MEASURING AND ALLOCATING PORTFOLIO RISK CAPITAL IN THE REAL WORLD: PRACTICAL APPLICATION OF VALUE-AT-RISK AND EXPECTED SHORTFALL

Financial risk professionals are constantly interested in the risk capital allocation especially when dealing with management of portfolios under their control. This paper seeks to investigate two major risk measures namely the Value-at-Risk (VaR) and Expected Shortfall (ES) in dealing with the risk capital allocation problem. Data from the London Stock exchange was used for this study. Assuming no dividends payment, the Geometric Brownian motion (Black-Scholes Model) and a fair per-unit capital allocation principle were applied to ascertain the coherence of the two considered risk measures within a two year time horizon. It is evident from the results that stock with high mean rate of log returns and low volatility turns to have a lower fair per unit capital allocation of risk in any selected portfolio. Results of stocks with the least quantified risk (in pence) of all considered portfolios in this paper were Portfolio I (Mining: BLT - 926), Portfolio II (Media: PSON - 175), Portfolio III (Financial services: SDRC - 459), Portfolio IV (Bank: STAN - 739) and Portfolio V (FTSE 100 top 10 Companies: BATS - 1021) respectively. Keywords:   Coherent Risk Capital Allocation Value-at-Risk Expected Shortfal

Empirical examination of herding behaviour in the Johannesburg stock exchange : a sectoral analysis

Abstract: This paper uses the daily stock returns from January 2010 to September 2015 to investigate the presence of herding behavior and its dynamics on the South African financial sector. The paper makes use of the median as an alternative proxy to the mean in estimating market average returns. We found evidence in support of herding behaviour in the general financials and the real estate sectors of the Johannesburg Stock Exchange (JSE) during normal market period. Investors in the banking and the insurance sectors were found to show rational investment decisions during all market periods

Perceptions of Students Towards Tertiary Weekend School In Ghana

Weekend School has become a more flexible and recognized delivery format for widening access to higher institutions in Ghana. The purpose of this study is to investigate the perceptions of undergraduate students, about the weekend school system being offered by the Garden City University College in Kumasi. A survey questionnaire was designed to mainly obtain information on students’ opinions on content of academic programmes; academic facilities; tuition quality; and manpower skills. The ordinal regression model was used to model students’ responses. Results of the study indicate that weekend school is mostly patronized by students aged between 26-35 (56.9%) and by the actively employed (75.7%), largely because it provides a flexible way to combine work and study and life-long learning. The analysis using the ordinal regression model identified age, sex, marital status, current domicile region and students’ department as statistically significant demographic profiles that informed students’ views about GCUC’s weekend school. Keywords: higher education, weekend school, perception, ordinal regression model

MODELLING STUDENT’S SATISFACTION WITH LIBRARY SERVICES IN A TERTIARY INSTITUTIONS: EVIDENCE FROM KUMASI POLYTECHNIC

An effective and efficient academic library system can significantly contribute to student and other user’s development in a wider perspective. This paper seeks to determine the satisfaction level of students with respect to the available reading materials and the services provided by the school library officials. Using a survey data obtained from students using the Kumasi Polytechnic library, the overall service satisfaction model was specified using ordinal logistic regression. Among the sampled students, 57%, 30.8%, 6.7% and 4.3% of them believes that the overall service quality is good, moderate, excellent and poor respectively. Also from the estimated model, the overall service quality decreases when students are less satisfied with the individual service components. In general, the estimated model suggest that among all the variables, availability of current and relevant materials; adequate user instructions; reliable internet facilities as well as friendly and helpful library staff are the first four (4) library service segments that highly influenced the students ratings for overall service quality. Keywords: Ghana, Kumasi Polytechnic, Library Services, Student Satisfaction, Ordinal logit model

INTERVENTION ANALYSIS OF MATERNAL HEALTHCARE ENROLLMENT AT MAMPONG GOVERNMENT HOSPITAL, GHANA

Providing quality maternal and neonatal healthcare remains a major challenge to many developing countries. It is as part of this backdrop that Ghana and other sister countries endorsed the Millennium Development Goal 5, to help improve maternal healthcare. In a high commitment, the Government of Ghana initiated an exemption from delivery fees in April 2005 and a free maternal care in July 2008 to help address the high maternal mortality issue and to also replace the cash and carry healthcare system. Using intervention analysis of Box and Tiao, this paper quantify the effects of the interventions on maternal enrollment at the Mampong Government Hospital from January 2001 to December 2011. Results from the estimated intervention model showed an insignificant change of approximately 9 pregnant women from the first policy. The free maternal care policy rather showed a significant additional enrollment of 90 women at the hospital. Keywords: intervention analysis, maternal healthcare, exemption from delivery fees, free maternal car

PERCEPTIONS OF STUDENTS TOWARDS HIGHER NATIONAL DIPLOMA EDUCATION IN GHANA: A CASE STUDY OF KUMASI POLYTECHNIC

This paper investigates into perceptions towards HND education in Ghana. A structured questionnaire was designed as the main tool in soliciting student’s views across all faculties and the various departments respectively using simple random sampling technique. The ordinal logit model was applied to select significant factors that influenced student’s perceptions about the HND education. It was evident from the results that 52.5% s. disagree that their current programme of study offered them by Kumasi Polytechnic is their preferred programme whilst 41.1% also s. disagree the HND qualification is suitable to fill the middle level manpower gab of the Ghana economy. The survey further reveals that 37.9% agree that Kumasi Polytechnic provides the necessary logistics in enhancing vocational, technical & theoretical studies. However only about one in four students (26.2%) are satisfied with the general supervision of industrial attachment of the Polytechnic education AT Kumasi Polytechnic. Keywords: Ghana, Polytechnic, Ordinal, Perception, Satisfaction, Tertiary Educatio

Herding behaviour in financial markets : empirical evidence from the Johannesburg Stock Exchange

Abstract: Please refer to full text to view abstrac