Abstract: Collateralized Debt Obligations are not as widely used
nowadays as they were before 2007 Subprime crisis. Nonetheless
there remains an enthralling challenge to optimize cash flows
associated with synthetic CDOs. A Gaussian-based model is used
here in which default correlation and unconditional probabilities of
default are highlighted. Then numerous simulations are performed
based on this model for different scenarios in order to evaluate the
associated cash flows given a specific number of defaults at different
periods of time. Cash flows are not solely calculated on a single
bought or sold tranche but rather on a combination of bought and
sold tranches. With some assumptions, the simplex algorithm gives
a way to find the maximum cash flow according to correlation of
defaults and maturities. The used Gaussian model is not realistic in
crisis situations. Besides present system does not handle buying or
selling a portion of a tranche but only the whole tranche. However the
work provides the investor with relevant elements on how to know
what and when to buy and sell.
Abstract: The world's population continues to grow at a quarter of a million people per day, increasing the consumption of energy. This has made the world to face the problem of energy crisis now days. In response to the energy crisis, the principles of renewable energy gained popularity. There are much advancement made in developing the wind and solar energy farms across the world. These energy farms are not enough to meet the energy requirement of world. This has attracted investors to procure new sources of energy to be substituted. Among these sources, extraction of energy from the waves is considered as best option. The world oceans contain enough energy to meet the requirement of world. Significant advancements in design and technology are being made to make waves as a continuous source of energy. One major hurdle in launching wave energy devices in a developing country like Pakistan is the initial cost. A simple, reliable and cost effective wave energy converter (WEC) is required to meet the nation-s energy need. This paper will present a novel design proposed by team SAS for harnessing wave energy. This paper has three major sections. The first section will give a brief and concise view of ocean wave creation, propagation and the energy carried by them. The second section will explain the designing of SAS-2. A gear chain mechanism is used for transferring the energy from the buoy to a rotary generator. The third section will explain the manufacturing of scaled down model for SAS-2 .Many modifications are made in the trouble shooting stage. The design of SAS-2 is simple and very less maintenance is required. SAS-2 is producing electricity at Clifton. The initial cost of SAS-2 is very low. This has proved SAS- 2 as one of the cost effective and reliable source of harnessing wave energy for developing countries.
Abstract: This study investigates the relationship between 10
year bond value, Yen/U.S dollar exchange rate, non-farm payrolls (all
employs) and crude oil to U.S. Dow Jones Sustainability Index. A
GARCH model is used to test these relationships for the period
January 1st 1999 to January 31st 2008 using monthly data. Results
show that an increase of the 10 year bond and non farm payrolls (all
employs) lead to an increase of the D.J.S.I returns. On the contrary
the volatility of the Yen/U.S dollar exchange rates as well as the
increase of crude oil returns has negative effects on the U.S D.J.S.I
returns. This study aims at assisting investors to understand the
influences certain macroeconomic indicators have on the companies-
stock returns as reported by the D.J.S.I.
Abstract: Wind farms (WFs) with high level of penetration are
being established in power systems worldwide more rapidly than
other renewable resources. The Independent System Operator (ISO),
as a policy maker, should propose appropriate places for WF
installation in order to maximize the benefits for the investors. There
is also a possibility of congestion relief using the new installation of
WFs which should be taken into account by the ISO when proposing
the locations for WF installation. In this context, efficient wind farm
(WF) placement method is proposed in order to reduce burdens on
congested lines. Since the wind speed is a random variable and load
forecasts also contain uncertainties, probabilistic approaches are used
for this type of study. AC probabilistic optimal power flow (P-OPF)
is formulated and solved using Monte Carlo Simulations (MCS). In
order to reduce computation time, point estimate methods (PEM) are
introduced as efficient alternative for time-demanding MCS.
Subsequently, WF optimal placement is determined using generation
shift distribution factors (GSDF) considering a new parameter
entitled, wind availability factor (WAF). In order to obtain more
realistic results, N-1 contingency analysis is employed to find the
optimal size of WF, by means of line outage distribution factors
(LODF). The IEEE 30-bus test system is used to show and compare
the accuracy of proposed methodology.
Abstract: There are many studies in the literature on
institutional investors- efforts to improve corporate governance,
generally focused on the role of pension funds and private equity
firms. There are only a few studies that analyze the influence of
development banks in the governance of investee companies. The
objective of this research is to examine the role of the Brazilian
Development Bank (BNDES) in the governance of listed companies.
Our analysis provides evidence that companies in which BNDES is a
shareholder have better governance.
Abstract: Literature reveals that many investors rely on technical trading rules when making investment decisions. If stock markets are efficient, one cannot achieve superior results by using these trading rules. However, if market inefficiencies are present, profitable opportunities may arise. The aim of this study is to investigate the effectiveness of technical trading rules in 34 emerging stock markets. The performance of the rules is evaluated by utilizing White-s Reality Check and the Superior Predictive Ability test of Hansen, along with an adjustment for transaction costs. These tests are able to evaluate whether the best model performs better than a buy-and-hold benchmark. Further, they provide an answer to data snooping problems, which is essential to obtain unbiased outcomes. Based on our results we conclude that technical trading rules are not able to outperform a naïve buy-and-hold benchmark on a consistent basis. However, we do find significant trading rule profits in 4 of the 34 investigated markets. We also present evidence that technical analysis is more profitable in crisis situations. Nevertheless, this result is relatively weak.
Abstract: Economic crime (i.e. corporate fraud) has a
significant impact on business. This study analyzes the fraud cases
reported by the Malaysian Securities Commission. Frauds involving
market manipulation and/or illegal share trading are the most
common types of fraud reported over the 6 years analyzed. The
highest number of frauds reported involved investment and fund
holding companies. Alarmingly the results indicate quite a high
number of frauds cases are committed by management. The higher
number of Chinese perpetrators may be due to fact that they are the
dominant group in Malaysian business. The result also shows that
more than half of companies involved with fraud are privately held
companies in the investment/fund/finance sector. The results of this
study highlight general characteristic of perpetrators (person and
company) that commit fraud which could help the regulators in their
monitoring and enforcement activities. To investors, this would help
in analyzing their business investment or portfolio risk.
Abstract: In this paper, we propose a multiple objective optimization model with respect to portfolio selection problem for investors looking forward to diversify their equity investments in a number of equity markets. Based on Markowitz-s M-V model we developed a Fuzzy Mixed Integer Multi-Objective Nonlinear Programming Problem (FMIMONLP) to maximize the investors- future gains on equity markets, reach the optimal proportion of the budget to be invested in different equities. A numerical example with a comprehensive analysis on artificial data from several equity markets is presented in order to illustrate the proposed model and its solution method. The model performed well compared with the deterministic version of the model.
Abstract: Nowadays predicting political risk level of country
has become a critical issue for investors who intend to achieve
accurate information concerning stability of the business
environments. Since, most of the times investors are layman and
nonprofessional IT personnel; this paper aims to propose a
framework named GECR in order to help nonexpert persons to
discover political risk stability across time based on the political
news and events.
To achieve this goal, the Bayesian Networks approach was
utilized for 186 political news of Pakistan as sample dataset.
Bayesian Networks as an artificial intelligence approach has been
employed in presented framework, since this is a powerful technique
that can be applied to model uncertain domains. The results showed
that our framework along with Bayesian Networks as decision
support tool, predicted the political risk level with a high degree of
accuracy.
Abstract: The past decade has witnessed a good opportunities
for city development schemes in UK. The government encouraged
restoration of city centers to comprise mixed use developments with
high density residential apartments. Investments in regeneration areas
were doing well according to the analyses of Property Databank
(IPD). However, more recent analysis by IPD has shown that since
2007, property in regeneration areas has been more vulnerable to the
market downturn than other types of investment property. The early
stages of a property market downturn may be felt most in
regeneration where funding, investor confidence and occupier
demand would dissipate because the sector was considered more
marginal or risky when development costs rise. Moreover, the Bank
of England survey shows that lenders have sequentially tightened the
availability of credit for commercial real estate since mid-2007. A
sharp reduction in the willingness of banks to lend on commercial
property was recorded. The credit crunch has already affected
commercial property but its impact has been particularly severe in
certain kinds of properties where residential developments are
extremely difficult, in particular city centre apartments and buy-to-let
markets. Commercial property – retail, industrial leisure and mixed
use were also pressed, in Birmingham; tens of mixed use plots were
built to replace old factories in the heart of the city. The purpose of
these developments was to enable young professionals to work and
live in same place. Thousands of people lost their jobs during the
recession, moreover lending was more difficult and the future of
many developments is unknown. The recession casts its shadow upon
the society due to cuts in public spending by government, Inflation,
rising tuition fees and high rise in unemployment generated anger and
hatred was spreading among youth causing vandalism and riots in
many cities. Recent riots targeted many mixed used development in
the UK where banks, shops, restaurants and big stores were robbed
and set into fire leaving residents with horror and shock. This paper
examines the impact of the recession and riots on mixed use
development in UK.
Abstract: Gold passbook is an investing tool that is especially
suitable for investors to do small investment in the solid gold. The gold
passbook has the lower risk than other ways investing in gold, but its
price is still affected by gold price. However, there are many factors
can cause influences on gold price. Therefore, building a model to
predict the price of gold passbook can both reduce the risk of
investment and increase the benefits. This study investigates the
important factors that influence the gold passbook price, and utilize
the Group Method of Data Handling (GMDH) to build the predictive
model. This method can not only obtain the significant variables but
also perform well in prediction. Finally, the significant variables of
gold passbook price, which can be predicted by GMDH, are US dollar
exchange rate, international petroleum price, unemployment rate,
whole sale price index, rediscount rate, foreign exchange reserves,
misery index, prosperity coincident index and industrial index.
Abstract: This conference paper discusses a risk allocation problem for subprime investing banks involving investment in subprime structured mortgage products (SMPs) and Treasuries. In order to solve this problem, we develop a L'evy process-based model of jump diffusion-type for investment choice in subprime SMPs and Treasuries. This model incorporates subprime SMP losses for which credit default insurance in the form of credit default swaps (CDSs) can be purchased. In essence, we solve a mean swap-at-risk (SaR) optimization problem for investment which determines optimal allocation between SMPs and Treasuries subject to credit risk protection via CDSs. In this regard, SaR is indicative of how much protection investors must purchase from swap protection sellers in order to cover possible losses from SMP default. Here, SaR is defined in terms of value-at-risk (VaR). Finally, we provide an analysis of the aforementioned optimization problem and its connections with the subprime mortgage crisis (SMC).
Abstract: The financial crisis has decreased the opportunities of
small businesses to acquire financing through conventional financial
actors, such as commercial banks. This credit constraint is partly the
reason for the emergence of new alternatives of financing, in addition
to the spreading opportunities for communication and secure
financial transfer through Internet. One of the most interesting venues
for finance is termed “crowdfunding". As the term suggests
crowdfunding is an appeal to prospective customers and investors to
form a crowd that will finance projects that otherwise would find it
hard to generate support through the most common financial actors.
Crowdfunding is in this paper divided into different models; the
threshold model, the microfinance model, the micro loan model and
the equity model. All these models add to the financial possibilities of
emerging entrepreneurs.