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Chaqchaq, Othmane. "Fixed Income Modeling." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-192372.
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Besides financial analysis, quantitative tools play a major role in asset management. By managing the aggregation of large amount of historical and prospective data on different asset classes, it can give portfolio allocation solution with respect to risk and regulatory constraints. Asset class modeling requires three main steps, the first one is to assess the product features (risk premium and risks) by considering historical and prospective data, which in the case of fixed income depends on spread and default levels. The second is choosing the quantitative model, in this study we introduce a new credit model, which unlike equity like models, model default as a main feature of fixed income performance. The final step consists on calibrating the model. We start in this study with the modeling of bond classes and study its behavior in asset allocation, we than model the capital solution transaction as an example of a fixed income structured product.Förutom finansiell analys, kvantitativa verktyg spelar en viktig roll i kapitalförvaltningen också. Genom att hantera sammanläggning av stora mängder historiska och framtida uppgifter om olika tillgångsklasser kan dessa verktyg ge placeringslösning med avseende på risk och regulatoriska begränsningar. Tillgångsklass modellering kräver tre huvudsteg: Den första är att utvärdera produktens funktioner (riskpremie och risker) genom att beakta historiska och framtida uppgifter, som i fallet med fast inkomst beror på spridning och normalnivåer. Den andra är att välja den kvantitativa modellen. I denna studie presenterar vi en ny kreditmodell, som till skillnad från aktieliknande modeller, utformar "standard" som det viktigaste inslaget i Fixed Income prestanda. Det sista steget består i att kalibrera modellen. Vi börjar denna studie med modellering av obligationsklasser och med att studera dess beteende i tillgångsallokering. Sedan, modellerar vi kapital lösning transaktionen som ett exempel på en fast inkomst strukturerad produkt.
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Puchon, Jozef. "Fixed income performance attribution." Hamburg Diplomica GmbH, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2927523&prov=M&dok_var=1&dok_ext=htm.
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Puchon, Jozef. "Fixed Income Performance Attribution /." Hamburg : Diplomica, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=2927523&prov=M&dok_var=1&dok_ext=htm.
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WEISKOPF, MARCELO. "IMMUNIZATION OF FIXED INCOME PORTFOLIOS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4324@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORO Asset Liability Management (ALM) é uma ferramenta essencial para uma administração eficaz de bancos, seguradoras e fundos de pensão, principalmente no que diz respeito ao monitoramento e controle de riscos enfrentados por estas instituições. Dentre estes riscos, o de taxa de juros é uma das principais fontes de perda potencial para uma instituição financeira. Este trabalho tem como objetivo estudar formas de se controlar este tipo de risco. Para tal, será estudada a fundo a estratégia de imunização de carteiras. Esta estratégia consiste em montar uma carteira ótima de forma que a mesma seja imune a variações na taxa de juros, ou seja, independente das variações que ocorram nas taxas de juros, o valor da carteira não se altere. Dois modelos de imunização de carteiras de renda fixa propostos na literatura são estudados detalhadamente. Um utiliza a técnica de análise de componentes principais (ACP), imunizando a carteira na direção destes componentes. O outro modelo usa um método de minimização do risco estocástico. Em ambos, um exemplo ilustrativo é apresentado e uma aplicação prática é feita utilizando-se dados de um fundo de pensão no Brasil (este tipo de estratégia é de extremo interesse para fundos de pensão, que possuem longos fluxos de passivos e que desejam garantir que suas obrigações sejam sempre satisfeitas). Por fim, é feita uma análise dos resultados obtidos após a imunização.
Asset Liability Management (ALM) is an important tool used in the administration of banks, insurance companies and pension funds, especially for monitoring and controlling the risk those institutions usually face. Among the various types of risk, the interest rate risk is one of the main sources of potential loss for a financial institution. This dissertation aims to study ways of controlling this type of risk. Thus, we will thoroughly study the strategy used for Asset Liability Management. This strategy consists in assembling an optimum portfolio in a way that it becomes unaffected by changes in the interest rates. A couple of immunization models for fixed rate portfolios are studied in detail. One of them employs the method of principal component analysis (PCA), immunizing the portfolio in the direction of those components. The other model minimizes the stochastic risk. In both of them, we present an example and use of the method in a Brazilian pension fund (this strategy is highly interesting to pension funds since they work with a long liability cash flow and want to certify their obligations will always be satisfied). Finally, we analyse the results obtained with the two methods.
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Karoui, Lotfi. "Three essays on fixed income markets." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.
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This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps indicating some form of segmentation between long-maturity and short-maturity bonds. These results are robust to the choice of sample period, interpolation method and estimation method. In the second essay, we propose the use of the unscented Kalman filter technique for the estimation of affine term structure models using non-linear instruments. We focus on swap rates and show that the unscented Kalman filter leads to important reductions in bias and gains in precision. The use of the unscented Kalman filter results in substantial improvements in out-of-sample forecasts. Our findings suggest that the unscented Kalman filter may prove to be a good approach for a number of problems in fixed income pricing in which the relationship between the state vector and the observations is nonlinear, such as the estimation of term structure models using interest rate derivatives or coupon bonds, and the estimation of quadratic term structure models. The third essay provides a tractable framework for pricing defaultable securities with recovery risk. Pricing solutions are explored for a large family of discrete-time affine processes and a five-factor Gaussian model is estimated on BBB and B Standard and Poor's yield indices. This rich econometric setup allows the model to simultaneously capture two important stylized facts of defaultable securities: The positive correlation between the loss given default and the intensity of default, and the negative correlation between the intensity of default and the risk-free interest rate.
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Graf, Mario. "Technical Analysis in Fixed Income Markets." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01665710002/$FILE/01665710002.pdf.
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Kaeser, Peter. "Risikomanagement von Fixed Income Hedge Fonds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02603512002/$FILE/02603512002.pdf.
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Zeng, Hong. "Fixed Income Database Design & Architecture." Link to electronic thesis, 2005. http://www.wpi.edu/Pubs/ETD/Available/etd-053105-143623/.
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Jacoby, Gady. "Three essays on defaultable fixed income securities." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0005/NQ43430.pdf.
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Lerner, Peter B. "Three essays on fixed income securities markets." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2006. http://proquest.umi.com/login?COPT=REJTPTU0NWQmSU5UPTAmVkVSPTI=&clientId=3739.
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MEDEIROS, CRISTIANO MAROJA DE. "PERFORMANCE EVALUATION OF FIXED INCOME PENSION FUNDS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25255@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
Esse trabalho procura verificar como se comportaram os fundos de Previdência Renda Fixa no Brasil, no período de 2003 a 2014. A amostra utilizada nesta pesquisa corresponde a 382 fundos, que representam aproximadamente 99 por cento do total de recursos investidos em fundos de previdência de renda fixa. O intuito da pesquisa foi (i) analisar o comportamento dos fundos da categoria e observar se possuem capacidade satisfatória de desempenho, (ii) ampliar tal análise para um grupo segregado de fundos selecionados pela característica de isenção de cobrança de taxas, nomeados como Fundos Master, (iii) avaliar se existe diferença de gestão entre gestores nacionais e estrangeiros e, (iv) investigar a possibilidade de criação de um índice benchmark para o setor, com o intuito de facilitar a avaliação por parte do investidor ao longo do investimento. Os resultados indicaram, através do estudo do Índice de Sharpe Histórico, que os fundos de Previdência Renda Fixa, no período analisado, não conseguiram atingir um resultado satisfatório. Entretanto, o grupo de Fundos Master conseguiu uma performance superior aos da categoria, obtendo também um excesso de retorno com significância estatística de 5 por cento. Em relação ao comparativo entre gestores nacionais e estrangeiros, não se pode afirmar que existe diferença significativa entre eles. Os resultados ainda concluíram que o coeficiente relativo ao CDI é extremamente relevante, demonstrando o seu uso como único benchmark.
This dissertation analyses the performance of the Brazilian Fixed Income Pension funds, from 2003 to 2014. The sample used in this study corresponds to 382 funds, representing approximately 99 percent of total assets in fixed income pension funds industry. The aim of the study was (i) to analyze the behavior of such category of funds and observe if they have satisfactory performance capacity, (ii) extend this analysis to a segregated group of selected funds by the characteristic of charging fees exemption, named Master Funds (iii) assess whether there are differences in management between brazilian and foreign managers, and (iv) investigate the possibility of creating a benchmark index for the sector in order to facilitate the assessment by the investor during the investment decision. The results indicated, considering Historical Sharpe ratio, that the Fixed Income Pension funds failed to achieve a satisfactory result. However, the Master Fund group achieved a superior performance to the category, also getting an excess return with statistical significance of 5 percent. Regarding the comparison between domestic and foreign managers, we cannot say that there is significant difference between them. The results also found that the relative ratio to CDI is highly relevant, demonstrating its use as a unique benchmark.
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Wang, Sijing. "Counterparty risk nodelling of fixed income derivatives." Thesis, University of Reading, 2017. http://centaur.reading.ac.uk/78071/.
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The interdependency between the evolution of counterparty credit quality and the underlying risk factor(s) driving the value of a derivative contract has led to wrong way/right way risk, which could have a significant impact on the exposure and CVA profiles of OTC derivatives portfolios. Traditional approaches in modelling counterparty credit risk are mainly classified into Merton-type structural models and reduced form models. However, the former suffers from the drawback that the default probabilities generated from the model are not consistent with the market implied ones while the latter fails to offer a reasonable economic rationale and is of limited asset-credit correlation structures. This thesis is dedicated to the modelling of wrong way/right way risk of fixed income derivatives based on the Bessel bridge approach proposed by Davis and Pistorius (2010). I begin with a brief review of the existing literature on counterparty credit risk modelling with a focus on structural and reduced-form approaches and pointing out the advantages and disadvantages of both methods. Then in the second part of the thesis, we go through the technical details of inverse first-passage time problem of the credit index process and Bessel bridge approach. We apply the unilateral version of the default framework to an FX-Hull-White hybrid setting for the exchange rate and correlated interest rates to establish a joint FX-credit unilateral default model. An extension to the bilateral version of the joint FX-credit default model without identifying the joint distribution density function of the two credit index processes conditional on default is presented in the third part of the thesis and extensive numerical analysis are conducted in the expected positive exposure profiles of a cross currency swap contract for various sets of FX-credit and default correlation scenarios. The impact of wrong way/right way risk illustrated are plausible. For the final main topic of thesis, we work on CVA of Bermudan swaptions. A multi-curve interest rate framework with stochastic basis spreads are developed, into which the unilateral Bessel bridge approach based joint interest rate-credit model is integrated and least-square Monte-Carlo simulation is applied to compute CVA with the presence of wrong way/right way risk.
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Nilsson, Marcus. "Four essays on socially responsible fixed income investment." Thesis, University of Reading, 2017. http://centaur.reading.ac.uk/73804/.
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Socially responsible investment (SRI) can be defined as an investment strategy that considers environmental, social, and governance (ESG) information, in addition to financial information, when analysing and conducting investments. The market for SRI has experienced a dramatic growth in recent years, outshining many other investment strategies. The size of the global SRI market now exceeds $21 trillion. These developments have attracted considerable attention from academic research, where the majority of studies have investigated if SRI performs significantly differently in comparison to conventional investments. Even though the global SRI market consists of approximately 40% fixed income assets, the overwhelming majority ofacademic studies have analysed the performance of SRI equity investment and left the area of SRI fixed income largely unexplored. This Ph.D. thesis comprises offour empirical essays and aims to contribute to the area of SRI fixed income. Progress into fixed income asset pricing models has been slow. Consequently, the first essay enhances the Elton et al. (1995) four¬factor model by introducing a duration factor, a global bond factor, and three exchange rate factors. The resulting nine-factor model can explain up to 95.42% ofreturn variations in fixed income fund portfolios and up to 99.97% of the return variations in individual fixed income funds in time series analysis. The second essay studies the performance of 120 SRI fixed income funds relative to conventional funds. lbis essay distinguishes itself from previous SRI fund studies by carefully addressing shortcomings identified in previous matching approaches by applying a firm matching approach. The third essay investigates if ESG expertise differentiates SRI fixed income funds in terms of their financial performance. The findings of this essay show that ESG engagement activities are a significantly differentiating performance factor. Specifically, funds from fund companies not involved in ESG engagement activities are found to perform significantly worse. The fourth essay investigates the relationship between responsible investing and bond performance, by constructing portfolios of bonds based on ESG ratings of the issuing company. The findings of this essay suggest that no news is good news in ESG bond portfolios. On the whole this thesis contributes greatly to the largely unexplored area of SRI fixed income investment.
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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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Shi, Jian Wu Chunchi. "Liquidity, taxes and credit risk of fixed income securities." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2004. http://wwwlib.umi.com/cr/syr/main.
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Hambouri, Zaphiro. "Risk and asset/liability management of fixed income portfolios." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312022.
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Chen, Long. "Three essays on the basis risk of fixed income securities." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63703.pdf.
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CARVALHO, RENATO RANGEL LEAL DE. "EXTREME VALUE THEORY: VALUE AT RISK FOR FIXED-INCOME ASSETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8245@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOA partir da década de 90, a metodologia Value at Risk (VaR) se difundiu pelo mundo, tanto em instituições financeiras quanto em não financeiras, como uma boa prática de mensuração de riscos. Em geral, abordagens paramétricas são muito utilizadas pelo mercado, apesar de freqüentemente não levarem em conta uma característica muito encontrada nas distribuições dos retornos de ativos financeiros: a presença de caudas pesadas. Uma abordagem baseada na Teoria dos Valores Extremos (TVE) é uma boa solução quando se deseja modelar caudas de distribuições probabilísticas que possuem tal característica. Em contra partida, poucos são os trabalhos que procuram desenvolver a TVE aplicada a ativos de renda-fixa. Com base nisto, este estudo propõe uma abordagem de simples implementação de cálculo de VaR para ativos de renda-fixa baseado na Teoria dos Valores Extremos.
Since the 90 decade, the use of Value at Risk (VaR) methodology has been disseminated among both financial and non-financial institutions around the world, as a good practice in terms of risks management. In spite of the fact that it does not take into account one of the most important characteristics of financial assets returns distribution - fat tails (excess of kurtosis), the parametric approach is the most used method for Value at Risk measurement. The Extreme Value Theory (EVT) is an alternative method that could be used to avoid the underestimation of Value at Risk, properly modeling the characteristics of probability distribution tails. However, there are few works that applied EVT to fixed-income market. Based on that, this study implements a simple approach to VaR calculation, in which the Extreme Value Theory is applied to fixed-income assets.
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Stagnol, Lauren. "Accounting for risk in the design of fixed-income benchmarks." Thesis, Paris 10, 2017. http://www.theses.fr/2017PA100056.
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L’objectif de cette thèse est de proposer des schémas de pondérations alternatives visant à prendre en compte le risque dans la construction d’indices obligataires. Nous partons du constat suivant : les indices obligataires qui existent sur le marché sont pondérés en fonction de la capitalisation des émetteurs. L’implication n’est pas négligeable, dans la mesure où utiliser cette approche implique de sur-pondérer les entités les plus endettées. Sur cette base, nous proposons dans le premier chapitre de pondérer les entreprises au sein de l’indice en fonction de leur solvabilité. Dans le deuxième chapitre, toujours sur l’univers des obligations d’entreprises, nous appliquons le principe du risque en parité. Plus précisément, les secteurs sont pondérés de façon inversement proportionnelle à une mesure du risque de crédit innovante : la Duration Times Spread. Enfin, le dernier chapitre s’intéresse à l’application de cette même technique du risque en parité, mais cette fois-ci à l’univers des obligations souveraines. Nous nous engageons dans la modélisation d’une structure de taux à terme, permettant de mesurer le risque de taux d’intérêt dans un contexte global. Plus généralement, nous démontrons que ces pondérations alternatives, qui intègrent une notion de risque (crédit ou taux) et s’éloignent ainsi du pur aspect “niveau d’endettement”, fournissent une nouvelle grille de lecture pour la compréhension de la dynamique des marchés obligataires ainsi que des améliorations significatives dans le profil rendement-risqueIn this thesis, we are keen to explore alternative weighting schemes that account for risk in the fixed-income indexing market. We start with the following observation: bond indexes that exist on the market are generally cap-weighted. The implication is not trivial: when holding such index, an investor is exposed to the most indebted issuers. From that standpoint, in the first chapter we make the proposal to consider an issuer’s creditworthiness as a weighting metric. Then in the second chapter, still working on the corporate bond market, we decide to turn to risk-parity indexing. More precisely, sectors are weighted inversely proportional to an innovative credit risk measure. Finally, the third chapter is devoted to the transposition of such risk-based philosophy to the sovereign bond universe. Particularly, we examine term structure modeling to appraise interest rate risk in a global framework. On a more general note, we show that these alternative indexing schemes - that do not emanate from pure indebtedness, but that are rather based on more sensible definitions of risk (credit or interest rate) provide a new reading grid for understanding bond market’s dynamics as well as appealing improvements in the indexes’ risk-return profile
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Jackson, Wong Tzu Seong. "An empirical investigation of technical analysis in fixed income markets." Thesis, Durham University, 2006. http://etheses.dur.ac.uk/2683/.
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The aim of this thesis is to evaluate the effectiveness of technical analytic indicators in the fixed income markets. Technical analysis is a widely used methodology by investors in the equity and foreign exchange markets, but the empirical evidence on the profltability of technical trading systems in the bond markets is sparse. Therefore, this thesis serves as a coherent and systematic examination of technical trading systems in the government bond futures and bond yield markets. We investigate three aspects of technical analysis. First, we evaluate the profitability of 7,991 technical trading systems in eight bond futures contracts. Our results provide mixed conclusions on the profitability these technical systems, since the results vary across different futures markets, even adjusting for data snooping effects and transaction costs. In addition, we find the profitability of the trading systems has declined in recent periods. Second, we examine the informativeness of technical chart patterns in the government benchmark bond yield and yield spread markets. We apply the nonparametric regression methodology, including the Nadaraya-Watson and local polynomial regression, to identify twelve chart patterns commonly taught by chartists. The empirical results show no incremental information are contained within these chart patterns that investors can systematically exploit to earn excess returns. Furthermore, we find that bond yield spreads are fundamentally different to price series such as equity prices or currencies. Lastly, we categorize and evaluate five type of price gaps in the financial markets for the first time. We apply our price gap categorisation to twenty-eight futures contracts. Our results support the Gap- Fill hypothesis and find that some price gaps may provide additional information to investors by exhibiting returns that are statistically different to the unconditional returns over a short period of time. ՝In conclusion, this thesis provides empirical evidence that broadly support the usage of technical analysis in the financial markets.
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Peng, Ke. "Essays on the market microstructure of London fixed income securities market." Thesis, University of Strathclyde, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.426357.
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Larsson, Frans. "The Greenium : A study of pricing on the fixed income market." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-377043.
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This thesis studies the yield differential between green bonds and conventional bonds, the so called green premium or "greenium". By deriving a theoretical model that includes investors' preferences for green assets, two hypothesis are formulated: There exists a negative green bond premium and The negative premium is larger in absolute terms in countries with high environmental performance. In order to estimate the premium, synthetic conventional bonds are constructed having the same characteristics as the green bonds. Two different matching methods are used to construct the synthetic bonds, one based on maturity and one based on correlation. The findings of this study suggest a significant negative green premium between -0.29 and -0.78 basis points. Also, the green premium is more than twice as large, in terms of absolute value, if the issuer is based in a country which has a high environmental performance.
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CORREA, MARLON HENRIQUE ZAVAGLI. "STOCHASTIC OPTIMIZATION MODEL FOR PORTFOLIO SELECTION OF BRAZILIAN FIXED-INCOME SECURITIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25294@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
A seleção de um portfolio de renda fixa é um problema comumente enfrentado pelos agentes do mercado financeiro. A alocação ótima destes ativos melhora o nível de rentabilidade e lucratividade da instituição. Um dos trade-offs rotineiramente encontrado pelos gestores destas carteiras é decidir entre a compra de títulos pré-fixados e pós-fixados de curto prazo ou longo prazo, sendo que estes últimos no geral rendem mais devido ao prêmio de risco. Tais títulos, apesar de terem a sua rentabilidade já definida no momento da compra, podem ser vendidos a qualquer momento e sua nova rentabilidade estará sujeitas às marcações a mercado. O retorno da carteira composta por estes títulos é portanto uma variável aleatória que torna necessário o controle dos riscos de perda deste portfolio. O presente estudo teve por objetivo desenvolver um modelo de otimização da rentabilidade de uma carteira composta somente por títulos prefixados do tesouro nacional, com restrições ao nível de risco expresso através do Conditional Value at Risk. Após tal, foram realizados backtests para medir o desempenho do modelo e comparar a sua rentabilidade com o índice CDI. Os testes mostraram que o modelo apresenta resultados bons em rentabilidade e resultados satisfatórios em termos de controle de risco.
Fixed-income portfolio selection is a common problem faced by financial market agents. The optimal allocation of these assets improves the profitability of institutions. A trade-off routinely found by the managers of these portfolios is deciding between buying floating rate securities or short-term or long-term fixed-rate securities, while the latter generally has a higher yield due to risk premium. Despite fixed rate securities have their return already set at the moment of purchase, they can be sold at any time and the new return will be subject to the current market prices. Since the return of a portfolio holding these securities is a random variable, we argue for the importance of a risk assessment and control a fixed income security portfolio. This study aimmed to develop an optimization model of return with a portfolio composed only on fixed and floating rate bonds from Brazil s sovereign treasury, using risk restrictions expressed on the Conditional Value at Risk measure. After that, backtestswere performed to measure model efficiency and compare its return to the Brazilian s Interbank rate. The tests have shown good results in profitability and risk control.
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De, Figueiredo Neto C. (Carlos). "Fixed-income arbitrage strategies: swap spread arbitrage and yield curve arbitrage." Master's thesis, University of Oulu, 2012. http://jultika.oulu.fi/Record/nbnfioulu-201309271742.
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Abstract. There is a mythical question, well described by Duarte, Longstaff and Yu (2006), whether fixed-income arbitrage strategies are truly arbitrage or merely strategies that earn small positive returns most of the time, but occasionally experience dramatic losses. The question can be summarized in the anecdote “picking up nickels in front of a steamroller”. This master’s thesis studies two of these specific fixed-income arbitrage strategies: Swap Spread Arbitrage and Yield Curve Arbitrage.
The methodology used in this master’s thesis is to apply these two arbitrage strategies through time from November 1988 to December 2011, using R language coding developed by the author of the master’s thesis, and to analyze their risk and return characteristics. The data used in this master’s thesis was gathered from different sources such as: Bloomberg™, Federal Reserve System (FED), Thompson Reuters Datastream™, Federal Reserve Bank of St. Louis, Kenneth French and Yahoo® Finance.
The main hypothesis of this thesis is that the global financial crisis of 2008 had a big impact on these strategies return indexes. This proved to be wrong. These two fixed-income arbitrage strategies seem profitable on the long run even under financial crisis cycles, as they generate positive excess returns, and Yield Curve Arbitrage strategy even with significant α.
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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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Tetzlaff, Marc. "Aktives Rentenportfoliomanagement : eine vergleichende Analyse von Publikumsfonds und Fixed-income-arbitrage-Hedgefonds /." Bad Soden/Ts. : Uhlenbruch, 2009. http://d-nb.info/997338547/04.
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RAPOSO, GUSTAVO SANTOS. "RISK ANALYSIS AND ASSET ALLOCATION FOR PENSION FUNDS CONSIDERING FIXED INCOME INVESTMENTS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2001. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1744@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORO presente trabalho mostra a utilização da metodologia value at risk para a mensuração do risco de mercado, quando dos investimentos em renda fixa (aplicação em cotas de fundos de investimentos), por parte dos Fundos de Pensão, bem como a aplicação de métodos de otimização para a alocação de ativos. Na primeira parte, são apresentadas as diversas metodologias de mensuração de risco de mercado (VaR), dentre as quais destacam-se a modelagem paramétrica, a simulação de Monte Carlo e a simulação histórica, esta última adotada para este trabalho. Na parte seguinte são expostos, em linhas gerais, conceitos referentes à teoria clássica de otimização de carteiras, cujo precursor foi Markowitz; a partir desses, são desenvolvidos algoritmos a serem usados na gestão ativa da carteira de investimentos da instituição (neste caso, Fundo de Pensão). A última parte exibe os resultados obtidos, bem como a interpretação dos mesmos.
This work shows the use of Value-at-Risk methodology, measuring market risk for Pension Funds fixed income investment funds, and the adoption of optimization methods for asset allocation. The first part presents different methodologies used to measure market risk (VaR). Among them, we can distinguish three approaches: parametric, Monte Carlo Simulation and Historical Simulation (called Full Simulation) - used to implement the models adopted in this work. The second part summarizes the most important concepts related to the Classic Theory of Portfolio Optimization, developed by Markowitz. Based on these concepts we have created different algorithms to be used in the active management - institution`s investment portfolio (in our case, Pension Funds). The last part focus in the results obtained and is concerned with their interpretation; in other words, it attempts to define how the institution could use this information to support its investment decision.
EL presente trabajo muestra la utilización de la metodología value at risk para evaluar el riesgo de mercado, para las inversiones en renta fija (aplicación en cuotas de fondos de inversiones), por parte de los Fondos de Pensión, así como la aplicación de métodos de optimización para la colocación de activos. En la primera parte, se presentan las diversas metodologías de evaluación de riesgo de mercado (VaR), dentro de las cuales se destacan: los modelos paramétricos, la simulación de Monte Carlo y la simulación histórica, ésta última adoptada en este trabajo. En la parte siguiente se exponen, en líneas generales, los conceptos de la teoría clásica de optimización de carteras, cuyo precursor fue Markowitz; a partir de ellos, se desarrollan los algoritmos que serán utilizados en la gestión activa de la carteira de investimientos de la instituición (en este caso, Fondo de Pensión). La última parte exhibe los resultados obtenidos y su interpretación.
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Bäuml, Matthias. "Hedge Fund's Performance Black Box an Exposé on Fixed Income Arbitrage Returns /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05609698001/$FILE/05609698001.pdf.
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KLOTZLE, ANDRE CABUS. "THE DETERMINANTS OF BRAZILIAN INTEREST RATES FOR LONG-TERM PUBLIC FIXED INCOME SECURITIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12556@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROEste trabalho objetiva, por meio da utilização de um modelo de paridade coberta de juros ajustada aos riscos país e demais riscos (sobretudo domésticos), verificar, estatisticamente, quais são os determinantes da taxa de juros brasileira para títulos públicos pré-fixados de longo prazo - no caso, as Notas do Tesouro Nacional Série F (NTN-Fs) de prazo aproximado de 10 anos, com vencimento em 2017. A variável dependente foi definida como a taxa de retorno das respectivas NTN-Fs, ao passo que as variáveis independentes ou explicativas foram a taxa livre de risco dos Treasuries norte-americanos de 10 anos, o prêmio de risco Brasil e o risco cambial. Os demais riscos (especialmente domésticos), por se tratarem do diferencial entre as NTN-Fs e as outras variáveis, encontram-se dentro do componente de termo do erro. Tendo em vista que as variáveis independentes possuem fortes relações de multicolinearidade - o que trouxe resultados visados para o coeficiente de determinação e aqueles individuais -, optou-se por rodar um modelo VAR e, a partir do mesmo, extrair os graus de endogeneidade de cada variável. Assim, foi possível observar o grau de importância e causalidade das variáveis individualmente e se o modelo estava corretamente especificado - ou seja, se a taxa de juros das NTN-Fs de longo prazo foi de fato explicada pelas demais variáveis. As principais ferramentas do modelo VAR - decomposição de variância e funções impulso-resposta - permitiram tirar importantes conclusões acerca dos impactos defasados de variações ou choques ocorridos nas variáveis independentes sobre a taxa de juros das NTN-Fs analisadas. Os resultados comprovaram que a taxa de juros das NTN-Fs é a variável mais endógena do modelo e, portanto, a dependente, além disso, mostrou que o risco cambial é a variável menos endógena, indicando sua importância cada vez menor na formação das taxas de juros de longo prazo no Brasil. A conclusão mais relevante, contudo, foi a evidência de que existe uma correlação negativa entre a taxa de juros livre de risco e a taxa dos títulos de longo prazo brasileiros, contrariando, pelo menos em 2007, a Teoria das Carteiras, que prevê uma relação positiva entre a taxa livre de risco e o retorno de um ativo.
This study aims to verify statistically, through the utilization of an interest rate covered parity model adjusted to the country-risk and other risks (domestic, mainly), what are the determinants of Brazilian interest rates for long-term public fixed income securities - in this case, the so-called National Treasury Notes - Series F (NTN-Fs) with maturity in approximately 10 years, more precisely, in 2017. The dependent variable was defined as being the yield- to-maturity of the respective NTN-Fs, whereas the independent or explanatory variables were the risk-free rates of the US 10-year Treasuries, the Brazilian country-risk and the exchange rate risk. The other risks (especially domestic ones), as well as they reflect the differential between the NTN-Fs and the other variables, are one of the error term components. Given that the independent variables have strong multicollinearity - which brings biased results to the determination and individual coefficients -, we opted for using a VAR model and, based on it, obtain the endogenous degrees of each variable. Then, it was possible to observe the causality and importance level of the variables individually and if the model was correctly specified - that is, if the long-term NTN-Fs interest rates were in fact explained by the other variables. The main VAR model tools - which are the variance decomposition and the impulse-response functions - allowed us to make important conclusions about the delayed impacts of variations or shocks occurred in the independent variables over the analyzed NTN- Fs interest rates. The results proved that NTN-Fs interest rate is the most endogenous variable of the model and, therefore, the dependent one. The results also showed that the exchange rate risk is the less endogenous variable, suggesting it has a decreasing importance for the long-run interest rate building in Brazil. However, the most important conclusion was the evidence that there is a negative correlation between the risk-free rate and Brazilian long-run securities interest rates, opposing, at least in 2007, the Portfolio Theory, which foresees a positive relationship between the risk-free irate and the return of an asset.
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Weintraub, Abraham Bragança de Vasconcellos. "The performance of open-end Brazilian fixed income mutual funds for retail clients." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11275.
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From a financial perspective, this dissertation analyzes the Brazilian mutual fund industry performance for an average retail client. The most representative funds for the local population, that are the fixed income open-end ones, will be selected and their performance will be measured aiming to answer if clients of this industry obtained a proper return over their investments in the period between August 2010 and August 2013. A proper return will be understood as the preservation of the purchasing power of the individual´s savings, what is achieved with a positive performance of a mutual fund after discounting taxes, administrative fees and inflation. After obtaining an answer for the previous question, this dissertation will explore a possible alternative solution: Tesouro Direto, that is an example of a financial approach that could foster the disintermediation between savings and investments through electronic channels. New electronic platforms, with a broader scope, could be utilized to increase the efficiency of funding productive investments through better remunerating Brazilian savings. Tesouro Direto may point towards a new paradigm.
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Vamvakas, Orestis Georgios. "Fixed income portfolio construction : a Bayesian approach for the allocation of risk factors." Thesis, City University London, 2015. http://openaccess.city.ac.uk/14398/.
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Active portfolio management is driven by the trade-off between the expected return and the associated risks. In light of the most recent extensions of Black-Litterman model, we stick to a Bayesian approach for the construction of active fixed income portfolios. Within the investment grade universe, the equilibrium returns are approximated by the yield levels implied by the market prices and these are blended together with investment views. In parallel, risk factors are preferred over asset class risk modelling. Affinity towards risk factors rather than asset classes is primarily linked with two elements; the reduction of the dimensionality of the risk estimation problem and the intuitive way in which portfolio exposures per risk factor can be expressed as performance drivers. The first empirical part of the thesis deals with the optimisation of a relative to an index portfolio where the centre of gravity is the chosen benchmark. The first ingredient of the optimisation is the blend of the yield advantage over the index and the expectations for excess returns over the index emanating from the investment views. The second ingredient is the risk estimated by a multifactor risk model. Then, a set of relative to the index investment grade portfolios is constructed. The second empirical part investigates whether there is scope to blend the multifactor risk framework with more sophisticated risk estimation techniques such as resampling. Tail risk estimated by block bootstrapping on the risk exposures of real actively managed portfolio exposures vs. the Barclays Capital US Aggregate index is compared with the parametric and exponentially weighted moving average risk model findings. The multifactor risk estimate using block bootstrapping exhibits better performance than the alternatives tested but struggles to capture the out of sample extremes. Finally, the third empirical part aims to enhance the allocation model by taking advantage of the findings of the second empirical part. The blending mechanism of equilibrium returns and investment views, which are expressed as optimisation constraints, is performed with the aid of a numerically approximated returns’ distribution. The resampled distribution deviates from the normality assumption imposed initially in the Black-Litterman model and forms a more realistic basis for the evaluation of investment views and for the portfolio construction against tail risk measures such as value at risk and conditional value at risk.
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Theocharides, George. "Two Essays on the Corporate Bond Market." Diss., The University of Arizona, 2006. http://hdl.handle.net/10150/194948.
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This dissertation consists of two papers. The first paper examines the propagation of firm-specific shocks as well as market-wide shocks between 1995-2003 using Treasury and corporate bond market data. It then tests the implications of previously proposed models of contagion. I find little support for the industry and counterparty structure hypothesis, suggesting that fundamentals do not generate contagion. Consistent with the information transmission, rebalancing, and liquidity-shock hypotheses, I find evidence of flight to quality during the event periods. However, in contrast to the prediction of the liquidity-shock channel, the corporate bond market, on average, seems to be more liquid during event periods (evidenced by higher trading volume, trading frequency, and mean bond age). Furthermore, there are no significant changes in the trading of assets with the low transaction costs, which is contrary to the rebalancing theory. These findings are more in favor of the correlated information channel as a means of inducing contagion.The second paper examines the effect of liquidity on corporate bond prices using the newly formed TRACE data set. In the spirit of Acharya and Pedersen's (2005) liquidity-adjusted capital asset pricing model (LCAPM), I examine the impact of multiple sources of risk on corporate bond prices. The results do not lend strong support for the existence of liquidity risk in the corporate bond market or for the LCAPM, especially when liquidity is captured using the trading frequency, trading volume, and turnover. Contrary to the predictions of the LCAPM, more illiquid portfolios do not have higher values for the three liquidity betas; betas that capture the commonality in liquidity with the market, the sensitivity in returns with the market-wide liquidity, and the liquidity sensitivity with the market returns. Furthermore, after running cross-sectional regressions I do not find strong evidence either for the validity of the model or that liquidity risk does matter for the corporate bond prices.
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Ulrich, Maxim. "General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets /." Frankfurt a.M, 2008. http://opac.nebis.ch/cgi-bin/showAbstract.pl?sys=000253639.
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Perlin, Marcelo. "The microstructure of fixed income markets : Theory and evidence for the european bond market." Thesis, Henley Business School, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533738.
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Laliotis, Dimitrios. "Financial time series prediction and stochastic control of trading decisions in the fixed income markets." Thesis, Imperial College London, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243831.
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Vesterdal, Bjørn Erlend. "Volatility and Dependence in Fixed Income Forward Rates with Application to Market Risk of Derivative Portfolios." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9447.
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This thesis explores the modeling of volatility and dependence in forward rates in the fixed income market for the purpose of risk estimation in derivative portfolios. A brief background on popular quantile-based risk measures is given. A short introduction is given to GARCH-type volatility models, as well as copula and vine models for dependence between random variables. Some details on parameter estimation and sampling related to these models are also provided. A backtesting procedure is performed using various combinations of volatility and dependence models. The results of this procedure indicate that the Student's t copula is preferable among the dependence structures considered. Also, none of the choices of conditional distribution for the volatility models provide good results at all the percentiles considered, but the normal distribution appears to be a good choice far into the tails.
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Castilho, Rafael de Braga. "Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund market." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11425.
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Estimation of demand and supply in differentiated products markets is a central issue in Empirical Industrial Organization and has been used to study the effects of taxes, merges, introduction of new goods, market power, among others. Logit and Random Coefficients Logit are examples of demand models used to study these effects. For the supply side it is generally supposed a Nash equilibrium in prices. This work presents a detailed discussion of these models of demand and supply as well as the procedure for estimation. Lastly, is made an application to the Brazilian fixed income fund market.
Estimação de demanda e oferta em mercados com produtos diferenciados é uma questão central em organização industrial empírica e tem sido usada para estudar os efeitos de taxas, fusões, introdução de novos bens, poder de mercado, dentre outros. Logit e Logit com coeficientes aleatórios são exemplos de modelos de demanda utilizados para estudar estes efeitos. Para a oferta geralmente é suposto equilíbrio de Nash em preços. Este trabalho apresenta uma discussão detalhada destes modelos de demanda e oferta, assim como o procedimento para estimação. Por fim é feita uma aplicação para o mercado brasileiro de fundos de renda fixa.
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Kujenga, Tinodiwanashe. "Alternative fixed income indexation: A study on fundamental indexes in the South African corporate bond market." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15566.
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Indexation serves as a cornerstone of the asset management field. As such, asset managers across the globe are constantly testing different methodologies to find one which provides consistent superior performance against the rest. While previously, market capitalization weighted indexes have been the popular and simpler method to implement, the search of outperformance has evolved from only focusing on picking securities from larger institutions and has expanded to trying out various weighting methods so as to maximize on the best performing instruments. As yet, there is no definite winner, with the success of most methods being largely influenced by the type of market for which the index is intended as well as the macro-economic environment prevailing during the period. However, the fundamental indexation method has recently gained popularity, particularly in the global equity markets. This research paper explores the method of fundamental indexation and applies it to the corporate fixed income section of the South African market. The main aim is to determine whether the significant outperformance, which has been found in global fixed income markets as well as global and domestic equity markets, will hold true when the method is implemented on domestic bonds. This investigation uses the current domestic market corporate bond index, the OTHI, as a benchmark against two alternative bond indexes created using the fundamental indexing methodology. The first alternative index is a direct replication of the OTHI and has identical constituents to those of the original. This is called the OTHI_ALT. However, finding that the OTHI is heavily influenced by the debt issues of the government and other parastatal companies, a second more diverse index is created. This is named the SAFI_ALT, which maintains the same number of constituents in each period as the OTHI, but uses different universe selection methods and thus has different constituents. The study creates four sub-indexes for both the OTHI_ALT and the SAFI_ALT, using the fundamental metrics of the companies whose securities are included in the index. The fundamentals used are Sales, Cash Flow and Book Value, and in addition a Composite of all three fundamentals.
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McCormick, Gary Paul. "Essays on closed end funds disclosure, discounts and performance /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/5854.
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Thesis (Ph. D.)--University of Missouri-Columbia, 2006.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file viewed on (May 2, 2007) Vita. Includes bibliographical references.
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Hutchinson, Jeffrey E. (Jeffrey Ernest) 1970. "Master lease & leaseback of government owned real estate : a model for a fixed income investment product." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/29961.
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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2003.Includes bibliographical references (leaf 51).
Throughout the United States, significant taxpayer capital is unnecessarily tied up in the ownership of state and municipal government buildings. Today, multiple state and municipal governments face record budget deficits, and are struggling to find ways to raise revenues and decrease annual operating costs in order to close these budget gaps. At the same time, substantial amounts of investor capital from both public and institutional funds, as well as private investors, sits idle, as there is a lack of opportunity for safe, moderate-return long-term investments in today's markets. This thesis investigates the benefits and drawbacks to an investment structure, similar to the commonly used corporate sale-leaseback, that can be used to free capital that is tied up in existing government-owned real estate, while allowing governments to retain long-term ownership of these assets. It also presents the methodology for syndicating these investments into rate-able fixed income products, similar to municipal bonds or CMBS. These investments and the associated participation instruments create arbitrage opportunities for underwriters and syndicators of Government Lease Backed investments, and generate capital flows in the tens of billions of dollars. The models presented may be applied to federal, state and municipal government assets alike. However, this thesis focuses on the application of the models to assets owned by the State of California, as it currently has one of the most significant budget crises in the country, as well as the largest state-owned real estate portfolio.
by Jeffrey E. Hutchinson.
S.M.
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Jooste, Kritzman Phillip. "A load management system for fixed appliances in a safe DC RDP house." Thesis, Cape Peninsula University of Technology, 2017. http://hdl.handle.net/20.500.11838/2634.
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Thesis (MTech (Electrical Engineering))--Cape Peninsula University of Technology, 2017.This dissertation represents the design and development of a load management system for fixed appliances in a safe direct current (DC) Reconstruction and Development Programme (RDP) house. A combination of valley filling, load shifting and peak clipping load management techniques were employed to assist in reducing the peaks observed in the RDP house load profile during peak hours. A DC RDP house laboratory model was developed. The study is based on the assumption that the normally 220 V alternative current (AC) grid is replaced by a 350 V DC grid. The assumption is thus that 350 V DC is available at the distribution box in the RDP house laboratory model. All theoretical work was based on a 350 V DC system, but due to the lack of a laboratory 350 V DC supply, all physical tests were conducted by making use of a 300 V DC supply which was available. Consequently all calculations were thus based on 300 V DC as well. The geyser was the main fixed appliance focused on since it contributes to a significant portion of the power used. An AC geyser was successfully modified in order to be used in the DC network. Safety of the system was considered in order to interrupt the power in case of overcurrent or to isolate the power. Electronic switches were also developed and implemented to ensure that the DC power could be safely switched on and off and that the low power DC was isolated from the high power DC. LabVIEW allowed all other appliances in the DC RDP house to be virtually represented so that a holistic view of the power use of the house could be represented. This also allowed the system to be successfully simulated before any physical work was conducted. The load management system was successfully implemented by making use of power line communication. This proved to be a cost effective means to apply the load management algorithm. The algorithm consisted mainly of power on / off instructions that were executed during peak and off-peak times. It follows the normal use of timers used in the AC system to help reduce demand. It was found that the load management system successfully reduced the demand during peak hours without compromising the basic needs of the user. The power line communication modem proved to be very reliable in implementing the load management algorithm.
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OTSUBO, Shigeru, and Yumeka HIRANO. "Poverty-Growth-Inequality Triangle under Globalization: Time Dimensions and the Control Factors of the Impacts of Integration." 名古屋大学大学院国際開発研究科, 2012. http://hdl.handle.net/2237/16949.
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Zhang, Bing. "A new levy based short-rate model for the fixed income market and its estimation with particle filter." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/3664.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2006.Thesis research directed by: Mathematics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Eickholt, Mathias [Verfasser], and Oliver [Akademischer Betreuer] Entrop. "Three Essays on Individual Investors’ Early Exercise Behavior in the Fixed-Income Market / Mathias Eickholt. Betreuer: Oliver Entrop." Passau : Universitätsbibliothek der Universität Passau, 2014. http://d-nb.info/1063153735/34.
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Beunardeau, Roland. "Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90233.
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Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2014.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 164-165).
I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments.
by Roland Beunardeau.
S.M. in Management Studies
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Schnorrenberger, Richard. "Fixed-income portfolio optimization based on dynamic Nelson-Siegel models with macroeconomic factors for the Brazilian yield curve." reponame:Repositório Institucional da UFSC, 2017. https://repositorio.ufsc.br/xmlui/handle/123456789/174921.
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Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2017.Made available in DSpace on 2017-04-18T04:22:23Z (GMT). No. of bitstreams: 1 346734.pdf: 2081852 bytes, checksum: 181ee26fec8ba55a9e8eebd36c54eb22 (MD5) Previous issue date: 2017
Abstract : The study investigates the statistical and economic value of forecasted yields generated by dynamic yield curve models which incorporate a large macroeconomic dataset. The analysis starts of by modeling and forecasting the term structure of the Brazilian nominal interest rates using several specifications for the dynamic Nelson-Siegel (DNS) framework, suggested by Diebold & Li (2006). The first exercise concerns the incorporation of macro factors extracted from a large macroeconomic dataset, including forward-looking variables, to compare the forecast performance between some macroeconomic representations of the DNS model and itself. The results for forecast horizons above three months support the evidence for the incorporation of one macro factor that summarizes broad macroeconomic information regarding mainly inflation expectations. The conclusion that macroeconomic information tends to improvement in yield curve forecasting extend results found in previous literature. In order to assess the economic value of those forecasted yields, a fixed-income portfolio optimization using the mean-variance approach of Markowitz (1952) is performed. The analysis indicate that good yield curve predictions are important to achieve economic gains from forecasted yields in terms of portfolio performance. Preferred forecasted yields for short forecast horizons perform quite well for optimal mean-variance portfolios with one-step-ahead estimates for fixed-income returns, while forecasted yields generated by a macroeconomic DNS specification outperforms in terms of portfolio performance with twelve-step-ahead estimates. Therefore, there is an economic and statistical gain from considering a large macroeconomic dataset to forecast the Brazilian yield curve dynamics, specially for longer forecast horizons and for medium- and long-term maturities.
O estudo investiga o valor estatístico e econômico dos rendimentos previstos por modelos dinâmicos da curva de juros que incorporam um grande conjunto de dados macroeconômicos. A análise parte da modelagem e previsão da estrutura a termo das taxas de juros nominais brasileiras, usando diversas especificações para o modelo dinâmico de Nelson-Siegel (DNS), sugerido por Diebold & Li (2006). O primeiro exercício diz respeito à incorporação de macro-fatores extraídos de um grande conjunto de dados macroeconômicos, incluindo variáveis de expectativas, para comparar o desempenho de previsão entre algumas representações macroeconômicas do modelo DNS e ele mesmo. Os resultados para horizontes de previsão acima de três meses apoiam a evidência para a incorporação de um fator macro que resume principalmente informações gerais sobre expectativas de inflação. A conclusão de que informação macroeconômica tende a aprimorar a previsão da curva de juros estende os resultados encontrados na literatura recente. Para avaliar o valor econômico dos rendimentos previstos, é realizada uma otimização de carteira de renda fixa usando a abordagem de média-variância de Markowitz (1952). A análise indica que boas previsões para as curvas de juros são importantes para obter ganhos econômicos com os rendimentos previstos em termos de desempenho do portfólio. Rendimentos previstos com maior precisão para horizontes de previsão curtos atingem bons resultados para portfólios ótimos que utilizam estimativas de um passo a frente para os retornos de renda fixa, enquanto que rendimentos previstos gerados por uma especificação macroeconômica do modelo DNS atingem bom desempenho para a otimização que utiliza estimativas de doze passos a frente. Portanto, há um ganho econômico e estatístico ao considerar um grande conjunto de dados macroeconômicos para prever a dinâmica da curva de juros brasileira, especialmente para horizontes de previsão mais longos e para maturidades de médio e longo prazo.
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Eickholt, Mathias Verfasser], and Oliver [Akademischer Betreuer] [Entrop. "Three Essays on Individual Investors’ Early Exercise Behavior in the Fixed-Income Market / Mathias Eickholt. Betreuer: Oliver Entrop." Passau : Universitätsbibliothek der Universität Passau, 2014. http://nbn-resolving.de/urn:nbn:de:bvb:739-opus-27427.
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Samuelsson, Niclas. "Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447827.
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Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. This report is concerned with the trying to provide prices for options written on these rates, in particular for swaptions that are not at-the-money (atm) utilizing prices in the cap market. Different methods have been suggested in the literature for solving this problem. In particular we study the method suggested by Hagan et al where one calibrates a SABR model to the caplet surface with the same expiry as the swaption. One then assumes that the swaption contract with the same expiry follows the same SABR dynamics as the caplet, but with a recalibrated initial volatility to fit the atm point. We also study the approach suggested by Rebonato and Jäckel. They derive a model for swaption prices based on the individual volatilities of the forward rates that the underlying interest rate swap consists of, as well as the correlation between the forward rates. Both of these approaches are studied empirically for the STIBOR market. The data set span between 2016 and 2021 and consists of the yield curve, flat cap volatilities and swaption volatilities. We use the 1Y1Y and 5Y5Y swaption surfaces, where the prices are not only quoted atm, to verify our model. We conclude that despite the SABR model being able to fit the caplet prices well, the method suggested by Hagan does not capture the swaption smile. The Rebonato and Jäckel approach also falls short of capturing the smile and produces similar results as the Hagan et al method. This is suggested to be due to the Hagan method capturing the caplet smile well, and the constant correlation assumption made in this thesis.
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Thomson, Dana. "Changing Circumstances, Changing Outcomes?: Longitudinal Relations Between Family Income, Cumulative Risk Exposure, And Children’s Educational Success." Thesis, Boston College, 2017. http://hdl.handle.net/2345/bc-ir:107592.
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Thesis advisor: Eric DearingEmerging research in developmental psychology and neuroscience suggests that childhood poverty is associated with high levels of exposure to multiple contextual risks, which cumulatively lead to persistent elevated stress levels that have a direct, as well an indirect (e.g., through parental processes), impact on child cognitive, academic, and socioemotional functioning (Evans & Kim, 2013). Such research has begun to change the way that scholars and practitioners envision the context of poverty, the persistence of the income-achievement gap, and the types of interventions that may be most effective in addressing disparities in children’s long-term educational success. However, research on the relations between poverty-associated stress and child outcomes is still in its infancy and many questions remain. In particular, it is unclear whether changing family economic circumstances matter, a question of concern for developmental science and public policy. Moreover, there is little work on moderators of relations between income, stress, and child outcomes, which could help identify factors that buffer children from the harm of stressful home environments. With longitudinal data from the Panel Study of Income Dynamics’ Child Development Supplement, the present study used fixed effects models to examine within-child associations between changes in family income, cumulative risk exposure (as measured by an index that includes a range of poverty-related stressors, such as economic strain, neighborhood crime, and physical and psychological home environments), and children’s cognitive, academic and socioemotional functioning. In addition, moderators of these associations were investigated in order to identify potential protective mechanisms and crucial levers for interventions and policy development. On the whole, findings were consistent with the cumulative stress model. On average, the estimated direct effects of changes in family income (i.e., prior to examining mediation or moderators) were not significant for changes in child outcomes. Yet, changes in income were, for the sample as a whole, indirectly related via changes in cumulative risk exposure: increases in income predicted decreases in cumulative risk exposure which, in turn, predicted improvements in achievement and declines in externalizing behavior. Additionally, these relations were moderated by child age, initial level of family income, and initial level of cumulative risk
Thesis (PhD) — Boston College, 2017
Submitted to: Boston College. Lynch School of Education
Discipline: Counseling, Developmental and Educational Psychology
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Luo, Ji. "Liquidity timing skills for hedge funds." Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/18999.
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In the thesis, we investigate whether hedge fund managers have liquidity timing skills in the fixed income market, foreign exchange market and commodity market, respectively. Managers with the liquidity timing skills can strategically adjust hedge funds exposure to the target financial market based on their forecasts about the future changes in market liquidity. We find empirical evidence that hedge funds in certain categories have the skills to time the liquidity levels in the fixed income market, foreign exchange market and commodity market. We conduct a range of robustness tests, which show that hedge funds still exhibit liquidity timing skills after controlling for the factors that may affect timing ability. In particular, our findings are robust to the usage of leverage, funding constraints, investor redemption restrictions, hedge funds trades on market liquidity, financial crisis, hedge fund data biases, market return and volatility timing, liquidity risk factor, systematic stale pricing and option factors. We also conduct bootstrap analysis to ensure the results are not dependent on the normality assumption. Our investigation is helpful to understand the importance of market liquidity to hedge funds professional portfolio management.