The Double Pareto-Lognormal Distribution and its applications in actuarial science and finance

Le but de ce mémoire de maîtrise est de décrire les propriétés de la loi double Pareto-lognormale, de montrer comment on peut introduire des variables explicatives dans le modèle et de présenter son large potentiel d'applications dans le domaine de la science actuarielle et de la finance. Tout d'abord, nous donnons la définition de la loi double Pareto-lognormale et présentons certaines de ses propriétés basées sur les travaux de Reed et Jorgensen (2004). Les paramètres peuvent être estimés en utilisant la méthode des moments ou le maximum de vraisemblance. Ensuite, nous ajoutons une variable explicative à notre modèle. La procédure d'estimation des paramètres de ce mo-\\dèle est également discutée. Troisièmement, des applications numériques de notre modèle sont illustrées et quelques tests statistiques utiles sont effectués.

Internet Banking and Customer Acceptance: The Indian Scenario

Indian economy is witnessing stellar growth over the last few years. There have been rapid developments in infrastructural and business front during the growth period.Internet adoption among Indians has been increasing over the last one decade.Indian banks have also risen to the occasion by offering new channels of delivery to their customers.Internet banking is one such new channel which has become available to Indian customers.Customer acceptance for internet banking has been good so far.In this study the researcher tried to conduct a qualitative and quantitative investigation of internet banking customer acceptance among Indians. The researcher tried to identify important factors that affect customer's behavioral intention for internet banking .The researcher also proposes a research model which has extended from Technology Acceptance Model for predicting internet banking acceptance.The findings of the study would be useful for Indian banks in planning and upgrading their internet banking service.Banks could increase internet banking adoption by making their customer awareness about the usefulness of the service.It is seen that from the study that the variable perceived usefulness has a positive influence on internet banking use,therefore internet banking acceptance would increase when customers find it more usefulness.Banks should plan their marketing campaigns taking into consideration this factor.Proper marketing communications which would increase consumer awareness would result in better acceptance of internet banking.The variable perceived ease of use had a positive influence on internet banking use.That means customers would increase internet banking usage when they find it easier to use.Banks should therefore try to develop their internet banking site and interface easier to use.Banks could also consider providing practical training sessions for customers at their branches on usage of internet banking interface.

Ownership structure and risk at Colombian banks

The separation between ownership and the control of capital in banks generates differences in the preferences for risk among shareholders and the manager. These differences could imply a corporate governance problem in banks with a dispersed ownership, since owners fail to exert control in the allocation of capital. In this paper we examine the relationship between the ownership structure and risk for Colombian banks. Our results suggest that a high ownership concentration leads to higher levels of risk.

Seasonality and the valuation of commodity options

Price movements in many commodity markets exhibit significant seasonal patterns. However, given an observed futures price, a deterministic seasonal component at the price level is not relevant for the pricing of commodity options. In contrast, this is not true for the seasonal pattern observed in the volatility of the commodity price. Analyzing an extensive sample of soybean, corn, heating oil and natural gas options, we find that seasonality in volatility is an important aspect to consider when valuing these contracts. The inclusion of an appropriate seasonality adjustment significantly reduces pricing errors in these markets and yields more improvement in valuation accuracy than increasing the number of stochastic factors.

Bank market concentration, relationship banking and small business liquidity

This paper examines two contrasting interpretations of how bank market concentration (Market Power Hypothesis) and banking relationships (Information Hypothesis) affect three sources of small firm liquidity (cash, lines of credit and trade credit). Supportive of a market power interpretation, we find that in a highly concentrated banking market, small firms hold less cash, have less access to lines of credit, and are more likely to be financially constrained, use greater amounts of more expensive trade credit and face higher penalties for trade credit late payment. We also find support for the information hypothesis: relationship banking improves small business liquidity, particularly in a concentrated banking market, thereby mitigating the adverse effects of bank market concentration derived from market power. Our results are robust to different cash, lines of credit and trade credit measures and to alternative empirical approaches.

Jump and variance risk premia in the S&P 500

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations.

A restatement of the welafare costs of inflation. The wast of scarce resources in the manufacturing , banking and household sectors

Lucas (2000) estimates that the US welfare costs of inflation are around 1% of GDP. This measurement is consistent with a speci…c distorting channel in terms of the Bailey triangle under the demand for monetary base schedule (outside money): the displacement of resources from the production of consumption goods to the household transaction time à la Baumol. Here, we consider also several new types of distortions in the manufacturing and banking industries. Our new evidences show that both banks and firms demand special occupational employments to avoid the inflation tax. We de…ne the concept of ”the foat labor”: The occupational employments that are aflected by the in‡ation rates. More administrative workers are hired relatively to the bluecollar workers for producing consumption goods. This new phenomenon makes the manufacturing industry more roundabout. To take into account this new stylized fact and others, we redo at same time both ”The model 5: A Banking Sector -2” formulated by Lucas (1993) and ”The Competitive Banking System” proposed by Yoshino (1993). This modelling allows us to characterize better the new types of misallocations. We …nd that the maximum value of the resources wasted by the US economy happened in the years 1980-81, after the 2nd oil shock. In these years, we estimate the excess resources that are allocated for every speci…c distorting channel: i) The US commercial banks spent additional resources of around 2% of GDP; ii) For the purpose of the firm foating time were used between 2.4% and 4.1% of GDP); and iii) For the household transaction time were allocated between 3.1% and 4.5 % of GDP. The Bailey triangle under the demand for the monetary base schedule represented around 1% of GDP, which is consistent with Lucas (2000). We estimate that the US total welfare costs of in‡ation were around 10% of GDP in terms of the consumption goods foregone. The big di¤erence between our results and Lucas (2000) are mainly due to the Harberger triangle in the market for loans (inside money) which makes part of the household transaction time, of the …rm ‡oat labor and of the distortion in the banking industry. This triangle arises due to the widening interest rates spread in the presence of a distorting inflation tax and under a fractionally reserve system. The Harberger triangle can represent 80% of the total welfare costs of inflation while the remaining percentage is split almost equally between the Bailey triangle and the resources used for the bank services. Finally, we formulate several theorems in terms of the optimal nonneutral monetary policy so as to compare with the classical monetary theory.