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1
Li, Ma. "Essays on Mutual Funds and Fund Managers." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19361.
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Die vorliegende Dissertation besteht aus drei Kapiteln über die Investmentfonds. Das erste Kapitel befasst sich mit der Rolle der Fondsmanager in der Bilanzverschönerung. Auf Basis der Analyse der Karrierewege von amerikanischen Fondsmanagern werden signifikante zusammenwirkende Manager-Fixed-Effects identifiziert, die nach der Kontrolle der endogenen Matching-Probleme immer noch robust sind. Die geschätzten Manager-Fixed-Effects haben signifikante Einflüsse auf die Out-of-Sample-Vorhersagen. Außerdem wird festgestellt, dass die Verriegelungen der Investmentfonds, die von gemeinsamen Managern verwaltet wurden, wichtige Kanäle für die Bilanzverschönerung verursachen. Das zweite Kapitel beschäftigt sich mit den Investmentstrategien der Fonds im Hinblick auf die Nutzung von Credit Default Swaps (CDS). Die Zuordnung der CDS-Positionen der Investmentfonds zu ihrem Bestandportfolio bietet eine neue Methodik zur Identifizierung der CDS-Strategien und kompensiert somit die Analysen der existierenden Literatur auf der Makroebene. Die Ergebnisse zeigen, dass die Anreize zur Risikoreduzierung die Spekulationsanreize dominieren, insbesondere, wenn die Kreditexposition durch ungedeckte Leerverkäufe der CDS-Verträge erhöht wird. Die erfahrenen Fondsmanager tendieren dazu, mehr Kreditrisiko in Kauf zu nehmen, während es für die Fondsmanagerinnen wahrscheinlicher als für ihre männlichen Kollegen ist, gegen das bestehende Risiko abzusichern. Der letzte Teil nimmt die Pleite von Lehman Brothers unter die Lupe, um sich mit der daraus resultierenden unerwarteten Schließung der CDS-Positionen als einem natürlichen Experiment auseinanderzusetzten. Diese Studie dient zur Untersuchung der Risiko- und Leistungsimplikationen der CDS-Investments der Fonds. Die Investmentfonds besitzen bei ihren CDS-Transaktionen im Durchschnitt einen beachtlichen Teil Extremrisiko. Während die CDS-Nutzer von guten Gesamtmarktlagen profitieren, erleiden sie unter Verlusten bei geclusterten Ausfällen.This dissertation comprises of three chapters on mutual funds. The first chapter establishes the role of managers in the deceptive practice of window dressing. Employing comprehensive career history of U.S. mutual fund managers, I find strong jointly significant manager fixed effects, which are robust after addressing endogenous matching concerns. The estimated manager fixed effects are significant in making out-of-sample predictions. Further I establish that mutual fund interlocks through common managers are important channels that spread window dressing. The second chapter studies the investment strategies of mutual funds regarding their use of credit default swaps (CDS). Matches between mutual funds’ CDS positions and their underlying portfolio in the holdings facilitate a new approach in identifying CDS strategies that complements the “macro” level analyses in the existing literature. I find risk reducing incentives are dominated by speculative incentives, especially those to increase credit exposure via naked short CDS contracts. Experienced fund managers tend to take on more credit risk, while female managers are more likely to hedge comparing with their male peers. The third chapter employs the collapse of Lehman Brothers and the resulting sudden closures of CDS positions as a natural experiment to examine the risk and performance implications of mutual funds’ CDS investments. Funds on average load up on a significant amount of tail risk by trading CDS. While CDS users benefit when market conditions are favorable, they suffer during periods of clustered defaults.
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Bekker, Francis. "An assessment : defined contribution funds and retirement / by Francis Bekker." Thesis, North-West University, 2003. http://hdl.handle.net/10394/105.
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Dramatic changes in medical science and a general improvement in living
standards has led to significant reduction in the morality rate of certain age
groups in South Africa. As a result the average age at which people are likely to
die increased significantly in the 2oth century.
The implications of this has not only to increase the number of people who
survive to retirement age, but it has also seen larger numbers of people live for
much longer periods in retirement.
Opposite to the above, is the HIVIAids pandemic, which will increase the
mortality rates of individuals at a younger age and undoubtedly affect pension
plans and the costs thereof. The effect of all these changes have been the
ultimate cost of providing a given pension benefit.
At first the paper examines the trend in retirement saving away from Defined
Benefit (DB) towards Define Contribution (DC) funds. It looks at the reasons why
this shift has occurred in South Africa, and provided confirmation of the
retirement savings plans away from DB structures and towards DC type of plans
in South Africa.
Secondly the paper briefly looks at the operation of DC plans in South Africa. The
potential consequences of the shift are then reviewed in the context of roleplayers
in the retirement savings decision and personal involvement in retirement
planning process.
Upon completion of the literature study, a model was developed in which data
from DC funds were used to make projections regarding the sufficiency and
adequacy of funding within DC funds.
This study has proved that the shift from DB to DC funds had an enormous
impact on provision for retirement. It was found that a significant part of the
population will not be independent at retirement and therefore might potentially
became a responsibility of the state.
The paper suggests that the level of personal involvement in the retirement
savings decision may be a critical factor in determining the propensity of an
individual to save for retirement. As a result research is proposed to consider the
importance of the three elements in the involvement of the individual in the
retirement savings decision: the perceived ownership of retirement savings, the
awareness of the need to save for retirement and the understanding of how to
save for retirement.Thesis (M.B.A.)--North-West University, Potchefstroom Campus, 2004.
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Dunne, Peter F. (Peter Francis). "The credit crunch and pension fund investment in home building." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/65682.
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Lin, Ming-Tsung. "Three studies in hedge funds and credit default swaps." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/three-studies-in-hedge-funds-and-credit-default-swaps(b85f19e8-7fb5-4256-b4c6-276af18264a3).html.
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This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results suggest that hedge fund flows provide predictive information for the movement of bond yields. The second study investigates the systematic and firm-specific credit and liquidity risks of CDS spreads. Using data on CDS spreads of 356 U.S. firms from 2002 to 2011, I find that systematic credit and liquidity risks are important in cross-sectional prediction of CDS spreads. In addition, the importance of systematic liquidity risk becomes substantial since the financial crisis in 2007. This finding challenges the current Basel III procedures for counterparty credit risk regulations, in which only pure default should be used. In addition, the systematic credit and liquidity factors can be used as a proxy for CDS spreads of firms that do not have traded CDSs. The last study extends Carr and Wu (2010), in which deep out-of-the-money (DOOM) put options and CDSs are associated as they both provide credit insurance for credit protection buyers. Using the Nelson-Siegel (1987) model, I obtain the credit and illiquidity components for DOOMs and CDSs over the period from May 2002 to May 2012. I show that, after controlling the factors that explain the difference between the DOOM and CDS markets, the components converge over time in these two markets. Thus, I can exploit the observed convergence pattern by constructing a simple trading strategy, and this benchmark strategy produces a positive return. I further construct two other strategies based on the component information, and these two refined strategies outperform the benchmark strategy by the Sharpe ratio and Carhart alpha. My three studies contribute to the literature in hedge fund systemic risk and CDS credit and liquidity risks.
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Ilerisoy, Mahmut. "Hedging out the mark-to market volatility for structured credit portfolios." Thesis, University of Iowa, 2009. https://ir.uiowa.edu/etd/381.
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Credit derivatives are among the most criticized financial instruments in the current credit crises. Given their short history, finance professionals are still researching to discover effective ways to reduce the mark-to-market (MTM) volatility in credit derivatives, especially in turbulent market conditions.
Many credit portfolios have been struggling to find out appropriate tools and techniques to help them navigate the current credit crises and hedge mark-to-market volatility in their portfolios. In this study we provide a tool kit to help reduce the pricing fluctuations in structured credit portfolios utilizing data analysis and statistical methods.
In Chapter One we provide a snapshot of credit derivatives market by summarizing different types of credit derivatives; including single-name credit default swaps (CDS), market credit indices, bespoke portfolios, market index tranches, and bespoke tranches (synthetic CDOs).
In Chapter Two we illustrate a method to calculate a stable hedge ratio (beta) by combining industry practices and statistical techniques. Choosing an appropriate hedge ratio is critical for funds that desire to hedge mark-to-market volatility. Many credit portfolios suffered 40%-80% market value losses in 2008 and 2009 due to the mark-to-market volatility in their long positions. In this chapter we introduce ten different betas in order to hedge a long bespoke portfolio by liquid market indices. We measure the effectives of these betas by two measures: Stability and mark-to-market volatility reduction. Among all betas we present, we deduct that the following betas are appropriate to be used as hedge ratios: Implied Beta, Quarterly Regression Beta on Spread Levels, Yearly Regression Betas on Spread Levels, Up Beta, and Down Beta.
In Chapter Three we analyze the risk factors that impact the MTM volatility in CDS tranches; namely Spread Risk, Correlation Risk, Dispersion Risk, and Curve Risk. We focus our analysis in explaining the risks in the equity tranche as this is the riskiest tranche in the capital structure. We show that all four risks introduced are critical in explaining MTM volatility in equity tranches. We also perform multiple regression analysis to show the correlations between different risk factors. We show that, when combined, spread, correlation, and dispersion risks are the most important risk factors in analyzing MTM fluctuations in equity tranche. Curve risk can be used as an add-on risk to further explain local instances. After understanding various risk factors that impact the MTM changes in equity tranche, we put this knowledge to work to analyze two instances in 2008 in which we experienced significant spread widening in equity tranche. Both examples show that a good understanding of the risks that drive MTM changes in CDS tranches is critical in making informed trading decisions.
In Chapter Four we focus on two topics: Portfolio Stratification and Index Selection. While portfolio stratification helps us better understand the composition of a portfolio, index selection shows us which indices are more suitable in hedging long bespoke positions. In stratifying a portfolio we define Class-A as the widest credits, Class-B as the middle tier, and Class-C as the tightest credits in a credit portfolio. By portfolio stratification we show that Class-A has significant impact on the overall portfolio. We use five different risk measures to analyze different properties of the three classes we introduce. The risk measures are Sum of Spreads (SOS), Sigma/Mu, Basis Point Volatility (BPVOL), Skewness, and Kurtosis. For all risk measures we show that there is high correlation between Class-A and the whole portfolio. We also show that it is critical to monitor the risks in Class-A to better understand the spread moves in the overall portfolio. In the second part of Chapter Four, we perform analysis to find out which credit index should be used in hedging a long bespoke portfolio. We compare four credit indices for their ability to track the bespoke portfolio on spread levels and on spread changes. Analysis show that CDX.HY and CDX IG indices fits the best to hedge our sample bespoke portfolio in terms of spread levels and spread changes, respectively. Finally, we perform multiple regression analysis using backward selection, forward selection, and stepwise regression methods to find out if we should use multiple indices in our hedging practices. Multiple regression analysis show that CDX.HY and CDX.IG are the best candidates to hedge the sample bespoke portfolio we introduced.
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Castro, Esther E. "An Applied Credit Scoring Model and Christian Mutual Funds Performance." ScholarWorks@UNO, 2015. http://scholarworks.uno.edu/td/2061.
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This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying solely on its information. Thus other variables are needed in order to more accurately be able to find the probability of default. Essay 2, “Christian Mutual Fund Performance,” draws attention to a much ignored type of funds, Christian mutual funds. The following questions are asked: How does Christian mutual fund perform compared to the market? Is there a difference in performance during recessions as indicated by literature? Is Christian mutual fund performance different than SRI funds? How do Catholic and Protestant fund perform? Looking at qualitative evidence, Christian mutual funds place much more importance on moral issue than SRI funds. Thus there is a clear difference in objectives and the type of screening that these two mutual fund pursue. Overall data reflects that screened data perform worse than the market, however during recession screened funds perform as well and at times better than the market. Christian mutual funds tends to perform worse than SRI funds.
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Brown, Karen Leigh. "Credit, self-employment, and poverty alleviation : a study of the Good Faith Fund in rural Arkansas." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/64849.
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Thesis (M.C.P.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1990.Title as it appears in the M.I.T. Graduate List, June 1990: Credit as a means for self-employment and poverty alleviation in rural Arkansas.
Includes bibliographical references (leaves 92-96).
by Karen Leigh Brown.
M.C.P.
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Grizzle, Linda S. "Three Pension Cost Methods under Varying Assumptions." Diss., CLICK HERE for online access, 2005. http://contentdm.lib.byu.edu/ETD/image/etd850.pdf.
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Dube, Andile Precious. "A study of group lending in Swaziland : a case of Imbita Swaziland Women's Financial Trust fund." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/95611.
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Thesis (MDF)--Stellenbosch University, 2012.The provision of finance to the poor through group lending has evolved enormously over the years following the successful implementation by the Grameen Bank in Bangladesh and the BancoSol in Bolivia. Various microfinance institutions in Swaziland also adopted this model and achieved varying results. Imbita Swaziland Women’s Finance Trust Fund is the only microfinance institution that has continuously embraced this model whilst others closed down or migrated to individual lending. This paper uses Imbita as the focal organisation for the study in order to understand the adoption of group lending in Swaziland. The core objectives of the paper were to evaluate Imbita’s experience in applying this model, understanding the characteristics of the groups they lend to and how the groups manage loan repayment. Data collected from the groups suggests that Imbita has relatively succeeded in applying group lending as evidenced by the high performance of group loans compared to individual loans. This success is attributed to close monitoring of the groups and peer selection at the group formation stage. The success is coupled with a few challenges which include inaccessibility of groups, capital limitations within the organisation and non repayment of loans. A majority of the groups comprised family members, aged between 26-45 years and are involved in informal business activities. The high presence of family members in the groups negatively affects the repayment performance of a group. Groups that had known each other for a longer period (11 years and above) prior to group formation perform better in loan repayment compared to those who have known each other for a shorter period (6-10 years). Groups still struggle with ensuring repayment of loans on time by members hence they always apply pressure on members to repay. However they still maintain the joint liability obligation by paying loans on behalf of members who need help in paying their loans. However, some groups have faced dissolution and were reformed as a result of non-payment. The application of group lending still requires design and implementation improvements. Some of the design improvements include ensuring homogeneity within the groups, reducing the sizes of groups, aligning repayment periods with the nature of each particular business and collecting sufficient information on borrowers. The high presence of family members within groups needs to be discouraged to improve loan repayment performance.
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Wani, Mary Apayi Ayiga. "Leadership and accountability in managing the Constituency Development Fund (CDF): a case study of Yei River County, Central Equatoria State, Juba." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1007150.
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This study is based on Leadership & Accountability in managing the Constituency Development Fund (CDF), the case of Yei River County (YRC) of Central Equatoria State, Republic of South Sudan (RSS). CDF is one of the initiatives of the government of South Sudan created by a legislation of Parliament to compliment development of the community needs as they expect more from the government of the day. The CDF Act 2007 which was passed by the parliament stipulated structures that govern the operation of the fund in terms of management, leadership and accountability to enhance effective and efficient provision of services to the people. The CDF Act provided that fund allocated to the MPs is to address the challenges that face the communities such as construction of schools, health facilities, water, roads and government facilities but not for personal interest or individual use. The problem that motivated the researcher to explore the performance of the CDF was inadequate service to the community although the government has allocated funds to each constituency channeled through the members of parliament to improve the socio-economic status of the community. The research looked at how the CDF roles, functions, and procedure were applied in the utilization of the funds to ensure efficiency. It analysed and evaluated the effectiveness and efficiency of management of CDF to promote service delivery in the constituencies of Yei, Ottogo, Tore and Mugwo Payams. The study investigated the following questions: How is the Constituency Development Fund (CDF) been managed and utilized by the Members of Parliament (MPs) to promote development in their constituencies? To what extent is the Constituency Development Fund (CDF) used in accordance with the provisions of the CDF Act (2007)? To what extent does the CDF achieve its objective in promoting development to meet the aspirations of the people within the constituencies? And, what is the nature of the relationship between the MPs, the community and the County Local Authority in relation to the CDF? The study also examined the linkage between the various committees formed by the CDF Act 2007 to guide the implementation of the fund as well as the projects at grass-root levels in regards to monitoring and evaluation process. The study used both descriptive and explanatory techniques to guide the researcher in gathering information required on the best of CDF practice in Yei River County which were carried out using interviews, focus group discussion and observation. Twenty (20) respondents comprising of head of departments, women, youth, MPs of both parliaments - the National and the State, chiefs, councilors, CDF committees from the four constituencies mentioned above were interviewed about the use of the CDF. The study reveals that there are no clear linkages between the various committees formed by the CDF Act 2007 to guide the implementation of the fund as well as the projects at the grass-root level in regards to monitoring and evaluation process. In addition to this, less participation of the community in identification, planning, implementation, monitoring and evaluation of the CDF community projects was one of the contributing factors that affected the effectiveness and efficiency of the result. Although creation of CDF has effect in some of the areas of the county, it requires more improvement in the implementation process to increase development in other areas. Based on these findings, the study argues that for the best of the CDF utilization, leadership and accountability which are components of the Public Administration Discipline that enhances efficiency in the public institutions need to be put into practice. Hence, rigorous application of the CDF rules, regulations and procedures is paramount in managing the utilization of the fund allocated for the purpose of development.
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Trovo, Beatriz Villas Boas Pimentel. "Captação de recursos por empresas em recuperação judicial e Fundos de Investimento em Direitos Creditórios (FIDC)." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/2/2132/tde-22082014-095725/.
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O presente estudo examina, sob o enfoque do Direito Brasileiro, a captação de recursos por empresas viáveis em crise, durante o processo de recuperação judicial, por meio do mercado de capitais, especificamente com a cessão de direitos creditórios a Fundos de Investimento em Direitos Creditórios. Em alguns casos, os FIDCs podem consistir em uma alternativa constante de captação de recursos, a custos consideravelmente menores que os praticados por instituições financeiras. Todavia, muitos cuidados e precauções devem ser tomados nas cessões de créditos a FIDCs, a fim de garantir segurança e transparência aos investidores e aos credores das empresas em recuperação.This research examines, from the Brazilian Law focus, the fund-raising for viable Companies in crisis, during the judiciary reorganization procedure, through the capital markets, specifically with the assignment of receivables to Receivables Funds. In some cases, these investment funds may consist of an usual-recurrent alternative, with considerably lower costs than those charged by financial institutions. However, many precautions should be taken in the FIDCs credit assignments in order to ensure safety and transparency to investors and companies creditors.
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Lemon, David. "Návrh efektivního financování bytového domu hypotečním úvěrem." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-221670.
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The object of my thesis work called "Suggestion of an effective financing of Flat-building by means of mortgage" is to compare possible investment, choosing an optimal alternative and propose potential changes in a specific mortgage already offered by a bank. It is analyzing particular products for financing rent-destined real property on the Czech market and realization study, which also includes client demands. We are focusing on theoretical and practical information that are contributing to high effectiveness and customer adjustment of offered services.
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Castro, Ilgo Alam. "AvaliaÃÃo de Processo do Programa do Fundo Constitucional de Financiamento do Nordeste para Micro e Pequenas Empresas (FNE-MPE) do Banco do Nordeste entre os anos de 2011 e 2014." Universidade Federal do CearÃ, 2015. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=16675.
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nÃo hÃA presente pesquisa buscou desenvolver um estudo sobre a avaliaÃÃo (de processo) da polÃtica pÃblica de acesso a crÃdito por parte de micro e pequenas empresas (MPEs), mais especificamente em relaÃÃo ao programa do Fundo Constitucional de Financiamento do Nordeste, operacionalizado pelo Banco do Nordeste do Brasil S/A, destinado Ãs micro e pequenas empresas, o FNE-MPE. Na seÃÃo introdutÃria do presente trabalho foi apresentada a proximidade do autor com o tema, o recorte especÃfico da avaliaÃÃo, assim como a questÃo central da pesquisa. Foi reservada seÃÃo para tratar da importÃncia e justificativa do tema abordado, na qual foram levantados os objetivos geral e especÃficos da pesquisa. TambÃm foi elaborada seÃÃo especÃfica para tratar do programa FNE-MPE enquanto polÃtica pÃblica, assim como a anÃlise detalhada de suas condiÃÃes (limites, prazo de financiamento, encargos, garantias, procedimentos para o crÃdito). Deste modo, foram apresentados conceitos e caracterÃsticas das polÃticas pÃblicas e o arcabouÃo e diretrizes legais que norteiam a polÃtica avaliada. A pesquisa ainda tratou sobre os conceitos, histÃrico e caracterÃsticas das MPEs brasileiras, alÃm dos acontecimentos legais e institucionais que marcaram a trajetÃria das aÃÃes polÃticas voltadas Ãs micro e pequenas empresas no Brasil, conjugados com os acontecimentos ocorridos no prÃprio Banco do Nordeste em relaÃÃo ao programa avaliado. Por fim, na seÃÃo destinada à metodologia da pesquisa, foram elencados os caminhos trilhados na busca dos objetivos geral e especÃficos da pesquisa, assim como os principais instrumentos utilizados para o feito (pesquisa documental, entrevistas, aplicaÃÃo de questionÃrios, observaÃÃo participante, dentre outras), assim como algumas constataÃÃes e âachadosâ sobre o tema da pesquisa avaliativa
This research aimed to develop a study on the evaluation (of process) of credit access public policy for micro and small enterprises (MPEâs,), specifically in relation to FNE Northeast Financing Constitutional Fund that is managed by Banco do Nordeste do Brasil S/A, with focus on micro and small companies (FNE-MPE program). The introductory part of this study presented the familiarity of the author with the subject, the specific focus of the evaluation, as well as the central research question. It was reserved a section to discuss about the importance of the subject as well as to justify it. In this part, the general and specific objectives of the research were highlighted. It was also written a specific section to discuss about FNE-MPE program as a public policy, as well as to present detailed analysis of its conditions (limits, financing terms, charges, guarantees, and procedures for credit). Thus, concepts, characteristics of public policies and the legal guidelines that guide the evaluated policy were presented. This paper also present concepts, history and characteristics of Brazilian MPEs, besides legal and institutional events that have marked the course of political actions for micro and small companies in Brazil, in conjunction with the events in the Banco do Nordeste related to the program. Finally, in the section devoted to research methodology, were listed ways of general and specific objectives of the research, as well as the main instruments used (documentary research, interviews, questionnaires, participant observation, among others), as well as some conclusions and findings of the research.
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Baluchová, Daniela. "Úloha suverénnych fondov v medzinárodných investičných aktivitách." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77370.
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The thesis deals with the growing importance of sovereign wealth funds in the international investment activities. It includes the definition of a sovereign fund, the history of the creation, the largest funds as well as the origin of their capital. While sovereign wealth funds have existed for decades, their profile has risen considerably since the credit crisis. Analyzing the potential benefits and risks related with their investments, the thesis further discusses the changing profile of sovereign wealth funds in the world economy. Despite the significant benefits to global capital markets, some governments expressed concerns regarding the political motivation of their investment activity in strategic sectors of other countries. It is obvious that the measures concerning limited transparency of sovereign wealth funds should be adopted at the multilateral level to avoid protectionism.
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Santana, Rogério de Araújo. "O fundo de investimento em direitos creditórios como alternativa de financiamento : 2001 - 2005." Pontifícia Universidade Católica de São Paulo, 2006. https://tede2.pucsp.br/handle/handle/9295.
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Previous issue date: 2006-10-20This paper has the objective to investigate in which extension the securitization made through Receivables Investment Fund ( Fundo de Investimento em Direitos Creditórios FIDC ) could be considered as a viable alternative for enterprises to gather financing resources. It is essential for the development of any economy the existence of private financing mechanisms that allows companies to supply their financial needs in favorable conditions, either regarding costs or operations deadlines, and the securitization is one of these mechanisms. In order to support the proposed analysis, some contributions from authors that have contributed for the comprehension of the questions that involved financing operations will be presented, who are either aligned to post-Keynesian schools of thought, which emphasizes the Theory of Monetary Circuit and the Theory of Financial Fragility; or are disciples of new-Keynesianism, with particular relevance to the Theory of Credit Rationing. In order to achieve the initially proposed objective, it will be performed an empirical data collection concerning FIDC established in the Market over a period of time that ranges from 2002, the year in which the first fund was established, until the end of 2005, whose results will therefore be displayed with the assistance of descriptive statistics, and will summarize the main characteristics of the operations performed over this period of time, those which will be compared to the collected data regarding other existing financing mechanisms from Credit and Capital Markets
O presente trabalho tem como principal objetivo verificar até que ponto a securitização de recebíveis, por meio dos Fundos de Investimento em Direitos Creditórios FIDC, pode ser considerada uma alternativa viável de captação de recursos para o financiamento das empresas. A existência de mecanismos privados de financiamento que permitam às empresas captar os recursos de que necessitam em condições favoráveis, tanto no que diz respeito aos custos como também aos prazos das operações, é de fundamental importância para desenvolvimento de qualquer economia do mundo e os Fundos de Investimento em Direitos Creditórios colocam-se como um desses mecanismos. Para fundamentar a análise proposta, serão apresentadas algumas contribuições de autores que contribuíram para o entendimento da problemática que envolve as operações de financiamento, os quais estão alinhados às correntes do pensamento econômico póskeynesiana, destacando as teorias do circuito monetário e da fragilidade financeira, e novokeynesiana, com destaque para a teoria do racionamento de crédito. Buscando atingir o objetivo inicialmente proposto, será realizado um levantamento de dados empíricos sobre os fundos constituídos no mercado durante o período que vai de 2002, ano em que foi lançado o primeiro fundo, até o final do ano de 2005, cujos resultados serão apresentados com o uso de estatística descritiva e trarão as principais características das operações realizadas durante esse período, as quais serão confrontadas com informações coletadas sobre outros mecanismos de financiamento existentes nos mercados de crédito e de capitais
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Michell, Jo. "Credit and investment in China : a flow-of-funds analysis." Thesis, SOAS, University of London, 2012. http://eprints.soas.ac.uk/17372/.
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Gałkiewicz, Dominika Paula. "Regulation, leverage, and derivative use by mutual funds." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17171.
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Die vorliegende Dissertation ist in drei Themenblöcke unterteilt. Im Mittelpunkt des ersten Themenblocks steht die vergleichende Analyse der Fondsregulierung in den USA und Deutschland/der EU in Bezug auf Derivate und Verschuldung vor, während und nach der Finanzkrise 2007-2009. Ziel ist es, anhand der Darstellung der geltenden Regulierung und ihrer Anwendbarkeit auf die hypothetische Nutzung von Credit Default Swaps (CDS) durch Anleihefonds, aufzuzeigen, wie viel Flexibilität Fonds in beiden Ländern haben. Insgesamt ist der aus der Fondsregulierung erwachsende Spielraum im Hinblick auf den Einsatz von Derivaten und Verschuldung für Fonds in beiden Ländern hoch, so dass Fonds unbeobachtet ihre Zusammensetzung in Richtung risikoreicherer Kapitalanlagen lenken könnten. Der zweite Themenblock beschäftigt sich empirisch mit der Frage, in wie weit Fonds ihre Flexibilität tatsächlich ausnutzen. Als Erstes wird dabei untersucht, wie hoch das Verlustpotential der größten Fonds in den USA und Deutschland aus CDS ist. Ferner wird analysiert, ob Fondskommentare in Jahres- und Halbjahresberichten bezogen auf deren Nutzung von CDS mit den tatsächlichen CDS-Beständen konsistent sind. Basierend auf den Resultaten ist es zu empfehlen, nicht nur bestehende Regeln im Hinblick auf die spekulative Anwendung von Derivaten angemessen zu verschärfen, sondern auch die Publizitätspflichten in beiden Ländern weiter zu standardisieren. Unter Heranziehung umfangreicher Fondscharakteristika, insbesondere Managercharakteristika, untersucht der dritte Themenblock, was die Entscheidung der US Anleihefonds CDS zu benutzen, deren Nutzung zu erweitern sowie die Nutzungsweise beeinflusst. Ferner werden die exakten Typen von CDS, die von Anleihefonds gehalten werden, wie z. B. long oder short CDS, die sich auf Einzelnamen oder Gruppen von Titeln beziehen, aufgezeigt.The thesis consists of three parts. The first part analyzes the regulation at the time surrounding the 2007-2009 financial crisis and after with respect to leverage and derivative holdings for mutual funds in the U.S. and Germany/the EU. After presenting a detailed overview of U.S. and German/European regulations, this study thoroughly compares the levels of flexibility funds have in both countries. All analyses reveal that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using derivatives up to the point at which it is possible for them to default solely due to investments in derivatives. This makes the issue of regulation highly relevant for the public and regulators. The second part builds upon the first and empirically investigates the level of credit derivatives use by funds together with their communication toward investors. Firstly, the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds is analyzed. Secondly, it is investigated whether comments on CDS use contained in periodic fund reports are consistent with the disclosed CDS holdings. Based on the results, it seems advisable that regulators in both countries tighten rules restricting the speculative use of derivatives by funds to a reasonable level, as well as implement more standardized disclosure policies. The third part analyzes what determines whether U.S. corporate bond funds decide to use CDS in a particular period between mid-2004 to 2010, to which extent they use them and how, by relying on various fund characteristics including an extended set of manager variables. In addition, the types of various credit derivatives that funds use (e.g. long and short CDS on single-name or multi-name underlying positions) are presented. The results suggest that the characteristics of fund managers affect a fund’s risk taking via derivatives, in addition to fund fundamentals.
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Carriere, Brian. "Public Policies Enabling Social Impact Investment Funds: Tax-Credits and Cash Transfers." Thesis, Université d'Ottawa / University of Ottawa, 2019. http://hdl.handle.net/10393/38791.
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Over the past decade, Social Impact Investing (SII) has garnered increasing attention among public policy makers as a solution for multigenerational, complex, intractable social and environmental problems, or as some advocates like to say, ‘wicked’ problems. The growing interest in SII aligns with the expansion, since the 1980s, of a set of public sector reforms that make use of new public policy instruments to achieve public objectives. Neoliberal economists and New Public Management (NPM) theorists have long argued for these reforms to improve the effectiveness and efficiency of government bureaucracies. These reforms have led to a paradigm shift that Lester M. Salamon has labeled ‘New Governance’, characterized by public policies that make use of market mechanisms, partnerships with new actors, networks and flexible rules. Public administration scholars have suggested focusing on public policy instruments instead of the traditional focus on programs and institutions to gain an understanding of the dynamics of the ‘New Governance’ paradigm and to address important questions that go beyond the dimensions of effectiveness and efficiency. This dissertation draws on Lester M. Salamon’s framework for analyzing public policy instruments combined with a conceptual framework developed by the Organization for Economic Development and Cooperation (OECD). The thesis uses this framework to assess the SII market by examining three cases of Canadian federal public policy instruments designed and implemented to achieve socio-economic objectives. These policy instruments provide either a cash transfer or a tax incentive to create investment funds mandated to invest with a purpose of making a return and achieving a positive social outcome. The dissertation employs a qualitative research approach and case study method to explore questions of equity and effectiveness to produce findings and recommendations useful to pubic administration scholars who focus their research on public policy instruments and to public policy makers who are considering policy options for structuring and growing the SII market. Data was collected through an extensive document review and 19 semistructured interviews. A dimensional analysis, SII analysis and discourse analysis of the data were undertaken. The researcher made the choice of undertaking a discourse analysis in order to fill a gap in the public policy instrument literature and inform the debate on SII. This dissertation contributes to the body of knowledge on public policy instruments and SII by presenting the results of a comparative analysis of three public policy instruments that created investment funds mandated to produce socio-economic outcomes.
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Klein, Martin. "Projecktfinanzierung : ertragsorientierte Kredite und Kreditsicherungspflichen (Covenants) unter deutschem Recht /." Baden-Baden : Nomos, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012972192&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Weng, Rongrong. "An empirical investigation of credit constraints in the rural credit market in Guizhou China." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=18759.
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It is commonly held that rural households in China, especially poorer households, have been credit rationed by formal lenders. This study examined factors that determine a household's propensity to borrow using a formal loan and the likelihood of being credit rationed. The analysis is based on data from a survey of households in Guizhou province. The results suggest that the likelihood to borrow is mainly dependent on household resilience to income volatility, and the likelihood to be credit rationed mainly depends on the household's ability to repay the loan and creditworthiness. In addition, lower-middle-class farmers are the most constrained group. For those households taking formal loans, the purposes of agricultural production and consumption-smoothing are equivalently important in Rural Guizhou.En Chine, il est tenu commun que les ménages ruraux, particulièrement les plus pauvres, ont été crédités rationnement par les prêteurs formels. Cette étude examine les facteurs de la détermination de la propension d'un ménage d'être qualifié pour un prêt formel et de la probabilité d'être crédité rationnement. Cette analyse est basée sur des données d'une étude des ménages dans la province de Guizhou. Les résultats suggèrent que la probabilité à emprunter dépend principalement de la résilience du ménage à la volatilité du revenu et que la possibilité d'être crédité rationnement est dépendant primordialement de la capacité du ménage de rembourser le prêt, puis de son solvabilité. En outre, les fermiers de bas-moyen-classe sont les plus touchés par les contraintes de crédit. Pour les ménages qui prennent les prêts formels, ils ont le but d'établir une production d'agricole et une consommation régularisée qui sont équivalemment important dans le Guizhou rural.
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Pham-Phuong, Dong. "Entwicklung genossenschaftlich organisierter Finanzsysteme in Vietnam : mit einer Data Envelopment-Analyse (DEA) lokaler People's Credit Funds /." Frankfurt am Main [u. a.] : Lang, 2008. http://www.gbv.de/dms/zbw/550597239.pdf.
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Sawadogo, Rélouindé Béatrice. "Les opérations de regroupement de l'endettement du consommateur." Thesis, Université Clermont Auvergne (2017-2020), 2019. http://www.theses.fr/2019CLFAD005.
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Le crédit de regroupement destiné aux ménages et aux particuliers fait aujourd’hui partie intégrante des crédits régis par le code de la consommation. Dans un contexte de multi-endettement le plus souvent inadapté à la situation financière des débiteurs, le recours au regroupement de crédits s’inscrit dans la recherche de solutions par le débiteur pour résorber son malendettement ou mieux gérer son budget. Favorisée entre autres par la baisse des taux d’intérêt, l’offre de crédit de regroupement tend à devenir un outil de conquête de parts de marché. Demeuré longtemps sans encadrement précis, le regroupement de crédits bénéficie désormais d’un cadre strict et contraignant initié par la loi n°2010-737 du 1er juillet 2010 portant réforme du crédit à la consommation. Un encadrement dont la substance porte sur la définition des régimes des opérations de regroupement et leurs conditions de formation très formalistes et de nature consumériste. Cela traduit des avancées innovantes en la matière mais cette règlementation tient insuffisamment compte des spécificités du regroupement d’où la nécessité d’évoluer vers un cadre juridique spécifique plus approprié. Il est en effet nécessaire d’intégrer dans l’encadrement du regroupement la définition de l’opération, son procédé de mise en œuvre et d’autres aspects tenant au processus de restructuration. Ce qui permettra de définir des droits et des devoirs pour les parties prenantes aux crédits regroupés et de mieux tenir compte de la fragilité du consommateur-emprunteur par des mesures de prévention d’un nouvel engrenage dans l’endettement excessif. Le mécanisme du regroupement étant néanmoins susceptible de résorber efficacement le malendettement, il pourrait être utilisé comme mesure de traitement du malendettement dans le cadre des procédures de désendettement. Cela nécessite la définition de conditions d’ouverture du droit du surendettement aux situations de malendettement et de trouver des sources de financement du réaménagement de l’endettement via le crédit de regroupement que proposerait la Commission de surendettement. A propos, se tourner vers l’un des créanciers prêteurs est préconisé, mais il faudrait envisager la mise en place d’un fonds public spécifique de soutien aux particuliers qui financerait subsidiairement ledit crédit en cas d’exercice par le banquier de sa liberté de refuser le crédit. In fine, même si les différentes mesures de traitement du malendettement et du surendettement sont utiles, il est nécessaire et primordial de trouver de meilleurs outils pour les prévenirThe Consolidation of Debts to households and individual customers is now part of the Credit Offer regulated by the French Consumption Code Law.In the framework of multiple debts unfit to the financial situation of the Debtors, the use of debts consolidation is geared towards the search of solutions by Debtors to solve bad debts or better manage their budget. Favored by the decrease of interest rates, the consolidation of debts has evolved as a tool to gain additional market shares. Long Time without any structured monitoring, the consolidation of debts is now structured in a strict and binding framework initiated by the law n°2010-737 of July 2010 amending the consumption debt Law. A framework which is grounded on defining the different types of debts consolidation and the conditions of their creation – This process being very formal and of consumerist type. This entails innovative progress in this area field, but these rules do not take into account the peculiarities of debts consolidation, thus, implying the necessity to evolve towards a more specific legal framework. It is now compulsory to integrate within the framing of Debts Consolidation, the definition of the nature of these operations, their methods of implementation and additional aspects related to the restructuring process. This will allow to define the rights and obligations of the stakeholders to debts Consolidation and take into account the fragility of the consumer-borrower through prevention measures against the threat of falling back into the traps of excessive debts. The mechanisms of debts consolidation is however a potential way to solve excessive debts, it could be used as a healing measure to treat excessive Debts in the framework of deleveraging processes. For that purpose, leveraging one of the creditors can be advocated, but one should also contemplate the setup of a Public Fund to support individual customers, and that would finance alternatively such a credit, if not accepted by the bank.In fine, even though the different treatment measures against excessive and bad debts are useful, it is highly important to find out better tools to prevent those situations
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Tsukamoto, Shuhei. "The sectoral analysis of credit direction and rationing in Japan from 1954 to 1991 : from the viewpoints of flow-of-funds accounts, financial reforms, and business investments /." St. Lucia, Qld, 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18082.pdf.
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Ilerisoy, Mahmut. "Essays on liquidity risk, credit market contagion, and corporate cash holdings." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1855.
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This thesis consists of three chapters and investigates the issues related to liquidity risk, credit market contagion, and corporate cash holdings. The first chapter is coauthored work with Professor Jay Sa-Aadu and Associate Professor Ashish Tiwari and is titled ‘Market Liquidity, Funding Liquidity, and Hedge Fund Performance.’ The second chapter is sole-authored and is titled ‘Credit Market Contagion and Liquidity Shocks.’ The third chapter is coauthored with Steven Savoy and titled ‘Ambiguity Aversion and Corporate Cash Holdings.’
The first chapter examines the interaction between hedge funds’ performance and their market liquidity risk and funding liquidity risk. Using a 2-state Markov regime switching model we identify regimes with low and high market-wide liquidity. While funds with high market liquidity risk exposures earn a premium in the high liquidity regime, this premium vanishes in the low liquidity states. Moreover, funding liquidity risk, measured by the sensitivity of a hedge fund’s return to the Treasury-Eurodollar (TED) spread, is an important determinant of fund performance. Hedge funds with high loadings on the TED spread underperform low-loading funds by about 0.49% (10.98%) annually in the high (low) liquidity regime, during 1994-2012.
The second chapter provides evidence on credit market contagion using CDS index data and identifies the channels through which contagion propagates in credit markets. The results show that funding liquidity and market liquidity are significant channels of contagion during periods with widening credit spreads and adverse liquidity shocks. These results provide support for the theoretical model proposed by Brunnermeier and Pedersen (2009) according to which negative liquidity spirals can lead to contagion across various asset classes. Furthermore, during periods with tightening credit spreads and positive liquidity shocks, the results indicate that a prime broker index and a bank index are important channels contributing to co-movement in credit spreads. This suggests that financial intermediaries play an important role in spreading market rallies across credit markets.
The third chapter investigates the link between investors’ ambiguity aversion and precautionary corporate cash holdings. Investors’ ambiguity aversion is measured by the proportion of individual investors in a firm’s investor base who are hypothesized to be more ambiguity averse compared to institutional investors. We show that the value of cash holdings is negatively associated with the extent of ambiguity aversion in a firm’s shareholder base for firms that are financially constrained. Our results also show that financially constrained firms with a higher proportion of ambiguity averse investors hold less cash. These results provide support for models in which ambiguity averse investors dislike the cash holdings of firms, that are held for precautionary reasons to fund long term projects, given that the returns on long term projects are ambiguous.
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Stevens, James (James Arthur Depew). "Show me the money : promises and pitfalls of asset growth in community development credit unions and loan funds." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/37864.
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Thesis (M.C.P.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2006.Includes bibliographical references (p. 93-95).
As private non-profit, locally based organizations, community development financial institutions (CDFIs) are increasingly important supporters of community development policies and programs designed to alleviate poverty. In the face of declining federal funds and political support for social programs, deregulation in banking, and capital market failure, CDFIs provide a range of financial services that encourage economic self-sufficiency and wealth in low-income communities. In order to expand their impact, some CDFIs have increased their assets to serve more customers and offer more products and services. This thesis seeks to answer the question: which factors and practices do large CDFIs employ to increase their total assets that other small CDFIs do not? This thesis uses two research methodologies: web surveys and case study interviews. Surveys of low-income credit unions (LICUs) and community development loan funds (CDLFs) indicate that large CDFIs grow through geographic expansion, customer and product diversification, more debt and equity funding sources, and a focus on fundraising.
(cont.) Two case studies of prominent CDFIs-Opportunities Credit Union in Burlington, VT and The Reinvestment Fund in Philadelphia, PA-reveal how leadership and creative partnerships drive change that results in organizational scale and asset growth. The thesis concludes with recommendations for CDFIs, investors, and policymakers that are interested in supporting the growth of individual CDFIs and CDFIs as an industry.
by James Stevens.
M.C.P.
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Choi, Jae-Young. "Comparing monetary policy indicators and the credit channel of monetary policy : the role of small borrowers /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901226.
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Bell, Edward. "Social classes and Social Credit in Alberta." Thesis, McGill University, 1989. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=75980.
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The centrist theory of the lower middle class is widely used to explain the Social Credit movement in Alberta. The theory assumes that members of this class are ultimately conservative, if not reactionary, in both outlook and behaviour. However, the application of the theory to the Alberta movement is shown to be problematic for several reasons. Those offering this explanation do not back up their claims with evidence. Empirical analyses of the provincial elections of 1935 and 1940 present findings which are at odds with the conventional interpretation. A review of the Social Credit philosophy and the party's first term of office also reveals that the standard class analysis has some serious shortcomings. An alternative interpretation is provided.
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Zhang, Ruiqiao. "A Comparative study of the fraud exception rule of letters of credit: proposed amendments to the Chinese credit system." Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=87020.
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This thesis deals with the fraud exception rule of letters of credit, especially focusing on the proposed amendments in Chinese credit system based on a comparative study. In order to reasonably prevent fraud in letters of credit, and to protect the effectiveness and efficiency of credit system, this thesis firstly examines the premise, reasons and foundations of the fraud exception rule, and then analyses its legal philosophy, application criteria and judicial remedies. Finally, based on a comparative study of different domestic laws and the UCP rules, this thesis examines the existing defects and provides proposed amendments of the Chinese credit system in both procedure law and substantive law. In developing this thesis, the author plans to employ comparative, critical, theoretical and prescriptive methodologies.Cette thèse traite de la règle de l'exception de fraude des lettres de crédit, et se concentre plus particulièrement sur les amendements proposés dans le système de crédit chinois sur base d'une étude comparative. Afin de prévenir la fraude dans les lettres de crédit, et de protéger l'efficacité du système de crédit, cette thèse examine tout d'abord les raisons de la création de la règle d'exception de fraude et analyse ensuite sa philosophie légale, ses critères d'application et les remèdes judiciaires. Finalement, dans un troisième temps, les défauts existants sont analysés sur base d'une étude comparative de différentes lois domestiques et de règles UCP et les amendements proposés dans le système de crédit chinois à la fois en loi procédurale et loi substantive sont détaillés. L'auteur prévoit d'utiliser des méthodologies comparatives, critiques, théoriques et prescriptives pour aborder ces différentes questions. fr
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Wahlström, Johan, and Christian Karlsson. "Activist Funds' impact on Blue Chip Companies in Sweden : Analysing the implications on capital structure, valuation and credit rating." Thesis, Jönköping University, JIBS, Accounting and Finance, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-921.
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Bakgrund: De svenska börsbolagen gör större vinster än någonsin tidigare, men har fått stor kritik för att vara för långsamma i sin vinstallokering. Företag med överkapitaliserade balansräkningar utan investeringsbehov är potentiella måltavlor för riskkapitalisternas affärsidé om finansiell effektivisering och en aggressivare kapitalstruktur. Debatten i media har skapat kritik kring dessa så kallade kortsiktiga och giriga bolagsplundrare som påstås förstöra finansiella värden och kreditvärdigheten i företagen. I tidigare fall har marknaden svarat positivt på riskkapitalisternas investeringar, något som har reflekterats i ett kraftigt ökande aktiepris. Skeptiker hävdar dock att spekulationer är anledningen till att marknadsvärdet drivs upp, inte fundamentala aspekter.
Syfte: Syftet med denna magisteruppsats är att fastställa en bild av fenomenet riskkapital och hur dess aktiva ägande inverkar på svenska börsbolags kreditbetyg, kapitalstruktur och värdering.
Metod: För att uppnå syftet med vår magisteruppsats har en kvalitativ ansats till-lämpats baserad på tre börsbolag där riskkapitalisters aktiva ägande spelat en betydande roll. Det empiriska materialet har insamlats genom personliga intervjuer med aktie- och kreditanalytiker, och studien förlitar sig även på markandsdata, artiklar och nyhetssändningar i media, samt respektive bolags kvartals- och årsrapporter.
Slutsats: Studien har gjorts over den tidsperiod som varit riskkapitalisternas inve-steringshorisont – explicit och implicit. Genom att analysera det aktiva ägarskapet i tre svenska börsbolag kan slutsatsen dras att det inverkat positivt i form av högre prestanda och marknadsvärdering. De finansiella förändringarna har, till skillnad från kritiken, styrkt kreditbetyget i fallen Lindex och Volvo. En analys av Skandia/Old Mutual visade dock en marginellt ökad kreditrisk. Slutsatsen visar härmed att riskkapitalisternas inverkan på svenska börsbolag är värdeförädlande utan att äventyra den finansiella statusen.
Background: The Swedish blue chip companies are performing better than ever, but have been strongly criticised for being too slow in their excess fund allocation. Companies with overcapitalised balance sheets and no investment needs are potential targets for activist funds’ business idea of more aggressive capital structures and financial restructuring. In media, this debate has raised criticism against these so called short-sighted, greedy asset-strippers that destroy company values and increase the companies’ risk of default. In prior cases where activist funds have taken actions, the market has responded positively through increasing the share price. However, sceptics argue that the higher share price is merely a response to a speculative reaction with no fundamental argument supporting the upgrade in market capitalisation.
Purpose: The purpose of this thesis is to establish a view of the phenomenon of activist funds and their impact on blue chip companies’, listed on the Stockholm Stock Exchange, credit rating, capital structure and valuation.
Method: To fulfil the purpose of our master thesis, a qualitative approach has been applied based on three cases involving the activities of activist funds. The empirical findings have been retrieved via personal communications with stock- and credit analysts, and the study also relies on articles and news coverage from media, stock market data and annual reports from each of the chosen companies respectively.
Conclusion: The study has regarded the period of time which has been the investment horizon of the activist funds – explicitly and implicitly. Analysing their active ownership, the conclusion can be drawn that these activist funds have clearly had a positive impact on each of the blue chip companies’ performance and intrinsic value respectively. The financial restructuring has - contrarily to the criticism – strengthened the credit ratings in the cases of Lindex and Volvo. In the Skandia/Old Mutual-case, a marginally higher default risk was detected. Thus, the study has concluded that activist funds indeed add significant shareholder value without jeopardising the companies’ financial statuses.
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Gomes, Rafael A. R. Pereira. "Corporate market responsibility for orderly financial markets : systemic risk and regulation following Citigroup, sovereign funds, and the credit crunch." Thesis, University of Nottingham, 2011. http://eprints.nottingham.ac.uk/13969/.
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How are companies responsible for helping to ensure orderly financial markets? In economic theory, the question is redundant, because orderly markets result from normal business activity, with support from regulators. Within the last few years, however, several episodes have suggested differently. Citigroup investment bank was fined for destabilising bond markets, despite being absolved of criminal conduct. Sovereign wealth funds were compelled to sign a code-of-conduct, to safeguard "free and open markets", despite having brought economic benefits globally. The US and UK governments described the most profitable financial decade in generations as an "age of irresponsibility", after it led to a crisis. These three episodes are the empirical focus of this thesis. The thesis develops a grounded theory of corporate market responsibility (CMR)- an expectation by regulators and other actors that firms will help to regulate systemic risk in financial markets through discretionary activities that supplement regulatory requirements. This expectation explains the controversies, and may help us to anticipate and understand similar episodes in future. Further, it is argued that observing CMR conduct - which relates to risk management, investment policy, and proactive improvement - decreases regulatory risk for financial firms, while not observing it increases regulatory risk. The primary reason for this is that CMR conduct is perceived to reduce systemic risk, and state actors regard market governance as a shared responsibility with firms. In addition to framing these controversies, CMR theory contributes to our understanding of several concepts in decentralised governance and regulatory capitalism. It illustrates a substantive model of meta-regulation - that is, the regulation of corporate self-regulation. As such, it illustrates substantive limits for private authority and its legitimacy. The observation of CMR also reveals new dimensions of sociological processes in financial governance, particularly markets' social embedded ness, and actors' reliance on performative market models. Finally, CMR illustrates a governance model combining incentives with ethics, as regulators seek to de-legitimise regulatory arbitrage by firms. The analysis concludes by arguing that CMR is increasingly relevant for other substantive contexts such as the hedge funds industry and private markets like 'dark pools'.
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ARAÚJO, Elaine Aparecida. "Modelagem de risco de crédito : aplicação de modelos credit scoring no Fundo Rotativo de Ação da Cidadania Cred Cidadania." Universidade Federal de Pernambuco, 2006. https://repositorio.ufpe.br/handle/123456789/1016.
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Previous issue date: 2006Os modelos de Credit Scoring são modelos quantitativos empregados comumente por instituições financeiras na mensuração e previsão do risco de crédito, possuindo uso consolidado no processo de concessão de crédito destas instituições. Este trabalho de dissertação objetivou avaliar a possibilidade de aplicação de modelos Credit Scoring em uma instituição de microcrédito denominada Fundo Rotativo de Ação da Cidadania Cred Cidadania, situada em Recife (PE). Para isso, foram coletados dados relativos a uma amostra de clientes do Cred Cidadania, e estes dados foram utilizados para desenvolver dois tipos de modelos de Credit Scoring: um de aprovação de crédito e um outro chamado behavioural scoring (escoragem comportamental). As técnicas estatísticas empregadas na construção dos modelos foram análise discriminante e regressão logística. Os modelos obtidos agregaram variáveis como renda líquida do empreendimento, número de parcelas do empréstimo, número de dependentes do cliente, estado civil do cliente, valor do empréstimo, tempo de funcionamento do empreendimento, eficiência do agente de crédito, dentre outras. Algumas variáveis representam atributos que contribuem para o aumento da propensão à inadimplência do solicitante, enquanto outras colaboram para a redução do risco de inadimplência, o que repercute positivamente na sustentabilidade financeira na instituição. Os resultados do estudo demonstraram que os modelos Credit Scoring obtêm desempenho satisfatório quando utilizados na análise de risco de crédito na instituição de microcrédito Cred Cidadania, alcançando um percentual de classificação correta dos clientes de cerca de 80%. Os resultados indicam também que o uso de modelos Credit Scoring fornece subsídios à instituição, auxiliando-a na prevenção e redução da inadimplência e na diminuição dos seus custos operacionais, dois problemas que afetam a sua sustentabilidade financeira
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Meuller, Lars. "Essays on money and credit /." Göteborg : Nationalekonomiska institutionen, Handelshögsk, 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009181899&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Kim, Kiwon. "Legal problems of credit derivatives /." [S.l. : s.n.], 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016386022&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Pan, Xuhui. "Three essays on pricing credit and commodity derivatives." Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=110393.
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This thesis comprises of three essays on pricing credit and commodity derivatives. The first essay estimates recovery rates from CDS spreads using three years of daily data on 152 corporates. We use a quadratic pricing model which ensures nonnegative default probabilities and recovery rates. The estimated cross-section of recovery rates is plausible, with an average recovery rate of 54%, and substantial cross-sectional variation. Estimated five-year default probabilities are on average 67% higher than default probabilities obtained using the standard 40% recovery assumption. This finding critically impacts the valuation of structured credit products. Larger firms and firms with more tangible assets have higher recovery rates.In the second essay, we find that the state price densities (SPDs) implicit in the crude oil market display a time varying U-shape pattern. This implies that investors assign high state prices to both negative and positive returns. We use data of the crude oil market, where speculation and short sales are not regulated, to document how the SPDs are dependent on investor beliefs. Investors assign higher state prices to negative returns when there are more net short positions, higher dispersion of beliefs in the futures market, and higher demand for out-of-the-money put options. The increase in speculation after 2004 reinforces this effect.The third essay investigates the variance risk premia in the crude oil market analyzing horizons beyond one month. The existing literature restricts attention to one-month maturity, even though commodity hedging plans very often have much longer horizons. Furthermore, we provide the first futures return predictability study in the literature using the variance risk premia as complementary information variables. As suggested by theory, storage level and hedging pressure are determinants of futures returns. Importantly we find that the variance risk premia significantly increase the predictability of short maturity futures returns. This finding is robust across various implementations of predictors and time periods. We provide economic interpretations for the predictability of futures returns using the variance risk premia in a simple economic setting with heterogeneous agents.Cette thèse comporte trois essais portant sur la tarification des dérivés de crédit ainsi que les dérivés sur commodités. Dans le premier essai, nous estimons le taux de recouvrement à partir des CDS (Credit Default Swap) en utilisant des données portant sur 152 entreprises et couvrant une période de 3 ans. Nous utilisons un modèle quadratique qui permet d'assurer la non-négativité des probabilités de défaut et des taux de recouvrement. Les résultats montrent que les taux de recouvrement estimés sont plausibles avec une moyenne de 54% et varient considérablement d'une entreprise à une autre. Les probabilités de défaut pour un horizon de 5 ans sont, en moyenne, 67% plus élevées que celles obtenues avec un taux recouvrement de 40% communément utilisé. Ce résultat a un impact important sur la tarification les produits dérivés et structurés de crédit. Les grandes entreprises et les entreprises qui possèdent beaucoup d'actifs tangibles ont un taux de recouvrement plus élevé.Dans le second essai, nous montrons que le facteur d'actualisation stochastique (stochastic discount factor) implicite dans le prix pétrole brut présente une forme quadratique. Ce résultat implique que les investisseurs affectent un facteur d'actualisation stochastique plus élevé aussi bien pour les rendements négatifs que positifs. En utilisant des données sur le marché du pétrole brut où les spéculations et les ventes à découvert ne sont pas réglementées, nous montrons que le facteur d'actualisation stochastique dépend des opinions des investisseurs. Les investisseurs affectent un facteur d'actualisation stochastique plus élevé pour les rendements négatifs quand il y a plus de positions nettes courtes, une plus grande dispersion des opinions des investisseurs dans le marché des contrats à terme et une demande élevée pour les options put «out-of-the-money». Cet effet est plus prononcé après 2004, dû à une augmentation des spéculations.Dans le troisième essai nous étudions la prime de risque de la variance dans le marché du pétrole brut en considérant des horizons dépassant un mois. Les travaux existants se concentrent principalement sur un horizon d'un mois, bien que les besoins de couverture dans le marché de commodité dépassent l'horizon d'un mois. Nous étudions aussi la capacité de la prime de risque de la variance à prédire les rendements dans le marché du pétrole brut. La théorie stipule que le niveau de stockage and les besoins de couverture déterminent les rendements futurs. Nous trouvons que la prime de risque de la variance prédit les rendements futurs à court terme. Ce résultat est robuste à plusieurs tests de robustesse. En se basant sur un modèle économique avec agents hétérogènes, nous fournissons quelques interprétations économiques pour expliquer la capacité de la prime de risque de la variance à prédire les rendements dans le marché du Pétrole brut.
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Gallagher, Emily A. "Money market funds, shareholder behavior, and financial stability." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010028.
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Fonds du marché monétaire, comportement des actionnaires et stabilité financièreIn the five business days following the default of Lehman Brothers in September 2008, U.S. prime money market funds (MMFs) experienced outflows totaling over 300 billion of dollars, representing 15% of their total assets. In order to generate cash to service outflows, some MMFs sold assets and stopped rolling their investments. Many have argued that these outflows exacerbated the financial crisis by contributing to a freezing of commercial paper markets. In 2010, in an effort to improve the resiliency of MMFs to withstand severe market stresses, the Securities and Exchange Commission (SEC) adopted a number of substantial reforms. Since 2010, many regulators have called for further reforms of MMFs, citing the eurozone crisis of 2011 as evidence that MMFs remain a financial stability concern. Over June, July and August 2011, MMFs experienced outflows of 162 billion of dollars, representing 10% of their total assets. Some contend that the size and timing of these outflows indicate that MMF investors continue to react to, and perhaps exacerbate, stresses in the financial markets. According to this view, yield sensitive investors incent MMFs to take risk through foreign bank investments and then cut and run once those risks escalate, resulting in a sudden loss of funding available to credit-worthy U.S. firms. Using the eurozone crisis of 2011 as an acid test, this thesis evaluates the validity of this narrative and, more broadly, the stability of U.S. MMFs after the 2008 financial crisis and resulting reforms. (...)
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Neves, Junior Hamilton Cruz. "Fundos de investimentos em direitos credit??rios: riscos e ratings em eventos de avalia????o." FECAP, 2016. http://tede.fecap.br:8080/jspui/handle/jspui/732.
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This research outlined a longitudinal view of Asset Backed Securities (in Brazilian version named FIDC) presenting evaluation events and problems that led to the early amortization and/or settlement by analyzing 44 ABS of a sample selected in the period between the years 2005 and 2014. It???s a descriptive and bibliographic research, with a qualitative approach and informative material content analysis related to such funds: regulations, prospectuses, rating reports and minutes of shareholders' meetings available on the websites of Brazilian Securities Commission (CVM) and Center for Custody and Financial Settlement of Securities (CETIP). The limitation of this research was that the document databases for the history of each existing fund with the CVM are not always complete. This study aimed to identify the main features of these ABS, the reasons that led to the evaluation events, and the presence of evidence to suggest "conflict of interest" from the perspective of agency theory in the management of these funds. On the one hand the results showed that many ABS who enjoyed high preliminary rating had operational problems that hampered receivables flows for these funds: only 20% of evaluated cases, ratings agencies could lower the ratings before evaluation events were announced . On the other hand, during biennium 2014/2015 CVM sought to improve legislation to prevent conflicts of interest among the participants of these operations, and to create mechanisms to ensure necessary information flows for credit rating agencies to carry out their monitoring work more effectively.
Essa disserta????o delineou um panorama longitudinal dos Fundos de Investimento em Direitos Credit??rios (FIDCs) que apresentaram eventos de avalia????o e problemas que levaram ?? amortiza????o e/ou liquida????o antecipada, analisando 44 FIDCs de uma amostra selecionada no per??odo que vai entre os anos de 2005 a 2014. Trata-se de uma pesquisa descritiva e bibliogr??fica, com abordagem qualitativa e an??lise de conte??do de material informativo referente a esses fundos: regulamentos, prospectos, relat??rios de rating e atas das assembleias de cotistas dispon??veis nas p??ginas da internet da Comiss??o de Valores Mobili??rios (CVM) e da Central de Cust??dia e Liquida????o Financeira de T??tulos (CETIP). A limita????o para a realiza????o desta pesquisa foi que os bancos de dados de documentos referentes ao hist??rico de cada fundo existente junto a CVM nem sempre s??o completos. Este trabalho objetivou identificar as principais caracter??sticas desses FIDCs, os motivos que levaram aos eventos de avalia????o e a presen??a de elementos que indiquem ???conflito de interesses??? sob a ??tica da Teoria da Ag??ncia na administra????o desses fundos. De um lado os resultados mostraram que diversos FIDCs que gozavam de elevado rating preliminar apresentaram problemas operacionais que prejudicaram o fluxo de receb??veis para esses fundos: somente em 20% dos casos avaliados, as ag??ncias puderam rebaixar os ratings antes que fossem acionados os eventos de avalia????o. Por outro lado, a CVM no bi??nio (2014/2015) procurou aprimorar a legisla????o para evitar conflitos de interesse entre os participantes dessas opera????es, bem como criar mecanismos que garantam o fluxo de informa????es necess??rias para que a ag??ncias de classifica????o de risco possam realizar seus trabalhos de monitoramento com mais efic??cia.
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Schirm, Antje. "Credit risk securitisation : a valuation study /." Wiesbaden : Dt. Univ.-Verl, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=013104163&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Economopoulos, Takis. "Post-Keynesian theory and the transmission mechanism of money and credit." Thesis, McGill University, 1990. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=74579.
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This thesis analyzes the transmission process that generates and links credit, money and economic activity as proposed by Post-Keynesian authors. These authors include mainly Chick, Davidson, Minsky and Wojnilower, who base their hypotheses on the collected works of Keynes and Kalecki. Their key contribution is to identify the cause of the transmission mechanism with the deficit spending of private economic units that is financed by credit that is created by financial intermediaries. The framework used by these authors assumes uncertainty, speculation and instability that have resulted in the formation of institutions such as money, contracts and intermediaries. It is shown that a consistent framework integrates the processes, channels, order and vehicles of the Post-Keynesian mechanism.
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Elkamhi, Redouane. "Three essays on credit risk, fixed income and derivatives." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=21948.
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This dissertation comprises three essays. In the first essay, we provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, an infinite state-space setup using the no-arbitrage principle. Our approach allows for general forms of heteroskedasticity in returns. It also allows for conditional non-normal return inno- vations, which is critically important because heteroskedasticity alone does not su¢ ce to capture the option smirk. The resulting risk-neutral return dynamics are from the same family of distributions as the physical return dynamics. Our framework nests the valuation results obtained by Duan (1995), and Heston and Nandi (2000) by allowing for a time-varying price of risk and non-normal innovations. In the second essay, we develop a methodology to study the linkages between equity and corporate bond risk premia and apply it to a large panel of corporate bond transaction data. We find that a significant part of the time variation in bond default risk premia can be explained by equity-implied bond risk premium estimates. We compute these estimates using a recent structural credit risk model. In addition, we show by means of linear regressions that augmenting the set of variables predicted by typical structural models with equity-implied bond default risk premia significantly increases explanatory power. This, in turn, suggests that time-varying risk premia are a desirable feature for future structural models. In the third essay, we first document empirically that embedded put option values are related to proxies for term structure risk, default risk and illiquidity. In a second step, we develop a valuation model that simultaneously captures default and interest rate risk. We use this model to disentangle the reduction in yield spread enjoyed by putable bonds that can be attributed to each risk. Perhaps surprisingly, the most impCette thèse comprend trois essais. Dans le premier essai nous avons développé des résultats pour l'évaluation des actifs contingents de type Européen pour une vaste classe de spécification du rendement de l'actif sous-adjacent. Notre méthode est obtenue dans une économie à temps discret et espace infini en utilisant seulement la condition de non arbitrage dans le marché. Notre approche permet une forme générale d'heteroskedasticité pour les rendements. Les résultats pour les cas d'homoskedasticité sont retrouvés comme des cas spéciaux. Notre approche permet d'accommoder les cas où l'innovation dans la dynamique du rendement est conditionnellement non normale. Cette flexibilité est extrêmement importante car l'heteroskedasticité seulement n'est pas su¢ sant pour cap- turer le phénomène du "smirk" dans les prix des options. Nos résultats emboîtent ceux obtenue dans Duan (1995) et Heston et Nandi (2000). Dans le deuxième essai nous avons développé une méthodologie pour étudier le lien entre la prime de risque dans les obligations corporatives et celle de l'actif risqué de la firme. Nous avons appliqué notre méthode sur une large base de données des transactions des obligations corporatives. Nous avons trouvé qu'une importante partie de la variation temporelle du risque de défaut dans ces obligations peut être expliquer par des estimées de la prime de risque du défaut reconstruite à partir de l'actif risqué de la firme seulement. En plus, nous avons démontré à l'aide des régressions linéaires qu'augmentant la série des variables prédites par le modèle structurel par notre estimé de la prime du risque de défaut ajoute une explication significative. Dans le troisième essai nous avons montré empiriquement que la valeur des obligations corporatives du type" puttable" est reliée aux risques de défaut, de liquidité et celui dû aux taux d'intérêts. Dans la deuxième étape de ce projet nous avons développé un mo
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Gebregiorgis, Bekele Sinkie. "Essays in the international economics of credit and banking." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115643.
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This dissertation is entitled "Essays in the International Economics of Credit and Banking". It comprises three essays. The first essay develops an empirical model of international credit with moral hazard and the risk of repudiation to examine (i) the determinants of the intertemporal and cross-national variations in credit ceilings and (ii) the channels through which output attracts foreign credit. It reports that productivity is the most important variable in attracting credit, followed by education, and then physical capital. Furthermore, international trade, country financial risk ratings, and geography explain more than 60% of the cross-national variations in credit ceiling. Therefore, international relations and investment in education and productivity-enhancing institutions are crucial in attracting foreign credit.The second essay develops open-economy variants of the old Friedman-Schwartz and the new Lucas-Sargent-Wallace monetarist models to investigate the puzzle of monetary neutrality. The essay further introduces financial aggregation theories into the models. It studies the theoretical and business-cycle relationships between real output and financial aggregates, interest rates, exchange rate, and prices using Canadian quarterly data for the period 1959: 1 to 2002: 1. It reports that the open-economy variants of the monetarist models with aggregation-theoretic financial aggregates perform the best in producing significant sign patterns that are predicted by theory. Furthermore, Monte Carlo experiments show that large percentage of real output variance is explained by shocks to aggregation-theoretic financial aggregates relative to other variables. Thus, there is no difference between the effects of anticipated and unanticipated monetary shocks.
The third essay examines the appropriate formulation of the monetary aggregate for the Nigerian economy for the period 1970:1-2000:4 for the determination of real output. This examination covers simple sum, variable elasticity of substitution (ves), and divisia (dv) aggregation over currency, demand deposits, and savings deposits. The user cost of liquid assets is employed in the construction of both the dv and the yes aggregates. Using maximum likelihood estimation technique, the essay reports that, for the Nigerian economy, currency does as well as or better than any narrow- or broad-money measure in explaining industrial production. Further, the simple sum m1 and m2 outperformed both the yes and dv aggregates. Therefore, monetary policy in Nigeria should focus on the supply of currency and/or of narrow money, rather than on broad money or the divisia aggregates.
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Fohler, Gernot. "Fraud in the letter of credit transaction and its possible arbitration." Thesis, McGill University, 1999. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=30297.
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The letter of credit continues to play an indispensable role in the financing and securing of international commercial transactions. Its usefulness and efficacy derives primarily from the fact that it is independent from the underlying relationship between buyer and seller. In a considerable number of cases, however, the independence of the letter of credit has been challenged as a result of fraud in the underlying transaction. After analyzing recent reforms of the regulatory framework governing letters of credit, this fraud exception to the independence principle will be reappraised in the light of current developments in Canada and the United States. Finally, the author argues that arbitration can and indeed should play an increasingly important role in the resolution of international letter of credit disputes involving fraud in the transaction.
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Dohmen, Anja. "Verbraucherinsolvenz und Strafrecht : unter Berücksichtigung der strafrechtlichen Auswirkungen der Verordnung der EG über Insolvenzverfahren und des deutschen Internationalen Insolvenzrechts /." Baden-Baden : Nomos, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015984608&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Dörflová, Hana. "Externí financování podniků." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-222068.
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This diploma thesis focuses on the assessment of the external finance of companies, it means appraising which of the sources are suitable to be purposefully invested. In the diploma thesis, the comparison of external financial offers is analysed by contrasting between credit from banking houses (investment credit) and leasing companies (leasing). The outcome of detailed analyses is the determination of the most profitable option out of the external financing aimed at investment projects for the TBG BETONMIX a.s.
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Rahman, Md Twyeafur. "The role of micro-credit programmes in alleviating poverty in Bangladesh." Thesis, University of Strathclyde, 2016. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=27334.
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Micro-finance institutions (MFIs) aim to reduce poverty by providing small loans to poor people. Governments and international agencies such as the World Bank are spending billions of dollars to increase the outreach of MFIs across the world. However, the empirical evidence of micro-credit on poverty reduction is mixed. Some of the studies claim that micro-credit has a positive impact on poverty reduction while some others find no impact. The purpose of this thesis is twofold. First, this thesis investigates the factors affecting the branch placement decision as well as branch density of MFIs in Bangladesh. Data, such as the presence of Grameen, BRAC and village market centre, were collected from all branches (2,936) of ASA Bangladesh and 2,936 non-ASA villages using a structured questionnaire. Secondary data on the rate of poverty and population were collected from the Bangladesh Bureau of Statistics. The findings reveal that there is no systematic relationship between the distance and branch placement. The results also suggest that ASA is highly likely to place a branch in a particular location where there is a branch of its competitors. ASA is less likely to place a branch in a village where there is a branch of a commercial bank. In addition, ASA is highly likely to place a branch in a village where the rate of poverty is high. Second, another goal of this thesis is to evaluate the impact of micro-credit on poverty in Bangladesh. Particularly, it aims to investigate the impact of micro-credit on the two dimensions of poverty: the incidence of poverty and average deprivation of poverty. To do this, primary data were collected from 2,598 households. Five types of households are included in the sample and these are: current borrowers, drop-outs, refused, pipeline borrowers and non-borrowers. With this data set, it aims to control for some biases that arise in the impact assessment of micro-credit. In particular, this study controls for the non-random programme placement and selection bias while estimating the impact. The results suggest that the incidence of poverty is the highest among drop-out borrowers and the lowest among the current borrowers. Drop-out borrowers have the highest average deprivation of poverty, while the current borrowers have the lowest. The empirical evidence suggests that micro-credit has a positive impact on poverty reduction in Bangladesh.
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Sidthidet, Taweewan. "Competition and mergers under liquidity and credit risks in the banking industry." Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=104562.
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The objective of this dissertation is to shed light on the decision-making behavior of banks under liquidity and credit risks as well as the impact of market structure (competition and mergers) on such behavior. The analysis of this dissertation differs from the previous studies in that we explicitly analyze the effects of liquidity and credit risks on banks' decisions and profits. The analysis of this dissertation can be separated into two main parts. The first part focuses on the effect of liquidity risk on banks' decisions and profits (Chapters 2 and 3 ) while the second part concentrates on the effects of credit risk and bank regulations (Chapter 4 ).The main objective of Chapter 2 is to investigate how the uncertainty in terms of early withdrawals from depositors (which creates liquidity shortage) affects banks' behavior. We examine a model of horizontal mergers within the banking industry based on an inventory-theoretic approach. In our model, banks compete by offering differentiated loan products and face uncertainty in terms of liquidity shortage. Their goal is to optimally allocate the amount of deposits collected into loans and reserves so as to maximize their expected profits. We analyze how the equilibrium loan rate and reserve holdings of each bank are affected by the risk of early deposit withdrawals. An interesting result is obtained when the liquidity risk is relatively large: the equilibrium reserve holdings can then actually decrease in the risk of early withdrawals. A merger increases the loan rate charged to the customers and profits of all banks. The risk of early withdrawals is also a key factor in determining the profitability of mergers. Lastly, mergers, in general, decrease total reserves, thereby potentially increasing liquidity shortages in the banking system.In Chapter 3 , the analysis still focuses on the impact of liquidity risk. However, the aim of this chapter is to examine the stability of bank mergers by using the definition of stable cartel proposed by d'Aspremont et al. (1983). We find that as long as the number of banks in the market is more than three, a no-merger scenario is never externally stable. Also, we consider the stability of the grand merger where all the banks merge. The result shows that the less differentiated the loans are, the more likely it is that the grand merger is stable. For the impact of the risk of early withdrawals, we show that a high degree of liquidity risk might weaken the stability of a grand merger, i.e., a merger of all banks in the industry, irrespective of the degree of loan differentiation.In Chapter 4, we examine the effects of market structure and bank regulations (capital adequacy requirements and deposit insurance premium schemes) on bank decisions in presence of risk of loan repayment (credit risk). Then, we analyze how mergers affect the equilibrium decisions and profits of banks. It is shown that when a risk-based insurance premium is used, the equilibrium loan rates and probability of bank failures increase but profits decrease in the risk of loan repayment. On the other hand, when flat rate insurance premium is used, banks have incentives to take more risk because their profits increase in the credit risk. Moreover, a higher capital adequacy ratio decreases the probability of bankruptcy due to credit risk. Regarding the effects of merger, our analysis shows that mergers are not necessarily beneficial for merged banks. Indeed, it might result in lower profits and higher risk of bank failures for merged banks compared to their pre-merger scenario. On the other hand, non-merged banks benefit from a merger by earning higher profits and lower risk of bank failures compared to the pre-merger scenario.L'objectif de cette thèse est d'analyser le comportement des banques assujetties aux risques de manque de liquidités et de crédit lors d'une prise de décision, et de déterminer l'impact de la structure du marché (compétition et fusions) sur ce comportement. L'approche de cette thèse se distingue de celles d'autres études en ce que nous analysons de façon explicite les effets de liquidités et les risque qu'ils comportent pour les décisions et les profits des banques. Cette thèse se divise en deux parties. La première se concentre sur les effets de risques de liquidités sur les décisions et les profits des banques (voir Chapitres 2 et 3), tandis que la deuxième se concentre sur les effets du risque de crédit et de la réglementation des banques.L'objectif principal du Chapitre 2 est de montrer jusqu'à quel point l'incertitude concernant des retraits précipités par les déposants peut influencer le comportement des banques. Nous examinons un modèle composé de fusions horizontales dans le contexte du secteur bancaire basé sur la théorie des inventaires. Les banques se font concurrence en offrant des prix différenciés et font face à un risque de manque de liquidités. Leur but est d'allouer de façon optimale leurs dépôts entre prêts et réserves afin de maximiser leurs profits anticipés. Nous étudions comment le taux d'intérêt des prêts octroyés et les réserves de chaque banque à l'équilibre sont influencés par le risque de retraits de dépôts précipités. On obtient un résultat intéressant lorsque le risque de liquidité est relativement élevé: les réserves peuvent diminuer lorsque le risque de retraits précipités augmente. Lors d'une fusion, le taux d'intérêt payé par les clients et les profits générés par chaque banque augmentent. Le risque de retraits précipités est aussi un facteur clé qui détermine la profitabilité des fusions. Finalement, les fusions ont tendance à diminuer les réserves totales, ce qui pourrait augmenter les manques de liquidités dans le système bancaire.L'analyse dans le chapitre 3 se concentre sur l'impact du risque de liquidité. L'objectif de ce chapitre est d'investiguer la stabilité des fusions bancaires au biais de la définition d'un cartel stable tel que défini par d'Aspremont et al. (1983). Nos résultats montrent qu'à condition d'avoir plus de trois banques, un scénario sans fusion n'est jamais stable car la fusion entre deux banques est toujours profitable. De plus, nous prenons en considération la stabilité d'une grande fusion où chaque banque participe à la fusion. Nos résultats indiquent que moins les prêts sont différenciés, plus il est probable que la grande fusion soit stable. Nous montrons qu'un degré élevé de risque de liquidité diminue la stabilité d'une grande fusion c'est-à-dire une fusion entre toutes les banques.Dans le quatrième chapitre, nous étudions les effets de la structure du marché et des règlementations des banques sur les décisions prises par les banques en présence du risque de crédit. Nous démontrons que lorsqu'une prime d'assurance basée sur le risque est utilisée, les taux d'intérêt à l'équilibre et les probabilités de faillites bancaires augmentent mais que les profits diminuent avec le risque de crédit. Par contre, lorsqu'il y a une prime d'assurance à taux fixe, cela incite les banques à prendre plus de risques étant donné que leurs profits augmentent avec le risque de crédit. Cependant, un ratio d'adéquation de fonds propres plus élevé diminue la probabilité de faillite. Concernant les effets de fusions, notre analyse démontre que celles-ci ne sont pas nécessairement avantageuses pour les banques déjà fusionnées. En effet, elles peuvent engendrer une baisse de profits et accroître le risque de faillite bancaire pour les banques fusionnées comparativement au scénario pré-fusion. D'autre part, les banques non fusionnées bénéficient d'une fusion en voyant leurs profits augmenter et courent un risque de faillite moins élevé en comparaison avec le scénario pré-fusion.
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Taylor, Meredith. "Working without credit : a case study of Quebec's IPL high-school program." Thesis, McGill University, 1995. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=22630.
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In order to accommodate the needs and abilities of all students, many high schools have designed programs for those students who are unable to cope within regular high school streams. These alternative programs have included vocational education, work experience education, various forms of tracking, and within Quebec, the Individualized Paths for Learning Program (IPL). Individualized Paths for Learning was developed to allow "at risk" students to work towards their high school diploma at a more individualised pace, and to ease their transition into the work force through job skills training and work site experience. As this case study of an Individualized Paths for Learning program suggests however, IPL in practice provides very limited work and academic preparation for the students involved. Through interviews with students and staff, and participant observation within the classroom the limitations of the program become apparent. Yet paradoxically both students and staff were committed to the program and continued to subscribe to the importance of education which is fostered both socially and by the IPL program itself. Within this case study, the students' impressions of the IPL program were of special interest. It is their words, as those most involved and affected by it, that are used in analysis. While this study is specific to its setting it hopefully will provide insight into work education programs following similar principles.
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Li, Xiaofei 1972. "Three essays on the pricing of fixed income securities with credit risk." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84523.
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This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asset value and derive a closed-form solution for the price of corporate bond. Simulation results show that the SV specification for firm asset value greatly increases the resulting credit spread levels. Therefore, the SV model addresses one major deficiency of the Merton-type models: namely, at short maturities the Merton model is unable to generate credit spreads high enough to be compatible with those observed in the market. In the second essay, we develop a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. Our empirical results show that the model is successful at fitting actual corporate bond credit spreads. In addition, key properties of actual credit spreads are better captured by the model. Finally, the third essay proposes a model of interest rate swap spreads. The model accommodates both the default risk inherent in swap contracts and the liquidity difference between the swap and Treasury markets. The default risk and liquidity components of swap spreads are found to behave very differently: first, the default risk component is positively related to the riskless interest rate, whereas the liquidity component is negatively correlated with the riskless interest rate; second, although default risk accounts for the largest share of the levels of swap spreads, the liquidity component is much more volatile; and finally, while the default risk component has been historically positive, the liquidity component was negative for much of the 1990s and has become positive since the financial market turmoil in 1998.
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Hager, Svenja. "Pricing portfolio credit derivatives by means of evolutionary algorithms." Wiesbaden : Gabler, 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016575308&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Bär, Tobias. "Predicting and hedging credit portfolio risk with macroeconomic factors /." Hamburg : Kovac, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009735176&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Stingel, Janine. "In the presence of mine enemies : anti-semitism in the Alberta Social Credit Party." Thesis, McGill University, 1993. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=26126.
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This thesis examines anti-Semitism in the Alberta Social Credit Party under the Aberhart and Manning regimes. It is based on various archival sources from the Glenbow Archives-Institute in Calgary, Alberta, the Premiers' Papers at the Provincial Archives of Alberta in Edmonton, contemporary press reports, and the Social Credit Party's national organ, the Canadian Social Crediter. It argues that anti-Semitism in the Alberta Social Credit Party was not the purview of a marginal, extreme wing of the Party, but that it was an integral element of Social Credit ideology. This ideology was espoused by most Social Crediters, including premiers Aberhart and Manning. When Ernest Manning purged the Movement of its anti-Semites in 1947-1948, he was attempting, unsuccessfully, to eradicate the very essence of Social Credit ideology. The consequence of thirty-six years of Social Credit rule is the persistence of an Albertan political culture which breeds provincialism and intolerance.