Risk Yonetimi Danismani

Posted by Serhat Yucel, FRM on May 3, 2013 No comments

Merhaba,

Italya merkezli uluslararasi bir risk yonetimi danismanlik firmasinin yeni kurulmakta olan Istanbul Subesinde tam zamanli calisacak danismanlar aramaktayiz. Yurt disi seyahat engeli bulunmayan, yeni mezun veya risk yonetimi alaninda bir kac yil deneyimli arkadaslardan ilgilenenler ozgecmislerini bana ulastirabilirler.

gerekli nitelikler:

1. risk yonetimi konusuna ilgi

2. Iyi derecede ingilizce

3. sayisal finans konularina yatkinlik (universitelerin fizik, matematik, istatistik ve sayisal agirlikli ekonomi bolumlerinden mezun, ve/veya sayisal finans, finans muhendisligi gibi alanlarda yuksek lisans/doktora sahibi)

4. ileri seviyede MS excel kullanim becerisi,

5. orta/iyi derecede visual basic bilgisi

6. istatistik paket programlarini aktif olarak kullanma

zorunlu olmamakla birlikte, size avantaj saglayabilecek diger nitelikler:

7. FRM, PRM gibi risk yonetimi ile ilgili sertifikasyonlar

8. turev urunler lisans belgesi

9. temel italyanca

10.matlab bilgisi


The Impacts of Warrants Issuance on the Price and Trading Volumes of the Underlying Stock: The Call Warrants Case of Taiwan Stock Exchange

Posted by Özgür Ünal Onbirler on May 19, 2012 No comments

Abstract

This paper is to investigate the impacts of derivative warrants issuance from January,1997 to April, 2001 on both price and trading volumes of underlying stock around theannouncement date in Taiwan stock market. The ndings on price and trading volumesbehaviors suggest that there may be substantial purchases of the underlying stock by theissuers at one day before the announcement date of derivative warrants issuance for meetingthe hedging demand, and there may be substantial purchases of the underlying stock by theissuer/informed-trader for the last 10 minutes prior to market closure on the announcementdate of derivative warrants issuance for meeting price manipulating/information leaking de-mands. Nevertheless, the ndings on price and trading volumes also suggest that theremay convey an unfavorable signal about the reactions to the issuers’ perception of futureperformance of the underlying stock by the public investors during two days after the an-nouncement date of derivative warrants issuance, which underlying stock underperforms thewhole market.

Chung-Chu Chuang

Aletheia University R.O.C.

Shuo-Li Chuang

National Taiwan University R.O.C.

M16N12



Are Tall People Less Risk Averse than Others? by Olaf Hübler

Posted by Özgür Ünal Onbirler on May 19, 2012 No comments

ABSTRACT  Are Tall People Less Risk Averse than Others?  This paper examines the question of whether risk aversion of prime-age workers is negatively correlated with human height to a statistically significant degree. A variety of estimation methods, tests and specifications yield robust results that permit one to answer this question in the affirmative. Hausman-Taylor panel estimates, however, reveal that height effects disappear if personality traits and skills, parents’ behaviour, and interactions between environment and individual abilities appear simultaneously. Height is a good proxy for these influences if they are not observable. Not only one factor but a combination of several traits and interaction effects can describe the time-invariant individual effect in a panel model of risk attitude.

JEL Classification: D90, J13, J24

Keywords: height, risk preference

Corresponding author:

Olaf Hübler

Institute of Empirical Economic Research Leibniz University of Hannover

Königsworther Platz 1 D-30167 Hannover Germany

SSRN-id2039567



Mean Variance Model vs Black Litterman Model on ISE 100

Posted by Emre Ozcan on April 12, 2012 No comments

Abstract
Asset management industry employs army of researchers to analyze the equity markets in order toconstruct portfolios which capture the market trends. In the light of this theme, main aim of this study isto probe the efficiency of equity analyst market views with the help of Black Litterman optimizationmodel to compare with Mean variance optimization model.

 

Mean Variance Model vs Black Litterman Model on ISE 100



Valuation Approaches and Metrics: A Survey of the Theory and Evidence

Posted by Serhat Yucel, FRM on March 17, 2012 No comments

A very nice and easy to read paper regarding the valuation approaches used in finance

Valuation Approaches and Metrics: A Survey of the Theory and Evidence by Aswath Damodaran

Abstract: Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.

A777ValuationApproaches2006