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Document Type:Latin Dissertation
Language of Document:English
Record Number:55166
Doc. No:TL25120
Call number:‭MR54383‬
Main Entry:Emmanuel Thompson
Title & Author:Valuation of segregated funds in IndiaEmmanuel Thompson
College:University of Calgary (Canada)
Date:2009
Degree:M.Sc.
student score:2009
Page No:76
Abstract:The objective of this thesis is to develop an econometric model which is less complex than the Wilkie's model for valuing and managing financial risks associated with benefit options regarding segregated fund contracts in India. The empirical studies conducted in this thesis revealed the following results. (1) The South Asian stock markets (Sri-Lanka, India and Pakistan) did not show evidence of unit-roots, but the returns are correlated. Therefore, the most appropriate model capable of capturing the long-term equity return process for a practical dynamic hedging of segregated fund contracts in India is the VAR(1) model. (2) Also, the security bonds with various maturities from the Indian money market show evidence of long-run equilibrium relationship. This characteristic makes it possible for the various yields to maturity (YTM) to be modeled jointly via a VECM representation. Therefore, the valuation model being proposed in this thesis, combines ideas from financial engineering, life contingencies and econometrics. Assessment of the model via simulation has shown that, the net present value of outgo for a 10 year contract under the combined GMMB/GMDB for a life age 50 is mostly in the negative. This is a positive signal that, the model has the capability of meeting all the hedge cost and leave some profit.
Subject:Social sciences; Pure sciences; Mathematics; Finance; 0508:Finance; 0405:Mathematics
Added Entry:University of Calgary (Canada)