Stress Tests of Capital Requirements

This paper examines the performance of the leading methods for setting capital requirements for securities firms' trading books. Tests are conducted on a large sample of UK equity market makers' books over a substantial number of periods of equity market stress from 1985 to 1995. The comprehensive and building-block approaches, favoured by US and European regulators, fail to provide effective cover. Only portfolio-based, value-at-risk type models are efficient in providing appropriate levels of capital to cover the position risk of equity trading books. This paper was presented at the Financial Institutions Center's October 1996 conference on "

Ex-Post: The Investment Performance of Collectible Stamps

This paper investigates the returns on British collectible postage stamps over the very long run, based on stamp catalogue prices. Between 1900 and 2008, we find an annualized return on stamps of 6.7% in nominal terms, which is equivalent to an average real return of 2.7% per annum. Prices have increased much faster in the second half of the 1960s, the late 1970s, and the current decade. However, we also record prolonged periods of real depreciation, for example in the 1980s. As a financial investment, stamps have outperformed bonds, but underperformed stocks. After unsmoothing the returns on stamps, we find that the volatility of stamp prices approaches that of equities. There is mixed evidence that stamps are a good hedge against inflation. Once the problem of non-synchronous trading is taken into account, stamp returns seem impacted by movements in the equity market.Alternative investments;Indexes;Long-term returns;Market model;Stamps

Understanding the effects of user participation in information security risk management : a comparative study of South Africa and Malawi

Includes bibliographical references.The purpose of this study was to understand how user participation in Information Security Risk Management (ISRM) practices contributes to the efficient management of information security. The study also aimed at understanding how different cultures influence user participation in ISRM. To achieve these objectives, the study employed a mixed methods research approach to comparatively collect, analyse, and interpret data from South Africa and Malawi

The price of wine

We examine the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing the vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest rates of appreciation for young high-quality wines that are still maturing. The findings suggest that the non-financial “psychic return” to holding wines that are substantially beyond maturity is at least 1%. Using an arithmetic repeat-sales regression, we estimate an annualized return to wine investments (net of insurance and storage costs) of 4.1%, in real GBP terms, between 1900 and 2012. Wine underperforms equities over this period, but outperforms government bonds, art, and stamps. Wine and equity returns are positively correlated

Expected cost of equity and the expected risk premium in the UK

Discussion paper. Final version published in Review of Behavioral Finance, Vol. 3 Iss: 1, pp.1 - 26In this paper, it is argued that previous estimates of the expected cost of equity and the expected arithmetic risk premium in the UK show a degree of upward bias. Given the importance of the risk premium in regulatory cost of capital in the UK, this has important policy implications. There are three reasons why previous estimates could be upward biased. The first two arise from the comparison of estimates of the realised returns on Government Bond (“Gilt”) to realised and expected returns on equities. These estimates are frequently used to infer a risk premium relative to either the current yield on index-linked gilts or an “adjusted” current yield measure. This is incorrect on two counts; first, inconsistent estimates of the risk free rate are implied on the right hand side of the CAPM (Jenkinson, 1993); second, they compare realised returns from a bond which carried inflation risk with realised and expected returns from equities which may be expected to have at least some protection from inflation risk. The third, and most important, source of bias arises from uplifts to expected returns. If markets exhibit “excess volatility” (Shiller 1981), or if part of the historical return arises because of revisions to expected future cash flows, then estimates of variance derived from historical returns or price growth must be used with great care when uplifting average expected returns to derive simple discount rates. Adjusting expected returns for the effect of such biases leads to lower expected cost of equity and risk premia than those that are typically quoted

Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.Comment: 15 pages, as presented at the Complexity Workshop in Aix-en-Provenc

Hubungan Antara Literasi Digital Dengan Self- Regulated Learning Pada Siswa/I Kelas XII SMAN 1 Siantar Narumonda

Penelitian ini bertujuan untuk melihat hubungan literasi digital dengan self-regulated learning pada siswa/i kelas XII di SMAN 1 Siantar Narumonda. Penelitian ini dilakukan melalui pendekatan kuantitatif dengan metode korelasional. Populasi dalam penelitian ini merupakan siswa kelas XII SMAN 1 Siantar Narumonda dengan sampel dalam penelitian ini berjumlah 64 siswa dengan teknik pengambilan sampel menggunakan convenience sampling. Pengumpulan data dilakukan melalui teknik skala. Analisis data menggunakan uji asumsi yaitu uji normalitas dan uji linearitas serta uji hipotesis menggunakan korelasi product moment. Hasil penelitian menunjukkan ada hubungan yang signifikan antara literasi digital dengan self-regulated learning yang positif dan tergolong kuat. Hal ini didasarkan pada nilai pearson correlation sebesar 0,661 dan nilai sig. 0,000. Literasi digital memberikan sumbangan efektif pada self- regulated learning sebesar 43,7% dan selebihnya dipengaruhi oleh faktor lain yang tidak dibahas dalam penelitian ini