This dissertation consists of two parts. The first part introduces a neural network approach that is used to forecast the conditional probability density function of asset returns. The model is unified with the idea of Arbitrage Pricing Theory (APT). In the second part, an algorithm called...

Monitoring and adjusting financial health problems play central role in the firm’s performance.Usually, small firms face difficulties in these tasks for lacking human resources and incapacityto afford a consultant. By analyzing the nature of the diagnosis and the solution of financialproblems...

The primary purpose of this dissertation is to investigate the behavior of the elements of the foreign exchange market, the largest financial market in the world. Whilst the market itself is not new, the concept of currency as an alternative asset, is. Apart from growing awareness of the...

The objective of this paper is to determine how relative market and credit risk changes among European sectors during times of extreme market fluctuations. Ten sectors comprising the S&P Euro index are compared prior to and during the Global Financial Crisis (GFC). Market risk is measured using...

It is well documented that ‘‘unanticipated’’ information contained in United States Department of Agriculture (USDA) crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges...

Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to...

Agricultural cooperatives tend to be riskier than investor-oriented firms, both in a business and financial sense. However, cooperative managers are often reluctant to actively manage risk. Although the “risk management irrelevance proposition” suggests that cooperative managers should be...

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates...

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

Despite its recent advent, value at risk (VaR) became the most widely usedtechnique for measuring future expected risk for both financial and non-financialinstitutions. VaR, the measure of the worst expected loss over a given horizon at a givenconfidence level, depends crucially on the...