Dissertations / Theses on the topic 'Risk management – Mathematical models'
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Basak, Rishi. "Environmental management systems and the intra-firm risk relationship." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0034/MQ64316.pdf.
Full textGu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.
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Mathematics
Doctoral
Doctor of Philosophy
Liu, Binbin, and 刘彬彬. "Some topics in risk theory and optimal capital allocation problems." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199291.
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Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.
Full textLi, Tang, and 李唐. "Markov chain models for re-manufacturing systems and credit risk management." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203700.
Full textTerciyanli, Erman. "Alternative Mathematical Models For Revenue Management Problems." Master's thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/12610711/index.pdf.
Full textRong, Yian, and 戎軼安. "Applications of comonotonicity in risk-sharing and optimal allocation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/207205.
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Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.
Full textHao, Fangcheng, and 郝方程. "Options pricing and risk measures under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B4714726X.
Full textWei, Zhenghong. "Empirical likelihood based evaluation for value at risk models." HKBU Institutional Repository, 2007. http://repository.hkbu.edu.hk/etd_ra/896.
Full text蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.
Full textKwok, Ho King Calvin Actuarial Studies Australian School of Business UNSW. "Energy price modelling and risk management." Awarded by:University of New South Wales. Actuarial Studies, 2007. http://handle.unsw.edu.au/1959.4/40602.
Full textLi, Yuming. "Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models." Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/26110.
Full textBusiness, Sauder School of
Graduate
Li, Xiaofei 1972. "Three essays on the pricing of fixed income securities with credit risk." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84523.
Full textLiao, Mingwei, and 廖明瑋. "Futures hedging on both procurement risk and sales risk under correlated prices and demand." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206683.
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Industrial and Manufacturing Systems Engineering
Master
Master of Philosophy
Leboho, Nakedi Wilson. "Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96980.
Full textENGLISH ABSTRACT : Equity-based insurance guarantees also known as unit-linked annuities are annuities with embedded exotic, long-term and path-dependent options which can be categorised into variable and equity indexed annuities, whereby investors participate in the security markets through insurance companies that guarantee them a minimum of their invested premiums. The difference between the financial options and options embedded in equity-based policies is that financial ones are financed by the option buyers’ premiums, whereas options of the equity-based policies are financed by also continuous fees that follow the premium paid first by the policyholders during the life of the contracts. Other important dissimilarities are that equity-based policies do not give the owner the right to sell the contract, and carry not just security market related risk, but also insurance related risks such as the selection rate, behavioural, mortality, others and the systematic longevity. Thus equity-based annuities are much complicated insurance products to precisely value and hedge. For insurance companies to successfully fulfil their promise of eventually returning at least initially invested amount to the policyholders, they have to be able to measure and manage risks within the equity-based policies. So in this thesis, we do fair pricing of the variable and equity indexed annuities, then discuss management of financial market and insurance risks management.
AFRIKAANSE OPSOMMING : Aandeel-gebaseerde versekering waarborg ook bekend as eenheid-gekoppelde annuiteite is eksotiese, langtermyn-en pad-afhanklike opsies wat in veranderlike en gelykheid geindekseer annuiteite, waardeur beleggers neem in die sekuriteit markte deur middel van versekering maatskappye wat waarborg hulle ’n minimum van geklassifiseer kan word hulle belˆe premies. Die verskil tussen die finansi¨ele opsies en opsies is ingesluit in aandele-gebaseerde beleid is dat die finansi¨ele mense is gefinansier deur die opsie kopers se premies, terwyl opsies van die aandele-gebaseerde beleid word deur ook deurlopende fooie wat volg op die premie wat betaal word eers deur die polishouers gefinansier gedurende die lewe van die kontrakte. Ander belangrike verskille is dat aandele-gebaseerde beleid gee nie die eienaar die reg om die kontrak te verkoop, en dra nie net markverwante risiko sekuriteit, maar ook versekering risiko’s, soos die seleksie koers, gedrags, sterftes, ander en die sistematiese langslewendheid. So aandeel-gebaseerde annuiteite baie ingewikkeld versekering produkte om presies waarde en heining. Vir versekeringsmaatskappye suksesvol te vervul hul belofte van uiteindelik ten minste aanvanklik belˆe bedrag terug te keer na die polishouers, hulle moet in staat wees om te meet en te bestuur risiko’s binne die aandeel-gebaseerde beleid. So in hierdie tesis, ons doen billike pryse van die veranderlike en gelykheid geïndekseer annuiteite, bespreek dan die bestuur van finansiele markte en versekering risiko’s bestuur.
Deng, Hui, and 鄧惠. "Mean-variance optimal portfolio selection with a value-at-risk constraint." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B41897213.
Full textXu, Yihua, and 許意華. "Procurement risk management using commodity futures: a multistage stochastic programming approach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37823413.
Full textSagi, Jacob S. "Partial ordering of risky choices : anchoring, preference for flexibility and applications to asset pricing." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0019/NQ56611.pdf.
Full textBrizendine, Laora Dauberman. "Low probability-high consequence considerations in a multiobjective approach to risk management." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-07112009-040353/.
Full textZhu, Dongming 1963. "Asymmetric heavy-tailed distributions : theory and applications to finance and risk management." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102854.
Full textLiu, Guochun. "Value at risk models for a nonlinear hedged portfolio." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0430104-155045.
Full textRouah, Fabrice. "Essays on hedge funds, operational risk, and commodity trading advisors." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103290.
Full textIn addition to refining estimates of survival time, it is useful to examine how the double fee structure of hedge funds and Commodity Trading Advisors (CTA) affects the incentives of their managers. Young CTAs are usually very small --- they hold few financial assets --- and may not meet their operating expenses with their management fee alone, so their incentive is to take on risk and post good returns. As they grow, their incentive to take on risk diminishes. CTAs in their fifth year diminish their volatility by 25 percent relative to their first year, and diminish returns by 70 percent. We find CTAs to behave more like indexers as they grow, concerned with more with capital preservation than asset management.
Operational risk is a major cause of hedge fund and CTA liquidation. In the banking industry, regulators have called upon institutions to develop models for measuring capital charge for operational losses, and to subject these models to stress testing. Losses are found to be inversely related to GDP growth, and positively related to unemployment. Since losses are thus cyclical, one way to stress test models is to calculate capital charge during good and bad economic regimes. We find loss distributions to have thicker tails during bad regimes. One implication is that banks will likely need to increase their capital charge when economic conditions deteriorate.
Ni, Jian, and 倪剑. "Commodity procurement risk management using futures contracts: a dynamic financial hedging approach withmultistage rebalancing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B46587949.
Full textShi, Li, and 时莉. "Long-term commodity procurement risk management using futures contracts: a dynamic stack-and-rollapproach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B49858749.
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Industrial and Manufacturing Systems Engineering
Doctoral
Doctor of Philosophy
Shi, Yuan, and 石园. "A portfolio approach to procurement planning and risk hedging under uncertainty." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44905051.
Full textMaj, Mateusz. "Essays in risk management: conditional expectation with applications in finance and insurance." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209668.
Full textDoctorat en Sciences
info:eu-repo/semantics/nonPublished
Galane, Lesiba Charles. "The risk parity approach to asset allocation." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95974.
Full textENGLISH ABSTRACT: We consider the problem of portfolio's asset allocation characterised by risk and return. Prior to the 2007-2008 financial crisis, this important problem was tackled using mainly the Markowitz mean-variance framework. However, throughout the past decade of challenging markets, particularly for equities, this framework has exhibited multiple drawbacks. Today many investors approach this problem with a 'safety first' rule that puts risk management at the heart of decision-making. Risk-based strategies have gained a lot of popularity since the recent financial crisis. One of the 'trendiest' of the modern risk-based strategies is the Risk Parity model, which puts diversification in terms of risk, but not in terms of dollar values, at the core of portfolio risk management. Inspired by the works of Maillard et al. (2010), Bruder and Roncalli (2012), and Roncalli and Weisang (2012), we examine the reliability and relationship between the traditional mean-variance framework and risk parity. We emphasise, through multiple examples, the non-diversification of the traditional mean-variance framework. The central focus of this thesis is on examining the main Risk-Parity strategies, i.e. the Inverse Volatility, Equal Risk Contribution and the Risk Budgeting strategies. Lastly, we turn our attention to the problem of maximizing the absolute expected value of the logarithmic portfolio wealth (sometimes called the drift term) introduced by Oderda (2013). The drift term of the portfolio is given by the sum of the expected price logarithmic growth rate, the expected cash flow, and half of its variance. The solution to this problem is a linear combination of three famous risk-based strategies and the high cash flow return portfolio.
AFRIKAANSE OPSOMMING: Ons kyk na die probleem van batetoewysing in portefeuljes wat gekenmerk word deur risiko en wins. Voor die 2007-2008 finansiele krisis, was hierdie belangrike probleem deur die Markowitz gemiddelde-variansie raamwerk aangepak. Gedurende die afgelope dekade van uitdagende markte, veral vir aandele, het hierdie raamwerk verskeie nadele getoon. Vandag, benader baie beleggers hierdie probleem met 'n 'veiligheid eerste' reël wat risikobestuur in die hart van besluitneming plaas. Risiko-gebaseerde strategieë het baie gewild geword sedert die onlangse finansiële krisis. Een van die gewildste van die moderne risiko-gebaseerde strategieë is die Risiko- Gelykheid model wat diversifikasie in die hart van portefeulje risiko bestuur plaas. Geïnspireer deur die werke van Maillard et al. (2010), Bruder and Roncalli (2012), en Roncalli and Weisang (2012), ondersoek ons die betroubaarheid en verhouding tussen die tradisionele gemiddelde-variansie raamwerk en Risiko- Gelykheid. Ons beklemtoon, deur middel van verskeie voorbeelde, die niediversifikasie van die tradisionele gemiddelde-variansie raamwerk. Die sentrale fokus van hierdie tesis is op die behandeling van Risiko-Gelykheid strategieë, naamlik, die Omgekeerde Volatiliteit, Gelyke Risiko-Bydrae en Risiko Begroting strategieë. Ten slotte, fokus ons aandag op die probleem van maksimering van absolute verwagte waarde van die logaritmiese portefeulje welvaart (soms genoem die drif term) bekendgestel deur Oderda (2013). Die drif term van die portefeulje word gegee deur die som van die verwagte prys logaritmiese groeikoers, die verwagte kontantvloei, en die helfte van die variansie. Die oplossing vir hierdie probleem is 'n lineêre kombinasie van drie bekende risiko-gebaseerde strategieë en die hoë kontantvloei wins portefeulje.
Kim, Joocheol. "Stochastic programming approach to asset liability management under uncertainty." Diss., Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/25324.
Full textEroglu, Fatma Esra. "Service Models For Airline Revenue Management Problems." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613490/index.pdf.
Full textShahverdyan, Sergey. "Model free optimisation in risk management." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:6ae9525e-1120-448b-89a2-1670955eb833.
Full textLiu, Min, and 劉敏. "Energy allocation with risk management in electricity markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B29335978.
Full textPang, Long-fung, and 彭朗峯. "Semi-static hedging of guarantees in variable annuities under exponential lévy models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B43572224.
Full textYuan, Jiangchuan. "Risk diversification framework in algorithmic trading." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/51905.
Full textWalljee, Raabia. "The Levy-LIBOR model with default risk." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96957.
Full textENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide more flexibility and also capture more of the ’real world’ dynamics of the model. Hence the use of Lévy processes for financial modelling is a motivating factor behind this research presentation. As a starting point a framework for the LIBOR market model with dynamics driven by a Lévy process instead of the classical Brownian motion setup is presented. When modelling LIBOR rates the use of a more realistic driving process is important since these rates are the most realistic interest rates used in the market of financial trading on a daily basis. Since the financial crisis there has been an increasing demand and need for efficient modelling and management of risk within the market. This has further led to the motivation of the use of Lévy based models for the modelling of credit risky financial instruments. The motivation stems from the basic properties of stationary and independent increments of Lévy processes. With these properties, the model is able to better account for any unexpected behaviour within the market, usually referred to as "jumps". Taking both of these factors into account, there is much motivation for the construction of a model driven by Lévy processes which is able to model credit risk and credit risky instruments. The model for LIBOR rates driven by these processes was first introduced by Eberlein and Özkan (2005) and is known as the Lévy-LIBOR model. In order to account for the credit risk in the market, the Lévy-LIBOR model with default risk was constructed. This was initially done by Kluge (2005) and then formally introduced in the paper by Eberlein et al. (2006). This thesis aims to present the theoretical construction of the model as done in the above mentioned references. The construction includes the consideration of recovery rates associated to the default event as well as a pricing formula for some popular credit derivatives.
AFRIKAANSE OPSOMMING : In onlangse jare, is die gebruik van Lévy-prosesse as ’n modellerings instrument baie meer gunstig gevind as die gebruik van die klassieke Brownse bewegingsproses opstel. Die rede hiervoor is dat hierdie prosesse meer buigsaamheid verskaf en die dinamiek van die model wat die praktyk beskryf, beter hierin vervat word. Dus is die gebruik van Lévy-prosesse vir finansiële modellering ’n motiverende faktor vir hierdie navorsingsaanbieding. As beginput word ’n raamwerk vir die LIBOR mark model met dinamika, gedryf deur ’n Lévy-proses in plaas van die klassieke Brownse bewegings opstel, aangebied. Wanneer LIBOR-koerse gemodelleer word is die gebruik van ’n meer realistiese proses belangriker aangesien hierdie koerse die mees realistiese koerse is wat in die finansiële mark op ’n daaglikse basis gebruik word. Sedert die finansiële krisis was daar ’n toenemende aanvraag en behoefte aan doeltreffende modellering en die bestaan van risiko binne die mark. Dit het verder gelei tot die motivering van Lévy-gebaseerde modelle vir die modellering van finansiële instrumente wat in die besonder aan kridietrisiko onderhewig is. Die motivering spruit uit die basiese eienskappe van stasionêre en onafhanklike inkremente van Lévy-prosesse. Met hierdie eienskappe is die model in staat om enige onverwagte gedrag (bekend as spronge) vas te vang. Deur hierdie faktore in ag te neem, is daar genoeg motivering vir die bou van ’n model gedryf deur Lévy-prosesse wat in staat is om kredietrisiko en instrumente onderhewig hieraan te modelleer. Die model vir LIBOR-koerse gedryf deur hierdie prosesse was oorspronklik bekendgestel deur Eberlein and Özkan (2005) en staan beken as die Lévy-LIBOR model. Om die kredietrisiko in die mark te akkommodeer word die Lévy-LIBOR model met "default risk" gekonstrueer. Dit was aanvanklik deur Kluge (2005) gedoen en formeel in die artikel bekendgestel deur Eberlein et al. (2006). Die doel van hierdie tesis is om die teoretiese konstruksie van die model aan te bied soos gedoen in die bogenoemde verwysings. Die konstruksie sluit ondermeer in die terugkrygingskoers wat met die wanbetaling geassosieer word, sowel as ’n prysingsformule vir ’n paar bekende krediet afgeleide instrumente.
Wagenaar, Elmien. "A mathematical approach to financial allocation strategies." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/52648.
Full textBlatt, Sharon L. "An in-depth look at the information ratio." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0824104-155216/.
Full textChristoforidou, Amalia. "Regime-switching option pricing models." Thesis, University of Glasgow, 2015. http://theses.gla.ac.uk/6684/.
Full textLi, Xin. "Monte Carlo methods in calculating value at risk." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2148276.
Full textHakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.
Full textChun, So Yeon. "Hybrid is good: stochastic optimization and applied statistics for or." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/44717.
Full textBabenko, V. A. "Dynamical models of the minimax program management of innovation processes in interprises with risks." Thesis, NTU "KhPI", 2016. http://repository.kpi.kharkov.ua/handle/KhPI-Press/26209.
Full textDicks, Anelda. "Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85674.
Full textENGLISH ABSTRACT: Accurate estimation of Value at Risk (VaR) and Expected Shortfall (ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be large. Traditional models to estimate VaR and ES are investigated. Following usual practice, 99% 10 day VaR and ES measures are calculated. A comprehensive theoretical background is first provided and then the models are applied to the Africa Financials Index from 29/01/1996 to 30/04/2013. The models considered include independent, identically distributed (i.i.d.) models and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) stochastic volatility models. Extreme Value Theory (EVT) models that focus especially on extreme market returns are also investigated. For this, the Peaks Over Threshold (POT) approach to EVT is followed. For the calculation of VaR, various scaling methods from one day to ten days are considered and their performance evaluated. The GARCH models fail to converge during periods of extreme returns. During these periods, EVT forecast results may be used. As a novel approach, this study considers the augmentation of the GARCH models with EVT forecasts. The two-step procedure of pre-filtering with a GARCH model and then applying EVT, as suggested by McNeil (1999), is also investigated. This study identifies some of the practical issues in model fitting. It is shown that no single forecasting model is universally optimal and the choice will depend on the nature of the data. For this data series, the best approach was to augment the GARCH stochastic volatility models with EVT forecasts during periods where the first do not converge. Model performance is judged by the actual number of VaR and ES violations compared to the expected number. The expected number is taken as the number of return observations over the entire sample period, multiplied by 0.01 for 99% VaR and ES calculations.
AFRIKAANSE OPSOMMING: Akkurate beraming van Waarde op Risiko (Value at Risk) en Verwagte Tekort (Expected Shortfall) is krities vir die bestuur van ekstreme mark risiko’s. Hierdie risiko’s kom met klein waarskynlikheid voor, maar die finansiële impakte is potensieel groot. Tradisionele modelle om Waarde op Risiko en Verwagte Tekort te beraam, word ondersoek. In ooreenstemming met die algemene praktyk, word 99% 10 dag maatstawwe bereken. ‘n Omvattende teoretiese agtergrond word eers gegee en daarna word die modelle toegepas op die Africa Financials Index vanaf 29/01/1996 tot 30/04/2013. Die modelle wat oorweeg word sluit onafhanklike, identies verdeelde modelle en Veralgemeende Auto-regressiewe Voorwaardelike Heteroskedastiese (GARCH) stogastiese volatiliteitsmodelle in. Ekstreemwaarde Teorie modelle, wat spesifiek op ekstreme mark opbrengste fokus, word ook ondersoek. In hierdie verband word die Peaks Over Threshold (POT) benadering tot Ekstreemwaarde Teorie gevolg. Vir die berekening van Waarde op Risiko word verskillende skaleringsmetodes van een dag na tien dae oorweeg en die prestasie van elk word ge-evalueer. Die GARCH modelle konvergeer nie gedurende tydperke van ekstreme opbrengste nie. Gedurende hierdie tydperke, kan Ekstreemwaarde Teorie modelle gebruik word. As ‘n nuwe benadering oorweeg hierdie studie die aanvulling van die GARCH modelle met Ekstreemwaarde Teorie vooruitskattings. Die sogenaamde twee-stap prosedure wat voor-af filtrering met ‘n GARCH model behels, gevolg deur die toepassing van Ekstreemwaarde Teorie (soos voorgestel deur McNeil, 1999), word ook ondersoek. Hierdie studie identifiseer sommige van die praktiese probleme in model passing. Daar word gewys dat geen enkele vooruistkattingsmodel universeel optimaal is nie en die keuse van die model hang af van die aard van die data. Die beste benadering vir die data reeks wat in hierdie studie gebruik word, was om die GARCH stogastiese volatiliteitsmodelle met Ekstreemwaarde Teorie vooruitskattings aan te vul waar die voorafgenoemde nie konvergeer nie. Die prestasie van die modelle word beoordeel deur die werklike aantal Waarde op Risiko en Verwagte Tekort oortredings met die verwagte aantal te vergelyk. Die verwagte aantal word geneem as die aantal obrengste waargeneem oor die hele steekproefperiode, vermenigvuldig met 0.01 vir die 99% Waarde op Risiko en Verwagte Tekort berekeninge.
Rahantamialisoa, Tahirivonizaka Fanirisoa Zazaravaka. "Interest rates market and models after the 2007 credit crunch." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/20413.
Full textENGLISH ABSTRACT: The interest rates market has changed dramatically since the 2007 credit crunch with the explosion of basis spreads between rates of different tenors and currencies. Consequently, the classical replication of FRA rates with spot LIBOR rates is no longer valid. Moreover, the 2007 credit crunch yields a separation between the curve used for discounting and the forward or projection curves that estimate all future cash-fl ows. Another impact of the credit crunch in risk management is that market participants have started to give more importance to the difference between collateralized and uncollateralized trades. Nowadays, the wide spread use of collateral, especially in swap contracts, has made the overnight index swap (OIS) rate the appropriate benchmark for discounting collateralized trades. Inspired by the seminal works of Mercurio (2010a,b), Kijima et al. (2008), Fujii et al. (2011), Bianchetti (2010b), with the contributions of other authors, and motivated by the evolution of the interest rates market and models, this thesis examines a new framework that uses multiple-curves to value interest rate derivatives which is compatible with the current market practice. Firstly, we discuss the roots of the 2007 credit crunch and its serious consequences for pricing interest rate derivatives. We underscore the necessity of a multiple-curve pricing framework for interest rate derivatives. This is followed by a discussion on the importance of collateralization and OIS discounting in pricing Over-The-Counter (OTC) derivatives. The central part of the thesis discusses the modern theoretical framework and the practical implementation of the multiple curve pricing method. We present a bootstrapping algorithm used to construct and fit the multiple-yield curves to market prices of plainvanilla contracts. Secondly, starting with the single-currency economy, the extended version of the LIBOR Market Model, developed by Mercurio (2010a,b), which proposes a joint model of FRA rates, implied forward rates and their corresponding spread is investigated. Analogously, the extended version of short-rate model in a multiple-curve setup and in the presence of basis spread, proposed by Kijima et al. (2008), is presented and discussed. This work provides a detailed analysis of these extensions and the corresponding closed formulae for liquid products such as caps and swaptions. Finally, in the multiple-currencies case, the HJM model with stochastic basis spreads, introduced by Fujii et al. (2011), consistent with the foreign exchange and cross-currency swaps markets that includes the effect of collateralization is examined thoroughly.
AFRIKAANSE OPSOMMING: Die rentekoers mark het dramaties verander sedert die 2007 krediet krisis met 'n ontplo ng van basisverspreidings tussen koerse van verskillende looptye ("tenor") en geldeenhede. As gevolg, is die klassieke replikasie van FRA koerse met LIBOR sigkoerse nie langer geldig nie. Verder het die 2007 kredietkrisis 'n skeiding veroorsaak tussen die kromme wat gebruik word vir diskontering en die voorwaardse of vooruitskattings krommes wat toekomstige kontantvloei voorspel. 'n Verdere impak van die kredietkrisis in risikobestuur is dat mark deelnemers begin het om meer klem te lê op verskille tussen aangevulde en onaangevulde handel. Deesdae, met die algemene gebruik van kollaterale sekuriteit, veral in ruiltransaksiekontrakte, is die oornagse indeks ruiltransaksie (overnight index swap, OIS) koers die geskikte maatstaf om aangevulde handel te diskonteer. Geïnspireer deur die gedagteryke werk van Mercurio (2010a,b), Kijima et al. (2008), Fujii et al. (2011), Bianchetti (2010b), met bydrae van menige outeurs, en gemotiveer deur die evolusie van die rentekoers markte en modelle, ondersoek hierdie tesis 'n nuwe raamwerk wat multikrommes gebruik om rentekoers afgeleide effekte te waardeer wat versoenbaar is met die lopende mark praktyk. Eerstens, bespreek ons die oorsake van die 2007 kredietkrisis en die ernstige nagevolge vir die waardering van rentekoers afgeleide effekte. Ons beklemtoon die noodsaaklikheid van 'n multikromme waarderings raamwerk vir rentekoers afgeleide effekte. Dit word gevolg deur 'n bespreking oor die belangrikheid van aanvulling en OIS diskontering in die waardering van oor-die-toonbank (over-the-counter, OTC) effekte. Die teoretiese raamwerk en die praktiese implimentering van die multikromme waarderings metode word bespreek. Ons stel ook ten toon 'n skoenlus ("bootstrapping") algoritme wat gebruik kan word om meervoudige opbrengs krommes saam te stel en die dan te pas op mark pryse van vanielje kontrakte. Tweedens, met 'n enkel geldeenheid ekonomie as beginpunt, word die uitgebreide weergawe van die LIBOR Mark Model (ontwikkel deur Mercurio (2010a,b), wat 'n gesamentlike model van FRA koerse voorstel), geïmpliseerde termyn koerse en hul ooreenstemmende verspreiding bestudeer. Ooreenkomstig word die uitgebreide weergawe van die kort koers model in 'n multikromme opset en in die aanwesigheid van basisspreiding (voorgestel deur Kijima et al. (2008)) uiteengesit en bespreek. Hierdie werk verskaf 'n uitvoerige analise van hierdie uitbreidings en die ooreenstemmende geslote formules vir vloeibare produkte soos perke en ruiltransaksie opsies. Ten slotte, in die multi-geldeenheid geval, word die HJM model met stogastiese basisverspreiding (voorgestel deur Fujii et al. (2011)), nie-strydig met buitelandse valuta en kruisvaluta ruiltransaksie markte wat die effekte van aanvulling insluit word deuglik bestudeer.
Castro, Carlos. "Essays in dependence and optimality in large portfolios." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210186.
Full textmodeling and estimating the dependence structure for a large portfolio of assets using rating data.
In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.
The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
"The term structure of credit risk." Thesis, 2000. http://library.cuhk.edu.hk/record=b6073914.
Full textHu Wen-wei.
"August 2000."
Adviser: Jia He.
Source: Dissertation Abstracts International, Volume: 61-08, Section: A, page: 3284.
Thesis (Ph.D.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (p. 93-111).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Abstracts in English and Chinese.
School code: 1307.
"Multi-period cooperative investment game with risk." 2008. http://library.cuhk.edu.hk/record=b5893772.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 89-91).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Background --- p.1
Chapter 1.2 --- Aims and objectives --- p.2
Chapter 1.3 --- Outline of the thesis --- p.3
Chapter 2 --- Literature Review --- p.6
Chapter 2.1 --- Portfolio Optimization Problems --- p.6
Chapter 2.2 --- Cooperative Games and Cooperative Investment Models --- p.8
Chapter 2.2.1 --- Linear Production Games And Basic Concepts of Co- operative Game Theory --- p.9
Chapter 2.2.2 --- Investment Models Using Linear Production Games --- p.12
Chapter 3 --- Multi-period Cooperative Investment Games: Basic Model --- p.15
Chapter 3.1 --- Cooperative Investment Game under Deterministic Case --- p.16
Chapter 3.2 --- Cooperative Investment Game with Stochastic Return --- p.18
Chapter 3.2.1 --- Basic Assumptions --- p.18
Chapter 3.2.2 --- Choose the Proper Risk Measure --- p.20
Chapter 3.2.3 --- One Period Case --- p.21
Chapter 3.2.4 --- Multi-Period Case --- p.23
Chapter 4 --- The Two-Period Investment Game under L∞ Risk Measure --- p.26
Chapter 4.1 --- The Two Period Model --- p.26
Chapter 4.2 --- The Algorithm --- p.35
Chapter 4.3 --- Optimal Solution of the Dual --- p.41
Chapter 5 --- Primal Solution and Stability of the Core under Two-Period Case --- p.43
Chapter 5.1 --- Direct Results --- p.44
Chapter 5.2 --- Find the Optimal Solutions of the Primal Problem --- p.46
Chapter 5.3 --- Relationship between A and the Core --- p.53
Chapter 5.3.1 --- Tracing out the efficient frontier --- p.54
Chapter 6 --- Multi-Period Case --- p.63
Chapter 6.1 --- Common Risk Price and the Negotiation Process with Concave Risk Utility --- p.64
Chapter 6.1.1 --- Existence of Common Risk Price and Core --- p.65
Chapter 6.1.2 --- Negotiation Process --- p.68
Chapter 6.2 --- Modified Simplex Method --- p.71
Chapter 7 --- Other Risk Measures --- p.76
Chapter 7.1 --- The Downside Risk Measure --- p.76
Chapter 7.1.1 --- Discrete (Finite Scenario) Distributions --- p.78
Chapter 7.1.2 --- General Distributions --- p.81
Chapter 7.2 --- Coherent Risk Measure and CVaR --- p.83
Chapter 8 --- Conclusion and Future Work --- p.87
"Modeling financial risk: from uni- to bi-directional." 2005. http://library.cuhk.edu.hk/record=b5892708.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 69-73).
Abstracts in English and Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Credit risk modeling --- p.3
Chapter 1.2 --- Uniqueness of bi-directional: hybrid system --- p.4
Chapter 1.3 --- Scope of the study --- p.5
Chapter 2 --- Literature Review --- p.6
Chapter 2.1 --- Statistical / Empirical approach --- p.6
Chapter 2.2 --- Structural approach --- p.8
Chapter 3 --- Background --- p.10
Chapter 3.1 --- Merton structural default model --- p.10
Chapter 3.2 --- Cross-sectional regression analysis (CRA) --- p.15
Chapter 3.3 --- Neural network learning (NN) --- p.16
Chapter 3.3.1 --- Single-layer network --- p.17
Chapter 3.3.2 --- Multi-layer perceptron (MLP) --- p.20
Chapter 3.3.3 --- Back-propagation network --- p.22
Chapter 3.3.4 --- "Supervised, unsupervised and combine unsupervised-supervised learning" --- p.23
Chapter 3.4 --- Weaknesses of uni-directional modeling --- p.23
Chapter 4 --- Methodology --- p.26
Chapter 4.1 --- Bi-directional modeling --- p.26
Chapter 4.2 --- Asset price estimation --- p.31
Chapter 4.3 --- Quantifying accounting data noise --- p.33
Chapter 5 --- Proposed Model --- p.37
Chapter 5.1 --- Core of the model --- p.37
Chapter 5.2 --- Feature selection --- p.41
Chapter 5.3 --- Bi-directional default neural system --- p.44
Chapter 6 --- Implementations --- p.49
Chapter 6.1 --- Data preparation --- p.50
Chapter 6.2 --- Experiment --- p.51
Chapter 6.3 --- Empirical results --- p.61
Chapter 6.3.1 --- Predicted spreads from the uni-directional models --- p.61
Chapter 6.3.2 --- Predicted spreads from the proposed bi-directional model --- p.63
Chapter 6.3.3 --- Performance comparison --- p.64
Chapter 7 --- Conclusions --- p.67
Bibliography --- p.69
"Portfolio selection under downside risk measure and distributional uncertainties." 2004. http://library.cuhk.edu.hk/record=b5892126.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 76-78).
Abstracts in English and Chinese.
Abstract --- p.i
Acknowledgements --- p.iii
Table of Contents --- p.v
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Literature review --- p.4
Chapter 3 --- The semi-mean target tracking model --- p.9
Chapter 3.1 --- Introduction --- p.9
Chapter 3.2 --- The robust optimization problem --- p.11
Chapter 3.3 --- Portfolio selection methods --- p.14
Chapter 3.3.1 --- Jensen's inequality approach --- p.15
Chapter 3.3.2 --- The robust optimization approach --- p.17
Chapter 3.3.3 --- Empirical method --- p.22
Chapter 3.4 --- How to evaluate a portfolio? --- p.24
Chapter 3.4.1 --- Tight bounds --- p.24
Chapter 3.4.2 --- The semidefinite programming bounds --- p.25
Chapter 3.4.3 --- Conclusions --- p.28
Chapter 3.5 --- Numerical results --- p.29
Chapter 3.5.1 --- The analysis of the data --- p.29
Chapter 3.5.2 --- Jensen's inequality approach --- p.31
Chapter 3.5.3 --- The robust optimization approach --- p.34
Chapter 3.5.4 --- The empirical linear programming method --- p.34
Chapter 3.6 --- Comparisons and conclusions --- p.39
Chapter 4 --- The semi-variance target tracking model --- p.45
Chapter 4.1 --- Introduction --- p.45
Chapter 4.2 --- The portfolio selection methods --- p.46
Chapter 4.2.1 --- The robust optimization method --- p.47
Chapter 4.2.2 --- The empirical method --- p.50
Chapter 4.3 --- Evaluating a selected portfolio --- p.52
Chapter 4.3.1 --- Computing SDP bounds --- p.52
Chapter 4.3.2 --- Conclusions --- p.55
Chapter 4.4 --- Numerical results --- p.55
Chapter 4.4.1 --- The robust optimization method --- p.56
Chapter 4.4.2 --- The empirical second order cone programming method --- p.61
Chapter 4.4.3 --- Comparisons and conclusions --- p.61
Chapter 4.5 --- Summary and future work --- p.69
Appendix A --- p.70
Bibliography --- p.76
Khatywa, Thembalethu. "Mathematical models of credit management and credit derivatives." Thesis, 2010. http://hdl.handle.net/11394/3529.
Full textThe first two chapters give the background, history and overview of the dissertation, together with the necessary mathematical preliminaries. Thereafter, the next four chapters deal with credit risk and credit derivatives.The final part of the dissertation is devoted to the Basel II bank regulatory framework and the mathematical modeling of asset allocation in bank management, pertaining to credit risk.Credit risk models can be categorized into two groups known as structural models and reduced form models. These models are used in pricing and hedging credit risk. In this thesis we review a variety of credit risk instruments described by models of the said types. One of the strategies utilized by companies to mitigate credit risk is by using credit derivatives.In this thesis, five main types of risk derivatives have been considered: credit swaps, credit linked notes, credit spreads, total return swaps and collaterized debt obligations. Valuation models for the first three derivatives that are mentioned above, are also presented in this dissertation.The material presented include some of the most recent developments in the literature. Our methods range from single-period modeling to application of stochastic optimal control theory. We expand on the material presented from the literature by way of simplifying or clarifying proofs, and by adding illustrative examples in the form of calculations, tables and simulations.Also, the entire Chapter 6 is a new original contribution to the existing literature on mathematical modeling of credit risk. Key words: credit risk; default risk; structural approach; reduced form approach; incomplete information approach; investment strategy; Basel II regulatory framework