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Yao, Xiao. "Modelling loss given default of corporate bonds and bank loans." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/26020.
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Loss given default (LGD) modelling has become increasingly important for banks as they are required to comply with the Basel Accords for their internal computations of economic capital. Banks and financial institutions are encouraged to develop separate models for different types of products. In this thesis we apply and improve several new algorithms including support vector machine (SVM) techniques and mixed effects models to predict LGD for both corporate bonds and retail loans. SVM techniques are known to be powerful for classification problems and have been successfully applied to credit scoring and rating business. We improve the support vector regression models by modifying the SVR model to account for heterogeneity of bond seniorities to increase the predictive accuracy of LGD. We find the proposed improved versions of support vector regression techniques outperform other methods significantly at the aggregated level, and the support vector regression methods demonstrate significantly better predictive abilities compared with the other statistical models at the segmented level. To further investigate the impacts of unobservable firm heterogeneity on modelling recovery rates of corporate bonds a mixed effects model is considered, and we find that an obligor-varying linear factor model presents significant improvements in explaining the variations of recovery rates with a remarkably high intra-class correlation being observed. Our study emphasizes that the inclusion of an obligor-varying random effect term has effectively explained the unobservable firm level information shared by instruments of the same issuer. At last we incorporate the SVM techniques into a two-stage modelling framework to predict recovery rates of credit cards. The two-stage model with a support vector machine classifier is found to be advantageous on an out-of-time sample compared with other methods, suggesting that an SVM model is preferred to a logistic regression at the classification stage. We suggest that the choice of regression models is less influential in prediction of recovery rates than the choice of classification methods in the first step of two-stage models based on the empirical evidence. The risk weighted assets of financial institutions are determined by the estimates of LGD together with PD and EAD. A robust and accurate LGD model impacts banks when making business decisions including setting credit risk strategies and pricing credit products. The regulatory capital determined by the expected and unexpected losses is also important to the financial market stability which should be carefully examined by the regulators. In summary this research highlights the importance of LGD models and provides a new perspective for practitioners and regulators to manage credit risk quantitatively.
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Keswani, Aneel. "Essays on the pricing of default and catastrophe risk." Thesis, London Business School (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325629.
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Shibata, Michiru. "Pricing models and analysis of corporate coupon-bonds and credit default swaptions." [Tampa, Fla] : University of South Florida, 2007. http://purl.fcla.edu/usf/dc/et/SFE0001938.
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Hariparsad, Sanveer. "The valuation and calibration of convertible bonds." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-05052009-115008.
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Azevedo, José Henrique Sousa de. "Macroeconomics determinants of loss given default." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10719.
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Mestrado em FinançasEsta dissertação modeliza a base de dados Moody's Ultimate Recovery Database, concluindo que o ambiente macroeconómico influencia o loss given default (LGD)e que as taxas de recuperação no crédito concedido são menos susceptíveis a serem influenciadas pelas condicionantes macroeconómicas do que as taxas de recuperação das obrigações. A metodologia econométrica tem por base a regressão OLS. São também discutidas outras metodologias passíveis de serem utilizadas.
This dissertation models Moody's Ultimate Recovery Database to show that general macroeconomic conditions influence loss given default and that loans' recovery rates are less susceptible to macroeconomic conditions than bonds'. Available data was studied with Ordinary Least Squares regressions. Alternative methodologies are also discussed.
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Schiemert, Richard [Verfasser], and Marco [Akademischer Betreuer] Wilkens. "Credit Default Swaps : Bewertungsunterschiede zu Corporate Bonds und implizite Marktrisikoprämien / Richard Schiemert. Betreuer: Marco Wilkens." Eichstätt-Ingolstadt : Universitätsbibliothek der Katholischen Universität Eichstätt-Ingolstadt, 2012. http://d-nb.info/1020487712/34.
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Oguz, Hatice Dilek. "Pricing Us Corporate Bonds By Jarrow/turnbull (1995) Model." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/2/12611174/index.pdf.
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In this study Jarrow Turnbull (1995) Model, which is a reduced form approach for credit risk models, is employed to estimate the default intensity of US corporate bonds conditionally based on a fixed recovery rate. The estimations are performed with respect to the ratings of the bonds and the results were consistent with the ratings. US Treasury Bills are also used to since zero coupon default free prices, modeled by Svensson (1994) are necessary for pricing the default risky coupon bonds.
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Roux, Karla Christelle. "Developing of a model to determine the default bond spreads of African countries in the absence of active bond markets." Thesis, Stellenbosch : Stellenbosch University, 2010. http://hdl.handle.net/10019.1/19799.
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Thesis (MBA) -- Stellenbosch University, 2010.As major corporate entities are investing into Sub-Saharan Africa and other African countries at a fast pace, percentages like the weighted average cost of capital (WACC) and the impairment discount rate, are becoming important measurements of assessing current investments for impairment and/or proposals of future capital investments. One of the important constituents of these percentages is the country/equity risk premium. The country risk premium can be defined as the price for taking risk for investing in that specific country. A widely used method to determine the country risk premium is to multiply the country bond default spread with an equity to bond market risk adjustment. Country bond default spreads are the spreads that investors charge for buying bonds issued by the country. These ratings measure default risk, rather than equity risk, but they are affected by many factors that drive equity risk, like the stability of a country’s currency, the budget and trade balances and the political stability. Analysis that uses spreads as a measure of country risk, usually adds them to both the cost of equity and debt of entities that trade in that country. There are several ways in determining the bond default spreads, but it is most often done in a random and unsystematic manner. Two of the major obstacles in determining these spreads for countries, especially countries of sub-Saharan Africa, are when countries do not issue bonds in another currency such as Euro or US dollar and/or do not have a sovereign credit rating. What could also be a measure of country risk, are the two major country risk polls conducted globally: 1) Euromoney Country Risk Poll; and 2) PRS (Political Risk Group) Composite Risk Ratings. Most of sub-Saharan African countries form part of these risk polls. The usefulness of the PRS scores as a measure of country risk has been previously examined to find that they are correlated with the cost of capital of emerging markets. The aim of the research is to overcome the obstacles in determining default spreads for countries such as sub-Saharan Africa where bond markets are inactive and/or sovereign credit ratings are not assigned, by deriving a predictive model. The predictive model is derived by analysing the relationship between the available estimated default spreads that are assigned to a specific country, depending on their Moody’s sovereign local currency rating and the countries’ respective country risk scores conducted by Euromoney and PRS respectively. The stability of the relationship is also analysed by comparing the prediction of the sub-Saharan’s Africa default spreads based on the 2010 predictive model to the analyses conducted on 2008 data sets. Other similar models have been developed, but this model is focused on the total risk score of a country and not only on the credit risk or related constituents. One of the definitions of country risk is that it relates to the likelihood that changes in the business environment will occur that reduce the profitability of doing business in a country, which can negatively affect operating profits as well as the value of assets. One can conclude that this derived model is a good reflection of prevailing political and economic stability of the countries and a useful measure of country risk that can be used in assessing the profitability of current investments in a specific country and for proposals of future capital investments. Key words: Country bond default spreads, Sovereign credit ratings, Euromoney risk scores, PRS composite ratings, sub-Saharan African countries.
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Mace, Jennifer. "Are CDS Auctions the Tail Wagging the Dog? An Empirical Study of Corporate Bond Return Volatility at the Time of Default." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2212.
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Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around default and of market participants’ attempts to favorably move CDS’s underlying bond prices to achieve more profitable positions around default and emerging from CDS auctions. The analysis is performed by analyzing the effect of a bonds’ inclusion in CDS auctions on bond return volatility around the time of default while controlling for credit risk, illiquidity, firm fundamentals, and other bond-level controls. I find that bond return volatility around default is much higher as a result of a bond’s inclusion in a CDS auction, which serves as indirect evidence of bond price manipulation around default as market participants strive for more profitable CDS auction outcomes and possibly of manufactured credit events. Consistent with previous literature, I also find that bond illiquidity significantly impacts bond return volatility. My results are robust to propensity score matching, implementing double-robust estimators, and controlling for any time-varying cross-sectionally-invariant fluctuations in bond return volatility.
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Augustin, Patrick. "Essays on sovereign credit risk and credit default swap spreads." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2131.
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This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press. Real Economic Shocks and Sovereign Credit Risk. New empirical evidence highlights that global macroeconomic risk unspanned by global financial risk bears some responsibility for the strong co-movement in sovereign spreads. A model with only two global macroeconomic state variables rationalizes the existence of time-varying risk premia as a compensation for exposure to common U.S. business cycle risk. The Term Structure of CDS Spreads and Sovereign Credit Risk. The term structure of CDS spreads is an informative signal about the relative importance of global and country-specific risk factors for the time variation of sovereign credit spreads. An empirically validated model illustrates how local risk matters relatively more when the slope is negative, while systematic risk bears more responsibility when the slope is positive. Squeezed Everywhere - Disentangling Types of Liquidity and Testing Limits-to-Arbitrage. The CDS-Bond basis is used as a laboratory to disentangle different types of liquidity and to test limits-of-arbitrage. While asset-specific liquidity is cross-correlated in both the cash and derivative market, funding and market liquidity matter only for the former. The tests find strong evidence in favor of margin-based asset pricing and flight-to-quality effects.Diss. Stockholm : Handelshögskolan, 2013. Sammanfattning jämte 4 uppsatser
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Aldossary, Fahad. "Valuation of callable convertible bonds using binomial trees model with default risk, convertible hedging and arbitrage, duration and convexity." Thesis, University of Sussex, 2018. http://sro.sussex.ac.uk/id/eprint/76492/.
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In this thesis, I develop a valuation model to price convertible bonds with call provision. Convertible bonds are hybrid instruments that possess both equity and debt characteristics. The purpose of this study is to build a pricing model for convertible and callable bonds and to compare the mathematical results of the model with real world market performance. I construct a two-factor valuation model, in which both the interest rate and the stock price are stochastic. I derive the partial differential equation of two stochastic variables and state the final and boundary conditions of the convertible bond using the mean reversion model on interest rate. Because it is difficult to obtain a closed solution for the American convertible bond due to its structural complexity, I use the binomial tree model to value the convertible bond by constructing the interest rate tree and stock price tree. As a convertible bond is a hybrid security of debt and equity, I combine the interest rate tree and stock price tree into one single tree. Default risk is added to the valuation tree to represent the event of a default. The model is then tested and compared with the performance of the Canadian convertible bond market. Moreover, I study the duration, convexity and Greeks of convertible bonds. These are important risk metrics in the portfolio management of the convertible bond to measure risks linked to interest rate, equity, volatility and other market factors. I investigate the partial derivative of the value of the convertible bond with respect to various parameters, such as the interest rate, stock price, volatility of the interest rate, volatility of the stock price, mean reversion of the interest rate and dividend yield of the underlying stock. A convertible bond arbitrage portfolio is constructed to capture the abnormal returns from the Delta hedging strategy and I describe the risks associated with these returns. The portfolio is created by matching long positions in convertible bonds, with short positions in the underlying stock to create a Delta hedged convertible bond position, which captures income and volatility.
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Loulit, Ahmed. "Valuing credit risky bonds: generalizations of first passage models." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210756.
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This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from financial considerations we obtain a closed-form solution, which is more flexible for numerical calculation.Doctorat en sciences de gestion
info:eu-repo/semantics/nonPublished
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Prakash, Puneet. "Absolute or Relative? Which Standards do Credit Rating Agencies Follow?" restricted, 2005. http://etd.gsu.edu/theses/available/etd-08042005-152025/.
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Thesis (Ph. D.)--Georgia State University, 2005.Title from title screen. Richard D Phillips, committee chair; Neil A Doherty, Sanjay Srivastava, Jayant R Kale, Ajai Subramanian, committee members. Electronic text (133 p. : ill. (some col.)) : digital, PDF file. Description based on contents viewed June 26, 2007. Includes bibliographical references (p. 69-74).
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Berg, Florian. "Extra-Financial Risk Factors and the Cost of Debt." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED030/document.
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Cette thèse a pour ambition d’analyser si la performance environnementale, sociale et de gouvernance (ESG) est intégrée par les marchés de la dette d'entreprise et souveraine. Le premier chapitre se concentre sur les informations ESG publiés à contenu négatif et leur impact négatif sur le coût de la dette. Plus exactement, dans les secteurs industriels et utilitaires les événements négatifs sociaux et de gouvernance font augmenter le coût de la dette. Également, un bon niveau général de performance ESG agit comme un mécanisme d'assurance contre ces événements négatifs. Dans un deuxième chapitre seront présentés les résultats d’une simulation de portefeuille intégrant la performance ESG d'entreprise. Un gérant de portefeuille peut améliorer le niveau agrégé de la performance ESG du portefeuille de 1,5 écart-type sans faire baisser la performance financière. Ainsi, le gérant peut combiner cette intégration avec des stratégies d'allocation d'actif financiers ou des stratégies de rendement absolu. Dans un troisième chapitre les résultats sur la réduction du coût de la dette dû à une bonne performance environnementale et sociale de souverains émergents seront analysés. Enfin dans le quatrième chapitre je décris comment la performance de gouvernance des souverains influence la différence entre le yield émis en devise étrangère et celui émis en devise locale. Dans les pays développés cette différence augmente avec le risque politique, i.e. le yield étranger augmente plus rapidement que le yield domestique. Dans les pays émergents, c'est l’effet inverse qui est observé. Cette différence entre les deux yields varie plus fortement avec un taux croissant de la dette domestique détenue par des investisseurs étrangersThis thesis analyzes if and to what extent debt markets value the environmental, social and governance (ESG) performance of firms and sovereigns. The first chapter shows that negative ESG news has a negative impact on the cost of debt of firms. The news relates to environmental and social events within the industrial/utilities sector. In this sector, a sound corporate social performance acts as an insurance against the adverse impact of negative environmental events on bond prices. The second chapter reveals that ESG scores integrated into portfolios do not change the financial performance ex post. A portfolio manager can increase the average ESG rating of her portfolio by 1.5 standard deviations without incurring cost. This leaves substantial room and opportunity for ESG ratings to be combined with asset allocation or absolute return strategies. The third chapter shows how ESG performance is linked to a lower cost of debt of emerging sovereigns. Research indicates that an emerging country’s average cost of capital decreases with its positive environmental and social performance. The fourth chapter discusses how governance performance may influence the spread of debt denominated in local and foreign currency. In developed countries, the spread between a foreign currency yield and a hedged local currency yield increases with our political risk indicator, i.e. the foreign yield increases faster than the domestic one. For emerging countries, the reverse trend is true. Interestingly, the foreign currency and local currency yield spreads move significantly stronger in absolute terms with increasing foreign investment participation in both emerging countries and developed countries’ debt markets
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Sushkova, Alina. "Formováni cen a výnosností obchodovatelných dluhopisů neobchodovatelných emitentů - "dluhopisové IPO"." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264555.
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The diploma thesis focuses on issuance of the primary bond by non-financial companies on the Prague Stock Exchange (PSE). In the theoretical part were described the main parameters of securities and financial indicators of companies that build the risk premium and discussed options of risk-free base. The application part presents the evaluation of major factors influencing price and bond rates on the example of emissions carried on the PSE.
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Bedini, Matteo. "Information on a default time : Brownian bridges on a stochastic intervals and enlargement of filtrations." Thesis, Brest, 2012. http://www.theses.fr/2012BRES0032.
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Dans ce travail de thèse le processus d'information concernant un instant de défaut τ dans un modèle de risque de crédit est décrit par un pont brownien sur l'intervalle stochastique [0, τ]. Un tel processus de pont est caractérisé comme plus adapté dans la modélisation que le modèle classique considérant l'indicatrice I[0,τ]. Après l'étude des formules de Bayes associées, cette approche de modélisation de l'information concernant le temps de défaut est reliée avec d'autres informations sur le marché financier. Ceci est fait à l'aide de la théorie du grossissement de filtration, où la filtration générée par le processus d'information est élargie par la filtration de référence décrivant d'autres informations n'étant pas directement liées avec le défaut. Une attention particulière est consacrée à la classification du temps de défaut par rapport à la filtration minimale mais également à la filtration élargie. Des conditions suffisantes, sous lesquelles τ est totalement inaccessible, sont discutées, mais également un exemple est donné dans lequel τ évite les temps d'arrêt, est totalement inaccessible par rapport à la filtration minimale et prévisible par rapport à la filtration élargie. Enfin, des contrats financiers comme, par exemple, des obligations privée et des crédits default swaps, sont étudiés dans le contexte décrit ci-dessusIn this PhD thesis the information process concerning a default time τ in a credit risk model is described by a Brownian bridge over the random time interval [0, τ]. Such a bridge process is characterised as to be a more adapted model than the classical one considering the indicator function I[0,τ]. After the study of related Bayes formulas, this approach of modelling information concerning the default time is related with other financial information. This is done with the help of the theory of enlargement of filtration, where the filtration generated by the information process is enlarged with a reference filtration modelling other information not directly associated with the default. A particular attention is paid to the classification of the default time with respect to the minimal filtration but also with respect to the enlarged filtration. Sufficient conditions under which τ is totally inaccessible are discussed, but also an example is given of a τ avoiding the stopping times of the reference filtration, which is totally inaccessible with respect to its own filtration and predictable with respect to the enlarged filtration. Finally, common financial contracts like defaultable bonds and credit default swaps are considered in the above described settings
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Aubel, Peter van. "Anleiherating und Bonitätsrisiko." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2001. http://nbn-resolving.de/urn:nbn:de:swb:14-994662373031-66218.
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Die Arbeit ANLEIHERATING UND BONITÄTSRISIKO untersucht die Zusammenhänge zwischen dem Rating von Anleihen, dem Risiko dieser Anleihen sowie ihren Risikoprämien (Spreads). Dazu wird in einem ersten Schritt - auf analytischer Ebene - untersucht, wie Ratings vergeben werden und welchen Einschränkungen sie unterliegen. Die wichtigsten Einschränkungen für den Kapitalmarkt hinsichtlich der Ableitung von quantitativen Risikogrößen (Ausfallwahrscheinlichkeit und ggf. Ausfallschwere) sind: Ordinalität und Relativität der verwendeten Skalen; die Zeitverzögerungen bei Ratingänderungen; die Intransparenz, Subjektivität und Urteilsunabhängigkeit des Ratingverfahrens bzw. der Ratingagenturen; die Erstellung von auftragslosen Ratings; die mangelnde Vergleichbarkeit von Ratings (zeitlich, zwischen Emissionen und zwischen Agenturen); die fehlende Äquidistanz von Ratings; das Risiko fehlerhafter Ratings. In einem zweiten Schritt wird empirisch untersucht, in welcher Höhe vom Markt Spreads (Überrenditen gegenüber den als risikolos geltenden Bundesanleihen) - je nach Rating - für bestimmte Anleihen gefordert werden. Datenbasis sind Kupon-Anleihen (ohne Sonderrechte) des DM-Euromarktes mit täglichen Kursen im Zeitraum Januar 1990 bis Dezember 1995. Die Untersuchungen bestätigen die Relativität: Ratings definieren nur im langfristigen Durchschnitt die Renditeabstände zwischen den verschiedenen Klassen. Kurzfristige Veränderungen der Spreads hingegen hängen von Veränderungen des allgemeinen Zinsniveaus und dem Verlauf der Zinsstrukturkurve ab. Diese beiden Größen weisen dabei einen negativen Einfluß auf, d.h. Zinserhöhungen führen zu Verringerungen der Spreads. Grundsätzlich gilt dabei aber, dass diese Effekte umso stärker ausfallen, je geringer die Bonität der Anleihen ist. Zusätzlich hängen die Spreadänderungen auch (positiv) von Veränderungen der Spreads der jeweils anderen Klassen ab. Als mögliche Erklärungsansätze bieten sich für diese Beobachtung auch an, dass der Markt Schwankungen der erwarteten Ausfallwahrscheinlichkeiten antizipiert und/oder Veränderungen der allgemeinen Risikoeinstellung vorliegen.
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Aubel, Peter van. "Anleiherating und Bonitätsrisiko: eine empirische Untersuchung der Renditespreads am deutschen Markt." Doctoral thesis, Technische Universität Dresden, 2000. https://tud.qucosa.de/id/qucosa%3A24750.
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Die Arbeit ANLEIHERATING UND BONITÄTSRISIKO untersucht die Zusammenhänge zwischen dem Rating von Anleihen, dem Risiko dieser Anleihen sowie ihren Risikoprämien (Spreads). Dazu wird in einem ersten Schritt - auf analytischer Ebene - untersucht, wie Ratings vergeben werden und welchen Einschränkungen sie unterliegen. Die wichtigsten Einschränkungen für den Kapitalmarkt hinsichtlich der Ableitung von quantitativen Risikogrößen (Ausfallwahrscheinlichkeit und ggf. Ausfallschwere) sind: Ordinalität und Relativität der verwendeten Skalen; die Zeitverzögerungen bei Ratingänderungen; die Intransparenz, Subjektivität und Urteilsunabhängigkeit des Ratingverfahrens bzw. der Ratingagenturen; die Erstellung von auftragslosen Ratings; die mangelnde Vergleichbarkeit von Ratings (zeitlich, zwischen Emissionen und zwischen Agenturen); die fehlende Äquidistanz von Ratings; das Risiko fehlerhafter Ratings. In einem zweiten Schritt wird empirisch untersucht, in welcher Höhe vom Markt Spreads (Überrenditen gegenüber den als risikolos geltenden Bundesanleihen) - je nach Rating - für bestimmte Anleihen gefordert werden. Datenbasis sind Kupon-Anleihen (ohne Sonderrechte) des DM-Euromarktes mit täglichen Kursen im Zeitraum Januar 1990 bis Dezember 1995. Die Untersuchungen bestätigen die Relativität: Ratings definieren nur im langfristigen Durchschnitt die Renditeabstände zwischen den verschiedenen Klassen. Kurzfristige Veränderungen der Spreads hingegen hängen von Veränderungen des allgemeinen Zinsniveaus und dem Verlauf der Zinsstrukturkurve ab. Diese beiden Größen weisen dabei einen negativen Einfluß auf, d.h. Zinserhöhungen führen zu Verringerungen der Spreads. Grundsätzlich gilt dabei aber, dass diese Effekte umso stärker ausfallen, je geringer die Bonität der Anleihen ist. Zusätzlich hängen die Spreadänderungen auch (positiv) von Veränderungen der Spreads der jeweils anderen Klassen ab. Als mögliche Erklärungsansätze bieten sich für diese Beobachtung auch an, dass der Markt Schwankungen der erwarteten Ausfallwahrscheinlichkeiten antizipiert und/oder Veränderungen der allgemeinen Risikoeinstellung vorliegen.
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Qi, Hao Howard. "Personal taxes, default, liquidity and risky bond yield spread." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2005. http://wwwlib.umi.com/cr/syr/main.
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Thoumin, Marc-Henri. "Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLEM039/document.
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Les périodes marquées par une aversion au risque intense sont souvent l’origine de distorsions notables dans les prix de marché, et de pertes substantielles pour les investisseurs. Chaque épisode de crise financière montre que les mouvements de ventes généralisées sur les marchés ont des conséquences très négatives sur l’économie réelle. Ainsi, explorer le phénomène d’aversion au risque et la dynamique de propagation du sentiment de panique sur les marchés financiers peut aider à appréhender ces périodes de forte volatilité.Dans ce rapport de thèse, nous explorons différentes dimensions du phénomène d’aversion au risque, dans le cadre de portefeuilles d’obligations souveraines Européennes. Le rendement des obligations d’Etat, quotté par les traders, est sensé refléter entre autre le risque que le Trésor fasse défaut sur sa dette, avant que l’obligation vienne à maturation. Il s’agit là du risque souverain. Les crises financières habituellement occasionnent un mouvement important des rendements vers des niveaux plus élevés. Ce type de correction reflète un accroissement du risque souverain, et implique nécessairement une hausse du coût de financement pour les Trésors nationaux. Un objectif de ce rapport est donc de fournir des détails inédits aux Trésors sur la manière dont les rendements obligataires sont sensés se détériorer en période d’aversion au risque.Chapitre I explore le risque souverain dans le cadre d’un modèle probabiliste impliquant des distributions à queues lourdes, ainsi que la méthode GAS qui permet de capturer la dynamique de la volatilité. L’ajustement obtenu avec les distributions Hyperboliques Généralisées est robuste, et les résultats laissent penser que notre approche est particulièrement efficace durant les périodes marquées par une volatilité erratique. Dans un but de simplification, nous décrivons la mise en place d’un estimateur de volatilité intemporel, sensé refléter la volatilité intrinsèque de chaque obligation. Cet estimateur suggère que la volatilité croit de manière quadratique lorsque celle-ci est exprimée en fonction de la fonction de répartition des variations de rendements. Dans un second temps nous explorons une version bivariée du modèle. La calibration, robuste, met en valeur les corrélations entre chaque obligation. En guise d’observation générale, notre analyse confirme que les distributions à queues épaisses sont tout à fait appropriées pour l’exploration des prix de marché en période de crise financière.Chapitre II explore différentes manières d’exploiter notre modèle probabiliste. Afin d’identifier la dynamique de la contagion entre les obligations souveraines, nous analysons la réaction attendue du marché à une série de chocs financiers. Nous considérons un niveau important de granularité pour ce qui est de la sévérité du choc sous-jacent, et ceci nous permet d’identifier des lois empiriques supposées généraliser le comportement de la réaction de marché lorsque l’aversion au risque s’intensifie. Puis, nous incorporons nos estimateurs de volatilité et de réaction de marché à certaines approches reconnues d’optimisation de portefeuille et nous notons une amélioration de la résistance des portefeuilles, dans cette nouvelle version. Finalement, nous développons une nouvelle méthodologie d’optimisation de portefeuille basée sur le principe de mean-reversion.Chapitre III est dédié au pricing de produits dérivés de taux. Nous considérons maintenant que l’aversion au risque cause l’émergence de discontinuités dans les prix de marché, que nous simulons par le biais de processus à sauts. Notre modèle se concentre sur les processus de Hawkes qui ont l’avantage de capturer la présence d’auto-excitation dans la volatilité. Nous développons une procédure de calibration qui se distingue des procédures habituelles. Les résultats de volatilité implicite sont cohérents avec la volatilité réalisée, et suggèrent que les coefficients de prime de risque ont été estimés avec succèsPeriods of deep risk aversion are usually marked by sizeable distortions in market prices, and substantial losses in portfolios. As observed during financial crises, a generalized debacle in financial markets is a very negative shock for the real economy. Against this backdrop, it looks relevant to explore how risk aversion tends to affect global market valuations, especially if this exercise helps make the promotion of more optimal portfolio rebalancing procedures.In this dissertation, we investigate different dimensions of risk aversion, with a focus on European Sovereign debt securities. For a given sovereign bond, the (quoted) yield to maturity has to reflect the underlying risk that the Treasury may default on its debt, before maturation of the bond. This is sovereign risk. Financial crises usually occasion an upward correction in bond yields. Since higher yields reflect larger sovereign risk and higher funding costs, national Treasuries are usually inclined to get a deeper understanding of how sovereign risk could evolve under the influence of fierce risk aversion. This is another objective of our research analysis.In Chapter I, we consider a probabilistic approach to sovereign risk exploration, with the main purpose of illustrating the non-linear reaction ensuing from a gradual deterioration in market sentiment. We consider heavy-tailed distributions, and we use the Generalised Autoregressive Score method as a means to capture the volatility momentum. The goodness of fit provided by Generalised Hyperbolic distributions is compelling, and results suggest that our approach is particularly relevant to fit periods or erratic volatility, typical of financial crises. As an attempt to simplify the model, we focus on an empirical formulation of the ‘untemporal’ volatility of each security. This estimator of the intrinsic volatility suggests that volatility tends to accelerate in a quadratic manner when it is expressed against the cumulative distribution function of the yield variations. In a second part, we extend this approach to a problem of larger dimension and we explore the dynamics of risk aversion from a bivariate point of view. Results look robust and illustrate multivariate correlations between sovereign securities. As a general conclusion, heavy-tailed distributions look remarkably efficient to replicate the distribution of times-series affected by distorted volatility and erratic price variations.Chapter II explores different ways to extract information from the model, about financial contagion and how it is supposed to propagate through sovereign securities. In particular, we explore the market reaction to a series of many shocks with gradual intensity. Results offer a high degree of granularity and we extrapolate empirical rules on the expected market dynamics, when risk aversion intensifies. Then we incorporate our estimators of volatility and market reaction (to shocks) into popular portfolio optimisation procedures and we see positive implications on the general resilience of these portfolios. Finally, we also design an in-house methodology for optimal portfolio rebalancing, based on mean reversion.In Chapter III, we explore how sovereign risk tends to affect the price of financial derivatives in a risk-off environment. We consider that risk aversion and the ensuing volatility now favour the emergence of sizeable discontinuities in market prices, that we model with stochastic jumps. The different approaches we investigate extensively rely on Hawkes processes. These stochastic processes seek to estimate the durable impact of risk aversion onto the dynamics of jumps, via the introduction of dedicated self-excited loops. We develop an original approach to the calibration, different from conventional procedures. In the end, the calculated implied volatility remains in the vicinity of the realised volatility and there is a visible capability to jump on any rise in risk aversion
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Andritzky, Jochen R. "Sovereign default risk valuation : implications of debt crises and bond restructurings /." Berlin : Springer, 2006. http://dx.doi.org/10.1007/978-3-540-37449-7.
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Badaoui, Saad. "Sovereign default and liquidity risks in the bond and CDS markets." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/10686.
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This thesis focuses on the different liquidity issues specific to the sovereign Credit Default Swap (CDS) market. As a first step, we present an empirical study of the pricing effect of liquidity and systematic liquidity risk in the sovereign CDS spreads. We do find a large evidence that the risk premium priced above the sovereign default risk is mainly driven by both bond and CDS liquidity risk, which implies that liquidity plays an important role in CDS spread movements. Secondly, we use a factor model in order to decompose sovereign CDS spreads into default risk, liquidity and correlation components. The main objective is to measure the weight of liquidity in the CDS spreads not by using liquidity proxies such as bid-ask spreads or volumes but by calibrating the model to the data. Our analysis reveals that sovereign CDS spreads are highly driven by liquidity (55.6% of default risk and 44.32% of liquidity) and that sovereign bond spreads are less subject to liquidity frictions and therefore could represent a better proxy for sovereign default risk (73% of default risk and 26.86% of liquidity). Our empirical results advance the idea that the increase in the CDS spreads observed during the crisis period was mainly due to a surge in liquidity rather than to an increase in the default intensity. Finally, we focus on the dynamic properties of the risk neutral liquidity risk premium embedded in the term structure of sovereign CDS spreads. We show that liquidity risk has a non-trivial role and participates directly to the variation over time of the term structure of sovereign CDS spreads. Our results show that CDS buyers earned a liquidity premium only during the pre-crisis period.
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Wei, Xiangjing. "House Prices and Mortgage Defaults: Econometric Models and Risk Management Applications." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/rmi_diss/24.
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This dissertation first investigates the possible house price trend and the relationship with the mortgage market, from the perspective of risk management; then it chooses the angle from bond insurers and figures out possible methods to avoid capital procyclicality. In Chapter I, we apply vector auto regression models (VAR) and simultaneous equations models (SEM) to estimate the dynamic relations among house price returns, mortgage rates and mortgage default rates, using historical data during the time period of 1979 through second quarter 2008. We find that house prices would be better estimated and predicted with the consideration of the mortgage market. In Chapter II, following the methodology of co-integration, we first construct several succinct measures to display the possible intrinsic values of house prices. In the short run, house price return dynamics are investigated by dynamic adjustments following Capozza et al (2002) and error correction models. We examine the possible overshooting problem of house price returns. By analytical derivations and simulations, we demonstrate the effects of the coefficients on overshooting. In Chapter III, we adopt a structural model with time-varying correlations for bond insurers. We consider losses due to bond insurers’ downgrading and losses from both insurance contracts and investment portfolio. On that basis, we propose forward-looking smoothing rules of capital over a full business cycle, instead of only based on a short-term horizon, to avoid the procyclicality. With the smoothed capital, a bond insurer can actually establish some capital buffer in good times to support the potential losses in crisis.
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Pereira, Ricardo Alexandre Martins Gomes. "Structural models of corporate bond pricing : an empirical analysis of default risk." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612111.
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Xie, Yan Alice Wu Chunchi. "Immunization of interest rate risk and pricing of default risk of bond portfolios." Related Electronic Resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2003. http://wwwlib.umi.com/cr/syr/main.
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Silva, Ricardo Medeiros dos Santos da. "Implied hazard rates analysis through Brazilian corporate debt." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/14078.
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The Brazilian corporate debt market is mostly underdeveloped. Most of the participants do not explore and trade in the secondary market, which is specially the case for debentures. In spite of this fact, there are a myriad of tools that could help market participants analyze credit risk, which could make them more willing to trade these risks in the secondary market. This dissertation provides an arbitrage-free model that extracts the implied Risk- Neutral Mean Loss Rates from market prices. It is a reduced form version of the model proposed by Duffie and Singleton (1999) and defines the term-structure of interest rates as a Piece-Wise Constant Function. Through this model, we were able to analyze the implied Risk-Neutral Mean Loss curve through different instruments of Brazilian corporate issuers, using bonds, CDS and debentures. We were able to compare the different curves and decide, in each case analyzed, which of them are best to take on the company’s credit risk, via bonds, CDS or debentures.
No Brasil, o mercado de crédito corporativo ainda é sub-aproveitado. A maioria dos participantes não exploram e não operam no mercado secundário, especialmente no caso de debêntures. Apesar disso, há inúmeras ferramentas que poderiam ajudar os participantes do mercado a analisar o risco de crédito e encorajá-los a operar esses riscos no mercado secundário. Essa dissertação introduz um modelo livre de arbitragem que extrai a Perda Esperada Neutra ao Risco Implícita nos preços de mercado. É uma forma reduzida do modelo proposto por Duffie and Singleton (1999) e modela a estrutura a termo das taxas de juros através de uma Função Constante por Partes. Através do modelo, foi possível analisar a Curva de Perda Esperada Neutra ao Risco Implícita através dos diferentes instrumentos de emissores corporativos brasileiros, utilizando Títulos de Dívida, Swaps de Crédito e Debêntures. Foi possível comparar as diferentes curvas e decidir, em cada caso analisado, qual a melhor alternativa para se tomar o risco de crédito da empresa, via Títulos de Dívida, Debêntures ou Swaps de Crédito.
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Xu, Zhengyang. "Contagion and Competitive Intra-industry Effects of Default Announcements Evidence from Chinese Bond Market." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1375.
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In this paper I analyzed the intra-industry competitive and contagion effect during bond defaults in China. The analysis is performed using bond price, since the Chinese stock market is immature and has incredible amount of volatility. The sample includes 15 cases of default across 10 different industries since 2014, and the cumulative effect of the industry portfolio is positive over 11-day event window (competitive effect) with a t-statistic of 6.22. In addition, I found that SOE defaults overall have a significant positive abnormal return on their industry portfolios during 11-day event window with a t-statistic of 4.72, indicating a competitive effect. In contrast, Non-SOE defaults overall have a significant negative abnormal return on their industry portfolios over 3-day window with a t-statistic of -3.36, showing a contagion effect. But this difference could be due to the characteristics of industries as opposed to the nature of SOE. By analyzing the condition and characteristics of each industry, I found that the significance of abnormal return depends on the level of competition of the industry and the level of information available. In terms of contagion and competitive effect, industries showing a contagion effect offer products that are difficult to differentiate, such as cement and water bottle. Industries showing a competitive effect offer products that are highly specialized and rely heavily on technology innovation, such as the special equipment industry and electric equipment industry.
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Lequesne-Roth, Caroline. "L'évolution du régime contractuel de défaut des Etats débiteurs européens." Thesis, Toulon, 2015. http://www.theses.fr/2015TOUL0095.
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La mise en finance de la dette d'Etat, et les crises auxquelles elle donne lieu, font de l'instauration d'un cadre juridique régissant la restructuration et le défaut des dettes d'Etat, un enjeu majeur pour l'Europe. En l'absence d'un droit européen de la « faillite » d'Etat, un régime de défaut a émergé sur le terrain de la pratique, dans les contrats d'emprunt d'Etat obligataires. Les Etats européens ont en effet privilégié une approche décentralisée et volontaire de la restructuration des dettes d'Etat : le contrat d'emprunt d'Etat établit les règles qui organisent les relations de dette entre les Etats débiteurs et leurs créanciers privés. Sous l'effet de l'intégration financière européenne, ce régime de défaut revêt des formes de plus en plus standardisées. Le présent travail consiste à identifier les éléments constitutifs du régime contractuel de défaut des Etats européens, à en apprécier le caractère idoine à l'aune des besoins de l'Etat et à en évaluer la portée. Il adopte pour ce faire une méthode pragmatique, basée sur une analyse empirique des contrats et une étude de cas.Il ressort de celles-ci que le régime de défaut contractuel des Etats européens conduit à l'abandon, l'érosion voire la suppression des prérogatives exorbitantes de droit commun qui étaient traditionnellement attachées à la qualité de souverain des Etats emprunteurs. D'une part, les Etats consentent, pour assurer l'attractivité de leurs titres de créance sur le marché européen très concurrentiel des dettes d'Etat, à adopter des dispositions attentatoires à leur souveraineté, qui les privent de la marge de manœuvre nécessaire à l'adoption de mesures de sauvegarde adaptées en cas de crise de la dette. D'autre part, les deux principaux fors compétents - les juridictions anglaises et new-yorkaises - ont consacré la force obligatoire des contrats d'emprunt d'Etat, lesquels priment les considérations d'intérêt général qui jadis fondaient le défaut souverain. En effet, la jurisprudence libérale de ces fors, favorables aux créanciers de l'Etat, ont encouragé la professionnalisation des requérants et le développement d'une industrie contentieuse du défaut d'Etat, communément désignée comme l'industrie des « fonds vautours». Les stratégies contentieuses agressives déployées par ces nouveaux acteurs ont permis d'obtenir la condamnation des Etats défaillants et des mesures de contrainte sur le terrain encore très préservé par l'immunité d'exécution des Etats. Cette thèse a ainsi pour enjeu, et s'inscrit, dans le débat contemporain relatif à la transformation de l'Etat européen sous le poids de son endettementSovereign debts’ financiarization is a global phenomenon affecting a very substantial number of States in Europe. Nevertheless, European State insolvency has not been implemented. This legal loophole didn't lead to legal uncertainty : a State default's European regime has emerged from practical experience in sovereign debt contracts. Those contracts include harmonised standards : States adopted boilerplates with the aim of contributing to effective debt market and providing liquidity. Promotion and circulation of boilerplates have been made easier by the fact that many States turn to lawyers for their financial affairs. In fact, sovereign consultancy market remains concentrated among a few major law firms. Given the spread of sovereign debt crisis, which also affected developed economies, contract « as statute » has become a major issue for all democracies. The first part intends to identify and map European boilerplates, reflecting regional particularities ; to analyse them and assess their effectiveness and efficiency in crisis conditions. The second analyses the case law that has developed over the years regarding sovereign debt contract. The European States' default contractual regime had led to the dismissal of prerogatives derogating from the generally applicable rules of law, which States used to enjoy within their financing operations. This research has both practical and prospective dimensions, aiming at putting forward proposals to deal with sovereign debt crisis
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Anderson, Mike. "Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.
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Lakshmi, Geeta. "How to measure default risk : an empirical study on India's operations in the loan and bond markets." Thesis, University of Exeter, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.307320.
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Zupan, Aleksander. "Models for the term structure of defaultable bond prices under assumption of consecutive defaults." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.405647.
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Urban, Jörg [Verfasser], and M. [Akademischer Betreuer] Schienle. "Credit risk contagion and arbitrage: Evidence from sovereign bond and credit default swap markets / Jörg Urban ; Betreuer: M. Schienle." Karlsruhe : KIT-Bibliothek, 2017. http://d-nb.info/1138708674/34.
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Papanastasiou, Dimitrios. "3 essays on credit risk modeling and the macroeconomic environment." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/22014.
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In the aftermath of the recent financial crisis, the way credit risk is affected by and affects the macroeconomic environment has been the focus of academics, risk practitioners and central bankers alike. In this thesis I approach three distinct questions that aim to provide valuable insight into how corporate defaults, recoveries and credit ratings interact with the conditions in the wider economy. The first question focuses on how well the macroeconomic environment forecasts corporate bond defaults. I approach the question from a macroeconomic perspective and I make full use of the multitude of lengthy macroeconomic time series available. Following the recent literature on data-rich environment modelling, I summarise a large panel of 103 macroeconomic time series into a small set of 6 dynamic factors; the factors capture business cycle, yield curve, credit premia and equity market conditions. Prior studies on dynamic factors use identification schemes based on principal components or recursive short-run restrictions. The main contribution to the body of existing literature is that I provide a novel and more robust identification scheme for the 6 macro-financial stochastic factors, based on a set of over-identifying restrictions. This allows for a more straightforward interpretation of the extracted factors and a more meaningful decomposition of the corporate default dynamics. Furthermore, I use a novel Bayesian estimation scheme based on a Markov chain Monte Carlo algorithm that has not been used before in a credit risk context. I argue that the proposed algorithm provides an effcient and flexible alternative to the simulation based estimation approaches used in the existing literature. The sampling scheme is used to estimate a state-of-the-art dynamic econometric specification that is able to separate macro-economic fluctuations from unobserved default clustering. Finally, I provide evidence that the macroeconomic factors can lead to significant improvements in default probability forecasting performance. The forecasting performance gains become less pronounced the longer the default forecasting horizon. The second question explores the sensitivity of corporate bond defaults and recoveries on monetary policy and macro-financial shocks. To address the question, I follow a more structural approach to extract theory-based economic shocks and quantify the magnitude of the impact on the two main credit risk drivers. This is the first study that approaches the decomposition of the movements in credit risk metrics from a structural perspective. I introduce a VAR model with a novel semi-structural identification scheme to isolate the various shocks at the macro level. The dynamic econometric specification for defaults and recoveries is similar to the one used to address the first question. The specification is flexible enough to allow for the separation of the macroeconomic movements from the credit risk specific unobserved correlation and, therefore, isolate the different shock transmission mechanisms. I report that the corporate default likelihood is strongly affected by balance sheet and real economy shocks for the cyclical industry sectors, while the effects of monetary policy shocks typically take up to one year to materialise. In contrast, recovery rates tend to be more sensitive to asset price shocks, while real economy shocks mainly affect secured debt recovery values. The third question shifts the focus to credit ratings and addresses the Through-the- Cycle dynamics of the serial dependence in rating migrations. The existing literature treats the so-called rating momentum as constant through time. I show that the rating momentum is far from constant, it changes with the business cycle and its magnitude exhibits a non-linear dependence on time spent in a given rating grade. Furthermore, I provide robust evidence that the time-varying rating momentum substantially increases actual and Marked-to-Market losses in periods of stress. The impact on regulatory capital for financial institutions is less clear; nevertheless, capital requirements for high credit quality portfolios can be significantly underestimated during economic downturns.
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Kume, Ortenca. "Determinants of U.S. corporate credit spreads." Thesis, Robert Gordon University, 2012. http://hdl.handle.net/10059/735.
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This thesis deals with various issues regarding determinants of US corporate credit spreads. These spreads are estimated as the difference between yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a compensation not only for the default risk but also for other factors related to corporate bonds such as market liquidity or tax differential between corporate and Treasury bonds. In this study we firstly examine the relationship between bond ratings and credit spreads given that bond rating changes are expected to carry some informational value for debt investors. The findings indicate that bond ratings generally carry some informational value for corporate bond investors. The Granger causal relationship is more evident for negative watch lists and during periods of uncertainty in financial markets. In line with previous studies, our results suggest that changes in credit spreads are significantly related to interest rate levels, systematic risk factors (Fama and French) factors and equity returns.
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Harasta, Balazs. "The determinants of the price of credit risk : an empirical analysis of the CDS, bond and equity markets /." Table on contents, 2008. http://aleph.unisg.ch/hsgscan/hm00231731.pdf.
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Teles, Nadine Cristina Bastos. "Effects of the Banking Union in the risk perception of the portuguese economy." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7782.
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Mestrado em Economia Internacional e Estudos EuropeusEsta Dissertação tem como objetivo compreender quais podem ser os efeitos esperados da criação de uma União Bancária na perceção de risco da economia portuguesa, ou seja, de que forma a decisão de completar a integração financeira da UEM através do estabelecimento de uma estrutura institucional que assegura uma supervisão, resolução e um esquema de segurança de depósitos centralizados, pode prevenir a falta de confiança dos mercados financeiros de aumentar a perceção de risco do país. Este estudo justifica-se pelo facto de a crise das dívidas soberanas ter revelado a necessidade de se completar a integração financeira da Europa, dado que uma UEM incompleta trouxe ao de cima as consequências negativas da interdependência entre risco soberano e bancário na zona euro. No caso de Portugal, considera-se que uma dívida acumulada desde 2001 e o resgate dos bancos BPN e BPP, juntamente com um efeito de contágio da Grécia e Irlanda, minaram o sentimento dos mercados financeiros relativamente à sua capacidade de financiamento, aumentando a perceção de risco de que poderia entrar em incumprimento. Através da avaliação das mais recentes tendências das obrigações da dívida pública a 10 anos e spreads de CDS a 5 anos, conclui-se que o anúncio da União Bancária no verão de 2012 parece ter tido algum efeito positivo na perceção de risco de Portugal, que esforços para acelerar o processo de estabilidade financeira do país estão a mostrar resultados e que os instrumentos já aprovados no âmbito da União Bancária são um passo na direção certa.
This Dissertation aims at understanding what the expected effects of the creation of a Banking Union in the risk perception of the Portuguese economy may be. In other words, in what ways the decision to complete the financial integration of the Economic and Monetary Union by establishing an institutional structure that assures a centralized banking supervision, resolution and deposit guarantee scheme, may prevent the lack of confidence from financial markets to increase the country's risk perception. This study is justified by the fact that the sovereign debt crisis brought up the need to complete Europe's financial integration, since an incomplete Economic and Monetary Union brought forward the negative consequences of the interdependence between sovereign and banking risk in the euro area. In Portugal's case, it is considered that an accumulated debt since 2001 and the bail-out of banks BPN and BPP, together with a spill-over effect from Greece and Ireland, undermined the financial markets' sentiment towards Portugal's ability to finance itself, increasing the country's risk perception of going into default. Through the assessment of recent trends in 10 year Government bond yields and 5 year CDS spreads, it can be concluded that the announcement of a Banking Union in the summer of 2012 seems to have had some positive effects in the risk perception of the Portuguese economy, continued efforts to accelerate the country's process of financial stability are showing results and the instruments already approved within the Banking Union's framework are a step in the right direction.
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Gadaud, Pascal. "Etude par frottement interieur haute temperature des defauts structuraux dans le silicium monocristallin." Poitiers, 1987. http://www.theses.fr/1987POIT2273.
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Des experiences de frottement interne haute temperature en basse frequence ont ete realisees sur le silicium nonocristallin deforme. Plusieurs effets de relaxation ont ete relies a differents comportements des dislocations en correlation avec les parametres structuraux. L'interpretation de ces relaxations a permis de preciser les energies des mecanismes elementaires de glissement et le role du dopant, propres a la structure covalente
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Vaňková, Jana. "Analýza přínosů Evropské ratingové agentury." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-192957.
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The main aim of this diploma thesis is to analyze benefits of the establishment of the European Rating Agency. The partial aim is to determine the influence of the credit ratings on economics situation in selected European countries and to analyze problems of current credit rating industry. A slight impact of the credit ratings on the observed countries has been found by way of the analysis of evolution of the yields of ten-year government bonds and the prices of CDS contracts on these bonds. Non-perfect competition, weak transparency of the rating process and conflict of interest are considered as the most important problems of the credit rating agencies. By way of the analysis of the ability of the European Rating Agency to remove or at least to partially eliminate discussed problems has been found that the European Rating Agency would not be able to remove all problems of the credit rating industry. The uncertainty about the independence of the European Rating Agency is the biggest weakness of this agency. For this reason, we can't expect that the European Rating Agency would be able to make the credit rating process more efficient and improve the situation in the credit rating industry.
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Fonseca, Vladimir João de Oliveira Lopes Dias da. "Counterparty and Liquidity Risk : an analysis of the negative basis." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4630.
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Mestrado em FinançasIn this study we analyse the equivalence between credit default swap (CDS) spreads and corporate bond yield spreads from March 2007 to March 2011 for investment graded corporate entities in the eurozone. We find evidence of cointegration between the two markets and that CDS prices tends to lead corporate yield spreads. We find support for significant effects of counterparty and funding risks in the basis, measured as the difference between CDS and corporate yield spreads, with negative impact, and that liquidity also matters in this context.
No contexto da relação teórica de equilíbrio entre os preços dos CDS e as yield spreads das obrigações das empresas face a taxas de juro sem risco, este trabalho conclui que existe cointegração entre estas duas variáveis para entidades de referência na zona euro no período que decorre entre Março de 2007 e Março de 2011. A análise efectuada revelou que o risco de contraparte e o risco de liquidez em ambos os mercados tiveram um impacto significativo na base, entre os CDS e os referidos spreads, e que os preços dos CDS tenderam a liderar as yield spreads das obrigações no período em análise.
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Wang, Tingwei. "Three Essays on Sovereign Credit Risk." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED010.
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Cette thèse étudie le risque de crédit souverain et son impact sur les banques et les entreprises. Le premier essai montre que le risque de crédit bancaire est lié au risque de crédit souverain via l’exposition commune au risque systémique au lieu du sauvetage implicite ou de l’exposition excessive aux obligations émises par le pays d’origine. Dans le deuxième essai, je construis un modèle de structure du capital qui prédit une corrélation négative entre le niveau d’endettement des grands entreprises et le risque de crédit souverain à cause du sauvetage implicite. Cette prédiction est confirmée en suite par des preuves empiriques des entreprises dans la zone euro. Le troisième essai donne un modèle joint de CDS et d’obligation pour identifier les composantes de défaut et de liquidité dans les spreads de CDS et les rendements obligataires. Je trouve une composante de liquidité importante dans les spreads de CDS des pays périphériques de la zone euros et conclus que le fait de ne pas prendre en compte de l’illiquidité des CDS conduit à surestimer la composante de défaut dans le rendement obligataireThis thesis studies sovereign credit risk and its impact on banks and industrial firms. The first essay shows that bank credit risk is linked to sovereign credit risk through common exposure to systemic risk instead of implicit bailout or excessive holding of home country bonds. In the second essay, I build a trade-off model of capital structure which predicts negative correlation between optimal leverage of big firms and sovereign credit risk due to implicit bailout. The model prediction is confirmed by empirical evidence from firms in the euro area. The third essay provides a joint pricing model of CDS and bond to disentangle the default and liquidity component in CDS spread and bond yield spread. I find a remarkable liquidity component in the CDS spreads of peripheral euro area countries and conclude that ignoring CDS illiquidity leads to overestimation of default component in bond yield
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Balima, Weneyam Hippolyte. "Essays on economic policies and economy of financial markets in developing and emerging countries." Thesis, Université Clermont Auvergne (2017-2020), 2017. http://www.theses.fr/2017CLFAD024/document.
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Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriageThis thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries
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Jousse, Didier. "Contribution à l'étude des états localisés et du dopage du silicium amorphe hydrogéné." Grenoble 1, 1986. http://www.theses.fr/1986GRE10123.
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Etude par photodeflection thermique, resonance paramagnetique electronique, absorption optique et mesures de la photoconductivite et de capacite de diode schottky. Identification de defauts diamagnetiques, associes a la presence de microcavites et des liaisons disponibles comme defauts principaux dans a-si:h non dope, les liaisons disponibles devenant dominantes dans le cas de dopage par b ou as; mise en evidence d'un elargissement de la queue de bande de valence pour des rapports dopant/silicium superieurs a 0,1%at; signature des niveaux de la liaison disponible
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Magwegwe, Frank Mashoko. "Modelling default-risky bonds." Diss., 2003. http://hdl.handle.net/2263/26531.
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In this dissertation, we examine current models used to value default-risky bonds. These models include both the structural and the reduced-form approaches. We begin by examining various issues involved in modelling credit risk and pricing credit derivatives. We then explore the various dimensions of structural models and reduced-form models and we provide an overview of four models presented in the literature on credit risk modelling. Both the theoretical and empirical research on default-risky bond valuation is summarized. Finally, we make suggestions for improving on the credit risk models discussed.Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006.
Mathematics and Applied Mathematics
unrestricted
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Yeh, Shih-Man, and 葉士嫚. "Pricing Convertible Bonds with Default Risk." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/14297665801560286481.
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碩士雲林科技大學
財務金融系碩士班
98
A convertible bond has characteristics of stocks and bonds. It exposes the risk that the company can’t repay the debt. Therefore, credit risk plays an important role in pricing the convertible bond. This article applies CRR model and BDT model to evaluate the convertible bond. Meanwhile, we discount the stock and the bond with the risk-free rate and the risky rate, respectively. Accordingly, we calculate the convertible bond price with default risks. First, we compare the differences between various interest rate trees for values of three-year convertible bonds. Secondly, we analyze the influence on default risks for values of convertible bonds. Finally, we investigate the tendency for values of convertible bonds under different stock volatility and recovery rates.
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Wang, Hsin-Yin, and 王心吟. "Valuation of Convertible Bonds with Default Risk." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/97140461178306194444.
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碩士國立臺灣大學
數學研究所
97
This paper presents the valuation of convertible bonds by using stock price, short rate, and default risk. We used binomial (CRR) Model to construct binomial stock price tree; while short rate was transformed into two binomial trees by using Ho-Lee Model and Black-Derman-Toy (BDT) Model. Two different equations were obtained while analyzing default risk by Chambers-Lu Model and by Hung-Wang Model. By investigate these two equations, we demonstrated if the longer the duration, the smaller the price of default-free bonds. Then, default probabilities obtained by Chambers-Lu Model tend to be greater than the probabilities obtained by Hung-Wang Model. After using stock price, short rate, and default risk to construct hexnomial tree and calculate risk-neutral probabilities, we concluded that the model is incomplete since these prices were not unique. Convertible bond price intervals were calculated using by risk-neutral probabilities. We observed that the probabilities used in the paper introduced by Hung and Wang were not risk-neutral probabilities. Moreover, we compared and discussed the convergence convertible bond price intervals as the number of periods→∞.
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Wu, Ching-Ting, and 吳敬庭. "The Impact of Default Risk of Corporate Bonds on Bond Spreads and Bond Duration." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/98028593539873536374.
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碩士國立臺灣大學
國際企業學研究所
102
Structural models for valuing straight corporate bonds show that default risk have important implications for the yield spread and the bond duration. Based on Jacoby and Shiller（2010）, this study uses data from Taiwan bond market to test the hypotheses. First, we classify bonds according to their ratings. Using data from GreTai Securities Market, we estimate default spread as the difference between the zero-coupon yield of a straight corporate bond and the zero-coupon yield of a government bond with the same term to maturity. Then, we use the relationship between changes in government zero-coupon yield and default spreads to examine the impact of the risk-free rate to the default spread. Furthermore, we use the relationship between changes in government zero-coupon yield and corporate zero-coupon yield to examine the relationship between the risk-adjusted duration and the Macaulay duration. The results are consistent with that of Acharya and Carpenter（2002）.
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Chang, Chia-Wen, and 張嘉文. "Price Default Bonds Under The Generalized Vasicek Model." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/97763876599276078755.
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Almeida, Leonor Silva de. "Cross sectional default probabilities in european corporate bonds." Master's thesis, 2015. http://hdl.handle.net/10362/15683.
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This study attempts to identify basis-trading opportunities in the European banking sector by comparing two different measures for the market’s assessment of risk: market-observed CDS spreads and model-implied Z-spreads. Using a sample of 10 banks, over a period of 3 years following the European banking crisis, it can be concluded that there were arbitrage opportunities in the sector, as evidenced by the derived negative bases.
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Hui-Ju, Chang. "Distance-to-Default and Credit Spread of Corporate Bonds." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2806200612044100.
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Chang, Hui-Ju, and 張惠如. "Distance-to-Default and Credit Spread of Corporate Bonds." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/02351061626164093491.
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碩士國立臺灣大學
財務金融學研究所
94
Since the classic study of credit risk valuation was pioneered by Merton (1974), assessing the reasonable credit spread of corporate bonds has become one important issue related to the bond market research. In practice, the credit rating has been the key factor in determining the credit spread of a firm’s debt. However, the credit rating is revised infrequently and quite often with a lag. It may not reflect the true default risks of bonds efficiently. So in recent years, the distance-to-default (DD) inspired by Moody''s KMV Expected Default FrequencyTM (EDFTM) credit measure becomes another evaluation criterion to assess the credit quality and to determine the credit spread. Generally, the greater the DD, the lower the credit risk, the higher the credit rating, and thus the lower the credit spread. Using 1,738 US corporate bonds issued by 479 firms, we document the empirical success of DD in explaining credit spreads. Besides, we compare the power of DD with that of credit ratings to explain credit spreads. The results show that the performance of DD in explaining credit spreads is in no way inferior to that of credit ratings. DD captures some information that is not contained in credit ratings. In addition, the credit rating must be supplied by major rating agencies whereas DD only requires the equity prices and certain items from financial statements as input, so it is more responsive to the everchanging financial status of the issuer, and can be calculated as frequently as the users like. DD may be able to replace the credit rating to a certain extent. On the verge of the implementation of Basel II Accord, these findings may provide a useful risk control concept for financial institutions, underwriters, investors, issuers, and the regulators.