Dissertations / Theses on the topic 'Marginal risk'
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Bassoli, Elena <1991>. "The effect of health on the marginal utility of consumption expenditures and on attitudes towards risk." Doctoral thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/17804.
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This thesis focuses on the effect of health on the risk attitudes and on the marginal utility of consumption. In the first chapter we explore the effect of health deterioration on the risk tolerance as people get older. In the second chapter we assess how health decline impact on the marginal utility of consumption when agents are hit by a shock. Finally, in the third chapter we exploit innovative elicited risk attitude measures in different domains and their behavioural validity in predicting risky behaviours.
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Bakker, Rinke. "The influence of consolidation and internationalization on systemic risk in the financial sector." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347180.
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This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using the marginal expected shortfall methodology for an international sample of mergers, a significant increase in systemic risk is found as a result of mergers in the financial sector. Moreover, if a bank is operating internationally prior to acquisition, this increases systemic risk. Additionally, there is evidence of a too-big-to-fail motive for relatively smaller banks to use mergers to become systemically important. The results confirm that consolidation in the financial sector increases fragility of the financial system.
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Antunes, Tiago André Cardoso. "Análise de risco de crédito: modelação de distribuições baseada em cópulas." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4981.
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Mestrado em FinançasO risco de crédito é definido pela relação de incerteza em receber numa data futura o valor emprestado. Devido ao crescente volume de perdas de capital assim como ao maior rigor por parte das instituições reguladoras, a gestão do risco de crédito assume actualmente um papel fundamental na actividade bancária. A teoria de Cópulas surge como um modelo matemático que permite ajustar e compreender a relação de dependência entre diferentes distribuições marginais ou de variáveis. Os resultados obtidos confirmam a existência de relações de dependência entre perda de crédito e as diferentes variáveis de risco, demonstrando a possibilidade de modelação através da sua cópula.
The credit risk is defined as the ratio of uncertainty in receiving at a future date the amount borrowed. Due to the increasing volume of loss of capital, as well as the greater rigor on the part of regulatory entities, the management of credit risk plays currently a key role in banking activity. The Copula's theory appears such as a mathematical model that allows you to adjust and understand the relationship of dependence between different marginal distributions or risk variables. It is therefore expected that a multivariate distribution still that composed by different marginal distributions can have their dependence relations modeled by the Copula’s families that best fit to each specific case.
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Meyer, Albrecht H. H. [Verfasser]. "Transformation and additional malignancies are leading risk factors for an adverse course of disease in marginal zone lymphoma / Albrecht H.-H. Meyer." Berlin : Medizinische Fakultät Charité - Universitätsmedizin Berlin, 2015. http://d-nb.info/1079841113/34.
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Börsum, Jakob. "Estimating Causal Effects Of Relapse Treatment On The Risk For Acute Myocardial Infarction Among Patients With Diffuse Large B-Cell Lymphoma." Thesis, Uppsala universitet, Statistiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447241.
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This empirical register study intends to estimate average causal effects of relapse treatment on the risk for acute myocardial infarction (AMI) among patients with Diffuse B-Cell Lymphoma (DLBCL) within the potential outcome framework. The report includes a brief introduction to causal inference and survival anal- ysis and mentions specific causal parameters of interest that will be estimated. A cohort of 2887 Swedish DLBCL patients between 2007 and 2014 were included in the study where 560 patients suffered a relapse. The relapse treatment is hypothesised to be cardiotoxic and induces an increased risk of heart diseases. The identifiability assumptions need to hold to estimate average causal effects and are assessed in this report. The patient cohort is weighted using inverse probability of treatment and censoring weights and potential marginal survival curves are estimated from marginal structural Cox models. The resulting point estimate indicates a protective causal effect of relapse treatment on AMI but estimated bootstrap confidence intervals suggest no significant effect on the 5% significance level.
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Cordeiro, Fabio Nunez Barja. "Aplicação da teoria de cópulas para o cálculo do value at risk." reponame:Repositório Institucional do FGV, 2009. http://hdl.handle.net/10438/4306.
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Previous issue date: 2009-11-30T00:00:00ZEste trabalho aplica a teoria de cópulas à mensuração do risco de mercado, através do cálculo do Value at Risk (VaR). A função de cópula oferece uma maior flexibilidade para a agregação de riscos quando comparada com abordagens tradicionais de mensuração de risco. A teoria de cópulas permite a utilização de distribuições de probabilidade diferentes da normal para a modelagem individual dos fatores de risco. Além disso, diferentes estruturas de associação entre eles podem ser aplicadas sem que restrições sejam impostas às suas distribuições. Dessa forma, premissas como a normalidade conjunta dos retornos e a linearidade na dependência entre fatores de risco podem ser dispensadas, possibilitando a correta modelagem de eventos conjuntos extremos e de assimetria na relação de dependência. Após a apresentação dos principais conceitos associados ao tema, um modelo de cópula foi desenvolvido para o cálculo do VaR de três carteiras, expostas aos mercados brasileiros cambial e acionário. Em seguida, a sua precisão foi comparada com a das metodologias tradicionais delta-normal e de simulação histórica. Os resultados mostraram que o modelo baseado na teoria de cópulas foi superior aos tradicionais na previsão de eventos extremos, representados pelo VaR 99%. No caso do VaR 95%, o modelo delta-normal apresentou o melhor desempenho. Finalmente, foi possível concluir que o estudo da teoria de cópulas é de grande relevância para a gestão de riscos financeiros. Fica a sugestão de que variações do modelo de VaR desenvolvido neste trabalho sejam testadas, e que esta teoria seja também aplicada à gestão de outros riscos, como o de crédito, operacional, e até mesmo o risco integrado.
This study applies the theory of copulas to the measurement of market risk by doing the Value at Risk (VaR) calculation. The copula function offers a greater flexibility to aggregate the risks as compared to traditional approaches of risk measurement. The theory of copulas enables the use of probability distributions different from the normal to the individual modeling of risk factors. Furthermore, different association structures between them can be applied with no restrictions being imposed to its distributions. Thus, premises such as joint normality of returns and linearity in the dependence between risk factors can be dismissed, what enables the correct modelling of extreme joint events and of asymmetry in the dependence relation. After presenting the main concepts associated to the theme, a copula model was developed in order to calculate the VaR for three portfolios which are exposed to the Brazilian foreign exchange and stock markets. Afterwards, its accuracy was compared with that of traditional methodologies, i.e., delta-normal and historic simulation. The results showed that the model based on the theory of copulas was superior to the traditional ones at forecasting extreme events, which are represented by VaR 99%. When it comes to VaR 95%, the delta-normal model presented the best results. Finally, it was possible to conclude that the theory of copulas study is of great relevance to financial risks management. For further research, a suggestion is testing variations of the VaR model developed in this work, as well as applying this theory to managing other risks, such as credit, operational or even integrated risk.
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LOREGIAN, ANGELA. "Multivariate Lèvy models: estimation and asset allocation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49727.
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Multidimensional asset models based on Lévy processes have been introduced to meet the
necessity of capturing market shocks using more refined distribution assumptions compared
to the standard Gaussian framework. In particular, along with accurately modeling
marginal distributions of asset returns, capturing the dependence structure among them
is of paramount importance, for example, to correctly price derivatives written on more
than one underlying asset. Most of the literature on multivariate Lévy models focuses
in fact on pricing multi-asset products, which is also the case of the model introduced in
Ballotta and Bonfiglioli (2014). Believing that risk and portfolio management applications
may benefit from a better description of the joint distribution of the returns as well, we
choose to adopt Ballotta and Bonfiglioli (2014) model for asset allocation purposes and we
empirically test its performances. We choose this model since, besides its flexibility and
the ability to properly capture the dependence among assets, it is simple, relatively parsimonious
and it has an immediate and intuitive interpretation, retaining a high degree
of mathematical tractability. In particular we test two specifications of the general model,
assuming respectively a pure jump process, more precisely the normal inverse Gaussian
process, or a jump-diffusion process, precisely Merton’s jump-diffusion process, for all the
components involved in the model construction.
To estimate the model we propose a simple and easy-to-implement three-step procedure,
which we assess via simulations, comparing the results with those obtained through
a more computationally intensive one-step maximum likelihood estimation.
We empirically test portfolio construction based on multivariate Lévy models assuming
a standard utility maximization framework; for the exponential utility function we
get a closed form expression for the expected utility, while for other utility functions (we
choose to test the power one) we resort to numerical approximations.
Among the benchmark strategies, we consider in our study what we call a ‘non-parametric
optimization approach’, based on Gaussian kernel estimation of the portfolio return distribution,
which to our knowledge has never been used.
A different approach to allocation decisions aims at minimizing portfolio riskiness requiring
a minimum expected return. Following Rockafellar and Uryasev (2000), we describe
how to solve this optimization problem in our multivariate Lévy framework, when
risk is measured by CVaR. Moreover we present formulas and methods to compute, as efficiently
as possible, some downside risk measures for portfolios made of assets following
the multivariate Lévy model by Ballotta and Bonfiglioli (2014). More precisely, we consider
traditional risk measures (VaR and CVaR), the corresponding marginal measures,
which evaluate their sensibility to portfolio weights alterations, and intra-horizon risk
measures, which take into account the magnitude of losses that can incur before the end
of the investment horizon. Formulas for CVaR in monetary terms and marginal measures,
together with our approach to evaluate intra-horizon risk, are among the original
contributions of this work.
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Bångman, Gunnel. "Equity in welfare evaluations : The rationale for and effects of distributional weighting." Doctoral thesis, Örebro University, Department of Business, Economics, Statistics and Informatics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-309.
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This thesis addresses the issue of weighted cost-benefit analysis (WCBA). WCBA is a welfare evaluation model where income distribution effects are valued by distributional weighting. The method was developed already in the 1970s. The interest in and applications of this method have increased in the past decade, e.g. when evaluating of global environmental problems. There are, however, still unsolved problems regarding the application of this method. One such issue is the choice of the approach to the means of estimating of the distributional weights. The literature on WCBA suggests a couple of approaches, but gives no clues as to which one is the most appropriate one to use, either from a theoretical or from an empirical point of view. Accordingly, the choice of distributional weights may be an arbitrary one. In the first paper in this thesis, the consequences of the choice of distributional weights on project decisions have been studied. Different sets of distributional weights have been compared across a variety of strategically chosen income distribution effects. The distributional weights examined are those that correspond to the WCBA approaches commonly suggested in literature on the topic. The results indicate that the choice of distributional weights is of importance for the rank of projects only when the income distribution effects concern target populations with low incomes. The results also show that not only the mean income but also the span of incomes, of the target population of the income distribution effect, affects the result of the distributional weighting when applying very progressive non-linear distributional weights. This may cause the distributional weighting to indicate an income distribution effect even though the project effect is evenly distributed across the population.
One rational for distributional weighting, commonly referred to when applying WCBA, is that marginal utility of income is decreasing with income. In the second paper, this hypothesis is tested. My study contributes to this literature by employing stated preference data on compensated variation (CV) in a model flexible as to the functional form of the marginal utility. The results indicate that the marginal utility of income decreases linearly with income.
Under certain conditions, a decreasing marginal utility of income corresponds to risk aversion. Thus the hypothesis that marginal utility of income is decreasing with income can be tested by analyses of individuals’ behaviour in gambling situations. The third paper examines of the role of risk aversion, defined by the von Neumann-Morgenstern expected utility function, for people’s concern about the problem of ‘sick’ buildings. The analysis is based on data on the willingness to pay (WTP) for having the indoor air quality (IAQ) at home examined and diagnosed by experts and the WTP for acquiring an IAQ at home that is guaranteed to be good. The results indicate that some of the households are willing to pay for an elimination of the uncertainty of the IAQ at home, even though they are not willing to pay for an elimination of the risks for building related ill health. The probability to pay, for an elimination of the uncertainty of the indoor air quality at home, only because of risk aversion is estimated to 0.3-0.4. Risk aversion seems to be a more common motive, for the decision to pay for a diagnosis of the IAQ at home, among young people.
Another rationale for distributional weighting, commonly referred to, is the existence of unselfish motives for economic behaviour, such as social inequality aversion or altruism. In the fourth paper the hypothesis that people have altruistic preferences, i.e. that they care about other people’s well being, is tested. The WTP for a public project, that ensures good indoor air quality in all buildings, have been measured in three different ways for three randomly drawn sub-samples, capturing different motives for economic behaviour (pure altruism, paternalism and selfishness). The significance of different questions, and different motives, is analysed using an independent samples test of the mean WTPs of the sub-samples, a chi-square test of the association between the WTP and the sample group membership and an econometric analysis of the decision to pay to the public project. No evidence for altruism, either pure altruism or paternalism, is found in this study.
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Facundo, Francisco Rafael Guzman. "Fatores de risco e o significado do consumo de drogas em adolescentes e jovens marginais de bandos juvenis." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/22/22131/tde-18102007-161851/.
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O abuso no consumo de drogas constitui problema social e de saúde pública na maioria dos países pelas múltiplas conseqüências negativas que provocam sobre o desenvolvimento emocional e físico das pessoas. Grupos reconhecidos como de maior risco para consumir drogas são os grupos marginais e, dentro destes, estão os adolescentes e jovens pertencentes aos bandos juvenis. Os objetivos do presente estudo foram: analisar o efeito dos fatores de risco pessoais (idade, sexo, problemas de saúde mental, baixo nível educacional, ter trabalho remunerado, anos de escolaridade) e interpessoais (relação com amigos sob condutas desajustadas e relação inapropriada com pais) sobre o consumo de drogas lícitas (álcool e tabaco) e ilícitas (maconha, cocaína e inalantes) e, num segundo momento, desenvolver modelo teórico representativo dos significados do consumo de droga em adolescentes e jovens marginais de bandos juvenis. Para tal efeito, realizou-se estudo com metodologia quanti-qualitativa, onde se consideraram 175 sujeitos para o primeiro objetivo. Estimou-se a amostra para uma regressão linear múltipla com sete variáveis, com potência de 0,90, nível de significância de 0,05, para variância estimada de 20% e, para o segundo objetivo, utilizou-se o referencial metodológico da Teoria Fundamentada nos Dados à luz do Interacionismo Simbólico, com amostra de 16 sujeitos. Os resultados dos modelos de regressão logística mostraram efeito significativo dos fatores pessoais sobre o consumo de álcool (x2=30,19; p<0,05), maconha (x2=47,78; p<0,001), cocaína (x2=55,54; p<0,001) e inalantes (x2= 41,79; p<0,001), os fatores de risco pessoais que mostraram maior contribuição nos modelos foram: o sexo (ser homem), idade, problemas de saúde mental e baixo nível educacional; e, os fatores interpessoais: relações com amigos sob condutas desajustadas e relação inapropriada com pais, mostraram um efeito positivo sobre o consumo de álcool (x2=11,96; p=0,003), maconha (x2= 22,56; p<0,001), cocaína (x2=12,44; p=0,002) e inalantes (x2= 14,80; p<0,001). Os fatores de risco pessoais e interpessoais não mostraram efeitos significativos para o consumo de tabaco. Depois de transcrever as entrevistas dos 16 sujeitos, codificou-se em três etapas: codificação aberta, axial e seletiva. Da análise comparativa dos dados resultou a categoria central A GLÓRIA DO PRAZER SOBRE AS CONSEQÜÊNCIAS em relação ao significado do consumo de drogas, e representa as vantagens dos efeitos prazerosos, emocionais, de bemestar, relaxamento, desinibição e, conseqüentemente, risos, denotando sentimentos de felicidade sobre as possíveis conseqüências do consumo de drogas. Esses resultados possibilitaram a reflexão de que, em um futuro próximo, há a necessidade de elaboração de programas adequados direcionados à prevenção nesse grupo de jovens marginais.Abuse in drugs consumption constitutes a social and public health problem in most countries, due to the multiple negative consequences they provoke for people\'s emotional and physical development. Acknowledged risk groups for drugs consumption are marginal groups, which include adolescents and young people from youth gangs. This study aimed to: analyze the effect of personal (age, gender, mental health problems, low education level, having a paid job, years of education) and interpersonal risk factors (relation with friends with badly adapted conducts and inappropriate relation with parents) on the consumption of legal (alcohol and tobacco) and illegal drugs (marihuana, cocaine and inhalants) and, next, to develop a theoretical model that represents the meanings of drugs consumption in marginal adolescents and young people from youth gangs. Thus, a study was carried out with a quantitative-qualitative methodology. For the first objective, 175 subjects were considered. The sample was estimated for a multiple linear regression with seven variables, with a .90 power and a .05 significance level, for an estimated variance of 20%. For the second objective, the methodological framework of Grounded Theory was used in the light of Symbolic Interactionism, using a sixteen-subject sample. The results of the logistic regression models showed that personal factors exert a significant effect on alcohol consumption (x2=30.19; p<.05), marihuana (x2=47.78; p<.001), cocaine (x2= 55.54; p<.001) and inhalants (x2=41.79; p<.001). The personal risk factors that demonstrated a larger contribution in the models were: gender (being a man), age, mental health problems and low education level; and the interpersonal factors relations with friends with badly adapted conducts and inappropriate relation with parents revealed a positive effect on the consumption of alcohol (x2 =20.65 p<.05), marihuana (x2=22.56; p<.001), cocaine (x2=18.5 p<.05) and inhalants (x2=14.80; p<.001). The personal and interpersonal risk factors did not show significant effects for tobacco consumption. After transcribing the interviews of the 16 subjects, they were coded in three steps: open, axial and selective coding. Comparative data analysis resulted in the central category THE GLORY OF PLEASURE OVER THE CONSEQUENCES with respect to the meaning of drugs consumption, which represents the advantages of the pleasant emotional effects of well-being, relaxation, disinhibition, and, consequently, provoked laughing, indicating feelings of happiness about the possible consequences of drugs consumption. These results allowed for the reflection that, in the near future, there is a need to elaborate adequate prevention programs in this group of marginal young people.
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Thureson, Disa. "Cost-Benefit Analysis of climate policy and long term public investments." Doctoral thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-48241.
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This compilation dissertation consists of four essays with the common theme of welfare analysis of long-term public investments. The first two essays focus on analysis of climate change mitigation, i.e., the social cost of carbon dioxide. The third essay focuses on cost-benefit analysis (CBA) of transport investment projects, while the last essay takes a broader perspective on welfare analysis. Essay 1: The Temporal Aspects of the Social Cost of Greenhouse Gases. The purpose of Essay 1 is to investigate the temporal aspects of the social cost of greenhouse gases. I find that the calculation period should ultimately be modeled to be consistent with the discount rate and that the “global-warming potential” concept is unsuitable for calculation of the social cost of GHGs other than carbon dioxide. Essay 2: Avoiding path dependence of distributional weights: Lessons from climate change economic assessments. In Essay 2, I explore shortcomings in income weighting in evaluation of climate change policy. In short, in previous versions of two of the most important existing models, regional economic growth is double counted. The proposed alternative approaches yield about 20–40% higher values of SCCO2 than the old approach. Essay 3: Does uncertainty make cost-benefit analyses pointless? In Essay 3, the aim is to investigate to what extent CBA improves the selection decision of projects when uncertainties are taken into account, using a simulation-based approach on real data of infrastructure investments. The results indicate that, in line with previous literature, CBA is a rather robust tool and considerably increases the quality of decision making compared with a random selection mechanism, even when high levels of uncertainty are considered. Essay 4: Household Production and the Elasticity of Marginal Utility of Consumption. In Essay 4, I develop a new model to show that omission of household production in a previous model leads to bias when the elasticity of marginal utility of consumption, EMUC, is estimated. I further offer new, unbiased estimates based on current evidence of the included parameters, suggesting a lower bound of EMUC at about 0.9.
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de, Sauvage Vercour Héloïse. "Analysis and comparison of capital allocation techniques in an insurance context." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122863.
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Companiesissuing insurance cover, in return for insurance premiums, face the payments ofclaims occurring according to a loss distribution. Hence, capital must be heldby the companies so that they can guarantee the fulfilment of the claims ofeach line of insurance. The increased incidence of insurance insolvencymotivates the birth of new legislations as the European Solvency II Directive.Companies have to determine the required amount of capital and the optimalcapital allocation across the different lines of insurance in order to keep therisk of insolvency at an adequate level. The capital allocation problem may betreated in different ways, starting from the insurance company balance sheet.Here, the running process and efficiency of four methods are evaluated andcompared so as to point out the characteristics of each of the methods. TheValue-at-Risk technique is straightforward and can be easily generated for anyloss distribution. The insolvency put option principle is easily implementableand is sensitive to the degree of default. The capital asset pricing model isone of the oldest reliable methods and still provides very helpful intermediateresults. The Myers and Read marginal capital allocation approach encouragesdiversification and introduces the concept of default value. Applications ofthe four methods to some fictive and real insurance companies are provided. Thethesis further analyses the sensitivity of those methods to changes in the economiccontext and comments how insurance companies can anticipate those changes.
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Chen, Dandan. "Amended Estimators of Several Ratios for Categorical Data." Digital Commons @ East Tennessee State University, 2006. https://dc.etsu.edu/etd/2218.
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Point estimation of several association parameters in categorical data are presented. Typically, a constant is added to the frequency counts before the association measure is computed. We will study the accuracy of these adjusted point estimators based on frequentist and Bayesian methods respectively. In particular, amended estimators for the ratio of independent Poisson rates, relative risk, odds ratio, and the ratio of marginal binomial proportions will be examined in terms of bias and mean squared error.
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Christodoulou, Michalis. "Covariance matrix estimation applied in value-at-risk and margin risk methodologies." Thesis, Imperial College London, 2005. http://hdl.handle.net/10044/1/8198.
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Aizikovitz, Jacob. "Yield protection as a risk management strategy." Thesis, Kansas State University, 2018. http://hdl.handle.net/2097/38662.
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Master of AgribusinessDepartment of Agricultural Economics
Christine Wilson
Risk management is critical in crop production as the challenges farmers face on a year to year basis are quite variable due to Mother Nature. There are many tools a farmer can utilize to help manage risk such as crop insurance and forward contracting or hedging. In recent years with lower prices, these tools have been more heavily used than they were a few years ago when corn and soybean prices were $8 and $15 per bushel, respectively. Margins in crop production are tight when market prices are low and input prices are high relative to market prices, and due to land cost. In order for farmers to produce greater profit, they must find ways to lower expenses or produce more bushels to increase their revenue. As margins tighten, farmers typically try to lower expenses to be more profitable rather than trying to increase bushels that would ultimately increase their revenue. When farmers try to reduce expenses, agricultural retailers experience lower revenues holding all else equal; distributors have lower revenues because the retailer is not selling as much, and the manufacturers experience lower revenues because the retailer and distributor are not moving the inventory compared to when farmer margins are larger. This thesis examines how yield protection for grain corn can be utilized as a risk management tool for crop production farmers. This thesis explores how increasing bushels and ultimately increasing revenue by protecting the bushels the crop is physically able to produce, can help manage producer risk. This thesis uses yield protection as a tool alongside crop insurance and marketing, rather than as a tool to replace crop insurance or marketing. Data used for yield protection is replicated fungicide, fungicide with an adjuvant, and fungicide with insecticide, that were evaluated against the untreated check over multiple locations and years across the Midwestern United States. Fungicide data were chosen because it is truly the definition of yield protection, protecting the crop against disease. Fungicides are usually the first products cut from a farmer’s crop production program to help reduce expenses and maintain profitability as margins tighten. The results found in this study are consistent with work conducted at Iowa State University. Results exhibited an increase in corn yield, but were not consistently statistical significant across treatments and location. In conclusion, the average yield increase was not enough over multiple years to pay for itself, and it lacked sufficient evidence. Yield protection does not fit a risk management strategy annually. However, yield protection should be utilized when specific thresholds on disease or insects are present to warrant this strategy.
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Aliravci, Murat. "Margin Call Risk Management With Futures And Options." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615555/index.pdf.
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This study examines dynamic hedge policy of a company in a multi-period framework. The company begins to operate a project for a customer and it also has a subcontractor which completes an important part of the project by using an economic commodity. The customer will pay a fixed price to the company at the end of the project. Meanwhile, the company needs to pay the debt to the subcontractor and the amount of the debt depends on the spot price of the commodity at that time. The company is allowed to hedge for the commodity price fluctuations via future and option contracts. Since the company has a limited cash reserve as well as previously planned payments, it may face financial
distress when the net cash balance decreases below zero. Consequently, the company maximizes the expected value of itself by minimizing the expected financial distress cost.
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Meyer, Jan 1977. "A risk-based approach to optimal margins in ship design." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/91373.
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Thesis (S.M. in Ocean Systems Management)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2002.Includes bibliographical references (leaves 135-137).
by Jan Meyer.
S.M.in Ocean Systems Management
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Sumawong, Anannit. "Risk management of energy derivatives : hedging and margin requirements." Thesis, University of Sussex, 2014. http://sro.sussex.ac.uk/id/eprint/53818/.
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The recent growth of exchanges has generated large trading platforms for investors. The largest of these institutions, the Intercontinental Exchange and the Chicago Mercantile Exchange group are now responsible for clearing trades for the majority of investors worldwide and are perhaps, as large commercial banks are, too big to fail. This has attracted attention from international regulating bodies to impose strict risk management standards on the exchanges to ensure financial stability. In this thesis, we identify first, that an investor in the market is strongly affected by margins set by the exchanges in determining the transaction costs of a trade. We discuss the possibility that a volatile margin movement would introduce further risks for such an investor causing them to raise more capital to cover possible margin calls which can perhaps lead to procyclicality. We follow this work by addressing how margins can be determined in adherence to the new laws. Exchanges are now required to set margins based on the Value-at-Risk, hence we search for the best Value-at-Risk method for margining use. Here, we find that the simple Orthogonal Exponentially Weighted Moving Average method is sufficient in forecasting the Value-at-Risk, which contradicts a fair body of the literature who suggests that complex developments of GARCH are superior. We then offer methods for setting and evaluating margin requirements upon the Value-at-Risk estimates, concentrating on producing stable margin requirements. The automated methods produced in our work outperform all other methods available in the literature. Furthermore, we are the first to provide methods for assessing margin stability. Our work is timely in addressing the current affairs of the world economy and is among the first to tackle the margin stability issue in detail.
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Oberholtzer, Daniel Vincent. "Margin-at-Risk for Agricultural Processors: Flour Milling Scenarios." Thesis, North Dakota State University, 2011. https://hdl.handle.net/10365/29554.
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Historic market volatility has made risk management decisions by firms in the agricultural supply chain more challenging. Market risk measurement methods, such as Value-at-Risk, were developed in the financial industry to objectively measure, and thus better comprehend, market risk's effect on positions. This thesis gives a thorough background of the issues involved with risk measurement. Different scenarios were then used to demonstrate how the risk measurement method can be applied to the agricultural processing margin. In this thesis, the flour milling margin was used to demonstrate how a firm can incorporate sophisticated risk analytics into its risk management decision making process. Multiple scenarios were developed to account for different situations faced by flour millers. Ocean freight, exchange rate risk, futures price risk, basis risk and flour price risk are all included to provide examples of how market risk measurement can be beneficial to industry participants.
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Park, Changyi. "Generalization error rates for margin-based classifiers." Connect to resource, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1124282485.
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Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains ix, 63 p.; also includes graphics (some col.). Includes bibliographical references (p. 60-63). Available online via OhioLINK's ETD Center
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Patriarca, Ashley S. "Safety at the Margins: A Rhetorical Analysis of Occupational Risk Communication in Construction." Diss., Virginia Tech, 2013. http://hdl.handle.net/10919/50624.
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This dissertation focuses on occupational risk communication created by grantees of the Occupational Safety and Health Administration\'s Susan Harwood Training Grant (SHTG) Program. Although the SHTG program is aimed at workers in most high-hazard industries, I focus on occupational risk communication developed for residential construction workers, who remain the most at-risk for on-the-job injuries and fatalities. In 2011 (the most recent year for which statistics are available), 721 construction workers died in work-related accidents (Bureau of Labor Statistics, 2012). In this study, I relied primarily on two research methods: context-sensitive text analysis of deliverables created by twelve SHTG program grantees from 2006-2009 and interviews with representatives of four of these twelve grantees. The findings from this research illustrate the complexity of creating occupational risk communication in grant-related institutional settings. Although the process might seem straightforward, it is composed of twelve milestones, each of which can result in difficulties for the final deliverables. Grantees are asked to create safety training deliverables that includes principles of active workplace learning; however, qualitative analysis of these deliverables indicates that such principles are rarely enacted. Instead, the deliverables are marked by an emphasis on technical language, as well as by death-focused justification strategies that scare trainees into following the guidelines being presented. Each of these characteristics can alienate audiences of varied linguistic and cultural backgrounds, such as those found in the construction industry.Ph. D.
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Wallertz, Christoffer, and Karolina Henningsson. "Rental or cooperative aperment : A cost and risk analysis of the housing market in Malmö." Thesis, Linnéuniversitetet, Ekonomihögskolan, ELNU, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-20857.
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This thesis is analysing the housing market situation in Malmö. The reason for the research is the always equally relevant choice between two types of housing- cooperative apartments and rentals. Cost and risk is compared between the two in order to see what accommodation is preferable from cost and risk aspects. A theoretical framework dealing with cost and risk associated to housing is the starting point of the thesis. Theory on different cost associated to the two types of housing is presented as well as risk aspects, such as market risk, credit risk and fluctuations in interest rates. The data used in the research is individual data from 993 households living in Malmö, providing the possibility to map out the cost and risk for the two types of housing and compare it to the housing market situation in Sweden. At first glance it seems slightly more expensive to live in a rental compared to a cooperative apartment. However, when return on capital, risk premium and value change is included this first statement changes. The risk is slightly higher when living in a cooperative apartment than in a rental, due to higher risk associated to fluctuations in interest rate. However, the current initial economic situation is better for households in cooperative apartments than for households in rentals, implying that these households on average are more capable to handle the higher risk associated to changes in housing cost.
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Santos, Josivon Souza dos. "Simulações de variáveis aleatórias dependentes: Aplicação ao risco subscrição." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-23062013-173744/.
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Com a crescente demanda de modelagem de riscos dependentes, enfatizamos neste trabalho a teoria de cópulas e algumas medidas de dependência tais como coeficiente de correlação linear, coeficiente de correlação de Spearman. Mostramos algumas interpretações errôneas sobre o coeficiente de correlação linear e como podemos realizar simulações de variáveis aleatórias com determinadas marginais e dependência. Realizamos uma aplicação na área de seguros para determinar o capital alocado da seguradora.With the growing demand for modeling dependent risk, in this study we emphasize the theory of copulas and some measures of dependence such as linear correlation coefficient and Spearman correlation coefficient. We show some misleading interpretations on the linear correlation coefficient, and how we can perform simulations of random variables with some marginals and dependence. We conduct an application in the insurance area to determine the allocated capital of the insurer.
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Iribarren, Cecilia. "Foraging by ibex in a risky environment : effectiveness of vigilance, marginal value of energy and landscape of fear /." [Beersheba, Israel] : Ben-Gurion University of the Negev, 2009. http://aranne5.lib.ad.bgu.ac.il/others/IribarrenCecilia.pdf.
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Mondriaan, Marlene Elizabeth. "The rise of Yahwism : role of marginalised groups." Thesis, University of Pretoria, 2010. http://hdl.handle.net/2263/24742.
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My motivation and purpose of this research particularly evolve around the question on the origin of Yahweh and the development of Yahwism, as well as the role of marginal groups in the maintaining of a pre-exilic Yahweh-alone monotheism, and the subsequent conversion by Judahites – who previously practised a syncretistic religion – to a post-exilic Yahweh monotheism. In accordance with the Kenite hypothesis, the Yahwist tradition originated in the South amongst the Midianites and Kenites. A Moses-type figure acquired knowledge about Yahweh from these tribes who venerated Yahweh before the Israelites did. According to the Chronicler's genealogy, marginal southern groups were all related. The Kenites and Rechabites had the opportunity, due to their nomadic lifestyle and particular trade – as coppersmiths – to spread their religious beliefs. Although the majority of Israelites practised syncretism, these marginal groups – particularly the Rechabites – sustained their Yahwistic faith throughout the Monarchical Period, actively involved in a Yahweh-alone movement. Jeremiah set the Rechabites – who followed a puritanical lifestyle – as an example for the inhabitants of Jerusalem. My hypothesis is that the Israelite God Yahweh was originally a Midianite/Kenite deity and that marginal groups related to the Kenites, such as the Rechabites, played a signi¬fi¬cant and dominant role in the preserving of a pre-exilic Yahweh-alone movement, as well as in the establishment of a post-exilic Yahweh monotheism. My approach to this research was with the premise that the Yahwist tradition originated in the South whence it spread to Judah and the North. According to a recurring biblical tradition, Yahweh emanated from the South. Evidence from certain Egyptian documents endorses Yahweh's presence in the South. It was also my aim to establish the interdependence – or not – of different disciplines relevant to the Hebrew Bible. In my research it became clear that archaeology and biblical scholarship – particularly historiography – cannot operate effectively without the acceptance of their mutual dependence.Thesis (PhD)--University of Pretoria, 2010.
Ancient Languages
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Newton, John C. "Policy Options for Managing Risk in a Modern Dairy Economy." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1385134137.
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Andersson, Camilla. "Changing the risk at the margin smallholder farming and public policy in developing countries /." Doctoral thesis, Umeå : Nationalekonomi, Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-33854.
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Lachenmeier, Dirk W., Maria C. Przybylski, and Jürgen Rehm. "Comparative risk assessment of carcinogens in alcoholic beverages using the margin of exposure approach." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2012. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-91752.
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Alcoholic beverages have been classified as carcinogenic to humans. As alcoholic beverages are multicomponent mixtures containing several carcinogenic compounds, a quantitative approach is necessary to compare the risks. Fifteen known and suspected human carcinogens (acetaldehyde, acrylamide, aflatoxins, arsenic, benzene, cadmium, ethanol, ethyl carbamate, formaldehyde, furan, lead, 4-methylimidazole, N-nitrosodimethylamine, ochratoxin A and safrole) occurring in alcoholic beverages were identified based on monograph reviews by the International Agency for Research on Cancer. The margin of exposure (MOE) approach was used for comparative risk assessment. MOE compares a toxicological threshold with the exposure. MOEs above 10,000 are judged as low priority for risk management action. MOEs were calculated for different drinking scenarios (low risk and heavy drinking) and different levels of contamination for four beverage groups (beer, wine, spirits and unrecorded alcohol). The lowest MOEs were found for ethanol (3.1 for low risk and 0.8 for heavy drinking). Inorganic lead and arsenic have average MOEs between 10 and 300, followed by acetaldehyde, cadmium and ethyl carbamate between 1,000 and 10,000. All other compounds had average MOEs above 10,000 independent of beverage type. Ethanol was identified as the most important carcinogen in alcoholic beverages, with clear dose response. Some other compounds (lead, arsenic, ethyl carbamate, acetaldehyde) may pose risks below thresholds normally tolerated for food contaminants, but from a cost-effectiveness point of view, the focus should be on reducing alcohol consumption in general rather than on mitigative measures for some contaminants that contribute only to a limited extent (if at all) to the total health risk.
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Domingues, Estêvão Miguel Cardoso. "Behaviour of the contractual service margin on the general measurement model." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/20006.
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Mestrado em Actuarial ScienceIFRS 17 é a nova norma internacional para seguros que irá ter início em 2022, provocando dificuldades sem precedentes no mundo segurador. Desde novos requisitos quantitativos, até motores computacionalmente avultados. É o novo desafio para as empresas seguradoras e consultores em todo o mundo. Um dos novos componentes da norma é a Contractual Service Margin. Esta componente corresponde ao lucro não adquirido do grupo de contractos. Consoante os serviços prestados, este montante será lançado na insurance revenue e irá afectar directamente o lucro em cada período de reporte. Este é o tema principal do relatório e irá ser testado à força como reage face a eventos inesperados, diferentes daqueles que foram previsto no reconhecimento inicial. Companhias de seguros irão necessitar de desenvolver, ou recorrer a, novos motores de cálculo para a onda de informação que será requerida pela norma. Neste relatório, um motor totalmente automático foi criado de raiz e, apesar de estar calibrado para um tipo de contracto em específico, tem o potencial de reconhecer todos os tipos de contractos. Todos os resultados servem para fins ilustrativos, mas demonstram a importância da Contractual Service Margin nesta nova norma.
IFRS 17 is the new international insurance norm that will start in 2022, bringing an unprecedented difficulty to the insurance world. From new quantitative requirements, to enormous computational engines. It is the new challenge for insurance companies and consultants throughout the world. One of the new components of the norm is the Contractual Service Margin. This component reflects the unearned profit of a group of contracts. As insurance services are provided, this amount is released to the insurance revenue and it will affect the profit directly at each reporting period. We will test how it reacts when faced with unexpected events, different from the ones predicted at initial recognition. Insurance companies will need to develop, or resort to, new calculation engines for the wave on information that is required for this norm. In this report, a fully automatic engine was built from scratch and, although it is calibrated for one specific type of contract, it has the potential to recognise all types of contracts. All results are merely illustrative, but demonstrate the importance of the Contractual Service Margin in this new norm.
info:eu-repo/semantics/publishedVersion
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Nys, Emmanuelle. "Service provision and bank interest margins : an adverse selection approach and risk implications for E.U. banks." Thesis, University of Birmingham, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.410602.
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Hussein, Kassim Nurudin. "Bank Spreads, Margins, Concentration and Credit Risks in the Southern Africa Development Community." Thesis, Bangor University, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.516460.
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Clausen, Mork Jonas. "Dealing with uncertainty." Doctoral thesis, KTH, Filosofi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-72680.
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Uncertainty is, it seems, more or less constantly present in our lives. Even so, grasping the concept philosophically is far from trivial. In this doctoral thesis, uncertainty and its conceptual companion information are studied. Axiomatic analyses are provided and numerical measures suggested. In addition to these basic conceptual analyses, the widespread practice of so-called safety factor use in societal regulation is analyzed along with the interplay between science and policy in European regulation of chemicals and construction.QC 20120202
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Musayeva, Khadija. "Generalization Performance of Margin Multi-category Classifiers." Thesis, Université de Lorraine, 2019. http://www.theses.fr/2019LORR0096/document.
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Cette thèse porte sur la théorie de la discrimination multi-classe à marge. Elle a pour cadre la théorie statistique de l’apprentissage de Vapnik et Chervonenkis. L’objectif est d’établir des bornes de généralisation possédant une dépendances explicite au nombre C de catégories, à la taille m de l’échantillon et au paramètre de marge gamma, lorsque la fonction de perte considérée est une fonction de perte à marge possédant la propriété d’être lipschitzienne. La borne de généralisation repose sur la performance empirique du classifieur ainsi que sur sa "capacité". Dans cette thèse, les mesures de capacité considérées sont les suivantes : la complexité de Rademacher, les nombres de recouvrement et la dimension fat-shattering. Nos principales contributions sont obtenues sous l’hypothèse que les classes de fonctions composantes calculées par le classifieur ont des dimensions fat-shattering polynomiales et que les fonctions composantes sont indépendantes. Dans le contexte du schéma de calcul introduit par Mendelson, qui repose sur les relations entre les mesures de capacité évoquées plus haut, nous étudions l’impact que la décomposition au niveau de l’une de ces mesures de capacité a sur les dépendances (de la borne de généralisation) à C, m et gamma. En particulier, nous démontrons que la dépendance à C peut être considérablement améliorée par rapport à l’état de l’art si la décomposition est reportée au niveau du nombre de recouvrement ou de la dimension fat-shattering. Ce changement peut affecter négativement le taux de convergence (dépendance à m), ce qui souligne le fait que l’optimisation par rapport aux trois paramètres fondamentaux se traduit par la recherche d’un compromisThis thesis deals with the theory of margin multi-category classification, and is based on the statistical learning theory founded by Vapnik and Chervonenkis. We are interested in deriving generalization bounds with explicit dependencies on the number C of categories, the sample size m and the margin parameter gamma, when the loss function considered is a Lipschitz continuous margin loss function. Generalization bounds rely on the empirical performance of the classifier as well as its "capacity". In this work, the following scale-sensitive capacity measures are considered: the Rademacher complexity, the covering numbers and the fat-shattering dimension. Our main contributions are obtained under the assumption that the classes of component functions implemented by a classifier have polynomially growing fat-shattering dimensions and that the component functions are independent. In the context of the pathway of Mendelson, which relates the Rademacher complexity to the covering numbers and the latter to the fat-shattering dimension, we study the impact that decomposing at the level of one of these capacity measures has on the dependencies on C, m and gamma. In particular, we demonstrate that the dependency on C can be substantially improved over the state of the art if the decomposition is postponed to the level of the metric entropy or the fat-shattering dimension. On the other hand, this impacts negatively the rate of convergence (dependency on m), an indication of the fact that optimizing the dependencies on the three basic parameters amounts to looking for a trade-off
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Karp, Stephanie, and Cecilia Persson. "Kreditbedömningsprocessen till mindre företag : en jämförande studie mellan två svenska banker." Thesis, KTH, Fastigheter och byggande, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-231980.
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Denna uppsats behandlar vilka likheter och skillnader det finns i kreditbedömningsprocessen för en stor respektive liten bank på den svenska marknaden. Detta finner vi intressant då det ständigt tillkommer nya aktörer på marknaden samt att ämnet alltid förblir aktuellt. Uppsatsen behandlar även om det skett någon större utveckling av processen till följd av den finansiella kris som skedde år 2008 samt hur man förutspår att kreditbedömningsprocessen kommer att fortsätta utvecklas i framtiden. Vår studie fokuserar på kreditbedömningsprocessen till små- och medelstora företag som är ett viktigt segment för både banker men även för samhället. De banker som jämförs i studien är Marginalen bank som vi anser vara en mindre bank och Handelsbanken som är en de fyra storbankerna i Sverige. En slutsats har dragits utifrån vår studie att det finns både likheter och skillnader mellan bankernas kreditgivningsprocesser samt att Finanskrisen år 2008 har kommit att påverka Basel-regelverket och därigenom även utvecklingen av kreditgivningsprocessen. De båda bankerna har en gemensam syn vad gäller den framtida utvecklingen av processen som innebär att en större automatisering med största sannolikhet kommer att ske.This paper deals with the similarities and differences in the credit assessment process for well known and respected small sized bank in the Swedish market. We find this interesting as there are always new players in the market and make sure the different topics and issues are constantly updated and stay updated on current trends and demands. The study also applies to the process of a major development which resulted from the financial crisis in 2008, and how to predict the credit assessment system with its continuation and development in the future. Our study focuses on the credit assessment process for small and medium-sized enterprises, which is an important segment for both banks, but also for society. The two banks compared in our study are Marginalen Bank, which we consider to be a smaller bank and Handelsbanken, which is one of the four major banks in Sweden. A conclusion has been drawn from our study that there are both similarities and differences between the banks' crediting processes and that the 2008 financial crisis has affected the Basel acquisition and thereby also the development of the credit granting process. Both banks have a common view regarding the future development of the process, which means that greater automation is most likely to happen.
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Richard, Jessica A. G. "THE MARGIN PROTECTION PROGRAM FOR DAIRY: A FORECAST & AD HOC REGIONAL ANALYSIS." UKnowledge, 2017. https://uknowledge.uky.edu/agecon_etds/61.
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This study examined The Margin Protection Program for Dairy’s impact on the “effective margins” or margins realized by dairy producers in various regions. Each selected margin and percentage of production history offered by the national policy was analyzed in a forecasting, national and regional manner. Couplet margins were simulated for fifteen regions from 2017 through 2020. Five scenarios were analyzed for the change in MPP’s effects under a 15%, 10%, and 5% drop in the price of milk as well as a 50% increase in the price of corn and a scenario where milk decreases 15% while corn prices simultaneously increases 25%. The results demonstrate that more than half of the regions have higher probabilities of triggering indemnities at every coverage level when compared to the US, MPP margin. Margins change in response to the policy effects, where lower coverage levels experience margin increase, and higher coverage levels experience margin decrease. In the US, MPP margin, risk reduction is observed at every coverage level. The program was found to decrease risk at most coverage levels, where higher shocks to the margin increased the protection offered by the program’s effects.
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Fransson, Carita. "Finansiell risk och lönsamhet i Svenska fastighetsbolag under 2008." Thesis, University of Gävle, Department of Business and Economic Studies, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-7009.
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Syfte: Studiens syfte är att analysera och undersöka om det finns något samband mellan den finansiella risken och lönsamheten. Det övergripande syftet är att se om valet av finansiell risk fungerar som finansieringsstrategi i verkligheten.
Metod: Studien bygger på den deduktiva ansatsen där teorier kommer att testas och analyseras mot empiriska data tagna från årsredovisningar. Den kvantitativa metoden används då data från 305 stycken årsredovisningar ska användas för att finna om det finns samband och variation mellan finansiell risk och lönsamhet definierad som vinstmarginal, Rt och Re. Årsredovisningarna utgörs av sekundärdata som samlats in från databasen Retriever. De statistiska metoder som används är bland annat medelvärde, standardavvikelse, regressions- och korrelationsanalys, hypotesprövning och t-test.
Resultat och slutsats: Såväl korrelation- och regressionsanalys som hypotesprövning och t-test visar att det finns samband mellan finansiell risk och lönsamhet definierad som Re. Studien visar även att det finns inget samband mellan finansiell risk och lönsamhet definierad som vinstmarginal eller Rt. Valet av finansiell risk fungerar alltså som finansieringsstrategi i verkligheten om lönsamheten är definierad som Re.
Uppsatsens bidrag: Resultaten påvisade att det finns samband mellan finansiell risk och Re precis som teorin förespråkar.
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Lachenmeier, Dirk, Claudia Baumung, Jürgen Rehm, and Heike Franke. "Comparative risk assessment of tobacco smoke constituents using the margin of exposure approach: the neglected contribution of nicotine." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-212445.
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Nicotine was not included in previous efforts to identify the most important toxicants of tobacco smoke. A health risk assessment of nicotine for smokers of cigarettes was conducted using the margin of exposure (MOE) approach and results were compared to literature MOEs of various other tobacco toxicants. The MOE is defined as ratio between toxicological threshold (benchmark dose) and estimated human intake. Dose-response modelling of human and animal data was used to derive the benchmark dose. The MOE was calculated using probabilistic Monte Carlo simulations for daily cigarette smokers. Benchmark dose values ranged from 0.004 mg/kg bodyweight for symptoms of intoxication in children to 3 mg/kg bodyweight for mortality in animals; MOEs ranged from below 1 up to 7.6 indicating a considerable consumer risk. The dimension of the MOEs is similar to those of other tobacco toxicants with high concerns relating to adverse health effects such as acrolein or formaldehyde. Owing to the lack of toxicological data in particular relating to cancer, long term animal testing studies for nicotine are urgently necessary. There is immediate need of action concerning the risk of nicotine also with regard to electronic cigarettes and smokeless tobacco.
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Arben, Mustafa. "Banking sector competition and its impact on banks' risk-taking and interest margins in the Central and East European countries." Thesis, Staffordshire University, 2014. http://eprints.staffs.ac.uk/2039/.
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This thesis provides empirical evidence on the degree of banking sector competition in the Central and East European (CEE) countries and the impact of competition on banks’ risktaking and interest margins. The thesis uses data on around 300 banks from 17 CEE countries for the period 1999-2009, and employs a variety of estimation methodologies. The first objective of the thesis is to measure the degree of banking sector competition in CEE countries. Using the Panzar-Rosse approach, we found that the banking sectors of the CEE countries have been characterized by monopoly behaviour. By distinguishing between the non-EU and EU countries of the region, we found that banks operating in the non-EU countries faced a lower degree of competition compared to banks operating in the EU members of the region. The separate estimation for Kosovo indicated that the competitive behaviour of banks operating in this country was consistent with monopolistic competition. The second objective of the thesis is to estimate the impact of banking sector competition on the degree of banks’ risk-taking. Using country-level Panzar-Rosse H-statistic estimates as a measure of competition, for the overall sample, we found that competition enhances the quality of the loan portfolio, thus providing evidence against the mainstream view on the trade-off between competition and stability. However, for the non-EU countries of our sample the impact of competition on banks’ risk-taking appeared positive, which implies that more effective authorities are needed in these countries to oversee the banks’ behaviour when competitive pressures increase. The third objective of the thesis is to estimate the impact of banking sector competition on banks’ interest margins. The results suggest that competition had a negative impact on net interest margins. The impact of competition in reducing the net interest margins was stronger in the non-EU countries compared to the EU countries of the sample. Overall, the results suggest that the banking sectors of the CEE countries are characterized by low levels of competition, implying higher risk and larger interest margin.
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PARRINI, Chiara. ""Il filtro di Kalman e la valutazione stocastica della riserva sinistri"." Doctoral thesis, La Sapienza, 2007. http://hdl.handle.net/11573/917330.
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Dutt, Hans R. "Excessive margin requirements and intermarket derivative exchange competition a study of the effect of risk management on market microstructure /." Fairfax, VA : George Mason University, 2008. http://hdl.handle.net/1920/3182.
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Thesis (Ph.D.)--George Mason University, 2008.Vita: p. 75. Thesis director: Willem Thorbeck. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Economics. Title from PDF t.p. (viewed Aug. 27, 2008). Includes bibliographical references (p. 70-74). Also issued in print.
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Karlsson, Patrik. "Margins of prevention : on older adolescents' positive and negative beliefs about illicit drug use /." Doctoral thesis, Stockholm : Department of Social Work, Stockholm University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-1351.
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Bütow, Zentia [Verfasser], and Michael [Akademischer Betreuer] Stöckle. "Risk Factors for Positive Surgical Margins in organ-confined Prostate Cancer treated with Robotic-assisted Radical Prostatectomy / Zentia Bütow. Betreuer: Michael Stöckle." Saarbrücken : Saarländische Universitäts- und Landesbibliothek, 2014. http://d-nb.info/1054055823/34.
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Cherrat, Hamza. "Eléments de Gestion Actif Passif : La gestion du Risque de couverture des marges de taux d'intérêt des dépôts à vue." Thesis, Cergy-Pontoise, 2019. http://www.theses.fr/2019CERG1021.
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Le résumé de cette thèse et d'évoquer les différentes missions de l'ALM bancaire ainsi que les risques financiers qu'elle prend en charge et rappelé certains points de réglementation, nous proposons de nous intéresser à un sujet assez caractéristique des questions soulevées par le métier d'ALM, à savoir la gestion du risque de taux d'intérêt sur les dépôts à vue dans le cadre de leurs rémunérations. Rappelons que, dans un bilan, on distingue le Banking Book, une partie consacrée au bilan des ressources et des emplois liés à la clientèle c'est-à-dire la sphère opérationnelle. En fait, comme beaucoup d'autres départements d'une banque, l'ALM a un objectif de rendement dans certaines limites de risque. Les enjeux sont relativement importants pour les établissements financiers. Par exemple, la banque de détail constitue depuis longtemps une source de revenus stable et pérenne pour les établissements et le marché attache une grande importance à leur capacité à conserver cette caractéristique. D'autre part, des postes comme les dépôts de la clientèle constituent autant de ressources de liquidité disponibles à moindres coûts et ce n'est pas un point à négliger dans le contexte particulièrement tendu depuis la crise de 2008. Le management du risque déterminé par les marges de taux d'intérêt liées aux dépôts à vue d'une banque, ce qu'on appelle l'Interest Rate Margin. Celui-ci est défini comme la différence entre le taux de marché et le taux dépôt auxquels, on multiplie un certain montant de dépôts. Nous supposons que les dépôts à vue sont liés à la fois aux taux d'intérêt et au risque commercial qui ne peut être entièrement couvert sur les marchés financiers. La dynamique des taux de marché à terme suit un modèle de marché standard et tient compte d'une certaine prime de risque associée à l'investissement dans des actifs à long terme. Les taux des dépôts en Zone US sont déterminés par le taux M2 own rate, c'est pour cette raison que la Fed s'intéresse à la grandeur M2 own rate qui se calcule comme le taux moyen des ressources de M2 pondéré par les encours. Dans le cas de la zone Euro, on parle du taux de dépôt ou de rémunération. Les taux de rémunération dépendent des taux de marché et notamment les taux Euribor 3 Mois. Nous remarquons notamment que, lorsque les taux de marché sont faibles, les taux de rémunération des dépôts le sont aussi. Les taux de dépôt ou de rémunération sont liés aux taux du marché de manière linéaire (ou non linéaire). Nous adoptons le point de vue d'un gestionnaire actif-passif qui se concentre sur le bénéfice d'exploitation net de la banque à un trimestre donné selon les règles comptables habituelles, confronté à l'inachèvement du marché et traitant des dérivés sur taux d'intérêt, nous distinguons deux types de stratégies de couverture: la couverture au sens quadratique; la couverture au sens des quantiles et de l'expected shortfall. Pour ces deux types de stratégie, nous considérons deux niveaux d'information : l'une portant uniquement sur l'information relative aux taux d'intérêt et l'autre incluant également le montant courant des dépôts à vueThe summary of this thesis and to evoke the different missions of the banking ALM as well as the financial risks it takes on and recall some regulatory points, we propose to focus on a subject quite characteristic of the issues raised by the ALM profession, namely the management of interest rate risk on sight deposits as part of their remuneration. It should be recalled that, in a balance sheet, a distinction is made between the Banking Book, a section devoted to the balance sheet of customer-related resources and uses, i.e. the operational sphere. In fact, like many other departments of a bank, the ALM has a return objective within certain risk limits. The stakes are relatively high for financial institutions. For example, retail banking has long been a stable and sustainable source of income for institutions and the market attaches great importance to their ability to maintain this characteristic. On the other hand, items such as customer deposits constitute liquidity resources available at lower costs and this is not a point to be neglected in the particularly tense context since the 2008 crisis. The management of the risk determined by the interest rate margins related to a bank's demand deposits, known as the Interest Rate Margin. This is defined as the difference between the market rate and the deposit rate at which a certain amount of deposits is multiplied. We assume that demand deposits are linked to both interest rates and commercial risk that cannot be fully hedged in the financial markets. The dynamics of forward market rates follow a standard market model and take into account a certain risk premium associated with investing in long-term assets. The deposit rates in the US zone are determined by the M2 own rate, which is why the Fed is interested in the M2 own rate, which is calculated as the average rate of M2 resources weighted by outstanding amounts. In the case of the Euro zone, we talk about the deposit or remuneration rate. The interest rates depend on market rates and in particular the Euribor 3 Month rates. In particular, we note that, when market rates are low, so are deposit rates. Deposit or remuneration rates are linked to market rates in a linear (or non-linear) way. We adopt the perspective of an asset-liability manager who focuses on the bank's net operating income in a given quarter under normal accounting rules, faced with unfinished business and dealing with interest rate derivatives, we distinguish two types of hedging strategies: quadratic hedging; quantile and expected shortfall hedging. For these two types of strategies, we consider two levels of information: one dealing only with interest rate information and the other also including the current amount of demand deposits
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Ribeiro, Adriana da Costa. "\"Terapia endodôntica associada à irradiação do canal radicular com laser de diodo: avaliação térmica, morfológica, microbiológica e da infiltração marginal apical\"." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/23/23145/tde-12032007-145556/.
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O objetivo deste estudo foi avaliar os efeitos da irradiação do canal radicular pelo laser de diodo, quando associado à terapêutica endodôntica tradicional: no aumento da temperatura na superfície radicular externa; nas alterações morfológicas da dentina do canal radicular; no selamento marginal apical após obturação do canal radicular e no potencial de redução microbiana. O aumento de temperatura foi monitorado durante a irradiação do canal radicular de incisivos inferiores por câmera termográfica. Os parâmetros de irradiação foram: grupo de emissão contínua (CW): P=2,5 W e grupo de emissão pulsada ?P=1,25 W. A avaliação das alterações morfológicas por MEV das amostras irradiadas nas condições acima citadas foram comparadas com amostras não irradiadas. O grau de infiltração marginal apical foi mensurado em amostras irradiadas (CW; P = 2,5 W) ou não irradiadas, e obturadas por um dos três cimentos endodônticos: N-Rickert, AH Plus ou Apexit. O grau de penetração linear foi medido após o período de imersão das amostras na solução de azul de metileno. O potencial de redução microbiana promovido pela associação do laser à terapêutica endodôntica tradicional foi avaliado em dentes portadores de infecção endodôntica primária por técnicas de cultura e PCR. A irrigação de NaOCl 0,5 % e uso de hidróxido de cálcio (grupo controle) foram associados à irradiação no grupo laser (CW; P=2,5 W). Foram avaliadas: a redução do número de UFC dos anaeróbios viáveis, a quantidade de E. faecalis e de lactobacilos/amostra, e a proporção de E. faecalis e de lactobacilos/microrganismos viáveis. O aumento de temperatura na superfície radicular externa durante a irradiação do canal radicular nos regimes de emissão contínuo e pulsado não excedeu o limite crítico de 10 ºC. A variação de 10 temperatura mediana máxima na região apical usando o método de Wilcoxon (p < 0,05) foi de 8,6 °C na irradiação contínua e de 3,3 °C na emissão pulsada. O tempo de resfriamento de 20 segundos foi determinado entre os 5 ciclos de irradiação. As alterações morfológicas promovidas pela irradiação do canal revelaram fusão da dentina e obliteração dos túbulos dentinários especialmente no terço apical, em ambas as condições de irradiação. A irradiação do canal radicular pelo laser de diodo reduziu significativamente o grau de infiltração marginal apical nos canais obturados pelo cimento Apexit (Kruskal Wallis p < 0,05). A prevalência dos anaeróbios viáveis ao final do tratamento foi menor no grupo laser do que no grupo controle, embora não tivesse sido constatada diferença significante entre os grupos (Mann-Whitney p > 0,05). O porcentual de lactobacilos/microrganismos viáveis no início do tratamento foi 22 % reduzindo a zero ao final, no grupo controle. Esse microrganismo não foi detectado no grupo laser. A proporção de Enterococcus/microrganismos viáveis variou de 36 %-50 % no grupo controle, e 22 %-0 % no grupo laser, no início e final do tratamento, respectivamente. Nas condições testadas, os resultados sugerem que o laser de diodo mostrouse uma ferramenta possível de ser incorporada à Endodontia, contudo os efeitos biológicos são similares à terapêutica endodôntica tradicional bem executada.The aim of this study was to evaluate the effects of diode laser irradiation associated with endodontic therapy. The aspects analyzed were: temperature rise at the external root surface, morphological changes at the dentine root walls, apical marginal leakage after root sealing, and microbiological reduction after laser irradiation. The temperature rise in inferior incisor teeth was monitored using a thermographic camera. Two laser treatment parameters were investigated: continuous emission mode (CW) with P = 2.5 W and pulsed emission mode (PL) with average power?P = 1.25 W. The morphological changes of irradiated samples were analyzed by SEM for both treatment modes and compared with a non-irradiated control group. The apical marginal leakage was measured after the immersion in methylene blue solution for irradiated (CW; P = 2.5 W) and non-irradiated samples sealed by one of the following endodontic sealers: N-Rickert, AH Plus or Apexit. The reduction in microbiological activity after conventional endodontic therapy and after laser irradiation was evaluated in primary endodontic infection using culture and PCR techniques, where the control group used conventional 0.5 % NaOCl solution and calcium hydroxide treatment was compared with laser irradiation (CW; P = 2.5 W). The reduction of viable anaerobic microorganisms, the quantity of E. faecalis and Lactobacillus per samples, and the rate of E. faecalis and Lactobacillus per viable microorganism were analyzed. The temperature rise at external root surface during root canal irradiation in both continuous and pulsed emission modes was demonstrated not exceed the safety limit of 10 ºC. The maximum median temperature variation was 8.6 °C (CW) at the continuous emission mode and 1.6 °C at pulsed mode (PL) (Wilcoxon, p < 0.05). The optimal ?resting time? between each of five irradiation cycles was 12 determined to be 20 seconds to allow for tissue cooling and hence to prevent potential dangerous rises in the tissue temperature. SEM analysis revealed melting of dentine and closure of dentinal tubules especially at apical third for both irradiation conditions. The apical marginal leakage was significant reduced in the irradiated samples sealed with Apexit (Kruskal Wallis, p < 0.05). The prevalence of the viable anaerobic microorganisms exhibited reduced with time in both the control and laser groups with no statistical difference (Mann-Whitney p > 0.05). The Lactobacillus rate per viable microorganisms in the control group was 22 % at the beginning of the treatment and decreasing to zero at the end. This microorganism was not detected in laser group. The rate of Enterococcus per viable microorganism ranged 36 % to 50 % in the control group and 22 % to 0 % in laser group at the begin and the end of treatments, respectively. The conclusion is that diode laser technology is suitable for applications in endodontic therapy under the conditions tested in this study, however, the biological effects are similar to well done conventional endodontic therapy.
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Bourgey, Florian. "Stochastic approximations for financial risk computations." Thesis, Institut polytechnique de Paris, 2020. http://www.theses.fr/2020IPPAX052.
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Dans cette thèse, nous examinons plusieurs méthodes d'approximations stochastiques à la fois pour le calcul de mesures de risques financiers et pour le pricing de produits dérivés.Comme les formules explicites sont rarement disponibles pour de telles quantités, le besoin d'approximations analytiques rapides,efficaces et fiables est d'une importance capitale pour les institutions financières.Nous visons ainsi à donner un large aperçu de ces méthodes d'approximation et nous nous concentrons sur trois approches distinctes.Dans la première partie, nous étudions plusieurs méthodes d'approximation Monte Carlo multi-niveaux et les appliquons à deux problèmes pratiques :l'estimation de quantités impliquant des espérances imbriquées (comme la marge initiale) ainsi que la discrétisation des intégrales apparaissant dans les modèles rough pour la variance forward pour le pricing d'options sur le VIX.Dans les deux cas, nous analysons les propriétés d'optimalité asymptotique des estimateurs multi-niveaux correspondants et démontrons numériquement leur supériorité par rapport à une méthode de Monte Carlo classique.Dans la deuxième partie, motivés par les nombreux exemples issus de la modélisation en risque de crédit, nous proposons un cadre général de métamodélisation pour de grandes sommes de variables aléatoires de Bernoulli pondérées, qui sont conditionnellement indépendantes par rapport à un facteur commun X. Notre approche générique est basée sur la décomposition en polynômes du chaos du facteur commun et sur une approximation gaussienne. Les estimations d'erreur L2 sont données lorsque le facteur X est associé à des polynômes orthogonaux classiques.Enfin, dans la dernière partie de cette thèse, nous nous intéressons aux asymptotiques en temps court de la volatilité implicite américaine et les prix d'options américaines dans les modèles à volatilité locale. Nous proposons également une approximation en loi de l'indice VIX dans des modèles rough pour la variance forward, exprimée en termes de proxys log-normaux et dérivons des résultats d'expansion pour les options sur le VIX dont les coefficients sont explicitesIn this thesis, we investigate several stochastic approximation methods for both the computation of financial risk measures and the pricing of derivatives.As closed-form expressions are scarcely available for such quantities, %and because they have to be evaluated daily, the need for fast, efficient, and reliable analytic approximation formulas is of primal importance to financial institutions.We aim at giving a broad overview of such approximation methods and we focus on three distinct approaches.In the first part, we study some Multilevel Monte Carlo approximation methods and apply them for two practical problems: the estimation of quantities involving nested expectations (such as the initial margin) along with the discretization of integrals arising in rough forward variance models for the pricing of VIX derivatives.For both cases, we analyze the properties of the corresponding asymptotically-optimal multilevel estimatorsand numerically demonstrate the superiority of multilevel methods compare to a standard Monte Carlo.In the second part, motivated by the numerous examples arising in credit risk modeling, we propose a general framework for meta-modeling large sums of weighted Bernoullirandom variables which are conditional independent of a common factor X.Our generic approach is based on a Polynomial Chaos Expansion on the common factor together withsome Gaussian approximation. L2 error estimates are given when the factor X is associated withclassical orthogonal polynomials.Finally, in the last part of this dissertation, we deal withsmall-time asymptotics and provide asymptoticexpansions for both American implied volatility and American option prices in local volatility models.We also investigate aweak approximations for the VIX index inrough forward variance models expressed in termsof lognormal proxiesand derive expansions results for VIX derivatives with explicit coefficients
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Farmer, R. E. "Application of marginal structural models with inverse probability of treatment weighting in electronic health records to investigate the benefits and risks of first line type II diabetes treatments." Thesis, London School of Hygiene and Tropical Medicine (University of London), 2017. http://researchonline.lshtm.ac.uk/4646129/.
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Background: Electronic healthcare records (EHRs) provide opportunities to estimate the effects of type two diabetes (T2DM) treatments on outcomes such as cancer and cardiovascular disease. Marginal structural models (MSMs) with inverse probability of treatment weights (IPTW) can correctly estimate the causal effect of time-varying treatment in the presence of time-dependent confounders such as HbA1c. Dynamic MSMs can be used to compare dynamic treatment strategies. This thesis applies weighted MSMs and dynamic MSMs to explore risks and benefits of early-stage T2DM treatments, and considers the practicalities/impact of using these models in a complex clinical setting with a challenging data source. Methods and Findings: A cohort of patients with newly diagnosed T2DM was identified from the Clinical Practice Research Datalink. MSMs with IPTW were used to estimate the causal effect of metformin monotherapy on cancer risk, and the effects of metformin and sulfonylurea monotherapies on risks of MI, stroke, all-cause mortality, and HbA1c trajectory. Dynamic MSMs were implemented to compare HbA1c thresholds for treatment initiation on risks of MI, stroke, all-cause mortality (ACM) and glucose control. No association was found between metformin use and cancer risk. Metformin and sulfonylureas led to better HbA1c control than diet only, as expected, and there was some evidence of reduced MI risk with long-term metformin use. Changes in estimates between standard models and weighted models were generally in the expected direction given hypothesised time-dependent confounding. For stroke and ACM, results were less conclusive, with some suggestions of residual confounding. Higher HbA1c thresholds for treatment initiation reduced the likelihood of reaching target HbA1c, and there was a suggestion that higher initiation thresholds increased MI risk. Conclusions: Fitting weighted MSMs and dynamic MSMs was feasible using routine primary care data. The models appeared to work well in controlling for strong time-dependent confounding with short-term outcomes; results for longer-term outcomes were less conclusive.
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Castro, Ana Catarina Teixeira. "Valuation of non-life claims provision and the capital requirement for reserve risk." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12905.
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Mestrado em Ciências ActuariaisForam selecionados alguns métodos para calcular as provisões para sinistros, assim como as correspondentes medidas de variabilidade, tendo em consideração os princípios de avaliação de Solvência II. Para além de a literatura existente sobre provisões para sinistros ser bastante diversificada, decidimos focarmo-nos apenas nalguns dos métodos mais usados e explorados. Sendo eles: o modelo de Thomas Mack, o modelo de Bühlmann-Straub e o modelo linear generalizado com distribuição de sobre-dispersão de Poisson. O cálculo do requisito de capital do risco de provisões também foi efetuado através da implementação e comparação de diferentes abordagens, sendo eles: a fórmula padrão com e sem utilização dos parâmetros específicos da empresa e um modelo interno parcial. Por último, foram ainda implementadas duas simplificações para calcular a margem de risco. Tais métodos são baseadas na abordagem de custo de capital e referem-se às duas primeiras simplificações da hierarquia dos modelos simplificados para calcular a margem de risco estabelecidos nas orientações da EIOPA sobre a avaliação das provisões técnicas. No final, foi apresentado um caso de estudo onde se aplicou as metodologias implementadas e algumas análises de sensibilidade a uma amostra de dados para a linha de negócio Automóvel - Responsabilidade Civil.
A few selected methods to assess claims provision are applied including the corresponding variability measures, considering the Solvency II valuation principles. Besides the literature on claims reserving is very much diversified, we decided to focus on some of the methods more commonly used and explored. Being them: the Thomas Mack's model, the Bühlmann-Straub model and the Over-Dispersed Poisson Generalized Linear Model. The calculation of the reserve risk capital charge was also focused by implementing and comparing different approaches, being them: the standard formula with and without undertaking specific parameters and a partial internal model. Lastly, two different simplifications to calculate the risk margin were pursued. Such approaches are based on the cost-of-capital method and refer to the first and second simplifications of the hierarchy of simplified methods to calculate the risk margin set out in EIOPA guidelines on the valuation of technical provisions. In the end, a case study involving the methodologies implemented and some sensitivity analysis were applied to a sample of data for Motor Vehicle Liability line of business.
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Cruz, Maria Carlota Gonçalves Porto. "Evaluation of the technical provisions of insurance contracts under IFRS 17." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19429.
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Mestrado em Actuarial ScienceA adoção da IFRS 17 a um de Janeiro de 2022 introduz um dos maiores desafios recentemente enfrentados pelas empresas de seguros. A compreensão das mudanças inerentes à sua introdução, bem como os possíveis impactos no mercado segurador, tornou-se preocupação geral do mercado, alvo de intensa discussão e investigação. Devido ao seu cariz internacional, a IFRS 17 é desenvolvida num contexto de requisitos não prescritivos, baseado em princípios. No entanto, a sua natureza levanta algumas questões na salvaguarda do level-playing field que é desejado. A subjetividade implícita em componentes chave para a mensuração de contratos de seguros, tal como as taxas de desconto e o risk adjustment for non-financial risk, pode ser motivo de heterogeneidade no seio do reporte financeiro. Motivado pelo ambiente de incerteza inerente à adoção do IFRS 17, o presente relatório procura mitigar alguns dos requisitos subjacentes à avaliação das provisões técnicas de contractos de seguros. Adicionalmente, compreende uma discussão ao nível do alcance dos seus principais objetivos, incluindo a transparência, comparabilidade e consistência do reporte financeiro de contractos de seguro. Este relatório é o resultado da investigação realizada ao longo de seis meses no âmbito de um estágio curricular na Autoridade de Supervisão de Seguros e Fundos de Pensões.
The implementation of IFRS 17 on the first of January 2022 brings one of the biggest challenges recently being faced by insurers. The understanding of the upcoming changes and their impact on the insurance sector became a global market concern, subjected to extensive discussion and investigation. Due to its international relevance, IFRS 17 is set-up on a principles-based framework. However, this raises some uncertainty in safeguarding the level-playing field that is aimed. In fact, the subjectivity underlying some key components for the measurement of insurance contracts, such as the discount rates and the risk adjustment for non-financial risk, may be the cause of heterogeneity within insurance reporting. Motivated by the environment of concern that underlies IFRS 17, the present report aims to assess its requirements within the evaluation of technical provisions of insurance contracts, while understanding possible large macro impacts that its adoption implies. It further comprises a discussion on the likelihood of the regime to satisfy its intended goals, including the transparency, comparability and consistency of insurance reporting. This is the outcome of the six-month curricular internship at Autoridade de Supervisão de Seguros e Fundos de Pensões.
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Ordaz, Irian. "A probabilistic and multi-objective conceptual design methodology for the evaluation of thermal management systems on air-breathing hypersonic vehicles." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/26478.
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Thesis (Ph.D)--Aerospace Engineering, Georgia Institute of Technology, 2009.Committee Chair: Mavris, Dimitri N.; Committee Member: German, Brian J.; Committee Member: Osburg, Jan; Committee Member: Ruffin, Stephen M.; Committee Member: Schrage, Daniel P.. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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ZINNANTI, Cinzia. "DEALING WITH RISK IN AGRICULTURE: A CROP LEVEL ANALYSIS AND MANAGEMENT PROPOSAL FOR ITALIAN FARMS." Doctoral thesis, Università degli Studi di Palermo, 2020. http://hdl.handle.net/10447/395466.
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Risk management plays a critical role in agriculture, which is particularly exposed to multiple and heterogeneous risk factors. In addition to the traditional basic risks that generally characterize any business venture, agriculture faces external factors, generally difficult to control and with a strong impact on farm profitability. These are firstly environmental (pests and diseases) and climatic conditions that affect the quantity and quality of agricultural production, but also the structural constraints of the agricultural market, which is characterised by a high degree of supply rigidity, price volatility and inelasticity of demand. This leads to the need to implement risk management tools, some of which aimed at income stabilization (already in place by many years in other countries, i.e. the USA and Canada) and requiring the active participation of the farmer on the one hand and of the institutional system on the other.
In order to suggest risk management solutions to Italian farmers, this thesis makes efforts in simulating the feasibility of a risk management tool introduced in the EU with Regulation (EU) No 2017/2393 but not yet implemented: the sector-specific Income Stabilization Tool.
This is based on a public-private partnership and is managed by a mutual fund steered by associated farmers. These latter pay an annual contribution to become eligible for receiving indemnities when experiencing a severe income drop. Unlike others that are limited to covering specific types of risk, this tool makes it possible to look at the farmer's entire income risk considering the correlation among several sources of risk (particularly between production level and prices).
This thesis provides first a theoretical background on risk analysis and risk management in agriculture (concepts, classification, literature and methodology). Second, the role of policies within the European Union framework and, Italy, in particular, has been viewed by analysing the normative framework and the reference context of insurance instruments in agriculture. Subsequently, since assessing farm profitability and economic risk is important to support farmers’ decisions about investments and whether or not to join the insurance instruments, an explorative analysis on profitability and riskiness of a perennial crop in Italy, such as hazelnut, has been done. Finally, the implementation of a sector-specific
3
Income Stabilization Tool for the crop investigated has been suggested by following this structure:
- assessment of the profitability and risk of hazelnut production, in the four main production areas in Italy;
- assessment of the most important parameters generating risk;
- simulation of the feasibility of using an income risk management tool to make supply and demand able to interact and its impact on the level and riskiness of farm income;
- assessment of the geographical scale at which the Income Stabilization Tool scheme could be implemented.
Using data from the Italian Farm Accountancy Data Network on hazelnut producing farms, a downside risk analysis showed that riskiness is distributed in different ways on the entire country with sensitivity on yield risk affecting farmers' income level and economic risk. The simulation implemented in this study demonstrates the tool could reduce substantially the risk faced by hazelnut farmers in Italy. The additional public support is essential in case of joining the tool. In addition, in view of the differences within the Italian territory, the farmers’ payments should be differentiated based on the requisites and the specific climatic and environmental characteristics of each region. Concurrently, recourse to a national mutual fund would make it possible to benefit from the principle of risk pooling.
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Vicente, Ana Teresa Roquete de Sousa. "Requisitos de capital e solvência II: uma aplicação ao seguro automóvel." Master's thesis, Instituto Superior de Economia e Gestão, 2007. http://hdl.handle.net/10400.5/779.
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Mestrado em Ciências ActuariaisOs mais recentes desenvolvimentos em torno do mercado europeu único, a ocorrência de diversos escândalos financeiros e a volatilidade dos mercados financeiros criaram novas exigências regulamentares para os serviços financeiros. Para o mercado segurador encontra-se em desenvolvimento o projecto Solvência II, que tem por objectivo principal estabelecer um sistema de solvência coerente, que capte adequadamente os riscos de todos os tipos de negócios. Este novo sistema, não obstante estar a desenvolver uma fórmula standard de determinação dos requisitos de capital das empresas de seguros, dá a oportunidade às próprias companhias de definirem o seu modelo interno de solvência de acordo com as suas especificidades. A presente dissertação pretende formular um modelo interno de solvência que determine a margem de risco incluída no requisito de capital de uma empresa de seguros que explora o seguro Automóvel, calculado tendo em consideração a medida de risco Value-at-Risk e o método Custo do Capital. Para o efeito, apresentam-se os objectivos e as definições do Solvência II, expõe-se o modelo standard estabelecido pelo QIS3 e formula-se o modelo alternativo de solvência, sendo para tal definidos os diversos factores de risco considerados, estudada a sua modelação individual e respectiva agregação. Os modelos apresentados são aplicados a uma seguradora não vida, calculando-se a margem de risco e as responsabilidades ao justo valor. Por último, efectua-se a comparação de ambos os modelos, retiram-se conclusões e apresentam-se propostas de investigação futura.
Recent developments towards a general single EU market as well as turbulences in the financial markets lead to increase financial services regulation. The Solvency II project that has been in progress for the insurance market, which aims to provide a coherent framework with consistent solvency measures across all types of the insurance business. This new framework, besides develop a standard approach to define capital requirements of the insurance business, gives the possibility to use internal risk models constructed by the insurers for their specific needs. This dissertation considers the Automobile branch of an insurer and formulates an internal solvency model that calculates the risk margin enclosed in the capital requirement, taking in account the Value-at-Risk and the Cost of Capital approach. First, we outline the characteristics of Solvency II, and according with this project we introduce the standard model defined by Third Quantitative Impact Study. Also, we formulate the alternative solvency model, namely through the definition of the risk factors involved, its explanation and aggregation. The models presented are tested in a general insurance company, where the risk margin and the fair value of liabilities are calculated. Finally, we compare both models, take conclusions and suggest important areas of future research.