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.
Results
Showing 1 to 20 of 34 for “"risk measure"”.
-
Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
… the feasihility of using a coherent monetary risk measure, Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a portfolio of South African stocks. Value at Risk (VaR) is not a sub-additive risk measure and therefore does not possess one of the four properties …
-
The impact of the FRTB on Market Risk Capital for the South African InterBank Interest Rate Market
… 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 highlighted …
-
Risk aggregation and capital allocation using copulas
Banking is a risk and return business; in order to obtain the desired returns, banks are required to take on risks. Following the demise of Lehman Brothers in September 2008, the Basel III Accord proposed considerable increases in capital charges for banks. Whilst this ensures greater economic …
-
Problem-driven scenario generation for stochastic programs
… one aims to minimize the expectation, or some risk measure, of a loss function. However, stochastic programs are computationally intractable when the underlying uncertain parameters are modeled by continuous random vectors. Scenario generation is the construction of a finite discrete random …
-
An Examination of the Usefulness of Segment Information for Assessing the Operating Risk of the Firm
… (SFAS) No.14, in assessing the operating risk of the firm. Specifically this research empirically evaluates whether a segment operating risk measure (ORM), utilizing current segment accounting disclosures, is a better measure of operating risk than a consolidated ORM and as good as a …
-
Dvojúrovňové optimalizačné modely a ich využitie v úlohách optimalizácie portfólia
… First, it recalls the basic knowledge of mean-risk models, risk measure in singlelevel problems, and second degree stochastic dominance. Then it presents basic knowledge of bilevel tasks. bilevel problems have several advantages over singlelevel. In one process, it is possible to analyze two …
-
Essays on Asset Pricing and Downside Risk
… literature on the relation between downside risk and asset prices. In chapter one, we use a famous quote among professional investors, "focus on the downside, and the upside will take care of itself", to motivate a representative consumer-investor who only cares about the downside. The …
-
Incremental information content of cash flow variables: A spanning approach
… study investigates whether alternative cash flow measures have an incremental information content over accounting measure. This study employes the arbitrage argument to establish an economic model which makes it possible to incorporate raw accounting variables into a return generating process. …
-
Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
This thesis models the dependence risk profile, investment risk and portfolio allocation features of seven 20-stock portfolios from the mining, energy, retail and manufacturing sectors of the Australian market in the context of the 2008-2009 global financial crisis (2008-2009 GFC) and pre-GFC, GFC, …
-
Feature Selection for High-risk Pattern Discovery in Medical Data
… application is to identify the patients at high-risk of severe chronic or recurrent illness. Traditionally, statistical data analysis is used in well-designed epidemiology studies to identify risk factors. This approach produced satisfactory results for some illnesses but not for others. Possible …
-
Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs
… methods for the efficient estimation of risk measures of quantities of interest in the context of optimization of partial differential equations (PDEs) with random inputs. Risk measures of the quantities of interest arise as objective functions or as constraints in the PDE-constrained …
-
Essays on measuring systemic risk
… various approaches of measuring the systemic risk, identifying the systemic important banking institutions and exploring extreme equity price movements of euro area banking institutions. It consists three chapters focusing on U.S. and euro area banking institutions. Chapter 2 investigates the …
-
Portfolio Liquidity Risk Management with Expected Shortfall Constraints
… on a long equity portfolio using the liquidity risk framework of Acerbi and Scandolo (2008). The model modifies the classical mark-to-market valuation model, and incorporates the impact of liquidity policies of portfolios on the liquidity adjustment valuation (LVA). Also, we suggest a …
-
Sustainability for lower risk: examining ESG scores as indicators of credit risk in African firms
… relationship between ESG performance and credit risk for African firms from 2012 to 2022. Using Refinitiv ESG scores and Altman's Z”-score as the primary credit risk measure, this analysis employs OLS, fixed effects, random effects, instrumental variables, and GMM estimations. While the combined …
-
Portfolio optimization with quantile-based risk measures
In this thesis we analyze Portfolio Optimization risk-reward theory, a generalization of the mean-variance theory, in the cases where the risk measures are quantile-based (such as the Value at Risk (V aR) and the shortfall). We show, using multicriteria theory arguments, that if the measure of risk …
-
On the analysis of stochastic optimization and variational inequality problems
… and complementarity problems; [(3)] Hierarchical risk management problems in financial networks. Accordingly, this dissertation considers the analysis of a broad class of stochastic optimization and variational inequality problems complicated by uncertainty and nonsmoothness of objective …
-
On the Topic of Portfolio Optimization
… explores the use of information entropy as a risk measure for the purpose of investment portfolio optimization and selection. First, we present an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy …
-
Essays in financial economics
… the quality of the sender-optimal experiment-measured by the amount of information-is not monotonic in the sender's quality. The framework can be applied to various settings including financial regulation and analyst forecasting. In the second chapter, based on joint work with Tetsuya Kaji, we …
-
Three Essays in Financial Economics
… (2004). During the last two decades Value-at-Risk (VaR) has become the most commonly used measure of market risk due to its ease of calculation and simple interpretation. However, VaR has some undesirable mathematical characteristics such as lack of subadditivity and convexity. Conditional …
-
Stochastic sequential assignment problem
… The existing SSAP literature considers a risk-neutral objective function, seeking an assignment policy to maximize the expected total reward; however, a risk-neutral objective function is not always desirable for the decision-maker since the probability distribution function (pdf) of the …
Page 1 of 2