Dissertations / Theses: 'Liquidity and credit risks'

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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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Toto, Andrea. "Three essays on liquidity and contagion." Doctoral thesis, Universitat Jaume I, 2016. http://hdl.handle.net/10803/386238.

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The present PhD thesis consists of three papers. In the 1st paper we review credit risk models and models of counterparty risk and contagion and their application in credit risk management, and compare the two primary types of models in the literature that attempt to describe default processes for debt obligations and other defaultable financial instruments , usually referred to as structural and reduced-form (or intensity) models. We discuss challenges and possible progresses to be made in closing the distance between structural and reduced-form models in modeling counterparty and credit risk, mainly inside an information based perspective , in the style of Jarrow and Protter (2004). In the 2nd paper we analyses the effects of trade credit on the investment decisions of a financially constrained firms in manufacturing supply chains. We put forward a multi-factor model of a profit maximizing firm subject to bank borrowing constraints and with three sources of funding: self-financing, bank credit and trade credit. The model is able to capture the insurance effect of trade credit, i.e. the insurance coverage against liquidity risk embedded in trade credit contracts, thanks to which a financially-constrained firm suffering a liquidity shortage can maintain a level of expected inventory investment (and, as a consequence, a future expected output level) as close as possible to the optimal desired level. The 3rd paper is a paper that studies the effects that two characteristics of the topology of a financial network , namely its degrees of connectivity and of centralization, have on the response of the network to external shocks that can generate phenomena of default contagion.
La presente tesis doctoral se compone de tres artículos. En el primero artículo se revisan los modelos de riesgo de crédito y los modelos de riesgo de contraparte y contagio y su aplicación en la gestión del riesgo de crédito, y se comparan los dos tipos principales de modelos en la literatura que tratan de describir los procesos predeterminados para las obligaciones de deuda y otros instrumentos financieros que son "defaultable" (que son susceptibles de incumplimiento) ; estos modelos normalmente se conocen como modelos estructurales y de forma (o intensidad) reducida. Además, se discuten los desafíos y posibles progresos a ser alcanzados al reducir la distancia entre los modelos estructurales y de forma reducida en modelar el riesgo de contraparte y riesgo de crédito, sobre todo dentro de una perspectiva basada en la información, al estilo de Jarrow y Protter (2004). En el segundo artículo se analizan los efectos de crédito comercial en las decisiones de inversión de una empresa restringida financieramente en un sector manufacturero, con particular referencia a un contexto de turbulencias financieras y racionamiento del crédito. Con este fin, hemos presentado un modelo multifactorial de una empresa que maximiza el beneficio sujeto a las restricciones de crédito bancarias y con tres fuentes de financiación : la auto-financiación , crédito bancario y crédito comercial. El modelo es capaz de captar el efecto del seguro de crédito comercial, es decir, la cobertura de seguro contra el riesgo de liquidez implícitos en los contratos de crédito comercial , gracias a la cual una empresa financieramente restringida que sufre de una escasez de liquidez puede mantener un nivel de inversión de inventario esperado (y, como en consecuencia , un futuro nivel de producción esperado) lo más cerca posible al nivel óptimo deseado. El tercero artículo es un artículo que estudia los efectos que dos características de la topología de una red financiera, es decir sus grados de conectividad y de centralización, tienen en la respuesta de la red a los choques externos que pueden generar fenómenos de "default contagion".

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Bäurer, Patrick [Verfasser], and Ernst [Akademischer Betreuer] Eberlein. "Credit and liquidity risk in Lévy asset price models." Freiburg : Universität, 2015. http://d-nb.info/1115861794/34.

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Papin, Timothée. "Pricing of Corporate Loan : Credit Risk and Liquidity cost." Phd thesis, Université Paris Dauphine - Paris IX, 2013. http://tel.archives-ouvertes.fr/tel-00937278.

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This PhD thesis investigates the pricing of a corporate loan according to the credit risk, the liquidity cost and the embedded prepayment option. A loan contract issued by a bank for its corporate clients is a financial agreement that often comes with more flexibility than a retail loan contract. These options are designed to meet clients' expectations and can include e.g., a prepayment option (which entitles the client, if he desires so, to pay all or a fraction of its loan earlier than the maturity). The prepayment is the main option and it will be study in this thesis. In order to decide whether the exercise of the option is worthwhile the borrower compares the remaining payments with the outstanding amount of the loan. If the remaining payments exceed the nominal value then it is optimal for the borrower to refinance his debt at a lower rate. For a bank, the prepayment option is essentially a reinvestment risk, i.e. the risk that the borrower decides to repay earlier his/her loan and that the bank cannot reinvest his/her excess of cash in a new loan with same characteristics.The valuation problem of the prepayment option can be modelled as an embedded compound American option on a risky debt owned by the borrower. We choose in this thesis to price a loan and its prepayment option by resolving the associated PDE instead of binomial trees (time-consuming) or Monte Carlo techniques (slow to converge).

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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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Trapp, Monika. "Credit risk and liquidity in bond and CDS markets." [S.l. : s.n.], 2008. http://nbn-resolving.de/urn:nbn:de:bsz:180-madoc-21040.

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Senakosava, Hanna. "Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-110641.

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Banks represent one of the most important parts of the economy in the world. As a result, decisions of bank management affect not just the direct bank stakeholders but the state of the economy and society as a whole. This became evident during the latest financial crisis in 2007 where the failure of one bank resulted in the domino falling that affected banks globally. The regulators increase their attention to the risks that bank face and their measures and requirements. Therefore, the research within the banking area has important consequences from both theoretical and practical side. The purpose of this project is to investigate whether there is a relationship between dividends that Nordic banks pay and different types of risks such as market, credit (including default), liquidity and operational. The results of the research will contribute to the knowledge in finance and help different stakeholders to understand possible reasons for different dividends level. The methodological position works as a foundation for the conduction of the research. The epistemological and ontological views applied in this project are positivism and objectivism. The deductive research approach and quantitative research strategy are used for the research and thus the collection and analysis of the archival data of 19 Nordic banks over five year time horizon. The research can therefore be described as a panel study. Based on the previous research papers the following proxies for risks have been used in the research: market risk – capital requirement for market risk to total assets, credit risk – loan loss provisions to total assets, default risk – Altman Z-score, liquidity risk –liquidity coverage ratio, operational risk – economic capital (capital requirement) for operational risk to total asset. Ordinary Least Square regression analysis is performed over the collected data in order to fulfil the purpose of the project. The tests results identify that there are no statistically significant relationship between dividends and market, credit, default and liquidity risks and the statistically significant negative relationship between the dividends and operational risk in Nordic banks. These findings contribute to a new knowledge within the finance and banking area in particular. Additionally, this project might be used as a foundation for the further research within the field. The findings are also useful for stakeholders in understanding banks risk level.

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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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Augustin, Patrick. "Essays on sovereign credit risk and credit default swap spreads." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2131.

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This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press. Real Economic Shocks and Sovereign Credit Risk. New empirical evidence highlights that global macroeconomic risk unspanned by global financial risk bears some responsibility for the strong co-movement in sovereign spreads. A model with only two global macroeconomic state variables rationalizes the existence of time-varying risk premia as a compensation for exposure to common U.S. business cycle risk. The Term Structure of CDS Spreads and Sovereign Credit Risk. The term structure of CDS spreads is an informative signal about the relative importance of global and country-specific risk factors for the time variation of sovereign credit spreads. An empirically validated model illustrates how local risk matters relatively more when the slope is negative, while systematic risk bears more responsibility when the slope is positive. Squeezed Everywhere - Disentangling Types of Liquidity and Testing Limits-to-Arbitrage. The CDS-Bond basis is used as a laboratory to disentangle different types of liquidity and to test limits-of-arbitrage. While asset-specific liquidity is cross-correlated in both the cash and derivative market, funding and market liquidity matter only for the former. The tests find strong evidence in favor of margin-based asset pricing and flight-to-quality effects.

Diss. Stockholm : Handelshögskolan, 2013. Sammanfattning jämte 4 uppsatser

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Anderson, Mike. "Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.

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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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Fonseca, Vladimir João de Oliveira Lopes Dias da. "Counterparty and Liquidity Risk : an analysis of the negative basis." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4630.

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Mestrado em Finanças
In this study we analyse the equivalence between credit default swap (CDS) spreads and corporate bond yield spreads from March 2007 to March 2011 for investment graded corporate entities in the eurozone. We find evidence of cointegration between the two markets and that CDS prices tends to lead corporate yield spreads. We find support for significant effects of counterparty and funding risks in the basis, measured as the difference between CDS and corporate yield spreads, with negative impact, and that liquidity also matters in this context.
No contexto da relação teórica de equilíbrio entre os preços dos CDS e as yield spreads das obrigações das empresas face a taxas de juro sem risco, este trabalho conclui que existe cointegração entre estas duas variáveis para entidades de referência na zona euro no período que decorre entre Março de 2007 e Março de 2011. A análise efectuada revelou que o risco de contraparte e o risco de liquidez em ambos os mercados tiveram um impacto significativo na base, entre os CDS e os referidos spreads, e que os preços dos CDS tenderam a liderar as yield spreads das obrigações no período em análise.

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Sun, Chen, and Febi Caesara Wulandari. "Liquidity Risk and Yield Spreads of Green Bonds : Evidence from International Green Bonds Market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-35819.

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Our thesis aims to help the market participants to understand the source of the risk in green bonds market. We estimate the liquidity risk effects in green bonds' yield spreads as well as controlling for credit risk, bond-specific chracteristics and macroeconomic variables. Both of our liquidity measures suggest that green bonds are more liquid than investment grade US corporate bonds. We find that liquidity effect in green bonds' yield spreads is pronounced, and the result is robust after controlling for potential endogeneity bias. The power of green bonds' liquidity premium is about 10 to 100 times as strong as speculative grade German bonds and investment grade US corporate bonds respectively. In addition to the lack of clear risk profile in green bonds market, our three-stage least squares regression shows that credit risk influences the liquidity risk of green bonds, this indicates that credit risk is a potential source of private information that affects the high liquidity of green bonds. This result has an implication for policy as the credit risk and liquidity risk could be the pitfalls in green bonds market.

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Jankowitsch, Rainer, Florian Nagler, and Marti G. Subrahmanyam. "The determinants of recovery rates in the US corporate bond market." Elsevier, 2014. http://epub.wu.ac.at/4434/1/paper_jfe.pdf.

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We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices and volumes. A study of the trading microstructure around various types of default events is provided. We document temporary price pressure with high trading volumes on the default day and the following 30 days, and low trading activity thereafter. Based on this analysis, we determine market-based recovery rates and quantify various liquidity measures. We study the relation between the recovery rates and these measures, considering additionally a comprehensive set of bond characteristics, firm fundamentals, and macroeconomic variables. (authors' abstract)

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Zhao, Yunfeng. "Risk Analysis for Corporate Bond Portfolios." Digital WPI, 2013. https://digitalcommons.wpi.edu/etd-theses/654.

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This project focuses on risk analysis of corporate bond portfolios. We separate the total risk of the portfolio into three parts, which are market risk, credit risk and liquidity risk. The market risk component is quantified by value-at-risk (VaR) determined by change in yield to maturity of the bond portfolio. For the credit risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called basis which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity risk by using the basis. In addition, we also introduce a Fama-French multi-factor model to analyze factor significance to the corporate bond portfolio.

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Jiang, Qizhong. "Risk Analysis for Corporate Bond Portfolios." Digital WPI, 2013. https://digitalcommons.wpi.edu/etd-theses/653.

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This project focuses on risk analysis of corporate bond portfolios. We divide the total risk of the portfolio into three parts, which are market risk, credit risk and liquidity risk. The market risk component is quantified by value-at-risk (VaR) which is determined by change in yield to maturity of the bond portfolio. For the credit risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called `basis' which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity risk by using the basis. In addition we also introduce a Fama-French multi-factor model to analyze the factor significance to the corporate bond portfolio.

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Valentová, Andrea. "Návrh systému řízení finančních rizik ve společnosti ABC, s.r.o." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2010. http://www.nusl.cz/ntk/nusl-222624.

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This master’s thesis explains what the term risk means, how the project of risk management is running and financial risks existing in the company ABC, s.r.o. are described. These risks are currency risk, credit risk and liquidity risk. The methods of their analysis and measurement and also instruments are stated. These procedures and project of the risk management are explained.

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Ngene, Geoffrey M. "Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1469.

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In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and long run dynamic relationships between any two cointegrated assets may change. To capture this phenomenon, this study tests for nonlinearities that may characterize the regimes, how cointegration relationships, short term dynamic interaction and price discovery (speed of adjustment to new information between two assets) may change in alternative regimes. To this end, I employ threshold cointegration, threshold vector error correction model (TVECM) asymmetrical return spillover modeling for sovereign credit default swaps (CDS), bonds and equity markets of seventeen emerging markets from four geographical regions. I find that there is non-linear cointegration and momentum in long-run adjustment process in 43/51 spreads analyzed. All countries analyzed have at least 2/6 possible regime specific asymmetric price discovery process. The study also finds evidence in support of asset substitution hypothesis and news-based hypothesis of financial contagions in sovereign CDS, bond and equity markets. The findings have important implications for asset allocation and portfolio rebalancing decisions by investors, policy intervention in financial markets, risk management and regime specific short and/or long term dynamic interactions among assets held in a portfolio as well as nonlinear speed of adjustment to new information. In chapter 2, I hypothesize that financial intermediaries can be categorized into bank-based institutions (BBIs) and market-based institutions (MBIs). MBIs and BBIs are under different regulatory agencies. Traditionally, only BBIs, regulated by the Fed, are used as conduits of transmitting liquidity and monetary policy into real economy and financial markets yet MBIs also play important role in providing liquidity and stability in financial markets. I use two tools of monetary policy (Federal fund rate and monetary aggregate) under two monetary policy regimes to investigate the impact of monetary policy under each regime on the liquidity of MBIs and BBIs. I investigate whether MBIs be used as conduits of transmitting monetary policy and liquidity in the market and if they should, under what economic and financial conditions (Regimes) should they be used. Moreover, what monetary policy tool is more effective for MBIs relative to BBIs under different regimes? Using Threshold vector auto-regressions and regime specific impulse response functions, I find that liquidity of BBIs and MBIs respond differently to different monetary policy tools under different regimes. Moreover, monetary policies are uncertain and vary over time. The Fed cannot continue to ignore MBIs in formulating and implementing monetary policy. Moreover, monetary aggregate policy is more effective when used on MBIs during contractionary monetary policy intervention (economic downturn) while Federal fund rate is more effective when used on BBIs under expansionary monetary policy.

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Batin, Artyom. "Risk management in microfinance institutions." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201080.

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In the following paper I have tried to find the correlation between type of ownership and effective risk management in the operations of microfinance institutions in India. The results found are consistent with the current findings of how the type of ownership does not impact both the financial or social performance of MFIs. Dataset of 72 MFIs was acquired from the Microfinance Information Exchange on MFIs and evaluated using an OLS regression. The results show that the type of ownership insignificantly impacts both the credit and liquidity risk ratios of MFIs. It is possible that the impact of ownership type is more evident in other aspects of operations. In the future, a study on type of ownership and exposure to strategic and market risks could be a way forward.

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20

Senosi, Mmamontsho Charlotte. "Discrete time modeling of subprime mortgage credit / M.C. Senosi." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4383.

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Many analysts believe that problems in the United States housing market initiated the 2007-2009 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry by causing the failure of many iconic Wall Street investment banks and prominent depository institutions. This crisis stymied credit extension to households and businesses thus creating credit crunches and, ultimately, a global recession. This thesis specifically discusses the SMC and its components, causes, consequences and cures in relation to subprime mortgage origination, data as well as bank bailouts. In particular, the SMC has highlighted the fact that risk, credit ratings, profit and valuation as well as capital regulation are important banking considerations. With regard to risk, the thesis discusses credit (including counterparty), market (including interest rate, basis, prepayment, liquidity and price), tranching (including maturity mismatch and synthetic), operational (including house appraisal, valuation and compensation) and systemic (including maturity transformation) risks. The thesis introduces the IDIOM hypothesis that postulates that the SMC was largely caused by the intricacy and design of subprime agents, mortgage origination that led to information problems (loss, asymmetry and contagion), valuation opaqueness and ineffective risk mitigation. It also contains appropriate examples, discussions, timelines as well as appendices about the main results on the aforementioned topics. Numerous references point to the material not covered in the thesis, and indicate some avenues for further research. In the sequel, the banks that we study are subprime interbank lenders (SILs), subprime originators (SORs), subprime dealer banks (SDBs) and their special purpose vehicles (SPVs) such as Wall Street investment banks and their special structures as well as subprime investing banks (SIBs). Furthermore, the primary subprime agents that we consider are house appraisers (HAs), mortgage brokers (MBs), mortgagors (MRs), servicers (SRs), trustees, underwriters and credit enhancement providers (CEPs). Also, the insurers involved in the subprime market are originator mortgage insurers (OMIs) and monoline insurers (MLIs). The main components of the SMC are MRs, the housing market, SDBs/hedge funds/money market funds/SIBs, the economy as well as the government (G) and central banks. Here, G either plays a regulatory, bailout or policymaking role. Most of the aforementioned banks and agents are assumed to be risk neutral with SOR being the exception since it can be risk (and regret) averse on occasion. The three main aspects of the SMC - subprime mortgage origination, data and bailouts - that we cover in this thesis and the chapters in which they are found are outlined below. In Chapter 2, we discuss the dynamics of SORs' capital, information, ratings, risk and valuation under mortgage origination. In particular, we model subprime mortgages that are able to fully amortize, voluntarily prepay or default and construct a discrete-time model for SOR risk and profit incorporating costs of funds and mortgage insurance as well as loan losses. Furthermore, a constrained optimal valuation problem for SORs under mortgage origination is solved. In addition, we show how high loan-to-value ratios curtailed the refinancing of subprime mortgages, while low ratios imply favorable house equity for subprime MRs. Chapter 2 also explores the relationship between Basel capital regulation and the SMC. This involves studying bank credit and capital under Basel regulation. Further issues dealt with are the quantity and pricing of subprime mortgages as well as credit ratings under Basel capital regulation. A key problem is whether Basel capital regulation exacerbated the SMC. Very importantly, the thesis answers this question in the affirmative. Chapter 3 contains subprime data not presented in Chapters 2. We present other mortgage data that also have connections with the main subprime issues raised. In Chapter 4, a troubled SOR's recapitalization by G via subprime bank bailouts is discussed. Our research supports the view that if SOR is about to fail, it will have an incentive not to extend low risk mortgages but rather high risk mortgages thus shifting risk onto its creditors. Here, for instance, we analyze the efficiency of purchasing toxic structured mortgage products from troubled SORs as opposed to buying preferred and common equity. In this regard, we compare the cases where SORs' on-balance sheet mortgages are fully amortizing, voluntarily prepaying (refinancing and equity extraction) and involuntarily prepaying (defaulting). If bailing out SORs considered to be too big to fail involves buying assets at above fair market values, then these SORs are encouraged ex-ante to invest in high risk mortgages and toxic structured mortgage products. Contrary to the policy employed by G, purchasing common (preferred) equity is always the most (least) ex-anteand ex-post-efficient type of capital injection. Our research confirms that this is true irrespective of whether SOR volunteers for recapitalization or not. In order to understand the key results in Chapters 2 to 4, a working knowledge of discrete-time stochastic modeling and optimization is required. The work presented in this thesis is based on a book (see [103]), 2 peer-reviewed international journal articles (see [51] and [105]), 2 peer-reviewed chapters in books (see [104] and [110]) and 4 peer-reviewed conference proceedings paper (see [23], [106], [107] and [109]).
Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.

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21

Esterhuysen, Ja'nel Tobias. "The financial crisis : reforming the South African risk management environment / Ja'nel Tobias Esterhuysen." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4415.

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The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright. Among the principal causes was an explosive increase - by a factor of ten in some cases - in credit defaults precipitated by lax lending standards which prevailed for several years. The crisis caused several major institutions to fail (and be subsequently acquired under duress): many of these were subject to takeovers by their relevant sovereigns, including - amongst others - Lehman Brothers, Merrill Lynch, Fannie Mae, Freddie Mac and American International Group and AIG. The financial crisis is believed to be directly responsible for the bleak forecasts (2009 and beyond) faced by the global economy. The measure of global volatility, the VIX, trebled in the third quarter of 2008, interest rate spreads between government fixed income securities and interbank rates widened to unprecedented levels, global inflation threatened an already fragile, volatile marketplace, corporate and retail loan default rates rose and downgrades of large financial institutions (such as US Monoline bond insurers)and manycorporates were experienced by major rating agencies during the first quarter of 2009. The aim of this thesis was to discuss and critically evaluate how the financial crisis has impacted banking risks and also the effect it had on international banks. This has been accomplished through the modification of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world contexts - to ascertain their reliability and robustness concomitant with the adaptation of these methodologies in the light of the new empirical evidence. Important other secondary objectives were the development of novel approaches w0here the research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated bysimulated data to replicate specific characteristics during the crisis, while the other portfolios comprised entirelyof empirical data. The first objective, of the thesis, was to determine the effect of stressed economic conditions on b.erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of laxregulatorycontrols. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. As more jobs get made redundant it is believed that employees revert to internal fraud as their sources of income have dried up drasticallyand stealing from the institution seems to b.tional losses have been affected has been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of the main findings were that operational losses have shown little change in frequency, but shown a significant increase in severity, meaning that their financial impact has been more severe during the crisis. It is safe to saythat the financial crisis most definitelyin.creased operational risk in banks much more severe losses. The second objective was to focus on the effect of the stressed economic conditions on the applicability and effectiveness of the credit risk measurement methodologies and the minimum capital requirements, pre.scribed to banks in Basel II. The robustness of the Basel II accord in protecting banks during volatile eco.nomic periods has been challenged in the ongoing financial crisis. Advanced approaches to measuring and managing credit risk in particular have drawn criticism for being too complexand irrelevant. Despite accusa.tions that the accord was largelyresponsible for the crisis, this studyexplored which of Basel II's credit risk approaches were more successful in measuring the bank?s credit risk and calculating the required minimum capital charge for the bank. It was found that, in general, compliance with Basel II actuallyprotected banks during the crisis with the simpler approaches enjoying greater success than more advanced ones, in protect.ing banks against credit risk. The third objective was to appraise the effect of stressed economic conditions on the systemic risk within the South African Banking sector. The financial crisis resulted in increases in credit-, market-and opera.tional risk, but it mayalso have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this studyillustrated that the finan.cial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it was established that the financial crisis has indeed increased sys.temic risk in South Africa. The impact was, however, less severe than that experienced in other large interna.tional banks. The fourth and final objective of this studywas to focus on liquiditycreation in South African banks under stressed economic conditions. The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidityand had to receive government support or face default. This studyillustrated the impact of the financial crisis on liquiditycreation within South African banks using a model previouslyapplied to US banks. Four measures of liquiditycreation are discussed and applied to data spanning 2004 ? 2009. Although created liquiditydecreased steeplyfrom 2007, liquidity levels in 2009re.main about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity, and a possible reason for this is that these banks have verylarge retail divisions, which have assisted them in creating much more liquiditythan the smaller banks which have much smaller retail divisions. In conclusion, and as illustrated through the findings of this study, the financial crisis did impact the major banking risks on various levels and it is therefore safe to saythat the financial crisis has reformed the interna.tional risk management environment and will also do so in the years to come.
Thesis (Ph.D. (Economics))--North-West University, Potchefstroom Campus, 2011.

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22

De, Waal Bernadine. "Stochastic optimization of subprime residential mortgage loan funding and its risks / by B. de Waal." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4396.

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The subprime mortgage crisis (SMC) is an ongoing housing and nancial crisis that was triggered by a marked increase in mortgage delinquencies and foreclosures in the U.S. It has had major adverse consequences for banks and nancial markets around the globe since it became apparent in 2007. In our research, we examine an originator's (OR's) nonlinear stochastic optimal control problem related to choices regarding deposit inflow rates and marketable securities allocation. Here, the primary aim is to minimize liquidity risk, more speci cally, funding and credit crunch risk. In this regard, we consider two reference processes, namely, the deposit reference process and the residential mortgage loan (RML) reference process. This enables us to specify optimal deposit inflows as well as optimal marketable securities allocation by using actuarial cost methods to establish an ideal level of subprime RML extension. In our research, relationships are established in order to construct a stochastic continuous-time banking model to determine a solution for this optimal control problem which is driven by geometric Brownian motion. In this regard, the main issues to be addressed in this dissertation are discussed in Chapters 2 and 3. In Chapter 2, we investigate uncertain banking behavior. In this regard, we consider continuous-time stochastic models for OR's assets, liabilities, capital, balance sheet as well as its reference processes and give a description of their dynamics for each stochastic model as well as the dynamics of OR's stylized balance sheet. In this chapter, we consider RML and deposit reference processes which will serve as leading indicators in order to establish a desirable level of subprime RMLs to be extended at the end of the risk horizon. Chapter 3 states the main results that pertain to the role of stochastic optimal control in OR's risk management in Theorem 2.5.1 and Corollary 2.5.2. Prior to the stochastic control problem, we discuss an OR's risk factors, the stochastic dynamics of marketable securities as well as the RML nancing spread method regarding an OR. Optimal portfolio choices are made regarding deposit and marketable securities inflow rates given by Theorem 3.4.1 in order to obtain the ideal RML extension level. We construct the stochastic continuoustime model to determine a solution for this optimal control problem to obtain the optimal marketable securities allocation and deposit inflow rate to ensure OR's stability and security. According to this, a spread method of RML financing is imposed with an existence condition given by Lemma 3.3.2. A numerical example is given in Section 3.5 to illustrates the main issues raised in our research.
Thesis (M.Sc. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.

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23

Ramos, João Paulo Costa. "A importância do financiamento nas empresas portuguesas em ciclos de contração económica." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/5424.

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Mestrado em Gestão e Estratégia Industrial
A razão desta dissertação assenta na crescente importância que o crédito tem para as empresas e na necessidade de estas terem de se adequar e conhecer os parâmetros que têm de cumprir para que possam obter financiamento junto das instituições de crédito. Num período como o que se vive actualmente, em que os recursos financeiros são escassos e se sente um abrandamento significativo em muitas áreas da economia, importa que a gestão das empresas saiba se deverá implementar estratégias de contenção ou expansão em termos de investimento. Procura-se com esta dissertação analisar as estratégias adequadas para as empresas, nomeadamente as de menor dimensão, de forma a assegurarem a obtenção de financiamentos em períodos de contração económica, procurando-se reunir estudos e experiências de vários autores e outras fontes de informação reconhecidos a nível mundial. Questões como financiamento, crédito, organização, risco, informação, liquidez, crise serão pontos de partida para compreender melhor as alterações que se verificam no contexto económico mundial e que limitam a atuação das empresas e suas estratégias. Procurar-se-á, assim, dar resposta às questões: - Quais as alterações nos critérios de aferição do risco usados pelas instituições bancárias para analisar as empresas em ciclos de contração da economia? - Qual a informação relevante que as empresas deverão saber fornecer aos Bancos para melhor aceder ao crédito? - Que implicações organizacionais e estruturais deverão as empresas cumprir para “assegurarem/oferecerem” menor risco?
The point of this essay is the growing importance that the credit has for companies, and the need that these have to adapt and know the parameters they have to follow in order to get finance from the Credit Institutions. In the actual period where the financial resources are scarce and we are feeling a significant slowdown in several areas of the economy, it is important that the company management knows if they should implement saving or expansion strategies in regards to their investment. In this essay the objective is to analyse the most adequate plans to be put in place by companies, including those companies of a smaller size, this way they will ensure to get finance in periods of economic depression. Questions such as financing; credit; organisation; risk; information; liquidity and crisis are starting points to better understand the changes that we see in the worldwide economic context and that mimic the companies actions and their strategies. I’ll endeavour, in this essay, to give answer to: - What are the changes in the elements of risk analysis used by the banks to evaluate companies in times of economic depression? - What kind of information companies have to give banks in order to be given credit? - What organisational and structural changes must a company comply to in order to offer less risk?

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24

Rodríguez-Manrique, Alan-Richard. "Prueba de estrés de riesgo de crédito, mercado y liquidez en la banca múltiple del Perú." Bachelor's thesis, Universidad de Lima, 2016. http://repositorio.ulima.edu.pe/handle/123456789/1165.

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El presente trabajo apunta a cuantificar los impactos en los indicadores de riesgo producidos en un escenario de estrés. El primer capítulo se enfoca en la explicación de los conceptos pertinentes, en las normas de regulación de Basilea y en la definición de la Prueba de Estrés. El segundo capítulo se centra en la descripción de los agentes económicos y en el análisis de las variables económicas y financieras a utilizar en la contrastación de la hipótesis. El tercer capítulo se divide en tres Pruebas de estrés ligadas a un tipo de riesgo en específico: riesgo de crédito, riego de mercado y riesgo de liquidez. En cada Prueba de estrés se introduce y aplica un modelo y luego se simulan los distintos escenarios (variaciones en variables) para cuantificar los impactos producidos en los indicadores de riesgo. Finalmente están las conclusiones y recomendaciones ligadas a los resultados del estudio. El trabajo se limita a analizar el conjunto agregado de los 5 principales bancos de operaciones múltiple en el Perú en un umbral de tiempo del año 2001 al año 2014.
Trabajo de investigación

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25

Mendes, Adriana Sofia Ribeiro. "A transição de Basileia II para Basileia III : qual o enfoque que é dado aos riscos nos Acordos de Basileia?" Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6502.

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Mestrado em Finanças
Este trabalho procura analisar o tratamento dado aos riscos ao longo dos “Acordos de Basileia” emitidos pelo Comité de Basileia (BSBC – Basel Committee on Banking Supervision), nomeadamente da evolução de Basileia II para Basileia III. Aborda a forma como tem sido abordado a problemática do risco de crédito, do risco de mercado, do risco operacional e finalmente do risco de liquidez. Para cada um deles é feita uma abordagem que permite explicar e justificar a sua evolução das abordagens de que foram alvo em Basileia I, Basileia II e Basileia III. Defende-se que a evolução que se tem verificado no tratamento dos riscos, está mais ligada a soluções para situações de crise do sistema financeiro, do que para se transformar num sistema de prevenção de situações de risco. Defende-se igualmente que qualquer sistema que possa contribuir para situações de prevenção de risco, devia passar pela separação da banca comercial, da banca de investimentos, com abordagens diferentes em termos de adequação de capital.
This paper seeks to analyze the treatment given to the risks over the "Basel Accords" issued by the Basel Committee (BSBC – Basel Committee on Banking Supervision), in particular the development of Basel II to Basel III. Discusses how the issue of credit risk, market risk, operational risk and finally the liquidity risk has been addressed. For each one of them, we make an approach that allows explaining and justifying their evolving approaches in Basel I, Basel II and Basel III. Argues that the evolution that has occurred in the treatment of risks, is more linked to solutions to situations of crisis in the financial system, than to become a system of prevention of situations of risk. It also advocates that any system that can contribute to situations of risk prevention should pass through the separation of commercial banking, investment banking, with different approaches in terms of the capital adequacy.

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Federmannová, Alice. "Investiční možnosti obyvatel v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-165523.

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The aim of this thesis is to evaluate the possibility of household investment in the money market in the Czech Republic. In the theoretical section we can find details of the cash market and its segments. Followed by financial institutions and relevant indicators influencing investor decisions. The practical part is focused on specific financial products. They are mutually compared and evaluated in terms of availability and suitability for the small investor. Return, risk and liquidity are also taken into account.

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27

Marra, Miriam. "Credit markets and liquidity." Thesis, University of Warwick, 2012. http://wrap.warwick.ac.uk/55106/.

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In the light of the events of the recent financial crisis and of the increased importance of liquidity for the functionality of firms and financial markets, this thesis studies how a lack of liquidity (illiquidity) can affect the prices of credit derivatives and how illiquidity can propagate across credit and equity markets. The thesis incorporates three self-contained research papers. The first paper (Chapter 2) examines the effect of liquidity on the pricing of senior structured and unstructured credit indices (Senior Tranche of CDX.NA.IG Index and AAA Corporate Bond Index) over the period 2006-2009. The paper reveals that for both instruments the credit spreads align over time with the returns and the volatility of the equity market and with interest rates, as suggested by the structural model theory (Merton, 1974). However, it also shows that during the subprime crisis the highly-rated tranche of the CDX.NA.IG Index suffered from a substantial discount due to the lack of depth in the relevant markets, the scarcity of risk-capital, and the high liquidity preference exhibited by investors. By contrast, market liquidity and funding liquidity are found to be less significant in explaining the increase in the spread of the AAA Bond Index. The second paper (Chapter 3) investigates the existence of illiquidity commonality across equity and credit markets and the potential channels that can explain this phenomenon. Illiquidity appears to co-move across equities and credit default swaps in particular over crisis periods. For most firms, illiquidity is transmitted from one market (CDS) to the other (equity). Higher funding costs, market volatility and firms' systematic risk cause the equity-CDS illiquidity commonality to increase. However, the illiquidity commonality is also strongly related to the debt-to-equity hedge ratio which captures the arbitrage linkage between equity and CDSs. The paper shows that the illiquidity contagion across two fundamentally-linked assets can be generated by higher demand of liquidity for hedging and speculative trading. The third paper (Chapter 4) studies possible explanations for the credit spread puzzle. First, the paper shows that the credit spread puzzle can be partially explained by investors' aversion to a firm's extreme losses. The paper implements a novel calibration of the Merton (1974) model to a measure of sensitivity of CDS premia to equity volatility (which captures changes in the fat left tail of the firm's risk-neutral distribution). The predicted CDS premia are higher than those obtained using more traditional calibration methodologies, but still lower than those observed in the market. Therefore, the paper turns to studying the effects of investors' ambiguity aversion and CDS market illiquidity on CDS premia. The results show that when a market is illiquid and uncertainty is greater, sellers of credit default swaps charge more and CDS premia increase.

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Ferabolli, Cristina. "Fatores de influência à securitização bancária no Brasil." Universidade do Vale do Rio dos Sinos, 2014. http://www.repositorio.jesuita.org.br/handle/UNISINOS/4090.

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Made available in DSpace on 2015-06-30T01:26:23Z (GMT). No. of bitstreams: 1 CristinaFerabolli.pdf: 1444963 bytes, checksum: 3a500787cd63e67d3ffdedda874efc97 (MD5) Previous issue date: 2014
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Esta pesquisa teve como objetivo analisar os principais fatores que levaram os bancos brasileiros a utilizarem instrumentos de securitização no período de 2005 a 2012. Avaliou-se ainda o cenário da crise financeira mundial e a se a mesma modificou o padrão da securitização no mercado brasileiro. Os resultados obtidos através da aplicação do modelo de regressão logística em uma amostra de 643 observações indicam que a liquidez é o principal fator determinante na opção pela securitização, seguido pelo capital regulatório. Além disso, o tamanho do banco também apresenta relevância estatística, sinalizando possíveis ganhos de escala nas operações de securitização. Não foram encontradas evidências de utilização da securitização por transferência de risco de crédito e por performance, nem evidências de mudanças no padrão da securitização, no Brasil, no período pré e pós crise.
This research aims to analyze the main factors leading Brazilian banks to use securitization instruments in the period of 2005-2012. It was also evaluated the scenario of the global financial crisis and whether it changed the pattern of securitization in Brazil. The results obtained by applying the logistic regression model in a sample of 643 observations indicate that liquidity is the main determining factor in the choice of securitization, followed by regulatory capital. Moreover, the size of the bank also presents statistical relevance, signaling possible economies of scale in securitization transactions. There is no evidence of the use of securitization for credit risk transfer and performance, nor evidence of changes in the pattern of securitization, in Brazil, in the pre and post crisis.

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Ginterienė, Elena. "Iždo rizikų strateginio valdymo poveikio įvertinimas akcinės bendrovės „Mažeikių nafta“ finansinių išteklių formavimui." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2007. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2007~D_20070816_162139-32598.

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Dauguma šiuolaikinių finansų valdymo ir investicijų mokslinių darbų akcentuoja finansinės rizikos valdymo svarbą finansinių institucijų veiklai. Augančioje finansų rinkoje aktyviais dalyviais tampa įmonės, kurių ilgalaikei sėkmei įtakos turi finansinių lėšų valdymas. Magistro darbe išanalizuoti ir susisteminti įvairių Lietuvos ir užsienio autorių teoriniai ir praktiniai iždo rizikų valdymo aspektai, sukeliantys riziką veiksniai, rizikos rūšys, iždo rizikų įvertinimo ir valdymo metodai. Parodyta, kad pagrindinis rizikos valdymo tikslas nebūtinai yra jos išvengti, o suprasti kritinius rizikos veiksnius ir profesionaliai juos valdyti. Atlikus analizę AB „Mažeikių nafta“ nustatytos šios iždo rizikos: rinkos (valiutų kurso, palūkanų normos, biržinių prekių kainos kitimo), likvidumo, kredito, operacinė. Panaudojus rizikos vertės VaR@95% metodo skaičiavimus, įvertintas iždo rizikų poveikis bendrovės finansinių išteklių formavimui. Patvirtinta autorės suformuluota mokslinio tyrimo hipotezė, kad iždo rizikų strateginis valdymas įmonėje stabilizuoja įmonės pinigų srautus, sumažina įmonės nuostolius dėl finansų rinkos neigiamų pokyčių, pagerina pelningumo prognozavimą.
Most of today’s finance management and investment scientific papers emphasize the importance of finance risk management for the financial institution activities. The companies the long-term success of which comes from the funds management become the active participants in the growing financial market. The Master’s Thesis analyses and systemizes the theoretical and practical aspects of treasury risk management, factors causing risk, types of risks, methods of treasury risk evaluation and management as described by various Lithuanian and foreign authors. It identifies that the main goal of risk management is not necessarily to prevent the risk but to understand the critical risk factors and manage them in professional way. After the analysis has been made the following treasury risks were identified for AB Mažeikių Nafta: market (currency rate exchange, interest rate, commodity price fluctuation), liquidity, credit, operations. Using risk value VaR@95% method calculations the treasury risk impact to the formation of the company financial resources was evaluated. The scientific research hypothesis of the author stating that treasury risk strategy management in the Company stabilizes the Company’s cash flows, reduces loses resulted from negative changes in the finance market, improves the profitability forecasting was proved to be correct.

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Ekman, Melker, and Andreas Tibell. "Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden." Thesis, Umeå universitet, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904.

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När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept inom finansvärlden är att risk har en stark koppling till avkastning. När emittenten av obligationen inte kan återbetala överenskommen utdelning eller principiellt lånebelopp så klassas detta som en betalningsinställelse. Eftersom det generellt sett är större risk för en betalningsinställelse för ett företag än för en stat, så vill investerare bli kompenserade för den extra risken de tar sig an. Den totala risken som utgör skillnaden i avkastning kan i sin tur delas upp i flera olika riskkomponenter. Syftet med vår uppsats är att undersöka ifall likviditetsrisk, ränterisk och kreditrisk har en effekt på kreditspread för företagsobligationer på den svenska marknaden. Med detta som bakgrund så har vi samlat in historiska data på förfallna obligationer under de senaste 10 åren via databaserna Thomson Reuter Datastream och Eikon. Vi har sedan laddat ned obligationsspecifika egenskaper i form av finansiella nyckeltal för samtliga obligationer. Dessa nyckeltal har valts för att till bästa förmåga representera och mäta respektive risk. Exempelvis så har vi använt oss av nyckeltalet “bid-ask-spread” för att mäta likviditetsrisk hos en obligation. För att undersöka sambandet mellan våra valda risker och kreditspread så genomförde vi ett hypotestest. Vi skapade en nollhypotes och en alternativhypotes som vi sedan testade med hjälp av en multipel regression. Nollhypotes (H0): Studiens utvalda variabler har inte en effekt på den kreditspread hos svenska företagsobligationer Alternativhypotes (Ha): Studiens utvalda variabler har en effekt på den kreditspread hos svenska företagsobligationer Slutsatsen var att vi kunde statistiskt påvisa ett positivt samband mellan riskernas storlek och storleken på obligationens kreditspread. Detta gjordes både för riskerna var för sig och för modellen när den blev testad i sin helhet. Den bakomliggande teorin bakom variablerna kunde därför antas vara korrekt även vid applicering på svenska marknaden för det senaste decenniet. Vi har som ambition att denna studie skall kunna agera som ett verktyg för fundamental analys för framtida investerare samt vidare studier inom området obligationer på svenska marknaden

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Mulaudzi, Mmboniseni Phanuel. "The subprime mortgage crisis : asset securitization and interbank lending / M.P. Mulaudzi." Thesis, North-West University, 2009. http://hdl.handle.net/10394/5097.

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Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal.
Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

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Seemann, Harald. "Applications of credit derivatives opportunities and risks involved in credit derivatives." Hamburg Diplomica-Verl, 2007. http://d-nb.info/988193566/04.

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Seemann, Harald. "Applications of credit derivatives : opportunities and risks involved in credit derivatives /." Hamburg : Diplomica Verl, 2008. http://d-nb.info/988193566/04.

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Demirovic, A. "The interaction between equity and credit risks." Thesis, University of the West of England, Bristol, 2013. http://eprints.uwe.ac.uk/21581/.

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Equity and debt are two distinct classes of securities in terms of investing risks and potential return, but their value depends on the same underlying assets of the firm and therefore the risk-return tradeoff of each security should be systematically related. Following a review of the principal theoretical approaches to the measurement of equity and credit risks, this thesis utilizes a sample of matched firm-level equity and corporate bond data to examine three aspects of risk interaction. First, it investigates the importance of idiosyncratic and systematic equity risks in determining the credit spread on corporate bonds. Second, the thesis investigates how equity and credit risks themselves impact upon the correlation between equity and bond returns. Finally, the thesis examines whether the credit sensitive information contained within financial accounting data is fully reflected in equity prices. The empirical approach adopted in this thesis is to relate the credit spread and the conditional correlation between equity and bond returns with both equity and credit risk indicators and financial accounting variables. This methodological approach enables an extension of the existing literature on several dimensions, leading to a number of empirical results which have important theoretical and practical implications for the integrated management of equity and credit risks. Consistent with existing empirical studies, equity and credit risks are found to exert a positive impact upon the credit spread. Surprisingly, equity volatility is found to significantly outperform the distance to default in terms of explanatory power. Further, the impact of equity volatility increases monotonically as the distance to default narrows. The conditional correlation between equity and bond returns is found on average to be positive and to vary over time, peaking during the 2007 financial crisis. Finally, an increase in credit risk has a positive impact upon the correlation while an increase in equity risk is found to strengthen the correlation only if the firm’s credit risk is high.

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Sushkova, Alina. "Formováni cen a výnosností obchodovatelných dluhopisů neobchodovatelných emitentů - "dluhopisové IPO"." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264555.

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The diploma thesis focuses on issuance of the primary bond by non-financial companies on the Prague Stock Exchange (PSE). In the theoretical part were described the main parameters of securities and financial indicators of companies that build the risk premium and discussed options of risk-free base. The application part presents the evaluation of major factors influencing price and bond rates on the example of emissions carried on the PSE.

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ARRUDA, THIAGO DE GOUVEA SCOT DE. "LIQUIDITY CONSTRAINTS AND INFORMATION ASYMMETRY IN CREDIT CARD MARKETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25495@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
Esse trabalho investiga a existência de restrição à liquidez e informação assimétrica no mercado de cartões de crédito. Utilizando microdados de uma administradora de cartões, exploramos variações quase-experimentais nos limites de crédito com os quais os clientes se deparam para estimar a resposta de tomada de dívida e posterior repagamento frente a aumentos de liquidez. Observamos elevação imediata de dívidas no rotativo frente a aumentos de limite, sendo tal efeito ainda mais pronunciado para clientes com alta utilização do cartão, resultados consistentes com existência de restrição à liquidez. Encontramos também evidências robustas de que extensões de limite elevam probabilidade de default durante um longo período após aplicação da política, resultado que justifica a imposição de limites de crédito pelo emprestador.
This work investigates the existence of liquidity constraints and information asymmetry in a credit card market. Using microdata from a credit card issuer, we exploit quasi-experimental variation on clients credit limits to estimate the effect of liquidity extensions on borrowing and later repayment. We document an immediate rise in revolving debt, especially for those clients close to their credit limit, a result consistent with binding liquidity constraints. We also find robust evidence that limit extensions increases default probability over a long time span, a result that justifies the imposition of credit limits.

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Ekpinda, Niamien Eric. "Three essays on credit unions : capital, liquidity and lending." Doctoral thesis, Université Laval, 2020. http://hdl.handle.net/20.500.11794/67311.

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Cette thèse étudie différentes questions en lien avec la régulation des coopératives de crédit (CC, credit unions en anglais), et plus particulièrement les régulations de capital et de liquidité. Elle comprend trois essais. Les données utilisées proviennent essentiellement du National Credit Union Administration (NCUA) des États-Unis. Dans le premier essai, nous étudions l’effet du capital sur les activités de prêt des CC en utilisant les régressions quantiles. Nous trouvons que la croissance des prêts des CC diminue à mesure que leur ratio de capital augmente, et cela pour les 60 premiers centiles du taux de croissance des prêts. Pour chaque quantile, l'impact négatif est plus marqué lors de la crise financière de 2007-2009. Les résultats ne sont pas identiques pour les CC complexes (taille des actifs > 100 millions$-US) et les CC non-complexes (taille des actifs ≤ 100 millions$-US). Pour les CC non complexes, des ratios de capital plus élevés se traduisent par un taux de croissance des prêts plus faible pour la plupart des quantiles, tandis que le ratio de capital n'est pas déterminant dans la croissance des prêts des CC complexes. Dans cet essai, nous fournissons également un moyen de tester laquelle de la demande ou de l'offre est le facteur le plus important de la variation des prêts pour les CC. Dans le deuxième essai, nous analysons l’interaction entre le capital et la liquidité dans les CC. L’essai examine le comportement d'ajustement de la liquidité des CC à la suite de chocs exogènes de capital. Nous trouvons en premier lieu que la majorité des CC non complexes auraient satisfait à l’exigence du ratio de liquidité NSFR s’il avait été en vigueur tandis que les CC complexes n’y auraient pas satisfait. De plus, après avoir subi des chocs exogènes du capital, les CC non complexes augmentent leur position de liquidité tout en améliorant simultanément leur ratio de capital, ce qui n'est pas le cas pour les CC complexes. Ainsi, malgré l'absence de réglementation explicite de la liquidité imposée aux CC américaines, il existe une synergie entre le capital et la liquidité de sorte que les normes minimales de capital réglementaire suffisent à elles seules à atténuer, au moins en partie, le risque d'insolvabilité et le risque d'illiquidité dans les CC non complexes. Dans le troisième essai, nous testons si et comment les CC américaines gèrent activement leurs ratios de liquidité, et estimons la vitesse d'ajustement pour chaque CC séparément. La majorité des coopératives gèrent activement un ratio de liquidité assimilable au NSFR. Pour ce ratio de liquidité, les ajustements au niveau du passif du bilan sont plus fréquents que celles au niveau de l’actif mais les vitesses d'ajustement au niveau de l'actif sont plus élevées. Les CC qui ont une taille plus grande, celles dont le taux de croissance des prêts est plus élevé et celles dont le niveau de liquidité est plus bas, sont plus susceptibles de gérer activement leurs ratios de liquidité.
This thesis studies different questions related to the regulation of credit unions (CUs), and more particularly the capital and liquidity regulations. It includes three essays. The data used comes mainly from the National Credit Union Administration (NCUA) of the United States. In the first essay, we study the effect of capital on lending activities of CUs using quantile regression. We find that CUs’ loan growth decreases as their net worth ratio increases for the first 60 percentiles of loan growth. For each quantile, the negative impact is stronger during the financial crisis of 2007-2009. The results are not identical for complex CUs (asset size> US$-100 million) and for non-complex CUs (asset size ≤ US$-100 million). For non-complex CUs, higher capital ratios imply lower loan growth rates for most quantiles, while the capital ratio is not determinant in the loan growth of complex CUs. In the first essay, we also provide a way of testing which of demand and supply is the more important driver of loan variation for CUs. In the second essay, we analyze the interaction between capital and liquidity in CUs. The essay examines the adjustment behavior of CUs’ liquidity following exogenous capital shocks. We find that the majority of non-complex CUs would have met the NSFR requirement if it had been in effect, while complex ones would not have. Moreover, after experiencing exogenous capital shocks, non-complex CUs increase their liquidity position while simultaneously improving their capital ratio, which is not the case for complex CUs. Thus, despite the absence of explicit liquidity regulation imposed on CUs, there is a synergy between capital and liquidity such that minimum regulatory capital standards alone are enough to mitigate, at least partly, both insolvency risk and illiquidity risk in noncomplex CUs. In the third essay, we test whether and how CUs actively manage their liquidity ratios and estimate the adjustment speed for each CU separately. The majority of CUs actively manage a liquidity ratio consistent with the NSFR. Adjustments on the liability side are more frequent but adjustment speeds on the asset side are higher. Larger CUs, CUs with higher loan growth rates and CUs with lower liquidity ratio levels are more likely to actively manage their liquidity ratios.

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Renne, Jean-Paul. "Regime switching in bond yield and spread dynamics." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090038/document.

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Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de causalité entre deux types de tensions: celles liées à des motifs de liquidité et celles liées à des motifs de crédit (chapitre 4). Enfin, l'influence de la politique monétaire sur la courbe des taux est examinée grâce à un modèle dans lequel une utilisation innovante des changements de régime permet de produire des trajectoires réalistes des taux directeurs de la banque centrale (chapitre 5)
This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5)

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Badaoui, Saad. "Sovereign default and liquidity risks in the bond and CDS markets." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/10686.

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This thesis focuses on the different liquidity issues specific to the sovereign Credit Default Swap (CDS) market. As a first step, we present an empirical study of the pricing effect of liquidity and systematic liquidity risk in the sovereign CDS spreads. We do find a large evidence that the risk premium priced above the sovereign default risk is mainly driven by both bond and CDS liquidity risk, which implies that liquidity plays an important role in CDS spread movements. Secondly, we use a factor model in order to decompose sovereign CDS spreads into default risk, liquidity and correlation components. The main objective is to measure the weight of liquidity in the CDS spreads not by using liquidity proxies such as bid-ask spreads or volumes but by calibrating the model to the data. Our analysis reveals that sovereign CDS spreads are highly driven by liquidity (55.6% of default risk and 44.32% of liquidity) and that sovereign bond spreads are less subject to liquidity frictions and therefore could represent a better proxy for sovereign default risk (73% of default risk and 26.86% of liquidity). Our empirical results advance the idea that the increase in the CDS spreads observed during the crisis period was mainly due to a surge in liquidity rather than to an increase in the default intensity. Finally, we focus on the dynamic properties of the risk neutral liquidity risk premium embedded in the term structure of sovereign CDS spreads. We show that liquidity risk has a non-trivial role and participates directly to the variation over time of the term structure of sovereign CDS spreads. Our results show that CDS buyers earned a liquidity premium only during the pre-crisis period.

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Pereira, Patrícia Alexandra Gomes. "Risco de liquidez vs risco de crédito : Análise Empírica das Yields da Dívida Corporate e dos Spreads dos CDS." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2441.

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Mestrado em Finanças
Este estudo evidencia o impacto e a relevância do risco de liquidez sobre as yields da dívida corporate europeia, durante o período da crise do subprime.O prémio de liquidez estimado por comparação do spread das yields das obrigações corporate com o prémio dos credit default swaps, cresceu consideravelmente, em valores absolutos, nos meses de maior perturbação nos mercados financeiros. Em termos relativos, a importância do prémio de liquidez também observou uma tendência crescente, com algumas oscilações significativas, ao longo do período em análise, representando em média, aproximadamente 40% da yield corporate spread. Neste sentido, em períodos de stress dos mercados, este estudo advoga a necessidade de se considerar um prémio de liquidez adicional na taxa juro de desconto, utilizada no âmbito das metodologias de avaliação mark-to-model dos activos financeiros, propondo uma estimativa do respectivo valor, por sector de actividade
In this study we highlight the importance of the liquidity risk on the european corporate bonds yields, during the subprime crises. We were able to demonstrate that the liquidity premium, calculated as the difference between the corporate bond yield spread and the credit default swaps premium, has grown significantly, during the recent market turmoil. The size of the liquidity premium on the yield corporate spread has also demonstrated a growing trend, with punctual high volatility, during the time frame of the study, representing in average, roughly 40% of the yield corporate spread. As a result, in periods of market stress, this study advocates the need of an additional liquidity premium on the discount rate, used on the financial asset valuation methodologies known as mark-to-model, suggesting an estimate of the respectively adjustment by market sector.

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41

Reichenbacher, Michael [Verfasser], and M. [Akademischer Betreuer] Uhrig-Homburg. "Managing Liquidity Risks in Bond Markets / Michael Reichenbacher ; Betreuer: M. Uhrig-Homburg." Karlsruhe : KIT-Bibliothek, 2021. http://d-nb.info/1238148360/34.

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42

ANSELMI, GIULIO. "ESSAYS ON OPTION IMPLIED VOLATILITY RISK MEASURES FOR BANKS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2016. http://hdl.handle.net/10280/10402.

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La tesi comprende tre saggi sul ruolo della volatilità implicita per le banche. La tesi è organizzata in tre capitoli. Capitolo I - studia il ruolo di skew e spread della volatilità implicita nel determinare i rendimenti delle azioni bancarie. Capitolo II - analizza gli effetti degli skew della volatilità implicita e della realized volatility sulla leva finanziaria delle banche. Capitolo III - si focalizza sul rapporto tra il coefficiente di liquidità delle banche e le misure per il rischio estratte dalla volatilità (skew, spread, realized volatility).
The thesis comprehends three essays on option implied volatility risk measures for banks. The thesis is organized in three chapters. Chapter I - studies the informational content for banks' stock returns in option's implied volatilities skews and spread. Chapter II - analyzes the effect of volatility risk measures (volatility skew and realized volatility) on banks' leverage. Chapter III - studies the relationship between banks' liquidity ratio and volatility risk measures.

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Torello, Eugenia Josefina Fernandez. "Liquidity shocks and their effects on entrepreneurship." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-21012016-122711/.

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The objective of this study is to analyze how liquidity shocks affect households\' decisions related to entrepreneurial activities in order to identify whether households are liquidity constrained. This study focused on households\' responses to anticipated income shocks, via the receipt of pension benefits, since under complete markets, decisions should not be affected by a liquidity shock when the timing and amount of that shock are known. We exploited the fact that eligibility rules for old age pension were partially determined by age and used a Fuzzy Regression Discontinuity Design to estimate the causal effects. The results suggest that Brazilian small business owners in the informal sector of the economy are liquidity constrained.
O objetivo do presente trabalho é analisar como choques de liquidez afetam as decisões de empreendedorismo dos domicílios a fim de identificar se os domicílios têm restrições de liquidez. Esse trabalho teve como foco a análise das respostas dos domicílios a choques antecipados de renda, advindas da aposentadoria, desde que com mercados completos, decisões não devem ser afetadas por um choque de liquidez quando o momento e a quantidade do choque são conhecidos. Utilizamos regressão descontínua para estimar este efeito causal, dado que a elegibilidade para aposentadoria por idade é parcialmente determinada pela idade do indivíduo. Os resultados sugerem que proprietários de pequenas empresas brasileiras do setor informal da economia sofrem problemas de liquidez.

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Choong, Lily Siew Li. "Default and market risks of contingent claims." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264668.

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Tasic, Nikola. "Financial intermediation and economic growth bank credit maturity and Its determinants /." unrestricted, 2007. http://etd.gsu.edu/theses/available/etd-11302007-000122/.

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Thesis (Ph. D.)--Georgia State University, 2007.
Title from file title page. Neven T. Valev, committee chair; Sally Wallace, Vassil T. Mihov, Felix K. Rioja, Shiferaw Gurmu, committee members. Electronic text (105 p. : ill.) : digital, PDF file. Description based on contents viewed June 19, 2008. Includes bibliographical references (p. 98-104).

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Aerni, Matthias. "Public disclosure of market and credit risks : risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks /." [S.l.] : [s.n.], 1999. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008789196&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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van, Loon Paul Rene Frank. "Empirical studies in corporate credit modelling : liquidity premia, factor portfolios & model uncertainty." Thesis, Heriot-Watt University, 2017. http://hdl.handle.net/10399/3259.

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Insurers match the cash flows of typically illiquid insurance liabilities, such as in-force annuities, with government and corporate bonds. As they intend to buy corporate bonds and hold them to maturity, they can capture the value attached to liquidity, without running the market liquidity risk that is associated with having to sell bonds in the open market. During the long consultation period dedicated to the mark-to-market valuation of insurance assets and liabilities for the Solvency II regulatory framework, CEIOPS noted the importance of the accurate breakdown of the credit spread into its components, most notably the credit and non-credit (i.e. liquidity) components. In this thesis we review many modelling efforts to isolate the liquidity premium and propose a reduced-form modelling approach that relies on a new, relative liquidity proxy. Challenging the status quo when it comes to active and passive investment strategies, products and funds, Exchange Traded Funds and `smart-beta' products provide investors with straightforward ways to strategically expose a portfolio to risk drivers, raising the bar for traditional investment funds and managers. In this thesis, we investigate how traditional sources of equity outperformance (alpha), such as small caps, low volatility and value, translate to UK corporate bonds. For automated trading strategies in corporate bonds, and those with specific factor exposure requirements in particular, transaction costs, rebalancing and an optimal turnover strategy are crucial; these aspects of building factor portfolios are explored for the UK market. Since the financial crisis, mathematical models used in finance have been subject to a fair amount of criticism. More than ever has this highlighted the need of better risk management of financial models themselves, leading to a surge in `model validation' roles in industry and an increased scrutiny from regulatory bodies. In this thesis we look at stochastic credit models that are commonly used by insurers to project forward credit-risky bond portfolios and the model uncertainty and parameter risk that arises as a result of relying on published credit migration matrices. Specifically, our investigation focuses on two violations of the Markovian process that credit transitions are assumed to follow and statistical uncertainty of the migration matrix.

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Chen, Yu-Cheng, and 陳昱丞. "Extracting Liquidity Risks Factors by Credit Default Swap Quotation and Corporate Bond Yield." Thesis, 2019. http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5304001%22.&searchmode=basic.

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碩士
國立中興大學
財務金融學系所
107
Credit Default Swap (CDS) developed in early 2000 and reached its peak in 2008. However, after the financial crisis, the chain reaction of derivatives caused huge losses to investors. The practice experts have imposed strict controls on derivatives and theorists conducted deep research on derivatives. The previous literature shows that CDS can show pure default risk. The buyers of CDS have to pay the loss due to bond default to sellers. Therefore, compared with bond yield, the risk of CDS is considered to focus on default risk. As the research on CDS becomes more and more in-depth, more and more literature focuses on the risk of CDS besides default risk. This study selects the average of the CDS ask price and bid price as the variable of the subsequent estimated default factor, because the average price covers the price information of both the buyer and the seller. In the bond section, the bond yield is used as the estimate the variable of the default factor, the yield is the necessary rate of return required by the investor, and includes the portion of default premiums and liquidity premiums. This study puts these two variables into Unscented Kalman Filter with maximum likelihood estimation, to predict default factor. Because default factor is considered to be more likely to be true default rate of firms. We use Principal Component Analysis(PCA) to extract original liquidity factor which contains noise, then we put default factor and original liquidity factor into regression to extract new liquidity factor. In the end, we observe if new liquidity factor can explain better than original liquidity factor. Empirical results show that there is no significant difference between new and original liquidity factor to explain market interest rate. After we take macroeconomic factor as control factor, the explanatory power between new and original is still not significantly different.

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49

Cadena, Ibarra Juan Marcelo [Verfasser]. "On modeling and measuring credit, recovery and liquidity risks / vorgelgt von Juan Marcelo Cadena Ibarra." 2010. http://d-nb.info/1002664098/34.

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50

Jian, Hong-Yu, and 簡宏宇. "Extracting liquidity risk factors for credit default swap spreads." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/a69mx9.

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Abstract:

碩士
國立中興大學
財務金融學系所
106
In 2008, the financial crisis caused the world economy to dramatic decline, mainly due to financial credit contraction and rising liquidity risks of banks. In addition, it has also been related to the booming of financial derivatives among Credit default Swap in recent years. CDS has increased sharply over the five year. While the previous literature considers that the characteristic of the CDS itself is the payment of the credit spread, so the CDS spread are considered to be less liquidity risks than the corporate debt in relation to corporate bonds. But more and more researches reflect it contains liquidity risks. So we are interested to find out the default factors and liquidity factors reflected in the CDS spreads, respectively, through Maximum Likelihood Estimation with Unscented Kalman Filter finding of default factors and the use of principal component analysis to identify the traditional liquidity factor, and then through the default factor and the traditional liquidity factor to find out the pure liquidity factor that this paper hopes to extract. We want to show the pure liquidity factor is there a higher explanatory power than the traditional liquidity factor. Empirical results show that not put the control variable, the pure liquidity factor has a higher explanatory power to the market interest rate factor than the traditional liquidity factor, but there is no significant difference in its explanatory power. After adding the total control variables, we found that new liquidity factor has better explanatory power in most of model in this study, but except the SLOPE model.

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Dissertations / Theses on the topic 'Liquidity and credit risks'

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