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Full-Text Articles in Finance

Potential Weather Data Anomolies Within The Usda's Pasture Rangeland And Forage Insurance Program, Chad Steven Van Orden Dec 2019

Potential Weather Data Anomolies Within The Usda's Pasture Rangeland And Forage Insurance Program, Chad Steven Van Orden

All Graduate Plan B and other Reports

The purpose of this study is to delve into the functionality of the PRF insurance program. The primary goal is to uncover any underlying anomalies which may inadvertently skew data within the program. Because the USDA uses NOAA’s weather stations regardless of location or timing of activation, it is consequential that the collected precipitation data may be inconsistent across both time and space. This phenomenon could have substantial and significant effects on the RMA’s PRF insurance program, resulting in producers being compensated inaccurately for their insurance claims.


Accounting Education In Greece During The Gfc (2009-2016), Dimitrios V. Siskos Sep 2019

Accounting Education In Greece During The Gfc (2009-2016), Dimitrios V. Siskos

Dimitrios V. Siskos

The structure of accounting education in Greece, and in the world, is facing nowadays many significant challenges since the global financial crisis has left behind many critical educational burdens. At the same time, there is an increase in accounting omissions and malpractices of ethics both in the public and in the private sector of Greece. These undoubtedly contributed to massive unemployment, high poverty rate, crime and other social ills experienced in the country. This motivated the study on restructuring accounting education by devising a new educational framework that can be applied to Greek universities and colleges with the purpose of ...


Thinking Finance - The Comic Book, Dimitrios V. Siskos Sep 2019

Thinking Finance - The Comic Book, Dimitrios V. Siskos

Dimitrios V. Siskos

Thinking financially results in the best possible outcome and establishes a secure foundation for the future as an independent man. In contrast, thinking emotionally leads to short-sighted financial decisions and usually, deep regrets. However, thinking financially is not pleasant for the people around us. This comic book presents a guy, whose dream is to become an accountant. When he finally succeeds in this, he realizes that thinking financially may be effective for his boss but it is irritating for everyone else, even for his family.


The ‘Security Pacific Letter’: Estimating The Causal Effect Of Securitization On Banks’ Systemic Exposure, Paul-Angelo Dell'isola Sep 2019

The ‘Security Pacific Letter’: Estimating The Causal Effect Of Securitization On Banks’ Systemic Exposure, Paul-Angelo Dell'isola

Dartmouth Undergraduate Journal of Politics, Economics and World Affairs

This paper aims to test the hypothesis of the ‘Safe Asset narrative’

which states that banks became manufacturers of pseudo safe assets to meet

a global shortage of safe assets in the pre-crisis period. In this narrative,

securitization is the mechanism which enables banks to become underwriters

of safe assets. This paper takes this hypothesis to the data and attempts to

estimate the causal effect of securitization on banks’ systemic exposure. In

particular, this paper exploits a regulatory change that occurred in 1987 when

the OCC expanded the scope of assets US national banks could securitize. By

using state-chartered banks ...


Improving Future Policy Responses To Foreseeable Bank Risk-Taking, Joao F. Gomes, Marco Grotteria, Jessica A. Wachter Sep 2019

Improving Future Policy Responses To Foreseeable Bank Risk-Taking, Joao F. Gomes, Marco Grotteria, Jessica A. Wachter

Wharton Public Policy Initiative

This brief offers new perspectives on the behavior of banks during the financial crisis of 2007-08 and the limited success of unconventional monetary policies in stimulating bank credit to the private sector during the subsequent economic recovery. The common narrative about the financial crisis is that it was caused by a large credit expansion with overly risky loan-granting behavior by banks. We argue, however, that banks actually made optimal financial decisions in the lead-up to the crisis, based on their calculation of their franchise value. The brief explains the mechanics of franchise value—how it led banks to shift their ...


Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

As a global financial service provider, JPMorgan Chase (JPM) is supervised by banking regulatory agencies in different countries. Bruno Iksil, the derivatives trader primarily responsible for the $6 billion trading loss in 2012, was based in JPM’s London office. This office was regulated both by the Office of the Comptroller of the Currency (OCC) of the United States (US) and by the Financial Services Authority (FSA), which served as the sole regulator of all financial services in the United Kingdom (UK). Banking regulators in the US and the UK have entered into agreements with one another to define basic ...


Jpmorgan Chase London Whale D: Risk-Management Practices, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale D: Risk-Management Practices, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

JPMorgan Chase (JPM) prided itself on having the best risk-management practices in the financial industry, having survived the 2007-09 financial crisis in better shape than many competitors. Chief Executive Officer Jamie Dimon often spoke of the bank’s “fortress balance sheet.” A keen focus on risk management is vital to JPM’s longevity, as is the case with all highly leveraged financial institutions. However, the JPM Task Force that investigated the $6 billion 2012 London Whale trading loss concluded that risk-management practices at the bank’s Chief Investment Office (CIO), the unit in which the loss occurred, were given less ...


Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

Value at Risk (VaR) is one of the most commonly used ways to measure and monitor market risk. At JPMorgan Chase (JPM), very large derivative positions established by Bruno Iksil in the Synthetic Credit Portfolio (SCP) caused the bank’s Chief Investment Office (CIO) to exceed its VaR limit for four days in a row in January 2012. In response, the CIO changed to a new VaR model on January 30, which appeared to immediately reduce VaR by half. However, JPM soon discovered that this new VaR model had not been properly implemented and the bank went back to using ...


Jpmorgan Chase London Whale B: Derivatives Valuation, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale B: Derivatives Valuation, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

After consistently producing positive results through 2011, the JPMorgan Chase (JPM) traders who oversaw the bank’s Synthetic Credit Portfolio (SCP) grew alarmed by a consistent string of losses beginning in January 2012. (The SCP was maintained by JPM to help hedge default risk and was the source of the 2012 London Whale trading loss.) To minimize the losses reported to their superiors until such time that market prices hopefully turned in their favor, the SCP traders began valuing their largest derivative positions in a manner that was not consistent with Generally Accepted Accounting Principles (GAAP) and JPM policy. The ...


Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick

Journal of Financial Crises

In December 2011, the Chief Executive Officer and Chief Financial Officer of JPMorgan Chase (JPM) instructed the bank’s Chief Investment Office to reduce the size of its Synthetic Credit Portfolio (SCP) during 2012, so that JPM could decrease its RiskWeighted Assets as the bank prepared to adopt the impending Basel III bank capital regulations. However, the SCP traders were also told to minimize the trading costs incurred to reduce Risk-Weighted Assets, while still maintaining the opportunity to profit from unexpected corporate bankruptcies. In an attempt to balance these competing objectives, head SCP derivatives trader Bruno Iksil suggested in January ...


The Temporary Liquidity Guarantee Program: A Systemwide Systemic Risk Exception, Lee Davison Aug 2019

The Temporary Liquidity Guarantee Program: A Systemwide Systemic Risk Exception, Lee Davison

Journal of Financial Crises

In the fall of 2008, short-term credit markets were all but frozen, creating liquidity issues for banks and bank holding companies that could not rollover their debt at reasonable rates. Fearing that the situation would worsen if something was not done, the Federal Deposit Insurance Corporation (FDIC) and the Federal Reserve Board invoked, and the Secretary of the Treasury approved, the use of the “systemic risk exception” (SRE) under the Federal Deposit Insurance Corporation Improvement Act of 1991, to provide unprecedented broad-based relief to struggling banks. The SRE permitted the FDIC to depart from its “least-cost” requirement when addressing failing ...


A Tale Of Two Markets: Regulation And Innovation In Post-Crisis Mortgage And Structured Finance Markets, William W. Bratton, Adam J. Levitin Aug 2019

A Tale Of Two Markets: Regulation And Innovation In Post-Crisis Mortgage And Structured Finance Markets, William W. Bratton, Adam J. Levitin

Faculty Scholarship at Penn Law

This Article takes the occasion of the tenth anniversary of the financial crisis to review recent developments in the structured products market, connecting the emergent pattern to post-crisis regulation.

The Article tells a tale of two markets. The financial crisis stemmed from excessive risk-taking and shabby practice in the subprime home mortgage market, a market that owed its existence to the private-label, originate to securitize model. But the pre-crisis boom in private label subprime mortgage-backed securities could never have happened absent back up financing from an array of structured products and vehicles created in the capital markets—the CDOs that ...


Do What I Say, Not What I Do? Personal Finance Experiences Of Purdue Alumni And Advice For Current Undergraduate Students, Andi Long Aug 2019

Do What I Say, Not What I Do? Personal Finance Experiences Of Purdue Alumni And Advice For Current Undergraduate Students, Andi Long

The Journal of Purdue Undergraduate Research

No abstract provided.


Beyond Intermediation: A New (Fintech) Model For Securities Holding Infrastructures, Charles W. Mooney Jr. Aug 2019

Beyond Intermediation: A New (Fintech) Model For Securities Holding Infrastructures, Charles W. Mooney Jr.

Faculty Scholarship at Penn Law

Publicly traded securities generally are held by investors in securities accounts with intermediaries such as stockbrokers and central securities depositories—intermediated securities. For many investors this is the only practical means of holding and dealing with securities. These intermediated holding systems (IHSs) impose a variety of risks and costs. Investors are exposed to intermediary risk (default or insolvency of an intermediary holding securities) as well as impediments to the exercise of rights such as voting and asserting claims against securities issuers. The nontransparency of IHSs imposes other social costs, such as obstacles to anti-money laundering enforcement. The emergence of FinTech ...


Renewable Energy Access And Resilience In Urban Developing Areas: Distributed Solar Networks And Peer-To-Peer Energy Trading In Puerto Rico, Pascale Bronder Jul 2019

Renewable Energy Access And Resilience In Urban Developing Areas: Distributed Solar Networks And Peer-To-Peer Energy Trading In Puerto Rico, Pascale Bronder

Harvey M. Applebaum ’59 Award

This senior essay under the Environmental Studies major at Yale University explores the environmental and social benefits of applying innovative technology to the energy sector. Three types of energy networks are analyzed, focusing on the use of distributed energy and peer to peer energy trading on a blockchain platform. The benefits of distributed renewable energy networks can most strongly be applied to locations in need of more reliable, resilient, and cost-effective electricity. Puerto Rico is a case study. Methods include analysis of U.S. Energy Information Administration and Census Bureau data as well as personal interviews with Puerto Rican energy ...


International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll Jul 2019

International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll

Economics Department Working Papers

We employ a two-country overlapping-generations model to explore the international dimension of household portfolio choices induced by the asymmetric provision of government-run pensions. We study the resulting patterns of risk-sharing and the corresponding welfare effects on both home and foreign agents. Introducing the defined benefits pay-as-you-go system at home increases the welfare of all other agents at the expense of the home workers and improves the degree of intergenerational risk sharing abroad. Conversely, a defined contributions system leads to welfare losses of both home cohorts accompanied by gains abroad, but does increase the extent of intergenerational risk sharing at home.


The Martingale Approach To Financial Mathematics, Jordan M. Rowley Jun 2019

The Martingale Approach To Financial Mathematics, Jordan M. Rowley

Master's Theses and Project Reports

In this thesis, we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure Q, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure Q also gives the arbitrage-free pricing formula for every asset on our market. In considering ...


Examining Graduate Lending: Access Vs. Private Lending, Accesslex Institute Jun 2019

Examining Graduate Lending: Access Vs. Private Lending, Accesslex Institute

AccessLex Institute Research

This report, the second of our two-part series on graduate lending, uses federal data to show, as one example, that black borrowers and Historically Black Colleges and Universities would likely be severely harmed by a move to significantly limit or outright eliminate federal lending to graduate and professional students.


New Generation Grain Contracts In Corn And Soybean Commodity Markets, Matthew Elliott, Lisa Elliott, Chad Te Slaa, Zhiguang Wang May 2019

New Generation Grain Contracts In Corn And Soybean Commodity Markets, Matthew Elliott, Lisa Elliott, Chad Te Slaa, Zhiguang Wang

Matthew Elliott

This research quantifies the risk reduction and price received when agricultural producers adopt new generation grain contracts (NGGCs) to hedge corn and soybean production. We explore the Accumulator, Average Price, Price Plus, Minimum Price, and Price Protection contracts and compare the performance measures of the average bushel price that would be received by the producer, the change in daily value of the portfolio and the Sharpe ratio. Specific to the Accumulator contract, we quantify the bushels accumulated during the contract period. We find that the Price Plus contracts performed best overall during the 2008-2017 period, obtaining the highest bushel price ...


Financial Red Flags: Empirical Mapping Of Firm Political Preferences By Sector In Mexico, Ian Connors May 2019

Financial Red Flags: Empirical Mapping Of Firm Political Preferences By Sector In Mexico, Ian Connors

Master's Theses

Can the stock market be used to determine the political preferences of individual economic sectors? This paper explores the conceptual relationship between electoral outcomes and financial markets in Mexico. Specifically, it analyzes how financial markets predict the expected effects of a given political platform on the performance of firms within specific sectors. To do this, the study used event-study methodology to calculate abnormal returns on stock prices across the nine sectors listed on the Bolsa Mexicana de Valores stock exchange following the historic election of leftist candidate Andrés Manuel López Obrador (AMLO), On July 1, 2018. However, despite the uncertainty ...


The Quality Of Xbrl Structured Financial Statements: An Empirical Examination Of Custom Tags, Aidana Razhap Kyzy May 2019

The Quality Of Xbrl Structured Financial Statements: An Empirical Examination Of Custom Tags, Aidana Razhap Kyzy

School of Arts & Sciences Theses

In 2009 the US Securities and Exchange Commission (SEC) adopted the eXtensible Business Reporting Language (XBRL) system to improve the process by which financial statements can be used. Interactive financial data filed with the SEC using XBRL provides easily readable and comparable financial data, thereby improving transparency and efficiency in the corporate market. SEC rules permit companies to use custom tags in their financial reports in cases when an appropriate element cannot be found in the Financial Accounting Standards Board (FASB) standard XBRL taxonomy. The inordinate use of custom tags may result in a reduction of financial report quality by ...


Utilizing Blockchain Trade Finance To Promote Financial Inclusion, Bryce Ciccaglione May 2019

Utilizing Blockchain Trade Finance To Promote Financial Inclusion, Bryce Ciccaglione

Honors Scholar Theses

This paper examines the use of blockchain, or distributed ledger, technology for the potential supplantation of the antiquated process of international trade financing. Using the technology for this purpose has the potential to narrow the enormous gap in unmet demand for trade finance experienced by small-and medium-sized enterprises in the developing world. The current process of trade finance is still paper-based and relies heavily on manual labor. After the 2008 Global Financial Crisis, banks became restrictive in their lending, especially to small-and medium-sized enterprises in developing countries, leading to the aforementioned trade finance gap. Blockchain technology could narrow this gap ...


Systematic Risk-Factors Among U.S. Stock Market Sectors, Maksim V. Papenkov May 2019

Systematic Risk-Factors Among U.S. Stock Market Sectors, Maksim V. Papenkov

Economics

The Capital Asset Pricing Model (CAPM) and its extensions are a family of empirical asset pricing models which partition risk as either "systematic" (market-wide) or "idiosyncratic" (stock-specific). Examples of systematic risk-factors include the market return, company size, and company value. Within the framework of the CAPM-family of models, it is assumed that the effects of these systematic risk-factors are homogenous among sectors. This paper develops an extension to the CAPM relaxing this assumption, by directly comparing these systematic risk-factors at the sector-level. Utilizing CRSP and Compustat data, systematic risk-factor premiums are estimated for each sector, which demonstrates heterogeneity, with respect ...


Does Family Income Determine A Children Future Educational Attainment Level?, Diaisha T. Richards May 2019

Does Family Income Determine A Children Future Educational Attainment Level?, Diaisha T. Richards

Applied Economics Theses

Family income and education have been a major concern in a variety of researches, and as a topic in society. These two components are a major concern because they are known to be key elements in determining future success for an individual. Various studies investigated the significance, correlations and impacts these two factors have on one another. It is common for the amount of family income obtained to determine how much education one will receive in the future. This study focuses on testing the hypothesis that family income determines how much education a child will receive in the future. By ...


Economic And Demographic Determinants Of The Consumption, Saving And Borrowing Behaviors Of Households, Micaela Joseph May 2019

Economic And Demographic Determinants Of The Consumption, Saving And Borrowing Behaviors Of Households, Micaela Joseph

Applied Economics Theses

The personal savings rate is an unsettling subject, because every economist has distinctive opinions on the determinants of consumption, saving and borrowing behaviors of households. For instance, many individuals assume that there is a positive relationship between real disposable income and the personal savings rate. In other words, saving amongst households have increased with the growth of household wealth. On the other hand, some individuals deem that there is an inverse relationship between both variables, so much that this topic has always demanded further research to be completed. Because of my awareness and experience relating to this topic, I have ...


Toward A More Universal Currency: The Impact Of The Clearing Mechanism On Developing Economies, Evan Ross Kaderbeck May 2019

Toward A More Universal Currency: The Impact Of The Clearing Mechanism On Developing Economies, Evan Ross Kaderbeck

Applied Economics Theses

Toward a More Universal Currency:

The Impact of the Clearing Mechanism on Developing Economies

As part of a broader plan to reform the system of international finance, experts have indicated the need to modify the system of international money. They point to problems such as the difficulties faced by developing countries in obtaining hard currency needed for imports, or the flows of hot money which make the financing of long-term development projects difficult. Some have called for a form of universal currency, used only in international trade. Developing nations especially need access to a clearing mechanism which would eliminate the ...


Model-Free Implied Volatility Under Jump-Diffusion Models, Seungmook Choi, Hongtao Yang May 2019

Model-Free Implied Volatility Under Jump-Diffusion Models, Seungmook Choi, Hongtao Yang

Finance Faculty Publications

The model-free implied volatility (MFIVol) is intended to measure the variability of underlying asset price on which options are written. Analytically, however, it does not measure exactly the variability under jump diffusion. Our extensive empirical study suggests that the approximation error can be as much as about 3%--5% although most samples over the data period exhibit less than 1% errors. Even with the non-negligible errors, the MFIVol may be still considered a valid volatility measure from the perspective of risk-neutral return density, in the sense that it is bounded by the two variability measures as well as reflecting the ...


Exploring Financial Literacy Of Independent Musicians In The Gig Economy, Benjamin Milam May 2019

Exploring Financial Literacy Of Independent Musicians In The Gig Economy, Benjamin Milam

Honors Theses

The purpose of this study is to gain insight into the elements of the career of independent musicians. Specifically, how they overcome or fail to overcome the challenges of a gig economy through knowledge and ability to properly manage scarce financial resources. The research questions posed are as follows: (a) Does higher financial literacy allow independent musicians to sustain and improve their career in the gig economy? (b) How do independent musicians use financial literacy to sustain their career? (c) How does industry experience affect the ability of independent artists to effectively allocate financial resources? To answer these research questions ...


Essays On Networks And Corporate Finance, Tatiana Salikhova May 2019

Essays On Networks And Corporate Finance, Tatiana Salikhova

Theses and Dissertations

In my dissertation I explore how personal networks affect firms’ financial decisions. In the first essay, I study how social connections among divisional managers affect the capital allocation to divisions in diversified conglomerates. In contrast to the previous studies, I focus on the horizontal connections or connections formed among managers of the same level of corporate hierarchy. I show that connections among divisional managers lead to higher sensitivity of segment capital spending to segment’s growth opportunities, higher firm-level allocation efficiency and higher firm value. Additionally, firms tend to strategically assign better-connected managers to these segments, and connections help to ...


The Impact Of Immigration On Financial Markets, Jesse Baker May 2019

The Impact Of Immigration On Financial Markets, Jesse Baker

All Graduate Plan B and other Reports

This paper studies the impact of immigration policy on financial markets. I estimate the cumulative abnormal returns surrounding two events the effective start date of the Immigration Act of 1990 and the implementation of the Temporary Protected Status (TPS) of Nicaragua and Honduras in 1999. Focusing on agriculture, construction, and manufacturing firms, I find that the CARs surrounding the events are indeed positive and significant, suggesting that the market anticipated growth among industries that are likely to hire Central American immigrants.