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Revisiting the methodology and application of Value-at-Risk
Title
Revisiting the methodology and application of Value-at-Risk.
Creator
Chung, Kyong., Charles E. Schmidt College of Science, Department of Mathematical Sciences
Abstract/Description
The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical...
Show moreThe main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study.
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Date Issued
2012
PURL
http://purl.flvc.org/FAU/3358328
Subject Headings
Valuation, Econometric models, Prices, Econometric models, Financial risk management, Mathematical optimization, Finance, Mathematical models
Format
Document (PDF)
Risk dynamics, growth options, and financial leverage
Title
Risk dynamics, growth options, and financial leverage: evidence from mergers and acquisitions.
Creator
Coy, Jeffrey M., College of Business, Department of Finance
Abstract/Description
In essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target,...
Show moreIn essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target, the volatility of bidder cash flows, and the relative growth rate of the bidder have significant explanatory power in the cross-section of announcement returns to bidding firm shareholders as does the change in the cost of capital resulting from the transaction. Essay II provides an empirical analysis of a second set of real options models that theoretically examine the dynamics of financial risk around control transactions as well as the link between financial leverage and the probability of acquisition. In addition, I present a comparison of the financial risk dynamics of firms that choose an external growth strategy, through acquisition, and those that pursue an internal growth strategy through capital expenditures that are unrelated to acquisition.
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Date Issued
2013
PURL
http://purl.flvc.org/fcla/dt/3362323
Subject Headings
Consolidation and merger of corporations, Financial services industry, Mathematical models, Corporations, Finance, Financial risk management
Format
Document (PDF)
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market
Title
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market.
Creator
Sagul, Ryan, Yuhn, Ky-hyang, Florida Atlantic University, College of Business, Department of Economics
Abstract/Description
For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to...
Show moreFor the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis.
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Date Issued
2016
PURL
http://purl.flvc.org/fau/fd/FA00004730, http://purl.flvc.org/fau/fd/FA00004730
Subject Headings
Capital market -- Psychological aspects, Energy industries -- Risk management, Financial risk management -- Mathematical models, Futures, Investment analysis, Petroleum industry and trade -- Economic aspects, Stocks -- Mathematical models
Format
Document (PDF)