelling the dynamics of the volatility curve, in order to measure the vega risk exposure for various delta-hedged option portfolios. We propose to use a linear Kalman filter approach, which gives more precise forecasts of the vega risk exposure than alternative, well-established models. In the third part, we derive a continuous time model for the dynamics of equity index returns from a data set of 5-minute returns. A model inferred from high-frequency typical of risk measures calculations. The last part of our work deals with evaluating density forecasts of the joint distribution of the risk factors. We find that, given certain specifications for the multivariate density forecast, a goodness-of-fit procedure based on the Empirical Characteristic Function displays good statistical properties in detecting misspecifications of different nature in the forecasts.

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HADJI, MISHEVA BRANKA. "Measuring Financial Risks: The Application of Network Theory in Fintech Risk Management." Doctoral thesis, Università degli studi di Pavia, 2020. http://hdl.handle.net/11571/1344336.

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Recent advancements, gradually transforming the traditional economic and financial system, are mainly characterized with the emergence of digital-based systems. Such systems present a paradigm shift from traditional infrastructural systems to technological (digital) systems. Financial technological (Fintech) companies are gradually gaining ground in major developed economies across the world. The emergence of Peer-to-Peer (P2P) platforms is a typical example of a Fintech system. The P2P platform aims at facilitating credit services by connecting individual lenders with individual borrowers without the interference of traditional banks as intermediaries. Despite the various advantages, P2P systems inherit some of the challenges of traditional credit risk management. In addition, they are characterized by the inability to solve for asymmetric information as efficiently as banks and by differences in risk ownership which in turn might motivate them to push volume even in view of reduced credit standards. Finally, P2P systems note a strong interconnectedness among their users which makes distinguishing healthy and risky credit applicants difficult, thus affecting credit issuers. There is, therefore, a need to explore methods that can help improve credit scoring of individual or companies that engage in P2P credit services. We argue that P2P platforms, through the use of non-traditional data sources as well as advance modelling, can offer a new approach on credit risk evaluation in the context of P2P systems. Specifically, we suggest that the use of alternative data that summarize the interconnections that emerge between borrowers could counterbalance the inherent risks of the business model and in turn lead to higher accuracy in risk classes assignment. Namely, P2P systems can benefit from the inclusion of information on the interconnections or similarities that emerge between different participants on the platform, i.e can benefit from the application of network theory in the credit risk evaluation. Consequently, the overall objective of this thesis is to test the predictive utility of traditional credit scoring models as they are employed in the context of P2P systems and investigate whether the inclusion of network parameters i.e. information on how borrowers are connected, can improve the predictive utility of models. In this work, we propose several approaches on how network theory can be employed to improve the statistical-based credit scoring for P2P systems and those are: (i) correlation-based credit scoring (in the case in which time-varying financial information on borrowers is available on the platform); (ii) similarity-based credit scoring (for cross-sectional data), (iii) factor-network-based segmentation. Furthermore, the thesis also includes an application of network theory in improving Fintech risk management, in a context beyond Fintech credit. Specifically, we also provide an application of network theory in understanding the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. The empirical results presented in this thesis suggest that credit risk management of SMEs engaged in P2P credit services can be improved by employing network theory. Specifically, we demonstrate the effectiveness of our approach through empirical applications analyzing the probability of default of several different samples of SMEs involved in P2P lending across Europe. In each case, we compare the results from our network-augmented model with the one obtained with standard credit score methods and throughout we find that the network-based methodologies lead to an improvement in predictive utility. This finding further remains valid also in the context of alternative P2P systems i.e. the Bitcoin network. We find that our network-based model for understanding the dynamics of trading volumes, overperforms a pure autoregressive model.
Recent advancements, gradually transforming the traditional economic and financial system, are mainly characterized with the emergence of digital-based systems. Such systems present a paradigm shift from traditional infrastructural systems to technological (digital) systems. Financial technological (Fintech) companies are gradually gaining ground in major developed economies across the world. The emergence of Peer-to-Peer (P2P) platforms is a typical example of a Fintech system. The P2P platform aims at facilitating credit services by connecting individual lenders with individual borrowers without the interference of traditional banks as intermediaries. Despite the various advantages, P2P systems inherit some of the challenges of traditional credit risk management. In addition, they are characterized by the inability to solve for asymmetric information as efficiently as banks and by differences in risk ownership which in turn might motivate them to push volume even in view of reduced credit standards. Finally, P2P systems note a strong interconnectedness among their users which makes distinguishing healthy and risky credit applicants difficult, thus affecting credit issuers. There is, therefore, a need to explore methods that can help improve credit scoring of individual or companies that engage in P2P credit services. We argue that P2P platforms, through the use of non-traditional data sources as well as advance modelling, can offer a new approach on credit risk evaluation in the context of P2P systems. Specifically, we suggest that the use of alternative data that summarize the interconnections that emerge between borrowers could counterbalance the inherent risks of the business model and in turn lead to higher accuracy in risk classes assignment. Namely, P2P systems can benefit from the inclusion of information on the interconnections or similarities that emerge between different participants on the platform, i.e can benefit from the application of network theory in the credit risk evaluation. Consequently, the overall objective of this thesis is to test the predictive utility of traditional credit scoring models as they are employed in the context of P2P systems and investigate whether the inclusion of network parameters i.e. information on how borrowers are connected, can improve the predictive utility of models. In this work, we propose several approaches on how network theory can be employed to improve the statistical-based credit scoring for P2P systems and those are: (i) correlation-based credit scoring (in the case in which time-varying financial information on borrowers is available on the platform); (ii) similarity-based credit scoring (for cross-sectional data), (iii) factor-network-based segmentation. Furthermore, the thesis also includes an application of network theory in improving Fintech risk management, in a context beyond Fintech credit. Specifically, we also provide an application of network theory in understanding the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. The empirical results presented in this thesis suggest that credit risk management of SMEs engaged in P2P credit services can be improved by employing network theory. Specifically, we demonstrate the effectiveness of our approach through empirical applications analyzing the probability of default of several different samples of SMEs involved in P2P lending across Europe. In each case, we compare the results from our network-augmented model with the one obtained with standard credit score methods and throughout we find that the network-based methodologies lead to an improvement in predictive utility. This finding further remains valid also in the context of alternative P2P systems i.e. the Bitcoin network. We find that our network-based model for understanding the dynamics of trading volumes, overperforms a pure autoregressive model.

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29

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 help firms determine optimal switching triggers in the event of an influenza epidemic. In the second essay, I examine mortality securitization in an incomplete market framework. I build a jump-diffusion process into the original Lee-Carter model and explore alternative model with transitory versus permanent jump effects. I discuss pricing difficulties of the Swiss Re mortality bond (2003) and use the Wang transform to account for correlations of the mortality index over time. In the third essay, I study the valuation of the non-recourse provision in reverse mortgages. I model the various risks embedded in the HECM program and apply the conditional Esscher transform to price the non-recourse provision. I further examine the premium structure of HECM loans and investigate whether insurance premiums are adequate to cover expected claims.

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30

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.
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 adequacy requirements of banks and other financial institutions. However, the current models for price risk tend to underestimate the risk of catastrophic losses because the entire return distribution is used to calculate the value-at-risk. By contrast, Extreme Value" Theory uses only the largest observations to model the tails of a distribution, which should provide a better fit for estimates of extreme quantiles and probabilities. The semi-parametric Hill (1975) estimator has often been used to fit the tails of financial returns, but its performance is heavily dependent on the number k" of order statistics used in the estimation process and the estimator can be very biased if this choice is suboptimal. Since k" depends on unknown properties of the tail, it has to be estimated from the sample. The first truly data-driven method for choosing an optimal number of order statistics adaptively was introduced by Beirlant, Dierckx. Goegebeur and Matthys (1999) and modified by Beirlanl. Dierckx and Stmca (2000) and Matthys and Beirlanl (2000b). Their methods are based on an exponential regression model developed independently by Beirlant et a/. (1999) and Feuerverger and Hall (1999) to reduce the bias found in the Hill estimator. The reduced bias of these adaptive estimators and the associated estimator for extreme quantiles developed by Matthys and Beirlant (2000b) makes these estimators attractive from a risk management point of view, but more work needs to be done on characterising their finite sample properties before they can be used in practice. In particular, it is crucially important to establish the smallest sample size that will yield reliable estimates of extreme quantiles and probabilities and to determine the widths and coverage probabilities of confidence intervals. This study project reviews the probability and statistical theory of univariate Extreme Value Theory from a financial risk management perspective. It is clear from a survey of the literature that the most worthwhile direction to pursue in terms of practical research will be intimately connected with developments in the fast-moving field of EVT with a future emphasis not only on fully evaluating the existing models, but indeed on creating even less biased and more precise models. Keywords and phrases: Extreme value index, Pareto-type distributions, maximum likelihood estimation, bias reduction, exponential regression model, market risk.
AFRIKAANSE OPSOMMING: Risikobestuurders en -reguleerders is hoofsaaklik gemoeid met die versekering dat genoegsame kapitaal beskikbaar is om die effek van ongunstige beweging in markpryse die hoof te kan bied. Die akkurate vooruitskatting van die maksimum verlies wat 'n finansiele instelling oor 'n spesifieke tydperk kan ly, is noodsaaklik as beskerming teen katastrofiese verliese wat die voortbestaan van 'n individuele firma, of die stabiliteit van die totale mark, mag bedreig. Waarde-op-Risiko (WoR) is 'n kwantiel gebaseerde maatstaaf van risiko wat algemeen vir die berekening van kapitaaltoereikendheid van banke en ander finansiele instellings benut word. Die huidige prys risikomodelle neig om die risiko van katastrofiese verliese te onderskat, omdat die totale opbrengs verspreiding gebruik word om WoR te bereken. In teenstelling benut die Ekstreme Waarde Teorie (EWT), slegs die grootste waarnemings om die eindverdelings te modelleer en is as sulks meer geskik om ekstreme kwantiele en waarskynlikhede te bepaal. Die semi-parametriese Hill (1975) skatter word gereeld gebruik om die stertgedeeltes van finansiele opbrengste te beraam, maar sy verrigting is swaar afhanklik van die getal k~ van rangstatistieke wat in die skattingsproses gebruik word en die skatting kan baie sydig wees indien die keuse suboptimaal is. Weens die afhanklikheid van kn van onbekende eienskappe van die stertgedeeltes, moet dit geskat word vanuit die steekproefdata. Die eerste data-gedrewe metode vir die keuse van die optimale rangordestatistieke, is deur Beiriant, Dierckx, Goegebeur en Matthys (1999) ontwikkel en aangepas deur Beirlant, Dierckx and Starica (2000), asook Matthys en Beirlant (2000b). Hul metodes is op 'n eksponensiele regressiemodel gebaseer, en is onafhanklik deur Beirlant et at. (1999), en Feuerverger en Hall (1999) ontwikkel met die doel om die sydigheid van die Hill skatter te verminder. Die verminderde sydigheid van hierdie adaptiewe skatters en die verwante skatter vir ekstreme kwantiele, ontwikkel deur Matthys en Beirlant (2000b), maak hierdie skatters aantreklik vanuit 'n risikobestuur oogpunt, maar meer werk word benodig met die karakterisering van hul eindige steekproefeienskappe, alvorens dit in die praktyk benut kan word. In besonder is dit van uiterste belang dat die kleinste steekproefgrootte bepaal sal word wat die betroubare skattings van ekstreme kwantiele en moontlikhede sal verseker, en wat ook benut kan word om betroubaarheidsintervalle op te ste!. Hierdie studie bied 'n oorsig van die moontlikhede en statistiese teorie van die eenveranderlike EWT vanuit 'n finansiele risikobestuur perspektief. Dit is duidelik vanuit die literatuurstudie dat die mees nuttige rigting om voort te gaan met praktiese navorsing, verband hou met die ontwikkeling in die vinnig ontwikkelende veld van EWT met toekomstige fokus, nie slegs op die volle evaluering van die bestaande modelle nie, maar ook op die ontwikkeling van minder sydige en meer akkurate modelle.

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31

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 un manque de connaissance du véritable processus de génération de données. Dans le premier chapitre, nous analysons les tests de comparaison des prévisions sous “fat tails”. Les tests de comparaison des prévisions sont largement mis en œuvre pour comparer les performances de deux ou plusieurs prévisions concurrentes. La valeur critique est souvent obtenue par le théorème limite central classique (CLT) ou par le bootstrap stationnaire (Politis et Romano, 1994) avec des conditions de régularité, y compris celle où le deuxième moment de la différence de perte est borné. Nous montrons que si la condition de moment est violée, la taille du test utilisant les asymptotiques normales classiques peut être fortement déformée. Comme approche alternative, nous proposons d'utiliser une méthode de “subsampling” (Politis, Romano et Wolf, 1999) robuste aux queues lourdes. Dans l'étude empirique, nous analysons plusieurs tests de prévision de variance. En examinant plusieurs estimateurs de l'indice de queue, nous montrons que le deuxième moment de la différence de perte est susceptible d'être illimité, en particulier lorsque la fonction d'erreur quadratique populaire est utilisée comme fonction de perte. Nous constatons également que le résultat des tests peut changer si le “subsampling” est utilisé. Le deuxième chapitre explore l'effet d'une erreur de spécification dans la dynamique de la moyenne conditionnelle sur la détermination des exigences de fonds propres des banques. Dans l'accord Bâle II, les exigences de fonds propres pour risque de marché sont déterminées sur la base d'une mesure de risque appelée Value-at-Risk (VaR). Lorsque la VaR est calculée, on suppose souvent que la moyenne conditionnelle du rendement d'un actif est constante dans le temps. Cependant, il est bien documenté que la prévisibilité des rendements augmente à mesure que l'horizon de prévision s'allonge. La contribution de ce chapitre est de démontrer les problèmes liés à l'ignorance de la dynamique moyenne conditionnelle lorsque nous calculons la VaR. Nous constatons que même si les modèles avec une moyenne conditionnelle constante et variable dans le temps peuvent être statistiquement indiscernables, la VaR implicite peut différer. Ce résultat soulève alors une autre question sur la façon de produire la VaR lorsque l'on reconnaît la variabilité temporelle de la moyenne conditionnelle mais qu'il existe une incertitude sur sa valeur actuelle. Le troisième chapitre propose une solution à la question soulevée dans le deuxième chapitre en examinant une manière robuste de déterminer les exigences de fonds propres. Nous proposons de déterminer les réserves de capital sur la base du pire des cas. Autrement dit, nous choisissons la valeur maximale dans un ensemble de prévisions ES mappées à partir de l'ensemble de modèles présélectionnés par le prévisionniste. En supposant que la prime de risque est considérée comme non négative, nous montrons que l'ES robuste peut en fait être atteinte avec un modèle dans lequel la moyenne conditionnelle est constante et la prime de risque toujours nulle. Cette constatation sert de réponse à la question soulevée au chapitre 2 et justifie de supposer une moyenne conditionnelle constante
In this thesis, we investigate the various impacts of model misspecification and examine how to handle a model uncertainty. We analyze the impact of ignoring fat tails on an outcome of forecast comparison tests in the first chapter, and then study the effects of ignoring the dynamics of the risk premium of returns on the amount of capital requirements for banks in the second chapter. The third chapter provides a robust way to determine the capital requirements when facing a model uncertainty, that is, a lack of knowledge of the true data generating process. In the first chapter, we analyze forecast comparison tests under fat tails. Forecast comparison tests are widely implemented to compare the performances of two or more competing forecasts. The critical value is often obtained by the classical central limit theorem (CLT) or by the stationary bootstrap (Politis and Romano, 1994) with regularity conditions, including the one where the second moment of the loss difference is bounded. We show that if the moment condition is violated, the size of the test using the classical Normal asymptotics can be heavily distorted. As an alternative approach, we propose to use a subsampling method (Politis, Romano, and Wolf, 1999) that is robust to fat tails. In the empirical study, we analyze several variance forecast tests. Examining several tail index estimators, we show that the second moment of the loss difference is likely to be unbounded especially when the popular squared error (SE) function is used as a loss function.We also find that the outcome of the tests may change if the subsampling is used. The second chapter explores the effect of misspecification in the conditional mean dynamics on the determination of capital requirements for banks. In the Basel II accord (Basel Committee on Banking Supervision, 2010), the capital requirements for market risk are determined based upon a risk measure called Value-at-Risk (VaR). When VaR is computed, it is often assumed that the conditional mean of an asset return is constant over time. However, it is well documented that the predictability of returns increases as the prediction horizon becomes longer. The contribution of this chapter is to demonstrate the problems of ignoring the conditional mean dynamics when we compute VaR. We find that even though the models with a constant and a time-varying conditional mean may be statistically indistinguishable, the implied VaR can differ. This finding then raises another question on how to produce VaR when we acknowledge the time-variability of the conditional mean but there is an uncertainty of its current value. The third chapter puts forward a solution to the question raised in the second chapter by examining a robust way to determine the capital requirements when there is an uncertainty in the conditional mean of returns. We focus on Expected Shortfall (ES) rather than Value-at-Risk (VaR), since the capital reserves are now determined by ES in the Basel III accord. We propose to determine the capital reserves based on the worst-case ES. That is, we choose the maximum value within a set of ES forecasts mapped from the set of models that are pre-selected by the forecaster. With an assumption that the risk premium is believed to be non-negative, we show that the robust ES can in fact be achieved with a model in which the conditional mean is constant and the risk premium is always zero. This finding serves as an answer to the question raised in Chapter 2, and is one justification for assuming a constant conditional mean. We then consider a more general setting in which the forecaster is uncertain not only about the conditional mean but also about other aspects of the conditional distribution, such as the second or higher moments or the tails. There are many ways to define the set of models, and we focus on those defined with respect to the relative entropy, applying the robust control theory of Hansen and Sargent (2001)

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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 participating in that project. The dissertation presents new mathematical models underpinning the methods proposed to reduce risk as well as simulations to demonstrate the accuracy of those models. The dissertation further assesses the complexity of the models and thus their practical application. Finally, the dissertation presents strategies to reduce the risk to a project of a catastrophic event using the upper bound of the Alphorn as the measure of risk.

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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
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 hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.
Esta tese consiste num capítulo introdutório (ensaio I) e mais cinco ensaios empíricos sobre o comportamento dos preços spot nos mercados de electricidade e CO2, análise de preços de derivados e respectiva cobertura de risco. O primeiro ensaio apresenta a estrutura dos mercados de electricidade, seu funcionamento e o tipo de produtos comercializados, a serem analisados nos ensaios seguintes. No segundo ensaio realizamos um estudo empírico sobre co-movimentos nos mercados de electricidade recorrendo à análise wavelet, discutindo a dinâmica de preços entre estes mercados no longo prazo, bem como a integração dos mesmos. O ensaio três analisa o desempenho na cobertura de risco e as relações multiescala entre os preços spot e os futuros para o mercado de electricidade na Alemanha. O foco é colocado na análise sobre a relação existente entre a evolução da coerência e da análise “rácio de cobertura”, numa abordagem tempo-frequência-escala, entre preços spot e futuros, que condiciona a eficácia da estratégia de cobertura de risco. Os ensaios quatro, cinco e seis estão interligados entre si e com os outros dois ensaios anteriores, dada a natureza da mercadoria analisada, licenças de emissão de CO2, contratos esses negociados nos mercados da electricidade. As relações entre preços de electricidade, preços de fontes primárias de energia de base à produção de electricidade e preços de emissões de dióxido de carbono são analisados no ensaio quatro. A eficiência do mercado Europeu de licenças de emissão, transaccionadas em mercados de electricidade é examinada, tendo em consideração a heterogeneidade existente nos mercados. O ensaio cinco analisa as propriedades estatísticas do activo recentemente transaccionado, licenças de emissão de CO2, usando preços spot e de futuros, para examinar a relação que se estabelece entre a convenience yield e o prémio de risco, também para o mercado de electricidade alemão entre Outubro de 2005 e Outubro de 2009. Os preços dos futuros são analisados numa perspectiva, à posteriori, para mostrar que existe um prémio de risco negativo, ou seja, um prémio forward positivo. Finalmente, o ensaio seis analisa a eficácia na cobertura de risco dos contratos de futuros de licenças de emissão, fornecendo evidência de que existem ganhos de utilidade crescentes com o aumento das preferências do investidor sobre risco. A desregulamentação dos mercados de electricidade levou ao aumento da incerteza nos preços da electricidade e apresentando estes ensaios, tentamos lançar novas luzes sobre a estruturação, preço e cobertura de risco neste tipo de mercados.

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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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Masie, Desné Rentia. "Mediating markets : financial news media and reputation risk management." Thesis, University of Edinburgh, 2014. http://hdl.handle.net/1842/14196.

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The increase of interest in financial culture following the financial crisis, which started in 2008, as well as the proliferation of financial data, have sparked an emerging research agenda into the role of financial news media. Moreover, financial news media is an important research topic in finance because information released through the media has a wider audience than other information intermediating systems in the financial market. This thesis defines the financial journalist as a significant actor in the intermediation of financial information. It also contributes to understanding how the relationships between intermediaries in firms’ information environments affect financial markets, and in particular whether claims for professionalization can be made by financial journalists and public relations practitioners for their interrelating activities. The further contribution of the thesis is its integration of an interdisciplinary and mixed methods approach. The thesis investigates the research problem through three independent empirical studies that are linked to the research aim of the thesis, and each other, but can be read independently. The first study uses the quantitative, event-study method and tests how 100 small-cap US stocks are affected by different types of carefully-selected information, namely analysts’ recommendations, corporate filings, news media, public relations wires and stock tips received over five years from 1 January 2006 to 31 December 2010. Its first contribution is a problematisation of firms’ information environments from an information intermediation perspective. It therefore finds that news media has the largest negative and absolute effect on stock prices, trading volumes and volatility. The intuitions for this are news media’s wide dissemination; its attraction to reporting bad news, as well as to interpreting events negatively. Further, its independence from firms and role in corporate governance are thought to make bad news especially surprising. The second and third studies form two halves of a qualitative symmetrical study that tests for the intuitions and findings of the quantitative study. They do so through structured and semi-structured interviews with experienced journalists and corporate public relations practitioners about their own perceptions of their respective self-constitutions and ethics; their relationships to each other; their understandings about how their own work and other information intermediaries’ work in firms’ information environments affect financial information; and to determine if and how these factors affect the manner in which they go about doing work. Study 2 considers journalists as actors in the financial market by problematizing them as information intermediaries who disseminate financial information and contribute to corporate governance. It finds they have a professional ethic biased towards reporting bad news and contributes to understanding the professional constitutions and knowledge construction activities of journalists through demonstrating how their beliefs, motivation and self-awareness influence reporting choices and actions. Their level of expertise and credibility in these activities is linked to the relative performativity of news stories. Study 3 studies the expansion of public relations’ reputation risk management activities in relation to journalists and evaluates the industry’s claim for professionalism using Gieryn’s (1983) analytical framework of boundary-work. It considers public relations practitioners as actors in financial markets in the context of globalised, high-speed financial markets and increased demands for corporate social responsibility. It finds that public relations is increasing its monopoly over the dissemination and intermediation of financial information but cannot yet make a claim for professional jurisdiction over these activities.

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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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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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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 dérivés comme un système à part entière. Le second chapitre utilise une base de données nouvelle et unique d’expositions bilatérales sur des contrats CDS afin d’offrir une description détaillée de la structure du réseau des expositions. Le troisième chapitre a pour objet la régulation des marchés de produits dérivés. Il étudie la compensation centrale des produits dérivés standardisés, et la demande de collatéral induite par cette réforme à l’échelle mondiale, sous une variété d’hypothèses concernant la microstructure du marché
In its first part, this thesis studies the optimal use of derivatives contracts for risk management by financial intermediaries, focusing especially on interest rate derivative contracts. It models the optimal capital structure policy of a bank and shows how the optimal use of derivatives affects a number of oft-studied decisions in corporate finance: bank lending, maturity mismatching, payout policy or default probabilities. The second part of the thesis, in contrast, studies derivatives market as a system on its own. The second chapter uses a new and unique dataset of bilateral exposures to CDS contracts in order to provide a detailed description of the network structure of exposures. The third chapter focuses on the regulation of derivatives markets. It studies central clearing of standardized derivatives contracts and the collateral demand induced by the reform at a global scale, under a variety of hypotheses regarding the market microstructure

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39

Anastasio, Edoardo <1996&gt. "The relationship between financial risk management and shareholders value." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/20812.

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The aim of this thesis is to investigate the relationship between financial risk management (or hedging), the underinvestment problem and the increase in shareholders and firm value. To do so, we will present first the different theories and supporting evidence for the value generation capability of hedging strategies (i.e by generating tax benefits, reducing distress costs, reducing the underinvestment problemt). Moving on, we will provide a theoretical introduction to the concepts of risk, exposure, and risk management, and then we will review different schools of thought of risk management, more specifically the financial risk management, the strategic risk taking and the enterprise risk management (ERM). In the following chapter the focus will be on what different risk management strategies are implemented in the practic for hedging financial risks (interest rate, exchange rate, commodity prices), from those relying only on the use of financial instruments like derivatives, to those using operational hedges to conclude with those using a combination of boht, exploiting also the benefits of extra liquidity. The final chapter is where we will try to investigate the relationship between the use of hedging derivatives and the investment spending of italian companies from different industry sectors. After investigating that, we will see for which companies there is an effective increase in shareholders value, using a metric proposed by P. Fernandez. Our research tries to combine two different analysis to establish a potentially useful relationship also for the practice.

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Kwok, Ying-kit Tony. "A study on treasury risk control in financial institutions in Hong Kong /." Hong Kong : University of Hong Kong, 1995. http://sunzi.lib.hku.hk/hkuto/record.jsp?B14038912.

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Siu, Kin-bong Bonny. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B37727473.

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Ye, Kang. "Knowledge level modeling for systemic risk management in financial institutions /." access full-text access abstract and table of contents, 2009. http://libweb.cityu.edu.hk/cgi-bin/ezdb/thesis.pl?phd-is-b30082274f.pdf.

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Thesis (Ph.D.)--City University of Hong Kong, 2009.
""Submitted to College of Business in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 106-117)

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Neis, Eric. "Three essays in financial economics." Diss., Restricted to subscribing institutions, 2006. http://proquest.umi.com/pqdweb?did=1158520261&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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Weiss, Susan F. "Implications of Executive Succession Upon Financial Risk and Performance." ScholarWorks, 2011. https://scholarworks.waldenu.edu/dissertations/958.

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Executive replacements have historically created fluctuations in the market value of a company and precipitated inappropriate investor reaction. However, the direction and statistical significance of relationships between executive turnover, market value, financial risk, and investor reaction among a census of highly performing firms was previously unexplored. The purpose of this study was to determine the extent of the relationship between CEO turnover and indicators of company performance. Theoretical foundation for this study was the efficient markets hypothesis. Hypotheses tests were designed to support an ex-post facto research methodology for pre-post comparison of volatility of financial metrics, which are indicators of market value (market value added), investor reaction (Tobin's q), risk (beta), executive performance (economic value added and return on assets), and turnover frequency given CEO succession. Statistically significant differences in firm risk emerged from comparisons of highly performing firms exemplified in the foundational leadership text Good to Great. Approximately 45 % of firms sampled did not experience volatility of financial metrics, which supported the presence of a leadership legacy, or strategic management behavior which minimized financial risk. Contrary to prior studies, financial metrics sampled within an interval immediately surrounding the succession event were less indicative of significant financial risk as compared to metrics sampled over the entire tenure of executives. Implications for positive social change include reducing investor risk in selection of equity holdings; capital fairly directed to entities results in benefits for society including job creation, economic stimulus, safer retirement accounts, and corporate sustainability.

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Wang, Letian. "Global supply chain risk management through operational and financial hedges." Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=95041.

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This thesis comprises two papers that investigate the impact of operational and/or financial hedging on risk management in a global supply chain environment. The problems are derived from the current climate in which many North American firms are heavily contracting overseas suppliers located in China, India, Vietnam and other countries. The theoretical and numerical results obtained in this thesis provide managerial insights to mitigate demand and exchange rate risks in outsourcing in the event that firms are risk averse. The first paper studies operational hedging strategy for firms that face both exchange rate and demand uncertainties. Operational hedging comes in the form of real option to switch production between domestic suppliers and offshore outsourcing suppliers. It demonstrates that these firms benefit from maintaining capacities with both suppliers. The value of the operational option increases as the exchange rate uncertainty or demand uncertainty increases. In addition, when firms become risk-averse, they may use domestic capacity as a hedge against offshore capacity. As a result, the firms may choose to sustain local capacity even if it exhibits negative marginal contribution to the profit. Furthermore, risk-averse firms may retain more total capacity than risk-neutral firms. The second paper expands on the first paper by including financial hedging strategy. It studies a capacity planning problem in which a risk-averse firm plans to reserve capacities with potential suppliers located in multiple countries to hedge demand and exchange rate risks. It provides both analytical and numerical results from a general model with n suppliers, as well as a special case with two suppliers in China and Vietnam. With financial hedging, the risk-averse firm has access to financial markets so that it is able to adjust capacity and production allocation decisions conditional on financial information, the result of which always increases optimal utility. In general
La thèse consiste en deux papiers qui étudient l'impact de la couverture opérationnelle et/ou financière sur la gestion du risque dans la chaine de distribution globale. Les problèmes proviennent du fait que beaucoup de firmes nord-américaine sous-contracte une bonne partie de leurs opérations à des fournisseurs situé outre-mer, notamment en Chine, en Inde, au Vietnam ainsi que dans d'autres pays. Les résultats théoriques et numériques obtenu dans cette thèse donnent un aperçu des méthodes de gestion pour mitiger le risque de demande et le risque de taux de change, lors de la sous-traitance à des firmes situés à l'étranger. Le premier papier étudie les stratégies de couverture opérationnelles pour les firmes qui font face à la fois à des incertitudes sur le taux de change et sur la demande. La couverture opérationnelle se présente sous la forme d'une option réelle de changer la production entre des fournisseurs locaux et outre-mer. Nous démontrons que les firmes bénéficient à conserver des capacités de production avec les deux types de fournisseurs. La valeur de l'option opérationnelle augmente avec l'incertitude sur les taux de change et sur la demande. De plus lorsque les firmes sont averse au risque, elles peuvent utilisées les capacités locales pour se couvrir contre les capacités outre-mer. Il en résulte que les firmes peuvent choisir de maintenir la capacité locale même si elle montre une contribution marginale négative au profit. De plus des firmes averses au risque peuvent maintenir encore davantage de capacité. Le deuxième papier étend le premier papier and incluant les stratégies de couverture financière. Dans ce papier nous étudions les problèmes de planification de la capacité de production, dans lesquels les firmes planifient de réserver des capacités de production avec des fournisseurs potentiels situés dans plusieurs pays afin de se couvrir contre le risque de demande et de taux de change. Nous off

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Seidel, Henry [Verfasser], and Alexander [Akademischer Betreuer] Szimayer. "Essays in Financial Risk Management / Henry Seidel ; Betreuer: Alexander Szimayer." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2017. http://d-nb.info/1148650563/34.

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47

Reddy, Harry 1963. "Financial supply chain dynamics : operational risk management and RFID technologies." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33729.

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Thesis (M. Eng. in Logistics)--Massachusetts Institute of Technology, Engineering Systems Division, 2005.
Includes bibliographical references (leaves 81-83).
The banking industry is consolidating to streamline its operations through mergers and acquisitions, and is adopting new technologies to develop innovative products and services, thereby achieving both economies of scale and scope. Operational risk management has become a serious issue in the banking industry. Some reputed banks are either forced to close down their operations (eg., Citibank Private Bank in Japan) or faced cost overruns (eg., Barings Bank in England) due to poor operational risk management. In the supply chain industry, businesses are engaged in devising effective solutions using RFID technologies to locate and track the goods. We present the dynamics of banking industry in terms of operational risk management, innovation and business strategies. We also present the process mapping of RFID technology use in banking business areas to minimize operational risks. We further come-up with an effective operational risk management framework for banks to follow in improving their operational risk management.
by Harry Reddy.
M.Eng.in Logistics

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Zhu, Yanhui. "Nature and management of financial risk in global stock markets." Thesis, Cardiff University, 2008. http://orca.cf.ac.uk/55720/.

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This thesis addresses three problems associated with the risk in stock markets from a global perspective. First, we investigate the empirical hedging effectiveness using index futures in six world major stock markets. A variety of econometric models including STVECM with bivariate GARCH error structure are employed. The within-sample and out-of-sample results suggest sophisticated models do not produce the best hedging strategies consistently and their usefulness has to be judged on a case-by-case basis. Second, we examine the cross hedging effectiveness of seventeen MS CI indices through a global approach of using a combination of the related index futures. A thorough comparison among strategies corresponding to different combinations of hedging instruments and econometric models is conducted for each MSCI index. The optimal hedge ratio vector is derived for each country on the basis of both within- sample and out-of-sample results. Third, we develop a global asset pricing model on the basis of Barro's rare disaster model to explain the equity risk premium puzzle. Despite the plausible analytical predictions on the expected return of the bill and equity and the equity risk premium, the global model fails to explain the scale of the equity premium observed in the data since the diversification in a global market brings down both the aggregate risk and the reward for holding risk equity. The former results in a rise in the expected return of government bills and the latter leads to a fall in the expected return of equities.

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Yousefi, Sepehr. "Credit Risk Management in Absence of Financial and Market Data." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188800.

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Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. Globalization causes economises to be affected by innumerous external factors and companies to become interdependent, which in turn enlarges the complexity of establishing reliable mathematical models. The precarious situation is exacerbated by the fact that managers often suffer from the lack of data. The default correlations are most often calibrated by either using financial and/or market information. However, there exists circumstances where these types of data are inaccessible or unreliable. The problem of scarce data also induces diculties in the estimation of default probabilities. The frequency of insolvencies and changes in credit ratings are usually updated on an annual basis and historical information covers 20-25 years at best. From a mathematical perspective, this is considered as a small sample and standard statistical models are inferior in such situations. The first part of this thesis specifies the so-called entropy model which estimates the impact of macroeconomic fluctuations on the probability of defaults, and aims to outperform standard statistical models for small samples. The second part specifies the CIMDO, a framework for modeling correlated defaults without financial and market data. The last part submits a risk analysis framework for calculating the uncertainty in the simulated losses. It is shown that the entropy model will reduce the variance of the regression coefficients but increase its bias compared to the OLS and Maximum Likelihood. Furthermore there is a significant difference between the Student's t CIMDO and the t-Copula. The former appear to reduce the model uncertainty, however not to such extent that evident conclusions were carried out.
Kreditriskhantering är den enskilt viktigaste delen i banker och finansiella instituts säkerhetsåtgärder mot nedsidor i deras investeringar. En påtaglig svårighet inom ämnet är modelleringen av simultana konkurser. Globalisering ökar antalet parametrar som påverkar samhällsekonomin, vilket i sin tur försvårar etablering av tillförlitliga matematiska modeller. Den prekära situationen förvärras av det faktum att analytiker genomgående saknar tillräcklig data. Konkurskorrelation är allt som oftast kalibrerad med hjälp av information från årsrapporter eller marknaden. Dessvärre existerar det omständigheter där sådana typer av data är otillgängliga eller otillförlitliga. Samma problematik skapar även svårigheter i skattningen av sannolikheten till konkurs. Uppgifter såsom frekvensen av insolventa företag eller förändringar i kreditbetyg uppdateras i regel årligen, och historisk data täcker i bästa fall 20-25 år. Syftet med detta examensarbete är att ge ett övergripande ramverk för kreditriskhantering i avsaknad av finansiell information och marknadsdata. Detta innefattar att estimera vilken påverkan fluktueringar i makroekonomin har på sannolikheten för konkurs, modellera korrelerade konkurser samt sammanfatta ett ramverk för beräkning av osäkerheten i den estimerade förlustdistributionen. Den första delen av examensarbetet specificerar den så kallade entropy modellen. Denna skattar påverkan av makroekonomin på sannolikheterna för konkurs och ämnar att överträffa statistiska standardmodeller vid små datamängder. Den andra delen specificerar CIMDO, ett ramverk för beräkning av konkurskorrelation när marknads- och företagsdata saknas. Den sista delen framlägger ett ramverk för riskanalys av förlustdistributionen. Det visas att entropy modellen reducerar variansen i regressionskoefficienter men till kostnad av att försämra dess bias. Vidare är det en signifikant skillnad mellan student’s t CIMDO och t-Copula. Det förefaller som om den förstnämnda reducerar osäkerheten i beräkningarna, men inte till den grad att uppenbara slutsatser kan dras.

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Seidel, Henry Verfasser], and Alexander [Akademischer Betreuer] [Szimayer. "Essays in Financial Risk Management / Henry Seidel ; Betreuer: Alexander Szimayer." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2017. http://d-nb.info/1148650563/34.

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Dissertations / Theses on the topic 'Financial risk management'

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