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2000

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Articles 61 - 90 of 118

Full-Text Articles in Finance and Financial Management

Modeling Corporate Bond Default Risk: A Multiple Time Series Approach, Wai-Sum Chan Jan 2000

Modeling Corporate Bond Default Risk: A Multiple Time Series Approach, Wai-Sum Chan

Journal of Actuarial Practice (1993–2006)

A multiple time series approach is used to forecast the short-term u.s. corporate bond default level. These time series have two auxiliary economic variables: U.S. price inflation and U.S. GNP growth rate. Actual U.S. data from the turn of the century to the present are used to estimate the parameters of multivariate time series model. Diagnostic checks are performed to examine adequacy of the model. The model's forecast for the aggregate U.S. bond default level in 2000-2001 are 0.42% and 0.56%, respectively, while the forecast for the speculative-grade default rate in 2000 is 3.6%, which is more pessimistic than some …

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Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low Jan 2000

Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low

Journal of Actuarial Practice (1993–2006)

A measure of level of post-retirement standard of living is the replacement ratio, i.e., percentage of final salary received as annual retirement income derived from savings. The replacement ratio depends on many factors including salary, salary increases, investment returns, and post-retirement mortality. Elementary life contingencies techniques are used to develop a replacement ratio formula and analyze its sensitivity to these factors.

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Life Contingencies With Stochastic Discounting Using Moving Average Models, Steven Haberman, Russell Gerrard, Dimitrios Velmachos Jan 2000

Life Contingencies With Stochastic Discounting Using Moving Average Models, Steven Haberman, Russell Gerrard, Dimitrios Velmachos

Journal of Actuarial Practice (1993–2006)

This paper offers simplified procedures for calculating moments of functions in life contingencies when the random force of interest is modeled using an unconditional moving average process of order q, MA(q). It extends the MA(l) model that has been used for stochastic discounting. Using the more general MA(q) model allows actuaries to better capture the auto correlation between successive interest rates in a time series.

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Independent Claim Report Lags And Bias In Forecasts Using Age-To-Age Factor Methodology, Stewart Gleason Jan 2000

Independent Claim Report Lags And Bias In Forecasts Using Age-To-Age Factor Methodology, Stewart Gleason

Journal of Actuarial Practice (1993–2006)

This paper finds that when report lags are assumed to be independent, the age-to-age factor method produces biased estimates when applied to claim count development data. Two distributions are considered as models for the ultimate number of claims for an accident period: (0 a Poisson distribution, and (ii) a negative binomial distribution. In the Poisson case, the assumption of independent report lags implies the independence of the total number of claims reported in any two periods. In the negative binomial case, however, assuming that report lags are independent does not imply that increments are independent, and a somewhat different argument …

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Concentration In The Property And Liability Insurance Market By Line Of Insurance, Edward Nissan, Regina Caveny Jan 2000

Concentration In The Property And Liability Insurance Market By Line Of Insurance, Edward Nissan, Regina Caveny

Journal of Actuarial Practice (1993–2006)

This paper uses an National Association of Insurance Commissioners (NAIC) 1995 data set to examine the concentration of property and liability insurance by line of insurance in the U.S. The primary measure of concentration used is the Herfindahl index. The largest 100 affiliates are divided into three largest sets of 20, 30, and 50. We find that the homeowners line is the most concentrated line and commercial auto physical damage is the least concentrated line, with the top 20 affiliates commanding the largest between-set and within-set contributions.

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Risk Sources In A Life Annuity Portfolio: Decomposition And Measurement Tools, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo Jan 2000

Risk Sources In A Life Annuity Portfolio: Decomposition And Measurement Tools, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo

Journal of Actuarial Practice (1993–2006)

The paper considers a model for a homogeneous portfolio of whole life annuities immediate. The aim is to study two risk factors: the investment risk and the insurance risk. A stochastic model of the rate of return is used to study these risk factors. Measures of the insurance risk and the investment risk for the entire portfolio are suggested. The problem of the longevity risk is presented, and its consequences with different projections of the mortality tables are analyzed. The model is applied to some concrete cases, and several illustrations show the importance of the two components of the riskiness …

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A Comparative Study Of The Performance Of Loss Reserving Methods Through Simulation, Prakash Narayan, Thomas Warthen Jan 2000

A Comparative Study Of The Performance Of Loss Reserving Methods Through Simulation, Prakash Narayan, Thomas Warthen

Journal of Actuarial Practice (1993–2006)

Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve, and actuaries use various ad hoc methods to derive a range for the indicated reserve. We use a Monte Carlo simulation method to compare various loss reserve estimation methods, including traditional methods and regression-based methods of loss reserving.

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Safe-Side Requirements In Life Insurance: A Corporate Perspective, Annamaria Olivieri, Ermanno Pitacco Jan 2000

Safe-Side Requirements In Life Insurance: A Corporate Perspective, Annamaria Olivieri, Ermanno Pitacco

Journal of Actuarial Practice (1993–2006)

Safe-side requirements concern the assumptions used to calculate premiums in relation to a set of more realistic assumptions. Roughly, safe-side requirements express the capability of premiums to generate positive margins. In a strictly actuarial framework, safe-side requirements are given in terms of some notion of expected profit, calling for assumptions that let such profit be non-negative. An expected profit of zero, however, is not a realistic aim for the insurer. We investigate the notion of conservative assumptions by adopting a unconventional approach. Our focus is the management of the financial resources coming both from premiums and from shareholders' capital. This …

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Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang Jan 2000

Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang

Journal of Actuarial Practice (1993–2006)

The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.

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Proposed Portfolio 2000, Kristen Andrews, Drago Dzerve, Bradley Joseph, Jimmy Park, Travis Shelhorse, Joni Stetson Jan 2000

Proposed Portfolio 2000, Kristen Andrews, Drago Dzerve, Bradley Joseph, Jimmy Park, Travis Shelhorse, Joni Stetson

Crummer Truist Portfolios

No abstract provided.

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Crummer Graduate School Of Business Portfolio 1999-2000, Gregory Cooper, Jan Crockett, Shajan Jacob, Wenjiang Zhang Jan 2000

Crummer Graduate School Of Business Portfolio 1999-2000, Gregory Cooper, Jan Crockett, Shajan Jacob, Wenjiang Zhang

Crummer Truist Portfolios

No abstract provided.

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Health Care Financing In Malaysia, Zafar Ahmed Jan 2000

Health Care Financing In Malaysia, Zafar Ahmed

Student Works (2000-2009)

As the time passes the health care provision is getting more and more expensive. Traditionally the health care provision has been the duty of the governments, but because of increase in the cost of health care and fluctuation in the cost of health care, it is getting more difficult for the governments to maintain their role as health care provider. The governments want to become the regulators of health care services, rather than health care provider. The same is true for Malaysian government as well. This change of role is not that easy. Government has to consider many factors, the …

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Ownership Structure And Corporate Performance : A Study On Malaysian Public-Listed Companies, Yoke Ping Lua Jan 2000

Ownership Structure And Corporate Performance : A Study On Malaysian Public-Listed Companies, Yoke Ping Lua

Student Works (2000-2009)

This study examines the relationship between ownership structure and corporation performance on 100 Malaysian public-listed companies from 1993 to 1997. We first investigate the effect of ownership concentration on corporate performance, as measured by return on equity, market to book value ratio and return on assets. Further, we extend our analysis by examining the relation between insider ownership and the three accounting ratios. The results showed no significant relationship between ownership concentration or insider ownership and corporate performance for the selected corporations in 1993 - 1997. This study further confirms the studies conducted by Kwabena (1993) and Yee (1998) that …

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The Selective Capital And Exchange Controls In Malaysia : A Malaysian Perspective, Muhamad Shukri Abdul Rani Jan 2000

The Selective Capital And Exchange Controls In Malaysia : A Malaysian Perspective, Muhamad Shukri Abdul Rani

Student Works (2000-2009)

The latest financial and currency crisis that struck Malaysia in 1997 has exposed several macroeconomic weaknesses within the Malaysian economy, in light of the huge influx of international capital flows and speculative activities, and highlighted once again the issue of premature capital account and financial liberalization. These weaknesses such as economic growth well above potential output, loss of efficiency in the economy, current account deficits, over dependence on the banking sector for loans, which were later used for unproductive investments such as those in the stock and property markets have made Malaysia vulnerable to the shocks that emanated from the …

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Afghanistan's Economic Potentials And Malaysian Entrepreneurs' Perceptions, Abdul Sattar Murad Jan 2000

Afghanistan's Economic Potentials And Malaysian Entrepreneurs' Perceptions, Abdul Sattar Murad

Student Works (2000-2009)

Afghanistan is a country that has started its economic development after the World War II, one of the very early beginners in launching its economic development programs; it is one of the least developed countries in Asia. This study reviews the economic potentials of Afghanistan including mineral, water, land resources and perception of Malaysian Investors. These two aspects of the study highlight the causes of low economic development and factors responsible for it. This study attempts to examine four logically linked questions, i.e. (i) what are the trade potentials of Afghanistan? (ii) What are the mineral potentials of Afghanistan? What …

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The Impact Of The Real Exchange Rates On Exports : The Malaysian Case, Lay Lian Chuah Jan 2000

The Impact Of The Real Exchange Rates On Exports : The Malaysian Case, Lay Lian Chuah

Student Works (2000-2009)

Many studies have yielded contradicting results on the impact of real exchange rate volatility on exports. Therefore, this paper attempts to examine the relationship between real exchange rate volatility and Malaysian exports. The model of this study is adapted from Caballero and Corbo's ( 1989) paper. In this respect, this paper also uses the same standard calculation for real exchange rate (RER) volatility. However, a minor adaptation was made whereby the standard deviation, the measurement of real exchange rate volatility is refined by using trade weighted settlement in its computation. This would be a more accurate way of measurement, as …

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The Effectiveness Of Malaysian Personal Income Tax Policy (1977-1997), Saidatulakmal Mohd Jan 2000

The Effectiveness Of Malaysian Personal Income Tax Policy (1977-1997), Saidatulakmal Mohd

Student Works (2000-2009)

This research aims to evaluate the effectiveness of the Malaysian Personal Income Tax Policy for the year 1977 - 1997. The areas of concentration are tax burden, poverty level, savings incentives, progressivity index and Inland Revenue Board's objectives. The methodologies to accomplish the mission are regression analysis, mathematical calculation, and index of progressivity. The research concludes that there is no significant relationship to explain any kind of relationship between the tax rates and the poverty level. Another finding shows that Malaysian personal income tax policy seems to be a good policy to induce private savings. Regression analysis, both under the …

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Office Rent Determinants During Market Decline And Recovery, Barrett A. Slade Jan 2000

Office Rent Determinants During Market Decline And Recovery, Barrett A. Slade

Faculty Publications

This article empirically examines office rent determinants in distinct periods of a market cycle. The study uses a dataset of office properties located in a large metropolitan area and spanning a six-year period. During this period, office rents experienced a significant decline and recovery. A time-varying parameter rent index identifies three distinct periods of the cycle: decline, trough and recovery. Tests of structural change conclude that market participants value the determinants of office rents differently during the periods. A microexamination of each rent determinant over the periods of the market cycle provides a greater understanding of how rents vary over …

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Exploring Persistence In Financial Time Series, David K C. Lee Jan 2000

Exploring Persistence In Financial Time Series, David K C. Lee

Research Collection Lee Kong Chian School Of Business

If financial time series exhibits persistence or long-memory, then their unconditional probability distribution may not be normal. This has important implications for many areas in finance, especially asset pricing, option pricing, portfolio allocation and risk management. Furthermore, if the random walk does not apply, a wide range of results obtained by quantitative analysis may be inappropriate. The capital asset pricing model, the Black-Scholes option pricing formula, the concept of risk as standard deviation or volatility, and the use of Sharpe, Treynor, and other performance measures are not consistent with nonnormal distributions. Unfortunately, nonnormality is common among distributions of financial time …

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The Effect Of Ceo Tenure On The Relation Between Firm Performance And Turnover, Sam Allgood, Kathleen A. Farrell Jan 2000

The Effect Of Ceo Tenure On The Relation Between Firm Performance And Turnover, Sam Allgood, Kathleen A. Farrell

Department of Finance: Faculty Publications

We analyze the effect of CEO tenure on the relation between firm performance and forced turnover. We find that the performance-forced turnover relation is conditional on CEO tenure. Our results suggest a constant negative relation between firm performance and forced turnover throughout an inside CEO’s tenure. Founders are entrenched early in their careers but held accountable for firm performance later in their careers. We find evidence that outside hires experience a probationary period, followed by a period of apparent entrenchment during their intermediate years that weakens later in their tenure.

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The Effects Of Financial Liberalization On Monetary Policy : The Malaysian Experience, Valliammai R. M. Raghavan Jan 2000

The Effects Of Financial Liberalization On Monetary Policy : The Malaysian Experience, Valliammai R. M. Raghavan

Student Works (2000-2009)

Along with the scope of financial liberalization, various aspects of reform processes emerged and they include financial sector reform, deregulation, re-regulation and financial innovation. These reforms have changed the types of monetary instruments and targets used and consequently changed the mechanism of monetary transmission. Moreover, in the light of financial liberalization, the relationship between income and money has become increasingly unstable. All this posed a major challenge in the formulation and implementation of monetary policy because the basic framework within which monetary policy operates has changed. This research attempts to investigate the role of financial variables (monetary aggregates, credit aggregates …

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Banking Crisis In Malaysia : Causes, Recovery Measures Taken And Their Effectiveness, See Yan Chan Jan 2000

Banking Crisis In Malaysia : Causes, Recovery Measures Taken And Their Effectiveness, See Yan Chan

Student Works (2000-2009)

This research project discusses the causes, recovery measures taken and the effectiveness of the measures to the Malaysian banking crisis in mid 1997. There are combination of factors that contributed to the crisis. Among the factors are excessive credit growth, over-exposure of lending to broad property sector and stock market, weaknesses in the banking system and external shock-currency attack. In addition, tight monetary policy which was designed to rescue the currency attack further aggravated the banking problem. Later in September 1998, Government further response by reverting the above tight monetary policy and gradually easing the monetary policy. Besides that, four …

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Peranan Sekuriti Hutang Islam (Ids) Dalam Pasaran Modal Di Malaysia, Asmak Ab. Rahman Jan 2000

Peranan Sekuriti Hutang Islam (Ids) Dalam Pasaran Modal Di Malaysia, Asmak Ab. Rahman

Student Works (2000-2009)

This research is a comparative study of debt securities in the capital market which play a vital role in economic development. The aim of the study is to highlight the roles of Islamic debt securities or lsamic bond in Malaysian capital market which could be operationalized as an alternative to the conventional debt securities. The former operates in accordance with legal principles of Islamic commercial law such as bay' af-murabahah and bay' al-dayn. The study concludes that Islamic debt securities have an Islamic task as an alternative in the development of capital market in Malaysia.

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An Empirical Study On The Relationship Between Net Growth Of New Private Limited Company And Economic Factors, May Ling Ng Jan 2000

An Empirical Study On The Relationship Between Net Growth Of New Private Limited Company And Economic Factors, May Ling Ng

Student Works (2000-2009)

This study aims to investigate the relationship between the growth of private limited companies and economic factors such as interest rate, the rate of inflation, the cooperative income tax rate, the GDP growth rate and the unemployment rate during the last business cycle (1986 - 1996). The results show that the net growth rate of new private limited companies is correlated positively with the CDP growth rate. However, it has a negative, albeit weak, correlation with the interest rate. Economic factors such as the company income tax rate and the inflation rate do not exhibit any significant relationship with the …

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Corporate Governance In Selected Public Listed Companies In Malaysia, Sue Lin Lim Jan 2000

Corporate Governance In Selected Public Listed Companies In Malaysia, Sue Lin Lim

Student Works (2000-2009)

During economic boom periods, most shareholders and company regulators paid little attention to good corporate governance, hence the reason for weak corporate governance. This study investigates whether weak corporate governance has significant effects on the corporate performance, investment and financing patterns of selected public listed companies in Malaysia. Previous researches done by Xu and Wang (1997) and Saldana (1999) seem to show that there is a close link between these variables. Based on the regression model formulated in this study, a relationship between weak corporate governance with respect to corporate performance, investment and financing patterns have been established. From the …

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Effective Debtors Management And Credit Control : The Key To Successful Businesses, Chee Ghee Teh Jan 2000

Effective Debtors Management And Credit Control : The Key To Successful Businesses, Chee Ghee Teh

Student Works (2000-2009)

Lack of information and control have been identified as major causes of corporate collapse, particularly in the aspect of debtors management and credit control (Argenti, 1976). Credit squeeze where during period of tight money, credit will be rationed out to those who are thought to be the best risks - as happened during the financial crisis since 1997, in which Malaysian corporations suffered deteriorated bad debts level, slow debts pile up and leading to cash-flow crisis and corporate restructuring . Have the past lessons being learned ? This study reviewed practical applications of the Malaysian Management Accounting Guideline No. 3 …

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The Impact Of Interest Rates And Share Market Performance On Klang Valley Property Prices : A Comparative Case Study, Chun Sing Yeo Jan 2000

The Impact Of Interest Rates And Share Market Performance On Klang Valley Property Prices : A Comparative Case Study, Chun Sing Yeo

Student Works (2000-2009)

This study is an attempt to determine the impact of some major aspect of interest (increase I decrease) and stock market (bull/ bear) on property prices at Klang Valley. Firstly, Malaysia has been witnessing an interesting debate over the issue of interest rates. Malaysian borrowers are paying 15 to 18 per cent per annum during the Asian Financial crisis cum stock market collapse. Prior to crisis, they were paying between 9 to 12 percent per annum. Secondly, the collapse of KLSE stock market .The KLSE suffered severe declines, as the composite index plunged from 1271.25 points on 25 February 1997 …

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A Comparative Study Of The Performance Of Commercial Banks, Finance Companies And Merchant Banks In Malaysia, 1990-1998, Kim Teck Yeap Jan 2000

A Comparative Study Of The Performance Of Commercial Banks, Finance Companies And Merchant Banks In Malaysia, 1990-1998, Kim Teck Yeap

Student Works (2000-2009)

Banking institutions play a substantial role, especially in a developing country like Malaysia, in mobilizing savings and channeling these resources for economic development. The growth of the banking institutions over the past two decades was achieved through the rapid build-up of an extensive branch network, the widening of banking services and the acceleration of credit activities. The focus of this paper is to evaluate the relative performance of banking institutions in Malaysia during the 1990-1998 period, using the CAMEL rating framework. The banking institutions included in this study are the major groups of banking institutions operating in Malaysia, namely commercial …

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A Study On The Behaviour Of Selected Macroeconomic Indicators For Malaysia Prior To The Currency Crisis In 1997, Sena Herath Vijitha Jan 2000

A Study On The Behaviour Of Selected Macroeconomic Indicators For Malaysia Prior To The Currency Crisis In 1997, Sena Herath Vijitha

Student Works (2000-2009)

This paper attempts to develop an early warning system to predict currency crises that will allow managers not to be caught off-guard when a currency crisis hits the country. It is hoped that with an effective early warning system, managers will have adequate time to construct appropriate marketing and business strategies to counter the negative impact of a currency crisis. This research project examines the macroeconomic data generated by Bank Negara and the Ministry of Finance to see if correlations exist between macroeconomic measures and devaluation prospects as cited in the literature and whether these can be used in the …

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An Evaluation On Project Financing Under Islamic Banking, Sugunadevi Arjunan Jan 2000

An Evaluation On Project Financing Under Islamic Banking, Sugunadevi Arjunan

Student Works (2000-2009)

Although Islamic banking has been in operation fo r more than a decade in Malaysia, it's market share and growth seem to be quite limited and fa ll far short of earlier projection. This study attempts to investigate one type of Islamic banking product, that is project financing. The objectives of the study are to assess the current level of Islamic project financing and its associated growth, to identify problems faced in the implementation of Islamic project financing under the Mudharabah and Musyarakah concepts and to demonstrate with a real life case study the costs of financing under Islamic banking …

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