Systemic risk for financial institutions in UK

Marginal Expected Shortfall (MES) is an approach used to measure the systemic risk financial institutions face. It estimates how significantly systemic events (poor market performance, out of 1.6 times Standard Deviation borders) are expected to affect market capitalization of a particular firm. The concept was developed in the late 2000s and is widely used for cross-country comparisons of financial firms. For the purposes of generalization of this technique it is often used with market data containing non-domestic currencies for some financial firms. That may lead to results having currency noise in them as it is shown for 77 UK financial firms in our analysis between 2001 and 2014.

Enterprise risk management adoption: An empirical investigation of its effects on firm performance

Enterprise Risk Management (ERM) is gaining relevance among financial and non-financial companies but its benefits still are uncertain. This paper aims at investigating the relationship between ERM adoption and firm performance based on a sample of 1130 non-financial companies belonging to the STOXX® index. A content analysis of individual accounts is performed to distinguish adopters, and a regression analysis explores the effect of ERM adoption on firm performance, proxied by Tobin’s Q. The findings suggest that there is a statistical significant positive effect of ERM adoption on firm performance, meaning that firms are benefiting from the implementation of this process.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Chute Losses Aren't Accidents! Most Injuries can be Avoided. Here's How to Rate the Performance of Your Chute and Crew

The conclusion of the article reads "good handling during processing and re-implanting could mean the difference between a going operation and financial disaster. But it's up to you to make certain your crew understands and follows proper chute practices. When they do, it will mean more money in your pocket."

Les contrats de performance et les universités québécoises : une orchestration étatique de la subordination du champ universitaire aux règles du jeu économique

Mémoire présenté à la Faculté des études supérieures en vue de l’obtention du grade de maître ès sciences (M.Sc.) en sociologie

La relation entre la formation des ressources humaines et la performance organisationnelle : l’effet modérateur du roulement du personnel

La présente recherche a comme premier objectif d’étudier l’effet de la formation des ressources humaines sur la performance organisationnelle. Le concept de formation des ressources humaines, tel que considérée ici, comporte deux dimensions : l’intensité et l’incidence de la formation mesurées respectivement par la proportion des coûts investis et par la proportion d’employés formés. Les dimensions de la performance organisationnelle retenues sont la productivité et la rentabilité financière. Le second objectif de cette recherche est d’étudier l’effet modérateur du roulement du personnel dans la relation entre la formation et la performance organisationnelle. Les données de la présente recherche sont de nature secondaire. Il s’agit des données colligées par Jalette (1998) auprès de la Fédération des Caisses Desjardins de Montréal et de l’Ouest-du-Québec pour sa thèse de doctorat. Au total, 288 caisses ont été considérées pour la présente étude. Les analyses de régression multiple ont été effectuées dans le but de vérifier l’effet de chaque dimension de la formation sur chaque dimension de la performance organisationnelle. Quatre analyses de régression hiérarchiques nous ont permis de tester l’effet modérateur du roulement du personnel dans la relation entre la formation des ressources humaines et la performance organisationnelle. Les résultats de cette recherche indiquent que les relations examinées sont plus complexes qu’il n’y paraissait à première vue. Tout d’abord, l’effet de la formation sur la performance organisationnelle n’était pas significatif ou allait dans le sens contraire de nos attentes. Par contre, un effet modérateur significatif du roulement du personnel a été identifié dans trois régressions. Ainsi, la relation négative entre l’intensité de la formation et la rentabilité financière est moins prononcée dans un milieu où le roulement est élevé que dans un milieu où il est faible. Aussi, dans un milieu où le roulement est élevé, la relation entre l’incidence de la formation et la productivité est positive tandis qu’elle est négative dans un contexte où le roulement est bas. Ces deux effets modérateurs vont cependant dans le sens contraire à celui attendu. Cependant, l’hypothèse huit a été vérifiée : ainsi, dans un contexte où le roulement du personnel est élevé, la relation entre l’incidence de la formation et la rentabilité financière est négative tandis qu’elle est positive dans un contexte où le roulement est bas.

Le roulement du personnel et la performance organisationnelle : l’effet modérateur des pratiques de gestion des ressources humaines

Notre recherche a pour but d’étudier la relation entre le roulement du personnel et la performance organisationnelle tout en mettant en évidence l’effet modérateur des pratiques de gestion des ressources humaines (GRH). De type empirique, cette étude utilise des données provenant de 241 caisses populaires Desjardins faisant partie de la Fédération des caisses Desjardins de Montréal et de l’Ouest-du-Québec dans le secteur bancaire. Notre étude repose sur les fondements théoriques d’Arthur (1994) et de Guthrie (2001) qui soutiennent qu’un roulement élevé dans les organisations diminue la performance organisationnelle. De plus, ces auteurs soutiennent que la stratégie de gestion des ressources humaines (GRH) adoptée par les organisations intervient dans le lien entre le roulement du personnel et la performance organisationnelle. C’est ainsi que, plus les organisations investissent dans leurs pratiques de GRH, plus les départs d’employés seront coûteux car celles-ci perdront alors les investissements faits et les retours attendus, ce qui affectera encore plus négativement la performance organisationnelle. C’est pourquoi, il apparaît nécessaire et intéressant de prendre en compte la gestion des ressources humaines comme contexte dans l’étude du lien entre le roulement du personnel et la performance organisationnelle. Nos résultats montrent que le roulement du personnel influence la performance organisationnelle. Plus particulièrement, nous constatons que le roulement du personnel diminue la productivité et augmente les coûts. Qui plus est, nos analyses ont décelé un effet modérateur des pratiques GRH. En effet, nous observons que l’impact du roulement du personnel sur la performance organisationnelle est plus nuisible pour les entreprises lorsque celles-ci implantent plus de pratiques de mobilisation. De plus, on observe que l’impact du roulement du personnel sur la performance organisationnelle est atténué lorsque les entreprises implantent plus de pratiques d’implication. Cette étude illustre bien la pertinence de tenir compte de la gestion des ressources humaines implantée dans les organisations afin d’expliquer de l’impact du roulement du personnel sur la performance organisationnelle. Ainsi, cette étude permet aux gestionnaires de mieux saisir l’effet du roulement du personnel sur la performance organisationnelle et de les aider à adopter les stratégies ressources humaines adéquates susceptibles d’influencer l’impact du roulement sur la performance de l’organisation. Mots clés : roulement, taux de roulement, performance organisationnelle, gestion des ressources humaines, productivité, efficience, rentabilité.

A Study Of Chit Finance In Kerala With Special Emphasis On Kerala State Financial Enterprises Ltd.

Chit funds contribute to the value of financial markets in India particularly in Kerala. Chit finances with its unique features are of great significance especially as a savings cum borrowing avenue. The present study entitled “A Study of chit Finance in Kerala with special emphasis on Kerala State Financial Enterprises Ltd.” examines the socio-economic aspects of Chit schemes run by the private Chit Funds, KSFE, co-operatives, and informal Chit Funds. The study is an attempt to find the reasons for the growing popularity of Chit Funds as savings cum borrowings avenues even in the presence of various other avenues of savings and borrowings and also to understand how the Chit subscribers utilize the funds. The objectives of the present study are to examine the trends and pattern of growth of Chit Funds in the formal sector in Kerala, performance of KSFE as the only public sector Chit Fund company in India, preference for joining Chit Funds, estimate the cost and return on Chit Funds etc. is an indigenous financial instrument is complementary to modern financial techniques of savings and borrowings. KSFE is the dominant foremen in the chit business in Kerala, its weaknesses result in the non-attainment of certain objectives. Driven by the growing trend of privatization, KSFE needs to be innovative and competitive. It is also necessary that KSFE continue its leadership role by being more effective in being the harbinger of more efficiency, professionalism and good governance in the Chit Fund Industry. The growth and development of chit business by protecting the interests of both the subscribers and the foremen will therefore be most beneficial for any growing economy.

Women Industrial Cooperatives- An Analysis of Its Structure, Performance and Growth in Kannur District

In the present study made an attempt to analyse the structure, performance and growth of women industrial cooperatives in kannur district, Kerala. The study encompasses all women industrial cooperatives registered at the district industries center, kannur and that currently exist. The women industrial cooperatives are classified into two ie; group with network and another group without network. In Kannur there are 54 units working as women industrial cooperatives. One of the main problems the women cooperatives face is the lack of working capital followed marketing problem. The competition between cooperatives and private traders is very high. The variables examined to analyse the performance of women industrial cooperatives in Kannur showed that there exists inter unit differences in almost all the variables. The financial structure structure shows that the short term liquidity of women cooperatives in Kannur favour more the units which have political networks; but the long term financial coverage is seen to be highly geared in this group, not because of a decline is net worth but due to highly proportionate increase in financial liabilities in the form of borrowings. The encouragement given by the government through financial stake and other incentives has been the major factor in the formation and growth of women cooperatives. As a result both productivity and efficiency improves in the cooperatives. In short the present study helped to capture the impact, role and dynamics of networking in general and socio political network in particular in relation to intra and inter unit differences on the structure, growth and performance of women industrial cooperatives societies in Kannur district

Trends in Financial Intermediation by the Banking System in Kerala

The study documents the long-term trends in financial intermediation by the principal player in Kerala’s credit system i.e., banking. The process of financial intermediation by the banking system, involving mobilization of deposits from savers and disbursal of credit to investors, is considered to be crucial in the process of economic development. The objective of the study is to explore the interrelationship between financial intermediation and economic growth in Kerala. In order to pursue this objective, the study examine, the trends in intermediation by the banking system in Kerala over a long period, the trend and pattern of bank deposits and credit in the State and Kerala’s economic growth, the trend in the growth and performance of financial intermediaries like the All India Financial Institutions, the links between banking and economic variables, and the difference in the growth trends of banking and economic variables between Kerala and India and the probable reasons for the difference

Performance analysis of double digit decimal multiplier on various FPGA logic families

Decimal multiplication is an integral part of financial, commercial, and internet-based computations. This paper presents a novel double digit decimal multiplication (DDDM) technique that performs 2 digit multiplications simultaneously in one clock cycle. This design offers low latency and high throughput. When multiplying two n-digit operands to produce a 2n-digit product, the design has a latency of (n / 2) 1 cycles. The paper presents area and delay comparisons for 7-digit, 16-digit, 34-digit double digit decimal multipliers on different families of Xilinx, Altera, Actel and Quick Logic FPGAs. The multipliers presented can be extended to support decimal floating-point multiplication for IEEE P754 standard

High performance, low latency double digit decimal multiplier on ASIC and FPGA

Decimal multiplication is an integral part of financial, commercial, and internet-based computations. This paper presents a novel double digit decimal multiplication (DDDM) technique that offers low latency and high throughput. This design performs two digit multiplications simultaneously in one clock cycle. Double digit fixed point decimal multipliers for 7digit, 16 digit and 34 digit are simulated using Leonardo Spectrum from Mentor Graphics Corporation using ASIC Library. The paper also presents area and delay comparisons for these fixed point multipliers on Xilinx, Altera, Actel and Quick logic FPGAs. This multiplier design can be extended to support decimal floating point multiplication for IEEE 754- 2008 standard.

Diagnostic Related Groups (drgs): Resourceful tools for financial crisis times?

This document is intended to be read by the Colombian Ministry of Social Protection (former MoH) and includes some recommendations that could be implemented on the aim to increase allocative efficiency, thus improving macroeconomic performance of the Colombian Health System (CHS). It will be conducted as follows: first it will briefly review the background and actual context of the CHS, after this, will mention some related issues that justify a policy intervention on strategic purchasing to promote long run sustainability and hopefully the future attainment of major goals such as universal coverage and quality improvement. After prioritizing the main financial threats to the system, based on findings from literature review from countries that have successfully implemented similar policies, this paper will make some policy recommendations on regards especially to inpatient health care services in Colombia.

Performance of long-term care systems in Europe. ENEPRI Policy Brief No. 13, December 2012

The evaluation of long-term care (LTC) systems carried out in Work Package 7 of the ANCIEN project shows which performance criteria are important and – based on the available information – how European countries score on those criteria. This paper summarises the results and discusses the policy implications. An overall evaluation was carried out for four representative countries: Germany, the Netherlands, Spain and Poland. Of the four countries, the Dutch system has the highest scores on quality of life of LTC users, quality of care and equity of the LTC system, and it performs the secondbest after Poland in terms of the total burden of care (consisting of the financial burden and the burden of informal caregiving). The German system has somewhat lower scores than the Dutch on all four dimensions. The Polish system excels in having a low total burden of care, but it scores the lowest on quality of care and equity. The Spanish system has few extreme scores. Some important lessons are the following. The performance of a LTC system is a complex concept where many dimensions have to be included. Specifically, the impact of informal caregiving on the caregivers and on society should not be forgotten. The role of the state in funding and organising LTC versus individual responsibilities is one of the most important differences among countries. Choices concerning private funding and the role of informal care have a large effect not only on the public expenditures but also on the fairness of the system. International research into the relative preferences for the different performance criteria could produce a sound basis for the weights used in the overall evaluation.