Tesis: "The Financial System3"

1

Montagna, Mattia [Verfasser]. "Systemic Risk in Modern Financial Systems / Mattia Montagna". Kiel : Universitätsbibliothek Kiel, 2016. http://d-nb.info/1102933074/34.

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2

Balasubramaniam, Anitha. "Financial modeling of new product development economics". Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90707.

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Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, Engineering Systems Division, System Design and Management Program, 2014.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 85-86).
Product design and development is a complex process that involves extensive engineering considerations as well as management decisions based on the overall vision for the product. Traditionally, most decision making in product development is experienced based and intuitive. With increased scrutiny on cost and a need for greater speed to market, product development processes have been continuously streamlined to become more efficient. Therefore, firms are now required to carefully plan and allocate their resources to effectively respond to market needs. In this thesis, illustrated using a case study of a Nespresso coffee product line, a framework is presented to capture and analyze the financial factors relating to the profitability of a product development project. The methodology can assist product managers better understand the financial aspects of product development and help make more effective and objective project decisions. It can also help companies manage their product portfolio decision making process and prepare for new opportunities.
by Anitha Balasubramaniam.
S.M. in Engineering and Management

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3

Boukari, Mamane. "La théorie de la libéralisation financière face aux enjeux du financement du développement en Afrique subsaharienne". Thesis, Bordeaux, 2014. http://www.theses.fr/2014BORD0376/document.

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Dimension à la question du financement du développement, qui se décline à travers une approche large du financement intégrant les principaux domaines d’action : mobilisation des ressources financières internes et autres apports de capitaux externes (investissements directs, aide publique au développement, allègement de la dette, envois des migrants) et enfin, révision du système monétaire et financier international. L’enjeu de cette thèse consiste à analyser cette approche du financement qui repose sur le concept de libéralisation financière. L’objectif est dans un premier temps de mettre en évidence le rôle de la finance dans le développement économique à travers l’étude des liens de causalité entre finance et développement économique. Ensuite, nous revisitons les politiques de libéralisation financière en mettant en avant l’étude de leur impact à travers l’analyse des ressources internes et externes pour le financement du développement en Afrique subsaharienne. L’analyse portera sur la mobilisation des ressources domestiques par le système fiscal et la mobilisation des ressources externes par la libéralisation du système financier domestique. Enfin, au regard de l’état de sous-développement financier combiné au sous-développement économique de ces pays, nous montrons la nécessité de recourir à une autre approche du financement qui se veut plus globale. Cette politique alternative passe par des politiques issues de l’hétérodoxie économique intégrant les éléments de l’institutionnalisme historique et de la théorie postkeynésienne
Conference on Financing for Development in Monterrey in 2002 brings a new dimension to the issue of financing for development, which is available across a broad funding approach integrating key areas: mobilizing domestic financial resources and other inputs external capital (direct investment, official development assistance, debt relief, remittances from migrants) and finally, review the international monetary and financial system. The aim of this thesis is to analyze this funding approach based on the concept of financial liberalization. The aim is firstly to highlight the role of finance in economic development through the study of causality between finance and economic development. Next, we revisit the financial liberalization policies by emphasizing the study of their impact through the analysis of internal and external resources for financing development in Sub-Saharan Africa. The analysis will focus on mobilizing domestic resources through the tax system and the mobilization of external resources through the liberalization of the domestic financial system. Finally, under the condition of combined financial underdevelopment in the economic underdevelopment of these countries, we show the need for a different approach to financing that is more comprehensive. This alternative policy through political from economic heterodoxy integrating elements of historical institutionalism and post-Keynesian theory

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4

Ergin, Nil Hande. "Architecting system of systems: artificial life analysis of financial market behavior". Diss., Rolla, Mo. : University of Missouri-Rolla, 2007. http://scholarsmine.umr.edu/thesis/pdf/Ergin_Nil_Hande_diss_09007dcc8037ea4c.pdf.

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Thesis (Ph. D.)--University of Missouri--Rolla, 2007.
Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed November 27, 2007) Includes bibliographical references (p. 124-137).

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5

Chireshe, Jaison. "Financial development, health care system financing and health outcomes: Evidence from sub-Saharan Africa". University of the Western Cape, 2018. http://hdl.handle.net/11394/6691.

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Philosophiae Doctor - PhD
This thesis purposes to examine the impact of financial development on health outcomes, health care expenditure and financial protection in health in 46 selected sub-Saharan African (SSA) countries from 1995 to 2014. It also estimates the impact of health care expenditure on health outcomes. The thesis is premised on the hypothesis that health care expenditure is a critical transmission mechanism through which financial development leads to better health outcomes. The health care expenditure channel is conspicuously absent in the literature on financial development and health outcomes; hence the need for this study to fill the gap in the literature. The thesis explores the effects of both depth and access dimensions of financial development on health outcomes, expenditure and financial protection. Throughout the study, financial access is measured by the number of automated teller machines (ATMs) and commercial bank branches per 100 000 people, while financial depth is measured by the proportion of broad money and bank credit to the private sector, to Gross Domestic Product (GDP). The study uses fixed and random effects and the Two-Stage Least Squares estimation approaches. The Generalised Method of Moments (GMM) is also used to estimate the impact of health care expenditure and health outcomes given the absence of valid instrumental variables. The results of the regression analyses show that financial development leads to increased health care expenditure and health outcomes. The analysis also shows that health care expenditure leads to better health outcomes. Additionally, the study indicates that financial development leads to financial protection in health care by reducing out-of-pocket health care expenditure. Well-developed financial systems provide financial protection from the risk of catastrophic health care expenditure and impoverishment resulting from illness. The study shows that health care systems financed through prepaid mechanisms reduce neonatal, infant and under-five mortality rates and increase life expectancy, while those relying on out-of-pocket expenditure have adverse effects on health outcomes.

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6

Addo, Baidoo Samuel Edwin. "Regulatory Effects on Traditional Financial Systems Versus Blockchain and Emerging Financial Systems". ScholarWorks, 2019. https://scholarworks.waldenu.edu/dissertations/7109.

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The expansion of the Internet led to disruptive business and consumer processes, as existing regulations do not cover the scope and scale of emerging financial technologies. Using organization economic theory as the foundation, the purpose of this correlational study was to examine and compare the financial regulatory impact on traditional and emerging financial systems across a variety of factors including organizational type, predicted users, operational concerns, reasons for cost increases, and changes in business practices as a result of the regulatory environment. Data were collected through a survey of 227 adult Americans who engage in the financial sector and are familiar with the US regulatory environment. Data were analyzed using descriptive statistics, cross tabulations, and statistical significance was tested using Lambda and Kendall's Tau c. The key finding of this study is that the effects of regulations are different for the traditional and emerging financial systems, showing the need to develop and implement policies that are context specific to the emerging financial systems. The recommendations from the study include suggestions to regulatory agencies to regulate and support emerging financial systems in line with new technology that envisions efficiency and economic fairness. The positive social change implications for this study include the development of a strategy that can ensure economic stability, reduce irregularities, and strengthen investments with a view of protecting the financial system from breakdown.

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7

Peterein, Scott (Scott Thomas). "U.S. Coast Guard financial management : a systems approach to business process reengineering". Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/107349.

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Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, School of Engineering, Institute for Data, Systems, and Society, System Design and Management Program, 2014.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 110-112).
The United States Coast Guard (USCG) is undertaking an enterprise-wide Financial Management Business Process Re-Engineering (FM BPR) effort that will transform its delivery of financial management services which support worldwide operations and mission support activities. The planned changes will include deployment of new commercial-off-the-shelf financial management software, and simultaneous changes to USCG organizational structures and FM processes. Proposed changes to the USCG FM system are intended to bring the Service into compliance with Federal standards for financial operations, while simultaneously improving delivery of financial business support to end users. This thesis applies Dr. Nancy Leveson's System Theoretic Process Analysis (STPA) safety methodology to perform a hazard analysis on aspects of the re-engineered (future state) business processes to help ensure the system can deliver its intended performance. Application of STPA on the USCG FM system was conducted with the aid of the Safety Hazard Analysis Tool (SafetyHAT) software released in March 2014 by the Volpe National Transportation Systems Center. SafetyHAT is intended to aid users in performing hazard analysis using STPA. The use of SafetyHAT for this thesis research is its first application outside of the Volpe Center and transportation domain. Recommendations for tailoring the tool to the financial management and other domains are proposed. The application of STPA on targeted aspects of the USCG FM system identified 205 causal factors for potential system hazards. Recommendations to appropriately remediate the causal factors are proposed based on systems theory principles and tools. Recommended improvements include robust feedback and communication channels illustrated using the system control diagram used to perform STPA. System dynamics modeling is also used to quantitatively illustrate the non-linear interactions that exist in the USCG FM system, and how the system design will affect its performance over time. The simulations show that if the causal factors identified using STPA are not addressed, the FM system may fail to achieve its intended performance. Other recommendations include the expanded use of system dynamic modeling to inform future design decisions for the USCG FM system, including trade-offs driven by resource limitations, as the re-engineering effort progresses.
by Scott Peterein.
S.M. in Engineering and Management

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8

Ota, Tomohiro. "Essays on financial systems". Thesis, University of Warwick, 2008. http://wrap.warwick.ac.uk/2734/.

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It is said among historians, that there are two remarkable innovations in modern finance: deposit banking in southern Europe and negotiable bills in northern Europe, especially Antwerp. Although negotiable bills are as important as deposit banking (because they became a foundation of modern commercial banking and stock markets), they are not often studied. Part I of the thesis studies indirect loan contracts which do not rely on either bank-specific technologies or legal protection. It focuses on the concept of negotiability and explains its characteristics, including the substitutability of deposit banking and negotiable bills. Negotiable bills, or resaleable bills, can be interpreted as an indirect loan contract. The buyer of the bill, i.e. the initial lender, can re-sell the bill to a third party to satisfy his liquidity needs. So the initial issuer of the bill borrows from a third party, through the initial lender (acting as an intermediary). Previous studies have focused on direct loan contracts: between banks and borrowers, depositors and banks, or suppliers and buyers. There are few papers studying the incentive problems faced by all three players. To fill this gap, in Chapter Two, we study indirect loan contracts that a lender and a borrower can make only through an intermediary agent, where the borrower and the lender cannot observe any transaction between the other two. Under this severe information asymmetry, the existence of loan contracts as a sequential equilibrium is proved, although they are less efficient compared with direct loan contracts. In Chapter Three, we consider role of collateral in improving efficiency. Chapter Four concludes, summarising the characteristics of these contracts: only less risky borrowers can issue negotiable bills and riskier borrowers need to seek a direct relationship with lenders (or, they are rationed). In the 1990s, the Japanese economy experienced a prolonged recession, the so-called ’lost decade’. It is discussed that a cause of the problem was the ”zombie lending” problem: chronic loss-making firms (zombies) still obtained finance from their banks. Part II of the thesis aims to address the following issues with a microeconomic model. Firstly, why did banks not liquidate bankrupt borrowers? Secondly, how did it affect macroeconomic productivity? And thirdly, how did it affect the procyclicality of land prices as in Kiyotaki and Moore(1997)’s credit cycle? A bank, in this model, has an incentive not to liquidate insolvent borrowers: the liquidation of collateral asset (land) will invite the collapse of land market and the bank has to bear a large loss. The loss may make the bank under-capitalised and force it to close its business. The bank, to avoid the forced closure, does not liquidate insolvent borrowers. This ”zombie borrowers” occupy their land unused, and the bank can squeeze land supply to push up land price: the bank’s own capital is then kept higher than it should be. In the final chapter, based on this model, optimal post-crisis policies are discussed by comparing two options; public capital injection and toxic asset purchasing scheme.

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9

Zhao, Liang. "System identification for complex financial system". Thesis, University of Sheffield, 2011. http://etheses.whiterose.ac.uk/14654/.

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The mam purpose of this thesis focuses on the investigation of major financial volatility models including the relevant mean model used in the context of volatility estimation, and the development of a systematic nonlinear identification methodology for these problems. Financial volatility is one of the key aspects in financial economics and volatility modelling involves both the mean process modelling, and the volatility process modelling. Although many volatility models have been derived to approximate the volatility process, linear mean models are almost always used and to the best of our knowledge there is no application of fitting the mean process using a nonlinear model with selected structure. Based on the fact that nonlinearity has been observed in many financial market return data sets, the Non linear AutoRegression Moving Average with eXogenous input (NARMAX) modelling methodology with the term selection algorithm Orthogonal Forward Regression (OFR) is proposed to approximate the nonlinear mean process during volatility modelling. However, the assumption of a constant variance is usually violated in financial market return data. A new Weighted OFR algorithm is therefore proposed to correct for the impact of heteroskedastic noise on the term selection of the nonlinear mean model based on the assumption that the variance process is modelled by a Generalized AutoRegressive Conditional Heteroskedastic (GARCH) model. Because the weights to use are unknown, an iterative refined procedure is developed to learn the weights and to simultaneously improve the parameter estimates of both the mean and the volatility models. New validation methods are proposed to validate the nonlinear selected mean model and the volatility model. During the validation, the assumptions associated with the mean model are tested using a correlation method and the assumptions of the volatility model are tested using a Brock-Dechert-Scheinkrnan (80S) independent and identically distributed (i.i.d.) testing method. The prediction performance of the mean and volatility models is evaluated using a hold out Cross Validation (CV)method. A departure in the prediction of the volatility for the linear mean model, when using nonlinear simulated data, is successfully identified by the new validation methods and the nonlinear selected mean model passes the test. Another application of the NARAMX model, in the very new field of modelling mortality rate, is introduced. A quadratic polynomial mortality rate model selected by the OFR algorithm is developed based on the LifeMetrics male deaths and exposures data for England & Wales from the Office of National Statistics. Comparing the long term prediction of the new model with the Cairns-Blake-Dowd (CSO) statistical mortality rate model indicates the better prediction performance of the quadratic polynomial models. A back-testing method is applied to indicate the robustness of the selected NARMAX type mortality rate models. The term selection, parameter estimation, validation methods and new identification procedures proposed in this thesis open a new gateway to apply the NARMAX modelling technique in the financial area, and for mortality rate modelling to provide a new empirical practice of the NARMAX modelling method.

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10

El, bitar Khalil. "Clearing vectors in financial networks". Thesis, Besançon, 2016. http://www.theses.fr/2016BESA2079/document.

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Le risque systémique menaçant le système financier est une préoccupation majeure pour les régulateurs. Les indicateurs adéquats de risque systémique devraient vraiment les aider à accomplir les lois réglementaires appropriées. La thèse propose un modèle dynamique du système bancaire pour calculer un indicateur de risque systémique de deux composantes :La probabilité d'un évènement déclencheur qui provient de la baisse des prix des actifs, et les pertes correspondantes dans le système Financier.La thèse prouve également l'existence et l'unicité de deux modèles d'équilibre de compensation : Le premier avec un modèle de différentes hiérarchies de dette et le second modèle avec plusieurs stratégies de liquidation
Systemic risk threatening the financial system is a major concern for regulators. Adequate indicators of systemic risk would help them perform appropriate regulatory laws.The thesis proposes a dynamic model of banking system to calculate a systemic risk indicator of two components : The probability of a triggering event originated from external asset price decline, and the corresponding losses through the financial system. The thesis also proves the existence and uniqueness of two clearing equilibrium: the first deals with a model of différent debt seniorities, the second with a model of several illiquid asset following a proportional liquidation strategy

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11

Srivastava, Kumar Abhinav. "Assessing financial well-being of merchants by analyzing behavioral patterns in historical transactions". Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/107348.

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Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, School of Engineering, Institute for Data, Systems, and Society, System Design and Management Program, 2014.
Cataloged from PDF version of thesis.
Includes bibliographical references (page 31).
This study focuses on new approach to estimate financial wellbeing indicators for merchants, by looking at behavioral patterns of their customers in historical transactions. The transaction data for about 10,000 merchants in a specific country, was analyzed in terms of their diversity and propensity of customers for factors like age, distance they travel to shop, time of the day, day of the week, educational status, gender etc. While diversity refers to the variety in the different groups, propensity refers to concentration of customers in specific groups. These factors were used as independent variables to predict the financial well-being of merchants, particularly in two dimensions -total revenue and consistency in revenue, both relative to other merchants in the same industry. The merchants were also divided into the categories of Essential, Nonessential and Luxury goods depending on the industry they belong to and it was interesting to observe the contrast across categories. While the individual correlations were weak but significant, feature selection and classification (using logistic regression) indicate that diversity and propensity for factors of 'Age', 'Time of the day' and 'Day of the week' show reasonable prediction capabilities for total revenue and consistency in revenue for a merchant, as compared to the industry average. These kind of inputs can be very useful from a bank's perspective if an existing business customer of a bank wants to apply for a loan and the bank needs to assess the application. The analysis can be a good augmentation to the current methods or models of determining the financial wellbeing of a merchant. Also, this kind of analysis can bring a fresh perspective to the merchants to look at the customer base and then to target the right customers for achieving the business objectives of above average and consistent revenue streams.
by Kumar Abhinav Srivastava.
S.M. in Engineering and Management

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12

Kingham, Mark. "An adaptive hierarchical fuzzy logic system for modelling and prediction of financial systems". Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 1999. https://ro.ecu.edu.au/theses/1228.

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In this thesis, an intelligent fuzzy logic system using genetic algorithms for the prediction and modelling of interest rates is developed. The proposed system uses a Hierarchical Fuzzy Logic system in which a genetic algorithm is used as a training method for learning the fuzzy rules knowledge bases. A fuzzy logic system is developed to model and predict three month quarterly interest rate fluctuations. The system is further trained to model and predict interest rates for six month and one year periods. The proposed system is developed with first two, three, then four and finally five hierarchical knowledge bases to model and predict interest rates. A Feed Forward Fuzzy Logic system using fuzzy logic and genetic algorithms is developed to predict interest rates for three months periods. A back-propagation Hierarchical Neural Network system is further developed to predict interest rates for three months, six months and one year periods. These two systems are then compared with the Hierarchical Fuzzy Logic system results and conclusions on their accuracy of prediction are compared.

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13

Sriwi, Yusra y Abla Josef Ben. "Finansiella risker : En studie om konkursrisken på nordiska företag". Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-30463.

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Syftet med denna studie är att undersöka huruvida ett lands finansiella system har en effekt på företagssektorns finansiella risker Studien bygger på en kvantitativ ansats där vi samlat in data genom årsredovisningar och annan offentlig marknadsdata. I det empiriska material som togs fram presenterades en förutsägelse för konkurs på över 100 företag under totalt 467 observationer de senaste fem åren (2011-2015). Resultatet visade att företagen i de marknadsorienterade länderna påvisade en högre risk för att hamna i konkurs än de bankorienterade.
The purpose of this study is to investigate whether a country's financial system has an impact on the corporate sector's financial risks. The study is based on a quantitative approach in which we collected data from annual reports and other public market data. In the empirical material that was produced we presented a prediction of bankruptcy over 100 companies with a total of 467 observations over the past five years (2011-2015). The results showed that companies in the marketoriented countries have a higher risk of ending up in bankruptcy than in the bank-oriented countries.

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14

Koffi, Navoki Romain. "Essor des banques étrangères dans les pays émergents : implications en matière de développement et de stabilité du systeme financier". Thesis, Nice, 2014. http://www.theses.fr/2014NICE0038.

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La libéralisation financière a été marquée dans de nombreux pays émergents par l’implantation massive de banques étrangères. A ce jour, les banques étrangères occupent une place dominante dans le secteur bancaire de ces pays et, cela soulève de nombreuses interrogations relatives aux effets sur la stabilité et le développement du système financier. L’objectif de cette thèse est donc d’étudier l’impact des banques étrangères sur l’efficacité du système financier et, de mettre en évidence le rôle de ces banques dans la survenance des crises et la transmission de chocs externes dans les pays émergents. Nous montrons ainsi que les banques étrangères contribuent à améliorer l’efficacité du système financier à travers la transmission de meilleures techniques d’évaluation et de gestion de risque. Cependant, elles sont apparues comme un vecteur de transmission de chocs externes. Cela nous amène, au regard de l’inadéquation du dispositif de surveillance prudentielle, à mettre en avant un cadre de coopération internationale dans la résolution des crises. Il s’agira donc de coordonner l’action collective en impliquant les autorités de régulation, les institutions financières internationales et les acteurs privés que sont notamment les banques de dimension systémique
The financial liberalization in emerging countries has been marked by the growing rate of foreign banks presence. According to the increasing role of foreign banks in emerging markets, the aim of this thesis is to highlight the impacts on financial development and financial stability. It focuses mainly both on the implications of foreign banks competition on the efficiency of the financial system and on the fact that these banks can increase the financial crisis or convey external shocks. We show that foreign banks play a large part in improving financial efficiency through the best practices introduction in risk management. However, these banks have emerged as a vector of external shock transmission. This leads us, given the banking system regulation inadequacy, to promote a greater international cooperation in the crisis resolution based on national regulators, international financial institutions and multinational banks

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15

Spadafora, L. "ADIABATIC CONDITIONS FOR FINANCIAL SYSTEMS". Doctoral thesis, Università degli Studi di Milano, 2011. http://hdl.handle.net/2434/150559.

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In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the fitting parameters of the smile. We show that, considering a scaling law derived from data, it is possible to get a new fitting procedure of the volatility smile that considers also the exponential decay of the real PDF of returns observed in the financial markets. In addiction, we show that this approach based on a volatility smile leads to relative minima for the distribution function ("bad" probabilities) never observed in real data and, in the worst cases, negative probabilities. We show that these undesirable effects can be eliminated by requiring "adiabatic" conditions on the volatility smile. Our study finds application in the Risk Management activities where the tails characterization of financial returns PDF has a central role for the risk estimation.

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16

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

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Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, School of Engineering, System Design and Management Program, Engineering and Management Program, 2016.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 104-107).
Countrywide Financial was acquired by Bank of America on January 11th , 2008 for $4.1 B after losing $1.3B in 2007. Not only was it losing money, its financial prospects at the time looked bleak due to their large stake in subprime mortgages. This effective failure of Countrywide Financial set off a chain of events that eventually ended up almost crippling the global economy in late 2008 into early 2009. It will be shown that the financial crisis hit the housing market hard in 2007-2009 due to low mortgage standards in the preceding few years and an oscillating federal funds rate. Using publically available data from Countrywide Financial, prices of individual mortgage backed securities will be calculated using the standard pricing models and an author-developed simple pricing model that utilizes actual default rates at the time. Using these mortgage backed securities' prices along with a stakeholder value network analysis and system dynamics, it will be shown that Countrywide Financial could have been predicted to fail in the 2007-2008 time period. Suggestions for architecting a new housing market are then given after reviewing what was learned.
by Andrew P. Friedl.
S.M. in Engineering and Management

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17

GUYOT, JIMMY. "Reformation of the International Financial System after the financial crisis". Thesis, Mittuniversitetet, Avdelningen för ekonomivetenskap och juridik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-19566.

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Abu, Seman J. "Financial inclusion : the role of financial system and other determinants". Thesis, University of Salford, 2016. http://usir.salford.ac.uk/42264/.

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The promotion of access to finance is considered as a top priority agenda in many countries. Finding the related and strong factors to enhance financial inclusion is therefore becoming crucial. Despite many studies on the factors associated with financial inclusion, the role of financial system has not been well explored. Leyshon & Thrift (1995) shed new lights on this issue by stating that “Although the criteria for exclusion may vary over time, the financial system has an inherent tendency to discriminate against poor and disadvantaged groups”. This thesis, therefore investigates the role of financial system and other determinants in shaping financial inclusion, based on institutional theory. The design of the study takes account two lacunae in our current understanding of this topic. Firstly, despite the fact that the financial inclusion literature is voluminous, it is perhaps surprising that relatively little research has been carried out on the effect of Islamic finance on financial inclusion, given its possible significant role as one of the contributing factors that creating and shaping financial inclusion. Empirically testing for the effect of Islamic financial sector (as proxied by Islamic banking presence) is challenging because the data on Islamic banking are imperfect since there is no single accepted definition of an Islamic bank nor is there a single and comprehensive database on it. To this juncture, our understanding in this field remains incomplete. Secondly, besides the role of financial system, empirical evidence on the other financial inclusion determinants is relatively lacking and far from conclusive. Notably, a direct or indirect relationships and significance levels are commonly observed. Under the notion of institutional theory, the institutional settings are heterogeneous, and therefore affect the institutional differences and in turn increased structure of the financial inclusion level. In response to these two major issues, this study employs empirical research methods, namely cross-sectional pooled regression, panel data regression, and quantile regression to analyze a set of samples consisting of 80 countries, drawn from the Financial Access Survey (FAS, 2011) over the years 2007 through 2011. The financial inclusion levels are estimated using the cumulative index of financial inclusion (CIFI) which is constructed based on Sarma (2008, 2010) method while the Islamic banking presence variables (i.e., the number, size and profitability of Islamic banks) are used to proxy for the countries’ type of financial system. Although not largely prevalent, using the Islamic banking presence as the proxy for Islamic financial sector has found some empirical support on its relationship with the incidence of financial inclusion. To a certain extent, this thesis presents fresh empirical evidence and renewed interpretation of the role of institutional settings in shaping financial inclusion. As far as the institutional theory is concerned, the use of quantile regression method in the present study represents a novel approach in further investigating the effects of the institutional settings on the levels of financial inclusion. The results reveal that the determinants of financial inclusion, particularly the institutional settings, are heterogeneous across the whole distribution of countries, consistent with the notion of heterogeneity as purported by Zucker (1987) and further extend the view that heterogeneity only evidenced within the organizational level. The findings demonstrate twofold; firstly, institutional settings are shaped and designed to be consistent with financial inclusion enhancement for both at lower and higher level of financial inclusion. Secondly, the quantile regression does not only further supports financial inclusion is institutionally-driven, but more importantly offers renewed insights on the heterogeneity aspect of the institutional theory.

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19

Karan, Boris. "Changes of financial system in the context of financial crisis". Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359881.

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In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial crises and, on the other hand, how the occurrence of financial crises shape the core elements of the financial system. We start by defining the financial crisis from three different perspectives. After it, we present the comprehensive history of financial crises that will allow us to continue by drawing some common patterns that are universal. Universal patterns in crises give us the ground for contemplating on some universal policy responses where we again follow different approaches. Taking into account the specifics of modern times and using the young and promising economy based on the blockchain, we are asking the question is this time different?. Analysis of initial development steps in the digital, trustless world gives us the basis for drawing parallels with the reality and the history. Our results suggest that there are many similarities throughout history and between the real and digital world. Instead of providing an exact answer on the question is this time different we conclude that there is a present strong feeling of Deja vu.

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20

Freund, Christian [Verfasser]. "Financial System Stability / Christian Freund". Kiel : Universitätsbibliothek Kiel, 2017. http://d-nb.info/1135956936/34.

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Антонюк, Наталія Анатоліївна, Наталия Анатольевна Антонюк, Nataliia Anatoliivna Antoniuk, Ірина Йосипівна Плікус, Ирина Иосифовна Пликус, Iryna Yosypivna Plikus y А. Myronova. "Indicators of financial system security". Thesis, Sumy State University, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81036.

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У статті розглянуто показники безпеки фінансової системи.
В статье рассмотрены показатели безопасности финансовой системы.
The article discusses the indicators of the security of the financial system.

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22

Fiorotto, Carlo Isacco <1996&gt. "European system of financial supervision". Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/18745.

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In 2010, the European system of financial supervision (ESFS) has been introduced to assure at macro level the financial supervision necessary for the Member States. The thesis explains the Institutional role of (ESFS) starting with a general overview on microprudential and macroprudential supervision in European markets under the three main themes of financial regulations, informative systems and systematic risks concerned. It will follow a general overview on the functioning of the ESFS bodies, the European Systemic Risk Board (ESRB) and the three European supervisory authorities (ESAs): the European Banking Authority (EBA); the European Securities and Markets Authority (ESMA); the European Insurance and Occupational Pensions Authority (EIOPA). Firstly, analysing the composition of each body, what roles they have in the European context and which are the main directives involved. Then, the focus will move on a practical approach, showing and explaining how ESFS work in concrete and for which power they are entitled among the member states.

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23

Intarachote, Thida. "Financial liberalisation in Thailand". Thesis, Bangor University, 2001. https://research.bangor.ac.uk/portal/en/theses/financial-liberalisation-in-thailand(a9cafc30-bd1a-4046-8642-c0f38cdbaa84).html.

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Financial liberalisation is the process of financial development that reduces the extent of government control over the financial industry. It is argued that a liberalised financial system is a fundamental prerequisite for more efficient allocation of savings and investment, which in turn leads to greater economic growth. Financial liberalisation includes the freeing up of interest rate controls, exchange and capital controls, entry of foreign banks, and the deregulation of banking sector. The latter process, which comprises the deregulation of bank structure and conduct rules and the concomitant reregulation of bank prudential supervision, is generally targetted to improve the efficiency and productivity of banks. On the other hand, financial liberalisation and basic deregulation have also (been) precursors to many banking and financial crises. This study examines the effects of deregulation on the Thai banking sector during 1990- 97 using a two-stage approach. In the first-stage analysis, the relative efficiencies and productivity of each bank in each year are measured using DEA techniques. In the second-stage, regression techniques are used to evaluate the impact of financial deregulation on efficiency and productivity, controlling for bank-specific attributes. The main findings regarding bank efficiency are that on average banks operating in Thailand hardly improved their technical, allocative and cost efficiencies, except in 1996 and 1997. Most banks were better at optimising their input mix than minimising their usage and costs of inputs. There was a clear association between size and cost efficiency for the domestic Thai banks, and on average their cost efficiencies were greater than those of the foreign bank branches, all other things being equal. However, the majority of the banks on the best-practice efficient frontier were foreign, and the smallest Thai banks were the least efficient of all the banks studied. The average productivity of foreign banks increased over the period studied, and this was mainly due to outward shifts of the production frontier each year (technological progress) rather than improvements in relative efficiency. The average productivity of domestic banks did not change over time, as technological progress was offset by moves away from the best-practice frontier. Overall, the evidence for the postulated beneficial effects of deregulation is somewhat mixed. Improvements in total factor productivity were driven by the huge expansion in lending made possible by the liberalisation, but these increases in productivity were mainly achieved by the foreign bank branches whose operations were supported by substantial amounts of financial capital from their parents. Productive efficiency of the domestic banks did improve over the period of study, but these improvements were greatest for the large and medium size banks, thus widening the gap between the most inefficient group of small Thai banks and the rest of the banking sector.

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24

Loo, Siew Lan. "Neural networks for financial forecasting". Thesis, University College London (University of London), 1994. http://discovery.ucl.ac.uk/1317942/.

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Neural networks demonstrate great potential for discovering non-linear relationships in time-series and extrapolating from them. Results of forecasting using financial data are particularly good [LapFar87, Schöne90, ChaMeh92]. In contrast, traditional statistical methods are restrictive as they try to express these non-linear relationships as linear models. This thesis investigates the use of the Backpropagation neural model for time-series forecasting. In general, neural forecasting research [Hinton87] can be approached in three ways: research into, the weight space, into the physical representation of inputs, and into the learning algorithms. A new method to enhance input representations to a neural network, referred to as model sNx, has been developed. It has been studied alongside a traditional method in model N. The two methods reduce the unprocessed network inputs to a value between 0 and 1. Unlike the method in model N, the variants of model sNx, sN1 and sN2, accentuate the contracted input value by different magnitudes. This different approach to data reduction exploits the characteristics of neural extrapolation to achieve better forecasts. The feasibility of the principle of model sNx has been shown in forecasting the direction of the FFSE-100 Index. The experimental strategy involved optimisation procedures using one data set and the application of the optimal network from each model to make forecasts on different data sets with similar and dissimilar patterns to the first. A Neural Forecasting System (NFS) has been developed as a vehicle for the research. The NFS offers historical and live simulations, and supports: a data alignment facility for standardising data files with non-uniform sampling times and volumes, and merging them into a spreadsheet; a parameter specification table for specifications of neural and system control parameter values; a pattern specification language for specification of input pattern formation using one or more time-series, and loading to a configured network; a snapshot facility for re-construction of a partially trained network to continue or extend a training session, or re-construction of a trained network to forecast for live tests; and a log facility for recording experimental results. Using the NFS, specific pattern features selected from major market trends have been investigated [Pring8O]: triple-top ('three peaks'), double-top ('two peaks'), narrow band ('modulating'), bull ('rising') and recovery ('U-turn'). Initially, the triple-top pattern was used in the N model to select between the logarithmic or linear data form for presenting raw input data. The selected linear method was then used in models sN1, sN2 and N for network optimisations. Experiments undertaken used networks of permutations of sizes of input nodes (I), hidden nodes (H), and tolerance value. Selections were made for: the best method, by value, direction, or value and direction, for measuring prediction accuracy; the best configuration function, H - I 4), with 4) equal to 0.9, 2 or 3; and the better of sN1 and sN2. The evaluation parameters were, among others, the prediction accuracy (%), the weighted return (%), the Relative Threshold Prediction Index (RTPI) indicator, the forecast error margins. The RTPI was developed to filter out networks forecasting above a minimum prediction accuracy with a credit in the weighted return (%). Two optimal networks, one representing model sNx and one N were selected and then tested on the double-top, narrow band, bull and recovery patterns. This thesis made the following research conthbutions. • A new method in model sNx capable of more consistent and accurate predictions. • The new RTPI neural forecasting indicator. • A method to forecast during the consolidation ('non-diversifying') trend which most traditional methods are not good at. • A set of improvements for more effective neural forecasting systems.

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25

Hölzl, Werner. "Convergence of financial systems. Towards an evolutionary perspective". Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2003. http://epub.wu.ac.at/334/1/document.pdf.

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This paper provides an evolutionary perspective on financial systems based on complex systems theory. This perspective is used to organize the discussion about the convergence and non-convergence of financial systems. In recent years the discussion about the relative merits and the efficiency of market- and bank-based financial systems is subject to considerable academic and policy debate throughout the world. Bank- and market-based systems are found to give rise to different economic and corporate dynamics. Based on a notion of financial systems as configuration of complementary elements, it is suggested that the convergence of financial systems is best conceptualized as path dependent process of institutional change. This is illustrated with special reference to the recent developments of convergence of financial systems in Europe. The implication of the evolutionary perspective on financial systems is that neither theories using a simple evolutionary argument of survival of the fittest nor theories related to a institutional ossification perspective can provide much guidance for analyzing the transformations of financial systems. A multilevel institutional analysis which takes the interdependencies between national and firm-level institutions explicitly into account is required. (author's abstract)
Series: Working Papers Series "Growth and Employment in Europe: Sustainability and Competitiveness"

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26

Atiq, Zeeshan. "Essays on financial liberalisation, financial crises and economic growth". Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-financial-liberalisation-financial-crises-and-economic-growth(8ebde51d-189b-40e9-a4e1-098b8880301e).html.

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This thesis investigates the impact of financial liberalisation policies on finance-growth relationship and financial crises. Analysis of recent trends and economic performance of financially developed and stable economies raises at least two very important questions that seem to have strong analytical connections. The first question is associated with the link between financial development and economic growth and the second question focuses the possible association between the policies of financial liberalisation and financial vulnerability. In this thesis we aim to shed light on some of the aspects that have gained so much attention from academics and policy makers during the last two decades. First we address whether excessive liberalisation has caused financial development to lose its effectiveness in generating economic growth. We employ a dynamic panel data analysis for 88 countries over the period of 1973 to 2005. Our index for the financial sector liberalisation covers seven aspects: credit controls and reserve requirements, interest rate controls, entry barriers, state ownership, policies on securities markets, banking regulations and restrictions on capital market. We use a comprehensive financial development indicator constructed through principal component analysis of five different indicators: bank private credit to GDP ratio, liquid liability to GDP ratio, deposit money bank assets to total bank assets ratio, deposit money bank assets to GDP ratio, and bank credit to bank deposit ratio. The results indicate that the positive effect of financial development on long-run growth continues to decline as the financial sector becomes more liberalised. Our results are robust to changes in the financial development indicators and the dis-aggregation of the financial liberalisation index. Second, we examine the possibility for an optimal sequence of financial sector reforms that may reduce an economy’s vulnerability to financial crises. We construct a distance measure from the countries that followed a more gradual approach and liberalised their capital account at a later stage. Our analysis shows that the experience of the countries that delayed or followed a very gradual approach for the liberalisation of their capital accounts have high level of implications to those countries that allowed for shock approach or liberalised their capital account before bringing reforms in other sectors.

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27

Spencer, Melissa B. (Melissa Beth). "Engineering financial safety : a system-theoretic case study from the financial crisis". Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72903.

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Thesis (S.M. in Technology and Policy)-- Massachusetts Institute of Technology, Engineering Systems Division, Technology and Policy Program, 2012.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 103-105).
There is currently much systems-based thinking going into understanding safety in complex socio-technical systems and in developing useful accident analysis methods. However, when it comes to complex systems without clear physical components, the techniques for understanding accidents are antiquated and ineffective. This thesis uses a promising new engineering-based accident analysis methodology, CAST (Casual Analysis using STAMP, or Systems Theoretic Accident Models and Processes) to understand an aspect of the financial crisis of 2007-2008. This thesis demonstrates how CAST can be used to understand the context and control problems that led to the collapse and rapid acquisition of the investment bank Bear Stearns in March 2008. It seeks to illustrate the technological and regulatory change that provided the context for the Bear Stearns accidents and then demonstrates how a top-down systematic method of analysis can produce more insight into the accident than traditional financial accident investigations such as congressionally-mandated inquiries.
by Melissa B. Spencer.
S.M.in Technology and Policy

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28

Woodbury, Nathan Scott. "Network Reconstruction and Vulnerability Analysis of Financial Networks". BYU ScholarsArchive, 2017. https://scholarsarchive.byu.edu/etd/6370.

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Passive network reconstruction is the process of learning a structured (networked) representation of a dynamic system through the use of known information about the structure of the system as well as data collected by observing the inputs into a system along with the resultant outputs. This work demonstrates an improvement on an existing network reconstruction algorithm so that the algorithm is capable of consistently and perfectly reconstructing a network when system inputs and outputs are measured without error. This work then extends the improved network reconstruction algorithm so that it functions even in the presence of noise as well as the situation where inputs into the system are unknown. Furthermore, this work demonstrates the capability of the new extended algorithms by reconstructing financial networks from stock market data, and then performing an analysis to understand the vulnerabilities of the reconstructed network to destabilization through localized attacks. The creation of these improved and extended algorithms has opened many theoretical questions, paving the way for future research into network reconstruction.

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29

Manongga, D. H. F. "Using genetic algorithm-based methods for financial analysis". Thesis, University of East Anglia, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.320950.

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Henchiri, Hanène. "Essais sur l'incidence de l'environnement institutionnel sur les décisions financières des firmes". Thesis, Orléans, 2011. http://www.theses.fr/2011ORLE0513/document.

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Les imperfections des marchés financiers et l'incomplétude des contrats financiers compliquent la conclusion d'ententes entre les firmes et les parties prenantes. Plusieurs solutions sont proposées pour réduire ces problèmes et faciliter la conclusion des contrats financiers. Les contrats étant enveloppés par un cadre institutionnel, ils en sont imprégnés et affectés. Les institutions sont donc une des solutions aux imperfections des marchés et à l'incomplétude des contrats. Les résultats de notre étude le prouvent clairement. Cette étude montre que le niveau de développement et la structure du système financier (en particulier la part relative des financements bancaires et de marché), les conditions de régulation du système bancaire (les formes et l’étendue de la supervision) et certaines caractéristiques des systèmes juridiques (la protection des créditeurs), ont un effet significatif sur les contraintes d'investissement. Il apparaît que la bonne qualité des institutions facilite l'accès aux financements et qu'elle renforce les garanties exigées pour l'octroi de la dette. De fait, la piètre qualité des institutions d’un pays constitue une entrave à l'accès au financement par le secteur privé
The imperfections of financial markets and the incompleteness of financial contracts cause commitments between firms and stakeholders to become more complex. Several solutions are suggested in order to reduce such problems and to facilitate the conclusion of financial contracts. Contracts evolve within an institutional structure, an environment by which they are conditioned. Institutions are one of many solutions to market imperfections and to contract incompleteness. Results bring out relevant effects of the financial system’s development and structure (particularly the amount of banking over market financing), banking regulation (the supervisory methods and their extent) and some characteristics of the legal systems (such as creditor protection) on investment constraints. It appears that sound and healthy institutions facilitate access to funding and strengthen the collateral required to secure bank financing. Consequently, poor quality of a country’s institutions hinders access to financing by the private sector

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Pessarossi, Pierre. "Essays on the Chinese financial system". Phd thesis, Université de Strasbourg, 2013. http://tel.archives-ouvertes.fr/tel-01015293.

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This dissertation analyzes the development of the Chinese financial system from different perspectives. It has shed light on the recent advancements of the last decade. Overall, the findings reveal a contrasted picture of the progress achieved towards an efficient system. Chapter 1 has shown that the corporate bond market is still impeded by government influence. Based on this evidence, it is thus very unlikely to expect the banking system to decrease its dominance on the financial system. Chapter 2 also stressed that internal governance mechanisms remain imperfect. By analyzing the market price fluctuations at the time of the announcement of a CEO turnover, we find that ownership type plays a major influence on the expected consequences of such a decision. Chapter 3 revealed that little progress has been made in terms of banking competition despite the increasing number of new entrants in the market. However, banks behaved more efficiently over the decade. No trade-off seems to exist for policy-makers between the benefits of lower banking prices and efficiency of the system. Chapter 4 finally showed the beneficial effects of the capital requirement regulation on bank efficiency in China. Capital requirements, in supplement to provide higher capital buffers, appear to lower moral between banks' shareholders and debtholders.

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32

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

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The global crisis of 2008 challenged the functioning of the financial markets. In the aftershock era numerous repercussions were felt throughout the world, resulting from a plethora of cross-border and cross-entity interdependencies. An initially systemic banking crunch – where cash strapped banks stopped lending, liquidity abruptly dried up, and credit conditions deteriorated – metastasized into a sovereign debt crisis in the euro area which devastated public finances and provoked higher sovereign default risk. Motivated by the intensity, the magnitude and the speed with which shocks propagate in the entire financial system, this thesis presents five essays on applied financial econometrics and financial networks which examine, model and investigate: i) systemic risk and the resilience of the banking industry via employing financial networks and entropy maximization; ii) the role of credit derivatives and the two-way feedback ramification, triggered by government interventions, on financial stability; iii) the symptoms of acute liquidity withdrawal in emerging markets; iv) a Bayesian three state switching regime approach to price financial assets; v) tail risk management with portfolio asymmetries and asset monotonic volatility. More precisely, in Chapter three the Maximum Entropy method is employed to capture systemic risk, the resilience of the banking system in Europe and the propagation of financial contagion in a dynamic financial network framework. As conditions deteriorate, three channels (interbank loan, sovereign, asset-backed loan) trigger severe direct and indirect losses and cascades of defaults, whilst the dominance of the sovereign credit risk channel amplifies, as the primary source of financial contagion in the banking network. Systemic risk within the northern euro area banking system is less apparent, while the southern euro area is more prone and susceptible to bank failures. By modelling the contagion path the results demonstrate that the euro area banking system insists to be markedly vulnerable and conducive to systemic risks, implying that there is a need for additional policies to increase the resilience of the sector. Moreover, the thesis develops a Markov-Switching Bayesian Vector Autoregression (MSBVAR) model in Chapter four to study the two-way feedback hypothesis between credit default swaps and the role of government interventions on financial stability. The results demonstrate that a rise in sovereign debt due to the countercyclical discretionary fiscal policy measures, is perceived by stock markets as a catastrophe on economic growth prospects. Interestingly, government interventions in the banking sector deteriorate the credit risk of sovereign debt, whilst higher risk premium required by investors for holding riskier government bonds depresses the sovereign debt market, and attenuates the collateral value of loans, leading to bank retrenchment. The ensuing two-way banking-fiscal feedback loop indicates that government interventions do not necessarily stabilize the banking sector. Furthermore, the thesis employs several copula functions and the Extreme Value theory in Chapter five, to estimate and quantify joint downside risks and the transmission of shocks in emerging currencies, evolving from domestic emerging stock markets, liquidity (banks’ credit default swaps), credit risk (Volatility Index) and growth (commodity prices) channels. The models measure the time-varying shock spillover intensities to ascertain a significant increase in cross-asset linkages during periods of high volatility which is over and above any expected economic fundamentals, providing strong evidence of asymmetric investor induced contagion, triggered by cross asset rebalancing. The critical role of the credit crisis is amplified, as the beginning of an important reassessment of emerging market currencies which lead to changes in the dependence structure, a revaluation and recalibration of their risk characteristics. Additionally, the thesis employs a Markov-switching vector autoregression (MSVAR) model to capture the transmission of shocks from stock, commodity and credit markets to four shipping indices in Chapter six. By estimating the impulse response functions (IRF), the model identifies the episodes and documents the existence of three regimes and directional spillovers between low, intermediate and high volatility regimes. The estimation results obtained using a Gibbs sampler indicate that the S&P 500, the S&P GSCI, Banks’ CDS and the VIX behave as channels which transform and spread the risk to the shipping market with the propagation of shocks. Interestingly, higher risk premium that is required by investors for holding financial assets depresses the shipping market substantially. Finally, several copula functions are employed to model tail dependence during periods of extreme, asset monotonic volatility and reverse portfolio asymmetry conditions between shipping, stock, commodity and credit markets in Chapter seven. The findings reveal that shocks in the shipping market coincide with dramatic changes in other markets and document the existence of extreme co-movements during severe financial conditions. Lower tail dependence exceeds conditional upper tail dependence, indicating that during periods of economic turbulence, dependence increases and the crisis spreads in a domino fashion, causing asymmetric contagion which advances during market downturns. In the post crisis period the level of dependence drops systematically and shipping assets become more pronouncedly heavy-tailed in downward moves. According to the estimated results accelerated decreases in commodities and prompt variations in volatility, provoke accelerated decreases and function as a barometer of shipping market fluctuations. The global financial crisis has profoundly shaped modern finance. This thesis examines the prominent role of the crisis in financial markets, provides important implications for understanding systemic and liquidity risk, for analysing policies designed to mitigate financial contagion, and for capturing the fluctuations of emerging currencies and financial assets during distress economic conditions.

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33

Zackrisson, Marcus. "Financial systems and the financing of high-technology small firms : the cases of Sweden, Linköping, and Santa Clara County /". Linköping : Univ, 2003. http://www.bibl.liu.se/liupubl/disp/disp2003/arts269s.pdf.

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Zackrisson, Marcus. "Financial systems and the financing of high-technology small firms : the case of Sweden, Linköping, and Santa Clara County /". Linköping : Univ, 2003. http://www.bibl.liu.se/liupubl/disp/disp2003/arts269s.pdf.

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35

Ilin, Thomas. "An evolutionary theory of systemic risk and its mitigation for the global financial system". Thesis, Cranfield University, 2014. http://dspace.lib.cranfield.ac.uk/handle/1826/9285.

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This thesis is the outcome of theory development research into an identified gap in knowledge about systemic risk of the global financial system. It takes a systems-theoretic approach, incorporating a simulation-constructivist orientation towards the meaning of theory and theory development, within a realist constructivism epistemology for knowledge generation about complex social phenomena. The specific purpose of which is to describe systemic risk of failure, and explain how it occurs in the global financial system, in order to diagnose and understand circumstances in which it arises, and offer insights into how that risk may be mitigated. An outline theory is developed, introducing a new operational definition of systemic risk of failure in which notions from evolutionary economics, finance and complexity science are combined with a general interpretation of entropy, to explain how catastrophic phenomena arise in that system. When a conceptual model incorporating the Icelandic financial system failure over the years 2003 – 2008 is constructed from this theory, and the results of simulation experiments using a verified computational representation of the model are validated with empirical data from that event, and corroborated by theoretical triangulation, a null-hypothesis about the theory is refuted. Furthermore, results show that interplay between a lack of diversity in system participation strategies and shared exposure to potential losses may be a key operational mechanism of catastrophic tensions arising in the supply and demand of financial services. These findings suggest new policy guidance for pre-emptive intervention calls for improved operational transparency from system participants, and prompt access to data about their operational behaviour, in order to prevent positive feedback inducing a failure of the system to operate within required parameters. The theory is then revised to reflect new insights exposed by simulation, and finally submitted as a new theory capable of unifying existing knowledge in this problem domain.

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36

Katsargyri, Georgia-Evangela. "Individual and systemic risk trade-offs induced by information barriers in the financial system". Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/108995.

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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2017.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 87-91).
Investment diversification is a risk management technique that allows to create balanced portfolios that achieve a certain rate of return on one's investment, within a certain risk allowance. Despite the advantages it offers to investors, diversification has been strongly debated in the aftermath of the global financial crisis of 2007-2009, because it is believed to have potential adverse effects on systemic risk. In this thesis, we specifically investigate the adverse effects that limited information availability of investors, and the diversification choices they make due to that information, may have on the systemic risk of the financial system as a whole. Information availability here is seen as the level of awareness for each agent of the available options he can employ in order to diversify his portfolio in the given market, examined in terms of two so-called "information barriers": a) assets accessibility, representing private and public information offered to each investor about the available assets in the market, b) agents diversifiability, representing the agent's experience in processing this information in order to make better diversification decisions. Building on an existing stylized financial system model, we enrich it by partitioning the assets and the investors according to their accessibility and diversifiability respectively. Our contribution is threefold; we demonstrate a tradeoff between individual diversification activity and systemic risk induced by the two information barriers, we provide analytical characterization and numerical representation of the conditions under which diversification activity under limited information may amplify systemic risk and finally we observe and highlight a discrepancy that is created between actual and perceived risk for increasing level of information availability in the system.
by Georgia-Evangelia Katsargyri.
Ph. D.

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37

Dang, Hieu. "Essays in Financial Systemic Risk". The Ohio State University, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu1596018496809798.

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Silva, Walmir Geraldo da. "Essays on financial systemic risk". reponame:Repositório Institucional da UnB, 2018. http://repositorio.unb.br/handle/10482/32512.

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Tese (doutorado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade e Gestão Pública, Programa de Pós-Graduação em Administração, 2018.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES).
This dissertation presented to obtain the Ph.D. degree in Business Administration is composed of two articles. The first one presents an analysis of the literature on systemic financial risk. To that end, we analyze and classify 266 articles that were published no later than September 2016 in the databases Scopus and Web of Knowledge; these articles were identified using the keywords “systemic risk”, “financial stability”,“financial”, “measure”, “indicator”, and “index”. They were evaluated based on 10 categories, namely, type of study, type of approach, object of study, method, spatial scope, temporal scope, context, focus, type of data used, and results. The analysis and classification of this literature made it possible to identify the remaining gaps in the literature on systemic risk; this contributes to a future research agenda on the topic. Moreover, the most influential articles in this field of research and the articles that compose the main stream research on systemic financial risk were identified. In the second article, we model an indicator that aims to identify systemic risk in the financial markets. Using 93 assets from different classes and from both developed and emerging countries, we apply principal components analysis (PCA) to calculate an initial indicator that is then submitted to Markov switching (MS) technique. This procedure advances the use of PCA in systemic risk modelling by preventing the need for arbitrary definitions of normal and stressed regimes. Additionally, applying MS to the indicator extracted by PCA from the correlation matrix of a relevant number of assets of various classes supports the argument that the indicator is indeed systemic. The results show that the probabilities that the indicator is under stress, according to the MS model, can be used as a signal of systemic risk. We also verified that the average risk of assets, calculated by the average value-at-risk (VaR), is affected when the series of these assets are separated in the systemic risk and normal regimes. In addition, we measure the performance of the indicator compared to other metrics built with only an asset class, especially stock indices. The results show that our model adequately depicts periods of high systemic risk, being relatively thorough.

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Ballard, Mavourneen W. "Corporate policy management for a financial organization". [Denver, Colo.] : Regis University, 2006. http://165.236.235.140/lib/MBallard2006.pdf.

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Solana, Javier. "All that glitters is not gold : the re-use of securities collateral as a source of systemic risk". Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:4f5df3ab-ca74-425f-9e35-9a25cd8336b6.

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Since the 1980s, regulators in the U.S. and the U.K. have protected the collateral taker's right to re-use securities collateral in securities financing and OTC derivatives markets on the understanding that it would promote liquidity and credit growth, and reduce systemic risk. However, this rationale was incomplete: it failed to acknowledge the full implications of collateral re-use for systemic risk. In this dissertation, I aim to complete that understanding by illustrating how the re-use of securities collateral in those markets can aggravate systemic risk. In particular, I describe two effects. First, re-using securities collateral multiplies the number of market participants that will be exposed to changes in the price of the collateral asset and can thus amplify the role of asset prices as channels of contagion. Second, by conferring a right to re-use, the collateral provider will effectively waive its proprietary interests in the collateral assets and retain a mere contractual claim against the collateral taker for the return of equivalent securities. This transformation will accentuate the incentive of the collateral provider to run from an over-collateralised collateral taker if the latter were to experience financial difficulty. Information asymmetries and a lack of coordination among collateral providers could push the collateral taker over the brink of insolvency. These risks pose an obvious question for regulators: what should we do about collateral re-use? At a time when international bodies are drawing their attention to this widespread market practice, the question is an invitation to a very timely reflection. The final chapter of the dissertation offers an answer to this question and assesses the potential efficacy of the most recent regulatory initiatives in relation to collateral re-use.

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41

Henchiri, Hanène. "Essais sur l'incidence de l'environnement institutionnel sur les décisions financières des firmes". Electronic Thesis or Diss., Orléans, 2011. http://www.theses.fr/2011ORLE0513.

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Les imperfections des marchés financiers et l'incomplétude des contrats financiers compliquent la conclusion d'ententes entre les firmes et les parties prenantes. Plusieurs solutions sont proposées pour réduire ces problèmes et faciliter la conclusion des contrats financiers. Les contrats étant enveloppés par un cadre institutionnel, ils en sont imprégnés et affectés. Les institutions sont donc une des solutions aux imperfections des marchés et à l'incomplétude des contrats. Les résultats de notre étude le prouvent clairement. Cette étude montre que le niveau de développement et la structure du système financier (en particulier la part relative des financements bancaires et de marché), les conditions de régulation du système bancaire (les formes et l’étendue de la supervision) et certaines caractéristiques des systèmes juridiques (la protection des créditeurs), ont un effet significatif sur les contraintes d'investissement. Il apparaît que la bonne qualité des institutions facilite l'accès aux financements et qu'elle renforce les garanties exigées pour l'octroi de la dette. De fait, la piètre qualité des institutions d’un pays constitue une entrave à l'accès au financement par le secteur privé
The imperfections of financial markets and the incompleteness of financial contracts cause commitments between firms and stakeholders to become more complex. Several solutions are suggested in order to reduce such problems and to facilitate the conclusion of financial contracts. Contracts evolve within an institutional structure, an environment by which they are conditioned. Institutions are one of many solutions to market imperfections and to contract incompleteness. Results bring out relevant effects of the financial system’s development and structure (particularly the amount of banking over market financing), banking regulation (the supervisory methods and their extent) and some characteristics of the legal systems (such as creditor protection) on investment constraints. It appears that sound and healthy institutions facilitate access to funding and strengthen the collateral required to secure bank financing. Consequently, poor quality of a country’s institutions hinders access to financing by the private sector

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42

Diaz, Solis David Alejandro. "Financial market monitoring and surveillance systems framework : a service systems and business intelligence approach". Thesis, University of Manchester, 2012. https://www.research.manchester.ac.uk/portal/en/theses/financial-market-monitoring-and-surveillance-systems-frameworka-service-systems-and-business-intelligence-approach(47e568f8-3024-4ca3-8114-5d183be3edb8).html.

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The thesis introduces a framework for analysing market monitoring and surveillance systems in order to provide a common foundation for researchers and practitioners to specify, design, implement, compare and evaluate such systems. The proposed framework serves as a reference map for researchers and practitioners to position their work in the context of market monitoring and surveillance, resulting in a useful instrument for the analysis, testing and management of such systems. More specifically, the thesis examines the new requirements for the operation of financial markets, the role of technologies, the recent consultations on the structure and governance of EU and US markets, as well as, future usage scenarios and emerging technologies. It examines the context in which market monitoring and market surveillance systems are currently been used. It reports on their processes, performance, and on the organisational and regulatory environments in which they exist. Furthermore, it develops a set of taxonomies which cover the majority of the concepts of market manipulation, market monitoring, market surveillance, entities, technologies and actors that are relevant for the work in this thesis. Building on the gaps and limitations of the current systems, it proposes a new framework following the Design Science methodology. The usefulness of the framework is evaluated through four critical case studies, which not only help to understand with practical exercises the way how markets monitoring and surveillance systems work, but also to investigate their weaknesses, potential evolution and ways to improve them. For each case study, the thesis develops a fully working prototype tested using a sample prosecution case and evaluated in terms of the appropriateness and suitability of the proposed framework. Finally, implications relating to policies, procedures and future market structures are discussed followed by suggestions for future research.

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43

Nieves, Rincón Maria de las. "Integrating systems for financial institutions services using composite information systems". Thesis, Massachusetts Institute of Technology, 1987. http://hdl.handle.net/1721.1/61044.

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44

Robertson-Dean, Melanie J. "Transformed statistical distributions with applications to financial data and modelling of financial systems". Thesis, Queensland University of Technology, 2019. https://eprints.qut.edu.au/126394/1/Melanie_Robertson-Dean_Thesis.pdf.

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The ability to model extreme events is important across many applications, including extreme weather events, length of long hospital stays and large price changes in financial markets. This thesis uses statistical methods to describe the chance of extreme events occurring. Different methods for estimating the chance of extreme events are compared, and some new methodologies for describing the chance of these events are presented.

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45

Likhatchev, Anatoly. "Financial trading systems - neural and genetic algorithms". Thesis, McGill University, 2003. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=79035.

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In today's financial markets, when new information is disseminated with lightning speed across the investment community, individual investors turn to trading systems as a way to generate profit. Based primarily on Technical Analysis, a trading system can take advantage of a plethora of advanced modeling tools available today ranging from chart pattern recognition to genetic optimization of technical indicators and trading rules. This paper offers a systematic approach to financial system development involving neural networks and genetic algorithms. A trading system that forecasts S&P500 index is developed and analyzed.

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46

Tay, Joanne Siok Wan. "Corporate financial reporting : regulatory systems and comparability". Thesis, University of Exeter, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.386247.

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47

Kennedy, André. "Finance for all : Envisioning inclusive financial systems". Thesis, Umeå universitet, Designhögskolan vid Umeå universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-150191.

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One of the more pressing long-term concerns for parents of children with a neurodevelopmental disorder (NDD), such as autism, is financial management (Abbott & Marriott, 2012). Few of these people ever manage to attain a level of financial literacy that allows them to become fully independent. Value, in it’s current form, is just too abstract for many (Cheak-Zamora, et al. 2017). This problem is augmented by our financial institutions, who have neglected to offer these groups any form of accessible financial products, rendering any aspirations of becoming “financially independent” by these groups, as unattainable. This is detrimental to their well-being and sense of self. (Abbott & Marriott, 2012). With this in light, this thesis will firstly highlight the obstacles faced by these groups in achieving financial independence, secondly, it will present a new paradigm through which to look at value. A paradigm that understands that money isn’t about a number, but rather the complex social interactions that that govern our liberties as members of society. Finally, this thesis will present an example of a new breed of fiancial system, Olive. Making use of emerging distributed technologies, Olive presents a system that enables us to produce products that recognises the spectrum of needs and abilities our community contains.

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48

STANCIU, MARIA MADALINA. "Artificial Intelligence-Driven Systems for Financial Forecasting". Doctoral thesis, Università degli Studi di Cagliari, 2022. http://hdl.handle.net/11584/333450.

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In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, consequently, have become the norm in financial applications. This thesis proposes a statistical arbitrage trading strategy with two key elements: an ensemble of regression algorithms for asset return prediction, followed by a dynamic asset selection. More specifically, the extreme heterogeneity of the ensemble is achieved by ensuring model diversity using state-of-the-art machine learning algorithms, data diversity by using diverse input features, and method diversity}by using individual models for each asset, as well as models that learn cross-sectional across multiple assets. Moreover, the ensemble is constructed using a novel model selection approach. Then, the predicted results are fed into a quality assurance mechanism that prunes assets that have poor forecasting performance in recent history. However, relying blindly on machine learning algorithms for decision-making can have negative consequences, especially in critical areas such as finance. At the same time, it is well acknowledged that converting data into actionable insights can be a complex task. As a particular example, the practitioners in the financial domain, find it difficult to manage large quantities of data linked to an impressive number of stocks. Given these motivations, this dissertation introduces machine learning approaches based on eXplainable Artificial Intelligence techniques that are integrated into a financial forecasting and trading pipeline. Specifically, there are presented three strategies for excluding irrelevant features for the prediction task, with the goal being to increase the prediction performance not only at the stock level but also globally, at the stock-set level. For the proposed trading strategies, the analysis that was carried out reveals that the use of the feature selection approaches improve the portfolio performance. This is achieved by using only the predictive signals which are less noisy than the original content of the entire feature set while preserving enough information. To demonstrate the utility of the proposed approaches, their performance is evaluated in real-world scenarios, i.e., historical data of stocks composing the S&P500 index or custom stock-set combining various other indexes. The thesis contributes to the scientific literature in terms of results and the novel manner of exploiting machine learning in an algorithmic trading context.

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49

Hollanda, Fátima Sandra Marques. "Financiamento e incentivos à inovação industrial no Brasil". [s.n.], 2010. http://repositorio.unicamp.br/jspui/handle/REPOSIP/285951.

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Orientador: Carlos Américo Pacheco
Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia
Made available in DSpace on 2018-08-16T17:31:47Z (GMT). No. of bitstreams: 1 Hollanda_FatimaSandraMarques_D.pdf: 1934849 bytes, checksum: 3aae546acb8d0becad9eb6dad3f9537d (MD5) Previous issue date: 2010
Resumo: O tema da tese é o financiamento da inovação industrial no Brasil. O seu objetivo é compreender o sentido e o alcance dos esquemas especiais de financiamento e incentivos do setor público voltados às atividades de inovação nas empresas industriais brasileiras. Inicialmente apresenta-se um marco teórico e conceitual para a análise do financiamento da inovação industrial, entendido como objeto de investigação específico dentro do campo mais amplo da discussão do elo entre finanças e investimento e de seus principais determinantes. As características institucionais dos sistemas financeiros são consideradas fundamentais para a decisão das firmas de investir em inovação, ainda que os recursos próprios sejam reconhecidos como as principais fontes de financiamento das atividades inovativas nos países desenvolvidos e em desenvolvimento. Aponta-se que, a despeito das profundas mudanças no sistema financeiro brasileiro nas duas últimas décadas, o financiamento dos investimentos das empresas industriais no país permanece muito dependente das linhas de crédito públicas. No caso específico das atividades de inovação, há evidências de um padrão histórico de limitado esforço inovador por parte do conjunto das empresas industriais brasileiras e de um financiamento público de dimensão restrita. Na ultima década, contudo, houve uma ampla reestruturação do suporte público à inovação empresarial, que implicou a ampliação dos recursos e a diversificação dos mecanismos de financiamento e de incentivo às atividades inovativas. A tese procura dar um tratamento sistemático e analisar esse processo de mudanças A conclusão é que a rede de apoio governamental ainda tem alcance limitado, tanto em termos do universo das empresas inovadoras como das atividades inovativas beneficiadas
Abstract: This dissertation deals with financing of industrial innovation in Brazil. Its main goal is to contribute to the understanding of the scope and the effectiveness of government?s financial support for innovation activities of Brazilian industrial firms. Initially, a theoretical and conceptual analysis of financing for industrial innovation is developed within the framework of the literature on finance and investment links and their determinants. The specific institutional features of a national financial system is considered to be an important factor in firms? innovation decisions even though the most important source of finance for innovation is acknowledged to be firms? own resources in both developed and developing economies. A large part of the credit that supports industrial firms? investment in Brazil still comes from public institutions, in spite of the deep changes that took place in the Brazilian financial system during the last two decades. In the specific case of innovation activities, there are evidences of the existence of a historical pattern of weak innovative effort by industrial firms and the public support for those activities used to be of a lesser dimension. Public financing for business innovation, however, was the object of a strong process of change, expansion and diversification during the last decade, and the dissertation develops a systematic treatment and analysis of this process. The dissertation concludes by pointing out that governmental support still benefits a small proportion of innovative firms and few classes of innovative activities
Doutorado
Politica Economica
Doutor em Ciências Econômicas

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50

Bohma, S. "Financial Markets in the Financial Structure of Euro Area". Thesis, National Mining University, 2007. http://essuir.sumdu.edu.ua/handle/123456789/62288.

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The article observes financial markets and their role in the financial system. The classification of financial markets is done. The main categories of financial instruments are described.
У статті розглянуто фінансові ринки та їх місце у фінансовій системі. Наведена класифікація фінансових ринків та розглянуті основні види фінансових інструментів.

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Tesis sobre el tema "The Financial System3"

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