Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Nationalism Circumscribed : Transnational Governance of Minority Rights in Post-Cold War Europe

For the past two centuries, nationalism has been among the most influential legitimizing principles of political organization. According to its simple definition, nationalism is a principle or a way of thinking and acting which holds that the world is divided into nations, and that national and political units should be congruent. Nationalism can thus be divided into two aspects: internal and external. Internally, the political units, i.e., states, should be made up of only one nation. Externally each nation-state should be sovereign. Transnational national governance of rights of national minorities violates both these principles. This study explores the formation, operation, and effectiveness of the European post-Cold War minorities system. The study identifies two basic approaches to minority rights: security and justice. These approaches have been used to legitimize international minority politics and they also inform the practice of transnational governance. The security approach is based on the recognition that the norm of national self-determination cannot be fulfilled in all relevant cases, and so minority rights are offered as a compensation to the dissatisfied national groups, reducing their aspiration to challenge the status quo. From the justice perspective, minority rights are justified as a compensatory strategy against discrimination caused by majority nation-building. The research concludes that the post-Cold War minorities system was justified on the basis of a particular version of the security approach, according to which only Eastern European minority situations are threatening because of the ethnic variant of nationalism that exists in that region. This security frame was essential in internationalising minority issues and justifying the swift development of norms and institutions to deal with these issues. However, from the justice perspective this approach is problematic, since it justified double standards in European minority politics. Even though majority nation-building is often detrimental to minorities also in Western Europe, Western countries can treat their minorities more or less however they choose. One of the main contributions of this thesis is the detailed investigation of the operation of the post-Cold War minorities system. For the first decade since its creation in the early 1990s, the system operated mainly through its security track, which is based on the field activities of the OSCE that are supported by the EU. The study shows how the effectiveness of this track was based on inter-organizational cooperation in which various transnational actors compensate for each other s weaknesses. After the enlargement of the EU and dissolution of the membership conditionality this track, which was limited to Eastern Europe from the start, has become increasingly ineffective. Since the EU enlargement, the focus minorities system has shifted more and more towards its legal track, which is based on the Framework Convention for the Protection of National Minorities (Council of Europe). The study presents in detail how a network of like-minded representatives of governments, international organizations, and independent experts was able strengthen the framework convention s (originally weak) monitoring system considerably. The development of the legal track allows for a more universal and consistent, justice-based approach to minority rights in contemporary Europe, but the nationalist principle of organization still severely hinders the materialization of this possibility.

Dynamic Factor Models and Forecasting Finnish Macroeconomic Variables

In recent years, thanks to developments in information technology, large-dimensional datasets have been increasingly available. Researchers now have access to thousands of economic series and the information contained in them can be used to create accurate forecasts and to test economic theories. To exploit this large amount of information, researchers and policymakers need an appropriate econometric model.Usual time series models, vector autoregression for example, cannot incorporate more than a few variables. There are two ways to solve this problem: use variable selection procedures or gather the information contained in the series to create an index model. This thesis focuses on one of the most widespread index model, the dynamic factor model (the theory behind this model, based on previous literature, is the core of the first part of this study), and its use in forecasting Finnish macroeconomic indicators (which is the focus of the second part of the thesis). In particular, I forecast economic activity indicators (e.g. GDP) and price indicators (e.g. consumer price index), from 3 large Finnish datasets. The first dataset contains a large series of aggregated data obtained from the Statistics Finland database. The second dataset is composed by economic indicators from Bank of Finland. The last dataset is formed by disaggregated data from Statistic Finland, which I call micro dataset. The forecasts are computed following a two steps procedure: in the first step I estimate a set of common factors from the original dataset. The second step consists in formulating forecasting equations including the factors extracted previously. The predictions are evaluated using relative mean squared forecast error, where the benchmark model is a univariate autoregressive model. The results are dataset-dependent. The forecasts based on factor models are very accurate for the first dataset (the Statistics Finland one), while they are considerably worse for the Bank of Finland dataset. The forecasts derived from the micro dataset are still good, but less accurate than the ones obtained in the first case. This work leads to multiple research developments. The results here obtained can be replicated for longer datasets. The non-aggregated data can be represented in an even more disaggregated form (firm level). Finally, the use of the micro data, one of the major contributions of this thesis, can be useful in the imputation of missing values and the creation of flash estimates of macroeconomic indicator (nowcasting).

Ale jaskkot eatnigiella : Alkuperäiskansaliikkeen ja saamen kielen merkitys saamelaisten identiteetille

This study examines the Sámi people and the construction of the Sámi identity and the role of language in the cross-border Sámi movement within the context of the international indigenous movement and discourse between 1962 and 2008. The Sámi movement began as a reaction to state assimilation policies. This led to the birth of indigenous processes strengthening the Sámi cultures and languages. Activities across borders and the ethnopolitical processes in each of the Nordic countries in question also formed the basis of the internationalization of the Sámi people. The discourse on indigenous peoples has grown into a question of human rights, which is examined in different national and international contexts. The study is based on ethnographic data that has been collected via interviews, questionnaires and participant observation with the researched people in different meetings and events. Archive and newsprint material are also used. The approach of the study is auto-ethnographic. The post-colonial theories used in the study strive to destabilize power relations and the distinctions of otherness produced by colonialism, and to reclaim both one's own culture and language in the context of the indigenous movement. A standard model for this type of approach was created by Edward W. Said in his 1978 work Orientalism. The central concepts of the analysis are decolonization, otherness, ethnicity and identity. The dissertation consists of four published articles and an introduction. The subject matter is analyzed on three levels: global, European and Nordic. On the global level, the results demonstrate that the indigenous movement has constructed a new understanding of indigenousness with new rights. International treaties have facilitated the unification of new concepts and rights, such as the right to self-determination and language, also helping in transforming them into rights of the Sámi people on a national level. On the Nordic level, aligning the Sámi culture with indigenous discourse became significant for the process of developing the Sámi identity in the Sámi movement. In this process, the Sámi movement made use of Sámi languages in order to mobilize groups of people and to construct relatedness between different Sámi groups. The realization that one s own language is significant to one's culture has resulted in recreating the vitality, visibility and the legitimation of language in society more generally. The migration of the Sámi people from their traditional territories to increasingly multi-ethnic urban areas alters one's relationship to one's own community as the relationship to cultural traditions changes. Among the urban Sámi, who form a group of ‘new Sáminess’, linguistic discrimination and assimilation continue because of the lack of legislative and other effective language policy measures to promote the learning and use of the Sámi language.