Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 96 for “"Market Risk"”.
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Improving Market Risk Management with Heuristic Algorithms
… to manage new regulatory challenges faced in risk management. We first study if heuristic algorithms can support risk management to find global optimal solutions to reduce the regulatory capital requirements. In a benchmark comparison of variance, Value-at-Risk (VaR) and Conditional …
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Optimal Responses to Market Risk by Farmer Cattle Feeders
Made available in DSpace on 2014-12-13T19:23:26Z (GMT). No. of bitstreams: 1 7915404.pdf: 5932307 bytes, checksum: 538851a835b09016c630b868e55847a2 (MD5) Previous issue date: 1979
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Generalized Gaussian covariance analysis in multi-market risk assessment
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1995.
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
… presents a comprehensive analysis of credit risk in China's corporate bond market. Utilising data on all Chinese corporate bonds issued by publicly traded companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting …
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Alternative Methods for Determining the Expected Market Risk Premium: Theory and Evidence
… the theoretical section of the study derives market equilibrium risk premiums among the three types of assets. Two hypotheses are proposed from the two market equilibrium conditions specified in the model. Empirical tests of the two hypotheses demonstrate a statistically significant risk …
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Financial Implications of Investing in the Global Art Market: Risk, Return and Diversification
The global art market is a 60+ billion-dollar industry (Deloitte 2019); art indices measure market sentiment. Yet, art’s influence on economic and financial markets is often overlooked in academic research. This study considers the financial implications of investing in the global art market …
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Evaluating the Application of Modularity to Reduce Market Risk in Technology Push Products
… a number of challenges over the more typical market pull product development. Despite these challenges, enough advantages exist to motivate firms to develop technology push products at greater risk. Modularity is a tool that can address some of these challenges. Currently most research and …
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The impact of macroeconomic variables on the equity market risk premium in South Africa
The relationship between the Equity Market Risk Premium (MRP) and macroeconomic variables has been a subject of extensive discussion in the finance literature. The MRP is a central component of the main asset pricing models which are used to estimate the cost of equity which is mainly used in …
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Three essays on the UK Electricity Market: Risk Premium,Uncertainty of Supply and Forecasting
… particularly to the UK electricity wholesale market. The first issue is whether the electricity forward market offers risk premia to compensate for the uncertainty of renewable supply. The empirical results suggest that the UK electricity forward market provides risk premia, which is higher …
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A finanszírozási likviditás hatása a piaci kockázatok fedezésére = Market risk hedging under liquidity constraints
Az értekezés témájának választott finanszírozási likviditás kérdése a dolgozat írásának kezdete óta még időszerűbbé vált, mivel a válság következtében a szabályozói előírások és a pénzügyi intézmények kockázatkezelése is egyre inkább megköveteli a partnerkockázatok fokozottabb figyelemmel kísérését …
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An Examination of the Effect of Disclosures Concerning Unfunded Pension Benefits on Market Risk Measures
… ERISA on investors' perceptions of the financial risk of firms sponsoring defined benefit pension plans. This study was undertaken to determine (1) if firms subject to the mandates of ERISA experienced shifts in systematic risk subsequent to the passage of ERISA; (2) if unfunded pension benefit …
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Examination of the real estate market risk and volatility : focusing on the U.S. office property
The high risk and volatility in the current real estate market has sparked investor interest in understanding what determines real estate market volatility. This study examines the U.S. office markets' overall and decomposed volatilities in vacancy and revenue across 45 metropolitan areas from 1987 …
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Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
There are different risk management approaches available, as different firms have different risk goals. Value at risk (VaR) is the most frequently used risk measure for asset or portfolio risk and certainly, per the Basel framework, is a preferred measure for market risk for banks and financial …
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Quantitative Market Risk Disclosure, Bond Default Risk and the Cost of Debt: Why Value at Risk
… issues show that the reduction in bond default risk and cost of debt is observed more frequently with the value at risk format than with sensitivity analysis. Firm size might be a confounding factor, however, because larger firms choose to disclose more value at risk than sensitivity analysis.
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Is Value-at-Risk (VaR) a Fair Proxy for Market Risk Under Conditions of Market Leverage?
Ex-post intraday market-risk extrema are compared with ex-ante standard RiskMetrics parametric Value-at-Risk (VaR) limits for three foreign currency futures markets (British Pound, Japanese Yen, Swiss Frank) to determine whether forecasted volatility of market returns based on settlement price data …
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An examination of large commercial banks within G-10: risk, efficiency, and the 1996 market risk amendment.
… The regulatory bodies had to accept the changing risk nature of the industry and the response was the introduction of the 1996 Market Risk Amendment (MRA) by the Basle Committee. The MRA, through a series of 4 key announcements, was reached in January 1996 and fully implemented from January 1997, …
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The impact of the FRTB on Market Risk Capital for the South African InterBank Interest Rate Market
… banks to hold a minimum amount of capital for market risk resulting from their trading operations and prescribe two approaches to calculating this minimum capital requirement: (i) a Standardised Approach (SA); and (ii) an Internal Models Approach (IMA). The global financial crisis of 2008 …
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Banking regulation: a Bayesian network approach to risk management
… ever-evolving regulation surrounding banks and market risk, coupled with increased computing power, make for favourable conditions in employing machine learning techniques to estimate and forecast market risk metrics such as value at risk (VaR) and expected shortfall (ES). This study consists of …
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Banking regulation: a bayesian network approach to risk management
… ever-evolving regulation surrounding banks and market risk, coupled with increased computing power, make for favourable conditions in employing machine learning techniques to estimate and forecast market risk metrics such as value at risk (VaR) and expected shortfall (ES). This study consists of …
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