Purpose: The purpose of this study is to examine the effects of internal audit function (IAF) quality on the operational efficiency of Chinese firms. Design/methodology/approach: The authors use regression models with a sample of Chinese listed companies to test their research hypotheses....

Abstract Understanding how people make decisions from risky choices has attracted increasing attention of researchers in economics, psychology and neuroscience. While economists try to evaluate individual’s risk preference through mathematical modeling, neuroscientists answer the question by...

This dissertation examines how households should optimally allocate their portfolio choices between risky stocks and risk-free bonds over their lifetime. Traditional lifecycle models in previous work with normal-distributed stock returns suggest that the allocation toward stocks should start...

In the ideal Black-Scholes world, financial time series are assumed 1) stationary (time homogeneous) and 2) having conditionally normal distribution given the past. These two assumptions have been widely-used in many methods such as the RiskMetrics, one risk management method considered as...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...

In this thesis we propose a risk management methodology to high-dimensional financial portfolios. Instead of estimating the joint density of the portfolios in a high-dimensional space, we are encouraged by using the independent component analysis (ICA) to decompose the dependent risk factors to...

We aim to understand the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. To achieve this aim, we propose an extended Vector Autoregressive model, aimed at explaining the evolution of trading...