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1
Masutha, Ndinae Nico. "Pricing swaptions on amortising swaps." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29514.
Full textAbstract:
In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods).
2
Guo, Biao. "Essays on credit default swaps." Thesis, University of Nottingham, 2013. http://eprints.nottingham.ac.uk/13101/.
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This thesis is structured to research on a financial derivative asset known as a credit default swap (CDS). A CDS is a contract in which the buyer of protection makes a series of payments (often referred to as CDS spreads) to the protection seller and, in exchange, receives a payoff if a default event occurs. A default event can be defined in several ways, including failure to pay, restructuring or rescheduling of debt, credit event repudiation, moratorium and acceleration. The main motivation of my PhD thesis is to investigate the determinants of the changes of CDS spreads and to model the evolution of spreads. Two widely traded types are corporate and sovereign CDS contracts, the first has as its underlying asset a corporate bond and, hence, hedges against the default risk of a company; the second type hedges against the default risk of a sovereign country. The two contract types have different risk profiles; for example, it is known that liquidity premium with different maturity varies significantly for a corporate CDS but less so for a sovereign CDS because, in contrast with the corporate markets where a majority of the trading volume is concentrated on the 5-year CDS, the sovereign market has a more uniform trading volume across maturities. In light of the difference, this thesis is divided into four parts. Part A introduces the motivation and research questions of this thesis, followed by literature review on debt valuation, with emphasis on default and liquidity spreads modelling. Part B aims at the role liquidity risk plays in explaining the changes in corporate CDS spreads. Part C models sovereign CDS spreads with macro and latent factors in a no-arbitrage framework. Part D concludes this thesis with a list of limitations and further research direction.
3
Wang, Qian Sarah, and 王倩. "The real effects of credit default swaps." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48329575.
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In recent years, concerns have been raised about the real effects of credit default swaps (CDS) on the economy. Different from the hitherto accepted view that derivatives are redundant, CDS may affect the credit risk and strategic liquidity decision of the reference entities. In this dissertation, I use a unique, comprehensive sample covering 901 CDS introductions on North American corporate issuers, between June 1997 and April 2009, to address these questions.
In chapter 2, I investigate whether CDS trading increases the credit risk of the reference entities. I find that the probability of both a credit rating downgrade and bankruptcy increase after the inception of CDS trading. This finding is robust to controlling for the endogeneity of CDS trading in difference-in-difference analysis, propensity score matching, and treatment regressions with instruments. In further corroboration of our basic results, I explore the mechanism behind the increased credit risk after CDS trading, and show that firms with relatively larger amounts of CDS contracts outstanding, and those with more “no restructuring” contracts, are more adversely affected by CDS trading.
In chapter 3, I further investigate the effect of CDS on corporate cash holding policies. U.S. firms are holding more cash than at any time in nearly half a century. I find that CDS trading affects corporate cash holdings. Corporate cash holdings increase after the inception of CDS trading. The impact is significant after controlling for the endogeneity of CDS trading. Moreover, cash-to-assets ratios for firms with larger CDS contracts outstanding, and those with less access to financial market are more affected by CDS trading. The impact of CDS is beyond the direct effect of line of credit on cash holdings.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
4
Levy, Ariel. "Essays on credit default swaps." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1872060451&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Shan, Chenyu, and 陜晨煜. "Credit default swaps (CDS) and loan financing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B5089965X.
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As evidenced by its market size, credit default swaps (CDSs) has been the cornerstone product of the credit derivatives market. The central question that I attempt to answer in this thesis is: why and how does the introduction of CDS market affect bank loan financing? Theoretical works predict some potential effects from CDS market, but empirical evidence is still rare.
This dissertation empirically examines the effects of CDS trading on bank loan financing. In chapter one, I find that banks increase average loan amount and charge higher loan spread after the onset of CDS trading on the borrower’s debt. Also, credit quality of the borrower deteriorates for those with active CDS trading. These findings suggest that banks tend to take on more credit risk by issuing larger loans and by lending to riskier firms that could not obtain bank loan in the absence of CDS. The risk-taking by banks ultimately transmitted to higher bank-level risk profile.
The second chapter is the first empirical study of CDS’ role in determining loan syndicate structure. I find larger lead bank share when CDS is in place. Moreover, participation of credit derivatives trading by lead banks is much larger than by the participants, suggesting that lead banks have better chance to use CDS to their own advantage. Further analysis shows that lead banks retain an even larger share when it is more experienced dealing with the borrower and when information asymmetry between the lender and the borrower is less severe. Different from conventional wisdom about moral hazard in syndicated lending, our findings suggest that the lead bank likely takes on more credit risk voluntarily due to its increased financing capacity.
The third chapter focuses on the effects of CDS on debt contracting. Given that current evidence does not show CDS reduces average cost of debt, we conjecture that the diversification benefit is reflected by relaxation of restrictions imposed on borrowers. Consistent with our hypothesis, we find the marginal effect from CDS trading on covenant strictness measure is 16.8% on average. One standard deviation increase in the number of outstanding CDS contracts loosens net worth covenants by approximately 8.9%. Using various endogeneity controls, we are able to show the loosening of covenants is due to the reduced level of debtholder-shareholder conflict. Furthermore, the loosening effect is stronger when the expected renegotiation cost is larger, consistent with the view that CDS mitigates contracting friction and improves contracting efficiency.
Overall, this dissertation attempts to provide first empirical evidence on how CDS affects bank loan financing. We focus the analysis on loan issuance, syndicate structure and contracting. The findings suggest that banks lend to riskier borrowers in the presence of CDS. On a positive note, banks tend to impose less restrictive covenants on its borrower, which may mitigate frictions in lending market in terms of ex ante bargaining and ex post renegotiation cost.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
6
Rauch, Johannes. "Discretisation-invariant swaps and higher-moment risk premia." Thesis, University of Sussex, 2016. http://sro.sussex.ac.uk/id/eprint/61473/.
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This thesis introduces a general framework for model-free discretisation-invariant swaps. In the first main chapter a novel design for swap contracts is developed where the realised leg is modified such that the fair value is independent of the monitoring partition. An exact swap rate can then be derived from the price aportfolio of vanilla out-of-the-money options without any discrete-monitoring or jump errors. In the second main chapter the P&Ls on discretisation-invariant swaps associated with the variance, skewness and kurtosis of the log return distribution are used as estimators for the corresponding higher-moment risk premia. An empirical study on the S&P 500 investigates the factors determining these risk premia for different sampling frequencies and contract maturities. In the third main chapter the dynamics of conventional and discretisation-invariant variance swaps and variance risk premia are compared in an affine jump-diffusion setting. The ideas presented in this thesis set the ground for many interesting and practically relevant applications.
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Chalioulias, Panagiotis. "Der swap im System aleatorischer Verträge /." Baden-Baden : Nomos, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016031357&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Collin-Dufresne, Pierre. "Quatre essais en finance en temps continu." Jouy-en Josas, HEC, 1998. http://www.theses.fr/1998EHEC0055.
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Les quatre chapitres de cette these portent sur l'evaluation d'actifs financiers dont les prix sont fonctions de variables d'etats qui suivent des processus stochastiques dit d'ito. Les deux premiers chapitres portent plus particulierement sur la modelisation et l'analyse de la structure par terme des taux d'interet en equilibre partiel (la seule restriction imposee est l'absence d'arbitrage). Les deux derniers traitent des restrictions imposees par l'equilibre general sur les prix des actifs financiers et les taux d'interets. Le premier chapitre analyse la structure des taux implicite dans les contrats swap. L'accent est mis, en particulier, sur les relations entre cette structure des taux de swap, les taux libor (taux interbancaires servant de references aux swap) et les structures des taux calculees a partir des obligations d'etat. Le deuxieme chapitre propose un modele de la structure des taux (pour des obligations sans risque de contrepartie) a deux facteurs. L'un des facteurs est lie au niveau des prix des obligations, l'autre a la volatilite des prix des obligations. Le troisieme chapitre analyse les restrictions imposees par l'equilibre general sur la dynamique des prix et des taux d'interet dans une economie d'echange. L'accent est mis sur le cas ou l'agent representatif possede une fonction d'utilite separable dans le temps. Le dernier chapitre, introduit de maniere explicite la monnaie dans un modele d'equilibre general en economie de production, afin d'analyser les relations entre la dynamique de variables "purement" monetaires et l'evolution des prix de contrats financiersThe four chapters of this thesis cover topics in continuous-time asset pricing. A com, mon assumption is that securities, that are being priced, depend on a set of state variables that follow ito processes. The two first chapters focus on term structure modelling in a partial equilibrium setting (the only restriction imposed is the absence of arbitrage). The last two chapters focus on general equilibrium models of asset prices and interest rates. The first chapter develops a model of the term structure of swap rates. It emphasizes the impact of default risk on the relative spreads between the top-quality corporate term structure, the swap term structure and the treasury term structure. The second chapter develops a two-factor model of the term structure of interest rates. One of the factors affects the level of the term structure, the other affects the volatility of bond yields. The third chapter analyses restrictions imposed by a general-equilibrium exchange economy on the dynamics of asset prices and interest rates. A particular emphasis is put on the case of a representative agent with time-separable utility function. The fourth and last chapter introduces money in an international general-equilibrium production economy. It emphasizes the impact of money non-neutrality on asset prices, interest rates and exchange rates
9
Du, Wenxin. "Essays in International Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10902.
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This dissertation consists of three essays in international finance. The first two essays study emerging market sovereign risk with a focus on local currency denominated sovereign bonds. The third essay examines econometric tools for robust inference in the presence of missing observations, an issue frequently encountered by researchers in international finance.Economics
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XUE, Xinshu. "The impact of credit default swaps on corporate investment policy." Digital Commons @ Lingnan University, 2015. https://commons.ln.edu.hk/fin_etd/14.
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Credit Default Swaps (CDSs) play an important role in the financial markets. The introduction of CDSs has impacts on the bond market, and the financial characteristics and creditworthiness of the underlying reference entities. When financing is not frictionless, the investment policies of firms are related to their financial conditions. However, whether or how the introduction of CDS will directly affect the investment policy of the firm has not been examined empirically in the literature. To shed light on this issue, my study investigates the relation between credit default swaps trading and corporate investment policy for the listed firms in the United States using the data of CDS reference entities from 2002 to 2014. I find that the introduction of CDSs is negatively related to the investment decisions of reference entities. Furthermore, the relation is more significant when the reference entities have financial constraints and depend more on external credit supply. Overall, when a listed firm becomes a CDS reference entity, the probability of its underinvestment will increase. The study contributes not only to the growing literature on the relationship between CDS introduction and the reference firm, but also to the literature on corporate investment policy making.
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Zheng, Wendong. "Hedging and pricing of constant maturity swap derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20ZHENG.
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Shen, Yao. "Essays in Corporate Finance and Credit Markets." Thesis, Boston College, 2016. http://hdl.handle.net/2345/bc-ir:106883.
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Thesis advisor: Philp E. StrahanThis dissertation is comprised of three essays which examine the interactions among credit market innovation, corporate finance, and information intermediaries. In the first essay, I study the role of credit default swaps (CDS) in reducing credit supply frictions for corporate borrowers. I find that firms whose CDS is included in a major CDS index--the CDX North American Investment Grade index--have significantly lower cost of debt, and in response rely more heavily on debt for external financing. To address the potential endogeneity of index addition, I use a regression discontinuity design by exploiting the index inclusion rule, which allows me to compare firms that are just above and below the index inclusion cutoff. I show that index inclusion improves the liquidity of underlying single-name CDSs, which enables constituent firms' debtholders to better hedge their credit risk exposure. My findings suggest that CDS market benefits investment-grade borrowers by alleviating the supply-side frictions in credit markets. In the second essay, we investigate the role of proxy advisory firms in shareholder voting. Proxy advisory firms have become important players in corporate governance, but the extent of their influence over shareholder votes is debated. We estimate the effect of Institutional Shareholder Services (ISS) recommendations on voting outcomes by exploiting exogenous variation in ISS recommendations generated by a cutoff rule in its voting guidelines. Using a regression discontinuity design, we find that in 2010-2011, a negative ISS recommendation on a say-on-pay proposal leads to a 25 percentage point reduction in say-on-pay voting support, suggesting strong influence over shareholder votes. We also use our setting to examine the informational role of ISS recommendations. In the third essay, I examine how Moody's ratings have responded to the introduction of Credit Default Swap (CDS) market--an important innovation in credit markets in the past decade. I find that ratings quality of CDS firms, measured as default predictive power, improved significantly after the onset of CDS trading, consistent with a disciplining role of the CDS market. I show that ratings become more accurate in terms of less failure to warn (i.e. rating a defaulter too high) which is not accompanied by a rise of false alarms. In addition, rating downgrades are significantly more likely to be preceded by negative outlook or a watch for downgrade. The results are robust to controlling for the endogeneity of CDS trading. Overall, the evidence suggests that, in response to the CDS market developments, Moody's ratings become better at differentiating bad issuers from good ones as opposed to a "cookie-cutter'' approach to more conservative ratings
Thesis (PhD) — Boston College, 2016
Submitted to: Boston College. Carroll School of Management
Discipline: Finance
13
Bopoto, Kudakwashe. "Pricing and hedging variance swaps using stochastic volatility models." Diss., University of Pretoria, 2019. http://hdl.handle.net/2263/73185.
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In this dissertation, the price of variance swaps under stochastic volatility
models based on the work done by Barndorff-Nielsen and Shepard (2001) and
Heston (1993) is discussed. The choice of these models is as a result of properties
they possess which position them as an improvement to the traditional
Black-Scholes (1973) model. Furthermore, the popularity of these models in
literature makes them particularly attractive. A lot of work has been done
in the area of pricing variance swaps since their inception in the late 1990’s.
The growth in the number of variance contracts written came as a result of
investors’ increasing need to be hedged against exposure to future variance
fluctuations. The task at the core of this dissertation is to derive closed or
semi-closed form expressions of the fair price of variance swaps under the two
stochastic models. Although various researchers have shown that stochastic
models produce close to market results, it is more desirable to obtain the fair
price of variance derivatives using models under which no assumptions about
the dynamics of the underlying asset are made. This is the work of a useful
analytical formula derived by Demeterfi, Derman, Kamal and Zou (1999)
in which the price of variance swaps is hedged through a finite portfolio of
European call and put options of different strike prices. This scheme is practically
explored in an example. Lastly, conclusions on pricing using each of the
methodologies are given.Dissertation (MSc)--University of Pretoria, 2019.
Mathematics and Applied Mathematics
MSc (Financial Engineering)
Unrestricted
14
Ilerisoy, Mahmut Sa-Aadu Jarjisu. "Hedging out the mark-to market volatility for structured credit portfolios." Iowa City : University of Iowa, 2009. http://ir.uiowa.edu/etd/381.
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Al-Own, Bassam. "CEO stock-option compensation and the use of credit default swaps in relation to European bank risk." Thesis, Edinburgh Napier University, 2015. http://researchrepository.napier.ac.uk/Output/8800.
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This thesis investigates two main aspects related to the use of credit default swaps (CDS) by European banks. The first area of investigation focuses on the relationship between the CEOs' risk-taking incentives generated by stock option compensation and the usage of CDS by banks. This thesis contributes to the existing literature in risk management with derivatives, which initially assumes that the use of derivatives is intended to reduce firm risk, by distinguishing between CDS use for hedging purposes and CDS use for trading purposes. The relationship between CEOs' risk-taking incentives and CDS use in banks, and the influence of CDS use on bank's risk are investigated based on the purpose of CDS use. This thesis utilises the estimates of the Black-Scholes sensitivity of executives' stock option portfolios to stock return volatility (vega) to test the relationship between CEOs' risk-taking incentives and CDS use. In addition, this thesis distinguishes between the effect of risk-taking incentives on CDS use for hedging purposes, and the effect of risk-taking incentives on CDS use for trading (speculating) purposes. The second key aspect of this thesis is to examine the effect of CDS use on bank risk by distinguishing between the effect of CDS use for hedging purposes and CDS use for trading purposes. The purpose of CDS use that depends upon the managers' risk-taking incentives and the use of CDS can have different implications to the risk profile of the bank. Data for the period of 2006 – 2011 were hand collected from the annual reports of sixty European banks. The sample comprises publicly listed banks from European stock market indices and premier indices of the European Union countries (EU-27). In conducting the empirical testing, the two stages regression approach was used to adjust for the potential endogeneity that could arise between the risk-taking incentives of stock option compensation (vega), and CDS use. The results show a significantly positive relationship between CEOs' risk-taking incentives generated by stock option compensations and CDS use in banks for trading purposes. This implies that higher risk-taking incentives (vega) are associated with greater CDS use for trading purposes. Furthermore, there is a negative linkage between CEOs' risk-taking incentives and CDS use for hedging purposes at weak levels of statistical significance. The results also show strong evidence of a positive linkage between CDS use for trading purposes and bank risk. CDS use for trading purposes is associated with a higher bank's beta and lower distance to default. Further, the results show a positive and significant relationship between CDS use for hedging purposes and bank risk. CDS use for hedging purposes is also associated with a higher beta of a bank and lower distance to default. These results are consistent with the theoretical predictions of Smith and Stulz (1985), who suggest that stock options can influence managers' decisions to use derivatives and lead to greater alignment between the interests of managers and shareholders by mitigating managerial risk aversion. Thus, stock options provide managers with incentives to take on risk. Overall, the evidence presented in this thesis suggests that CEOs' risk-taking incentives derived from stock options compensation is a key determinant of CDS use in banks. Moreover, banks' CDS use increases bank risk regardless of the purpose of its use. Both hedging and speculating CDS activities are associated with a bank's higher risk. This thesis provides an integrated understanding and builds a comprehensive picture of how CEOs' stock option compensation can affect the purpose of CDS use, and how this use influences bank risk. It primarily extends previous empirical literature, which initially looked at derivatives as a risk reduction instrument, by distinguishing between CDS use for hedging purposes from CDS use for trading purposes.
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Qi, Ziqiong. "Credit risk under normal and extreme condition : empirical investigation on European CDS spread changes." Thesis, Rennes 1, 2014. http://www.theses.fr/2014REN1G025/document.
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Cette thèse de doctorat s’articule en trois chapitres. Le premier chapitre s’attache à trouver les déterminants principaux des variations hebdomadaires des marges de CDS, en période normale. Le deuxième chapitre se concentre, quant à lui, sur le comportement des marges de CDS dans les situations extrêmes. Nous exploitons dans ce chapitre les outils couramment employés dans l’analyse du risque systémique (CoVaR et régression quantile). Le troisième et dernier chapitre s’intéresse à l'impact des modifications de notations émises par les agences de rating (sur les marges de CDS). Nous procédons ici à une étude d’événements. Ces trois chapitres, de nature empirique, analysent donc, sous des angles différents. Ils insistent aussi dans leur interprétation sur la dimension sectorielle du marché des CDS. Bien que conçus séparément et indépendamment; les résultats de ces chapitres apparaissent, pour l’essentiel, assez cohérents. Ainsi, dans le premier chapitre, une série d’analyses en composantes principales menées sur les marges de CDS indiquent que le « secteur » constitue un facteur important. Dans le deuxième chapitre, les résultats fournis par la mesure de risque systémique appelée CoVaR suggèrent aussi que les secteurs dirigent le comportement des CDS individuels dans les moments extrêmesThis thesis examines in three empirical essays levels and changes of CDS spread related to largest European companies. In the first chapter, we aim at identifying most important variables that drive CDS spreads in normal market conditions We suggest a list of new microeconomic variables and we find there exist some remaining sector wide common factors. In chapter two, we examine credit risk spillovers of CDS and equity markets under extreme conditions. To this end, we implement among other the very recent CoVaR technology of related entities. We also find here indirect evidences that sectors govern the behavior of individual CDS. In chapter three, we finally undertake a number of event studies on CDS and Equity daily data making use of hand-collected credit rating changes. Among other things, we evidence that both CDS spreads and equity prices move as the rating changes but also that movements differ according to upgrades, downgrades, succession and turnovers
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Neill, Jon Patraic. "Credit Default Swaps Regulation and the Use of Collateralized Mortgage Obligations in U.S. Financial Institutions." ScholarWorks, 2011. https://scholarworks.waldenu.edu/dissertations/1135.
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The fast and easy global movement of capital throughout the financial system, from lenders to borrowers and through intermediaries and financial market participants, has been recognized as a source of instability associated with illiquidity and financial crises. The purpose of this research was to better understand how regulation either enables or constrains capital movement. The theoretical framework comprised 2 contrasting public policymaking models, Arrow's rational-comprehensive model and Kingdon's garbage can model, which were used to derive opposing hypotheses. The research question addressed the nature of the relationship between Credit Default Swaps (CDSs) regulations and the flow of capital into Collateralized Mortgage Obligations (CMOs) when lenders share their borrower-related loan risks through intermediaries with other market participants. This quantitative study was a quasiexperimental time series design incorporating an autoregressive integrated moving average (ARIMA) model using secondary data published by the U.S. government. The 2 independent variables were regulatory periods involving 2 CDSs regulations and the dependent variable was capital in the U.S. financial system that is deployed to CMOs. The Commodity Futures Modernization Act of 2000's ARIMA model (1,2,1) was significant at p < .05 and was negatively correlated to the Emergency Economic Stabilization Act of 2008's ARIMA model (1,1,0), r = -.91, n = 18, p < .001. These results suggest that regulations cannot be relaxed and then reinstated with predictable results. The potential for positive social change is from stable financial institutions that mutually benefit depositors and borrowers.
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Maher, Michel. "Les effets mutuels de la qualification juridique des swaps et des instruments financiers dérivés sur le plan national et international." Thesis, University of Ottawa (Canada), 2003. http://hdl.handle.net/10393/29030.
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Depuis les années 90, on a observé une accélération du changement dans le secteur financier en général et ceci a l'échelle planétaire. Particulièrement innovatrices dans le domaine des instruments financiers, les banques et les maisons de courtage en valeur mobilière ont peut-etre pavé la voie à des restructurations et réorganisations encore plus importantes dans l'ensemble des secteurs de l'économie. Nous pensons qu'à la base, des outils de gestion du risque permettront aux administrateurs de se concentrer davantage sur des objectifs stratégiques de leur entreprise que sur des problèmes d'ordre opérationnel. Nous connaissons en effet, grâce à ce mouvement, une augmentation en volume, en variété et en éfficacité des nouveaux instruments financiers (NIF) et des transactions sur des produits dérivés des titres financiers classiques. Cette thèse vise à développer un cadre d'analyse en ce qui concerne les placements dans les instruments financiers dérivatifs par le moyen de véhicules juridiques transparents. L'intérêt de la question repose sur une base théorique et pratique.
Sur un plan théorique, on constate de plus en plus de difficultés à cerner la nature et la qualification des NIFs. En outre, les instruments financiers dérivatifs, les hybrides, les contrats de crédit croisé ou autres véhicules de placements modernes comportent des éléments d'une telle complexité juridique, financière et fiscale qu'une expertise particulière est parfois nécessaire afin d'en connaître les effets possibles. Bien que l'on sache que les NIFs peuvent servir dans diverses situations en matière de risque financier, il est difficile de cerner exactement les attributs pour lesquels leurs détenteurs en font l'acquisition et si ces raisons sont justifiées. Par exemple on cherchera à savoir si leur qualification officielle est juste et équitable et s'il est opportun de les representer aux états financiers pour les tiers et les lecteurs des rapports annuels. Ceci rappelle les controverses concernant la présentation aux états financiers de passifs éventuels reliés à ces instruments dans des faillites notoires, alors que très peu d'information probante permettait de détérminer avec précision les montants des garanties en cause. Ce n'est qu'après des préjudices importants que toutes ces faits seraient connus de façon claire tandis qu'ils auraient jusqu'alors été voilés sous le couvert de questions théoriques. (Abstract shortened by UMI.)
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Sustersic, Jennifer Lynn. "Do traded credit default swaps impact lenders' monitoring activities? Evidence from private loan agreements." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1339512002.
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Neis, Eric. "Three essays in financial economics." Diss., Restricted to subscribing institutions, 2006. http://proquest.umi.com/pqdweb?did=1158520261&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Karahan, Ceren. "Pricing Inflation Indexed Swaps Using An Extended Hjm Framework With Jump Process." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612741/index.pdf.
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Inflation indexed instruments are designed to help protect investors against the changes in the
general level of prices. So, they are frequently preferred by investors and they have become
increasingly developing part of the market. In this study, firstly, the HJM model and foreign
currency analogy used to price of inflation indexed instruments are investigated. Then, the
HJM model is extended with finite number of Poisson process. Finally, under the extended
HJM model, a pricing derivation of inflation indexed swaps, which are the most liquid ones
among inflation indexed instruments in the market, is given.
22
Neier, Mark. "Pricing of collateralized debt obligations and credit default swaps using Monte Carlo simulation." Thesis, Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2308.
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Bravo, Beneitez Rodrigo. "'Naked’ CDS Regulation and its Impact On Price Discovery in the Credit Markets." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/636.
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This paper seeks to fill a gap in the literature regarding the consequences of banning ‘naked’ Credit Default Swaps (CDS). In particular, I use the European Union’s Ban on ‘naked” Sovereign CDS as an event study to evaluate the impact that banning such derivative products has on the price discovery process in the credit markets. Using both Granger Causality tests and a Vector Error Correction Model, I find that before November 1, 2012, CDS are the clear price leader in the credit markets. However, since the official date the regulation was put into effect, CDS’ price leadership was eroded. Moreover, after the ban, CDS and Bond Yield Spreads are no longer cointegrated in the long run, suggesting that different pricing mechanisms now exist between the two securities
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Mace, Jennifer. "Are CDS Auctions the Tail Wagging the Dog? An Empirical Study of Corporate Bond Return Volatility at the Time of Default." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2212.
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Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around default and of market participants’ attempts to favorably move CDS’s underlying bond prices to achieve more profitable positions around default and emerging from CDS auctions. The analysis is performed by analyzing the effect of a bonds’ inclusion in CDS auctions on bond return volatility around the time of default while controlling for credit risk, illiquidity, firm fundamentals, and other bond-level controls. I find that bond return volatility around default is much higher as a result of a bond’s inclusion in a CDS auction, which serves as indirect evidence of bond price manipulation around default as market participants strive for more profitable CDS auction outcomes and possibly of manufactured credit events. Consistent with previous literature, I also find that bond illiquidity significantly impacts bond return volatility. My results are robust to propensity score matching, implementing double-robust estimators, and controlling for any time-varying cross-sectionally-invariant fluctuations in bond return volatility.
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Koch, Sandra Idelle. "Empirical Evidence of Pricing Efficiency in Niche Markets." Thesis, University of North Texas, 2000. https://digital.library.unt.edu/ark:/67531/metadc2466/.
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Unique and proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected unexpected economic information. The 1Y NC 3M swaption premiums also followed the European one-year into three-month (1Y into 3M) swaption volatilities.
Swaption premiums were computed by pricing non-optional instruments using the quoted 1Y NC 3M swap rates and the par value swap rates and taking the difference between them. Swaption premiums ranged from a slight negative premium to a 0.21 percent premium. The average swaption premium during the study period was 0.02 percent to 0.04 percent. The initial swaption premiums were over 0.20 percent while the final swaption premiums were 0.02 percent to 0.04 percent. Premiums peaked and waned throughout the study period depending on market uncertainty as reflected in major national economic announcements, Federal Reserve testimonies and foreign currency devaluations. Negative swaption premiums were not necessarily irrational or quoting errors. Frequently, traders obligated to provide market quotes to customers do not have an interest and relay that lack of interest to the customer through a nonaggressive quote.
The short-dated 1Y NC 3M swaption premiums closely followed 3M into 1Y swaption volatilities, indicating the 3M into 1Y swaption market closely follows the 1Y NC 3M swaption market and that similar market factors affect both markets or both markets efficiently share information. Movements in 1Y NC 3M swaption premiums and in 3M into 1Y swaption volatilities reflected a rational response by market participants to unexpected economic information. As market uncertainty decreased in the market place, risk measured both by swaption premiums and swaption volatilities decreased; vice verse when economic factors showed increases in economic uncertainty.
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Sauter, Dawn Adell. "Estimating swap credit risk : significance of the volatility input using Monte-Carlo simulation /." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12052009-020238/.
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Benbouzid, Nadia. "Credit risk in the banking sector : international evidence on CDS spread determinants before and during the recent crisis." Thesis, Queen Mary, University of London, 2015. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8912.
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Credit Default Swaps (CDS) instruments - as an indicator of credit risk - were one of the most prominent innovations in financial engineering. Very limited literature existed on the drivers of CDS spreads before the financial crisis due to the opacity of this market and its lack of transparency. First, this thesis investigates the drivers of CDS spread in the UK banking sector, by considering the role of the housing market, over the period of 2004-2011. I find that, in the long-run, house price dynamics were the main factor contributing to wider CDS spreads. In addition, I show that a rise in stock prices lead to higher availability of capital and therefore increased bank borrowing activities, which led to lower credit risk. Furthermore, findings show that with higher aggregate bank liquidity, banks tend to grant more loans to low-income consumers, thus increasing bank credit risk. In addition, in the short-run, I employ the Structural VAR by imposing short-run restrictions to identify the five shocks arising from the CDS spread, the house price index, the yield spread, the TED spread, and the FTSE100. The SVAR findings indicate that a positive shock to house prices significantly increases the CDS spread in the medium-term, in the UK banking sector. In addition, apart from its own shock, the house price shock explains a big part of the variance (nearly 20%) in CDS spread. These results remained robust even after changing the ordering of the variables in the Structural VAR. Second, considering the bank-level factors across 30 countries and 115 banks, I find most significant bank-level drivers of the CDS spread were asset quality, liquidity and the operations income ratio. As such, banks with better asset quality, high levels of liquidity and operations income ratio were subject to lower CDS spreads and credit risk. Furthermore, larger banks were found to be more risky than smaller banks. We have conducted the U-test and our results indicate the presence of a U-shape relationship between bank size and bank CDS spread. It should be noted that in order to ensure that our results are robust, we used several estimation frameworks, including the FE, RE and alternative Generalized Method of Moments (GMM) approaches, which all prove the existence of a U-shape relationship between the CDS spread and bank size. In addition, we find a threshold level of bank size, which shows that banks growing beyond this point are subject to wider CDS spreads. Finally, I consider the difference in financial systems at country-level and regulatory structures at bank-level, in a panel setting, over the period of 2004-2011. At country-level, my findings directly link financial deepening to higher credit risk, reflecting a sign of credit bubble. Besides, at bank-level, I confirm my previous findings whereby asset quality, liquidity and operations income remain significant drivers of the CDS spread.
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Rahman, Zaharuddin Abd. "Islamic perspectives of derivatives : an appraisal of options, swaps and the merits of the Shariah compliant alternatives." Thesis, University of Wales Trinity Saint David, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.683262.
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Doidge, Stephen. "The tax treatment of receipts and accruals arising from equity option contracts." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1007921.
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In this thesis the tax treatment of equity option contracts is examined. The writer gives an overview of the derivatives market in general and discusses the nature and effect of equity options in detail. Limited amendments have been made to the South African Income Tax Act No 58 of 1962 ('the Act') since the emergence of derivative instruments and at present only three types of derivative instruments are recognised: forward exchange and option contracts relating to forward exchange, interest rate swaps based on notional capital amounts and option contracts. Other than section 241 of the Act which deems all receipts and accruals from foreign exchange contracts to be income, the other sections dealing with derivatives do not concern themselves with capital or revenue classification. Accordingly, the classification of receipts and accruals arising from an equity option transaction is generally governed by the ordinary principles of South African tax law with the added problem of there being limited South African case law applying these general prinCiples to such transactions. The research undertaken in this thesis results in the establishment of a framework designed to determine the classification as revenue or capital the receipts and accruals arising from equity option contracts. Speculating, trading and investing in equity options is examined with regard to the general principles of South African tax and available case law. Hedging transactions are analysed with specific reference to their exact nature as well as general tax principles and available case law. The analogy of Krugerrands is used to draw parallels with the tax treatment of receipts and accruals arising from equity options used for hedging purposes. Once the theoretical framework has been established for revenue or capital classification, the actual tax treatment of both revenue and capital receipts is examined with reference to the Act and issues such as the gross income definition, the general deduction formula, trading stock and timing provisions are analysed and applied to receipts and accruals arising from equity option transactions. The thesis concludes with a summary of the findings and recommendations are made based on the research conducted.
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Kchia, Younes. "Semimartingales et Problématiques Récentes en Finance Quantitative." Phd thesis, Ecole Polytechnique X, 2011. http://pastel.archives-ouvertes.fr/pastel-00635436.
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Dans cette thèse, nous étudions différentes problématiques d'actualité en finance quantitative. Le premier chapitre est dédié à la stabilité de la propriété de semimartingale après grossissement de la filtration de base. Nous étudions d'abord le grossissement progressif d'une filtration avec des temps aléatoires et montrons comment la décomposition de la semimartingale dans la filtration grossie est obtenue en utilisant un lien naturel entre la filtration grossie initiallement et celle grossie progressivement. Intuitivement, ce lien se résume au fait que ces deux filtrations coincident après le temps aléatoire. Nous précisons cette idée et l'utilisons pour établir des résultats connus pour certains et nouveaux pour d'autres dans le cas d'un grossissement de filtrations avec un seul temps aléatoire. Les méthodes sont alors étendues au cas de plusieurs temps aléatoires, sans aucune restriction sur l'ordre de ces temps. Nous étudions ensuite ces filtrations grossies du point de vue des rétrécissements des filtrations. Nous nous intéressons enfin au grossissement progressif de filtrations avec des processus. En utilisant des résultats de la convergence faible de tribus, nous établissons d'abord un théorème de convergence de semimartingales, que l'on appliquera dans un contexte de grossissement de filtrations avec un processus pour obtenir des conditions suffisantes pour qu'une semimartingale de la filtration de base reste une semimartingale dans la filtration grossie. Nous obtenons des premiers résultats basés sur un critère de type Jacod pour les incréments du processus utilisé pour grossir la filtration. Nous nous proposons d'appliquer ces résultats au cas d'un grossissement d'une filtration Brownienne avec une diffusion retournée en temps et nous retrouvons et généralisons quelques examples disponibles dans la littérature. Enfin, nous concentrons nos efforts sur le grossissement de filtrations avec un processus continu et obtenons deux nouveaux résultats. Le premier est fondé sur un critère de Jacod pour les temps d'atteinte successifs de certains niveaux et le second est fondé sur l'hypothèse que ces temps sont honnêtes. Nous donnons des examples et montrons comment cela peut constituer un premier pas vers des modèles dynamiques de traders initiés donnant naissance à des opportunités d'arbitrage nocives. Dans la filtration grossie, le terme à variation finie du processus de prix peut devenir singulier et des opportunités d'arbitrage (au sens de FLVR) apparaissent clairement dans ces modèles. Dans le deuxième chapitre, nous réconcilions les modèles structuraux et les modèles à forme réduite en risque de crédit, du point de vue de la contagion de crédit induite par le niveau d'information disponible à l'investisseur. Autrement dit, étant données de multiples firmes, nous nous intéressons au comportement de l'intensité de défaut (par rapport à une filtration de base) d'une firme donnée aux temps de défaut des autres firmes. Nous étudions d'abord cet effet sous des spécifications différentes de modèles structuraux et sous différents niveaux d'information, et tirons, par l'exemple, des conclusions positives sur la présence d'une contagion de crédit. Néanmoins, comme plusieurs exemples pratiques ont un coup calculatoire élevé, nous travaillons ensuite avec l'hypothèse simplificatrice que les temps de défaut admettent une densité conditionnelle par rapport à la filtration de base. Nous étendons alors des résultats classiques de la théorie de grossissement de filtrations avec des temps aléatoires aux temps aléatoires non-ordonnés admettant une densité conditionnelle et pouvons ainsi étendre l'approche classique de la modélisation à forme réduite du risque de crédit à ce cas général. Les intensités de défaut sont calculées et les formules de pricing établies, dévoilant comment la contagion de crédit apparaît naturellement dans ces modèles. Nous analysons ensuite l'impact d'ordonner les temps de défaut avant de grossir la filtration de base. Si cela n'a aucune importance pour le calcul des prix, l'effet est significatif dans le contexte du management de risque et devient encore plus prononcé pour les défauts très corrélés et asymétriquement distribués. Nous proposons aussi un schéma général pour la construction et la simulation des temps de défaut, étant donné qu'un modèle pour les densités conditionnelles a été choisi. Finalement, nous étudions des modèles de densités conditionnelles particuliers et la contagion de crédit induite par le niveau d'information disponible au sein de ces modèles. Dans le troisième chapitre, nous proposons une méthodologie pour la détection en temps réel des bulles financières. Après la crise de crédit de 2007, les bulles financières ont à nouveau émergé comme un sujet d'intéret pour différents acteurs du marché et plus particulièrement pour les régulateurs. Un problème ouvert est celui de déterminer si un actif est en période de bulle. Grâce à des progrès récents dans la caractérisation des bulles d'actifs en utilisant la théorie de pricing sous probabilité risque-neutre qui caractérise les processus de prix d'actifs en bulles comme étant des martingales locales strictes, nous apportons une première réponse fondée sur la volatilité du processus de prix de l'actif. Nous nous limitons au cas particulier où l'actif risqué est modélisé par une équation différentielle stochastique gouvernée par un mouvement Brownien. Ces modèles sont omniprésents dans la littérature académique et en pratique. Nos méthodes utilisent des techniques d'estimation non paramétrique de la fonction de volatilité, combinées aux méthodes d'extrapolation issues de la théorie des reproducing kernel Hilbert spaces. Nous illustrons ces techniques en utilisant différents actifs de la bulle internet (dot-com bubble)de la période 1998 - 2001, où les bulles sont largement acceptées comme ayant eu lieu. Nos résultats confirment cette assertion. Durant le mois de Mai 2011, la presse financière a spéculé sur l'existence d'une bulle d'actif après l'OPA sur LinkedIn. Nous analysons les prix de cet actif en nous basant sur les données tick des prix et confirmons que LinkedIn a connu une bulle pendant cette période. Le dernier chapitre traite des variances swaps échantillonnés en temps discret. Ces produits financiers sont des produits dérivés de volatilité qui tradent activement dans les marchés OTC. Pour déterminer les prix de ces swaps, une approximation en temps continu est souvent utilisée pour simplifier les calculs. L'intérêt de ce chapitre est d'étudier les conditions garantissant que cette approximation soit valable. Les premiers théorèmes caractérisent les conditions sous lesquelles les valeurs des variances swaps échantillonnés en temps discret sont finies, étant donné que les valeurs de l'approximation en temps continu sont finies. De manière étonnante, les valeurs des variances swaps échantillonnés en temps discret peuvent etre infinies pour des modèles de prix raisonnables, ce qui rend la pratique de marché d'utiliser l'approximation en temps continu invalide. Des examples sont fournis. En supposant ensuite que le payoff en temps discret et son approximation en temps continu ont des prix finis, nous proposons des conditions suffisantes pour qu'il y ait convergence de la version discrète vers la version continue. Comme le modèle à volatilité stochastique 3/2 est de plus en plus populaire, nous lui appliquons nos résultats. Bien que nous pouvons démontrer que les deux valeurs des variances swaps sont finies, nous ne pouvons démontrer la convergence de l'approximation que pour certaines valeurs des paramètres du modèle.
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Doran, Zachary. "Pricing Political Risk in Latin America: A Look inside Presidential Elections, Sovereign Credit Default Swaps and Equity Prices in Argentina, Brazil, Chile and Mexico." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/627.
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This paper explores the relationship between presidential elections and sovereign credit default swap (CDS) returns, as well as, equity returns in the Latin American countries, Argentina, Brazil, Chile and Mexico. In particular, this paper tests whether or not presidential elections, which potentially represent political uncertainty and risk, affect sovereign CDS returns. I also analyze stock returns during the elections of each country to establish benchmarks that I compare to the CDS returns. Specifically, I evaluate the movement of CDS and equity adjusted returns (i.e. returns measured as deviations from average returns) over 7 presidential elections from 2005 to 2011. The baseline panel regression did not find statistical significance in the dummy election coefficients, but did find significance in the equity intercept coefficient at the 10 percent level. This result suggests that, on average, adjusted equity returns were higher during election periods than adjusted equity returns outside of election periods. I discuss the implications of these results later in the paper.
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Wu, Weiou. "Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/4048.
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This thesis investigates correlations and linkages in credit risk that widely exist in all sectors of the financial markets. The main body of this thesis is constructed around four empirical chapters. I started with extending two main issues focused by earlier empirical studies on credit derivatives markets: the determinants of CDS spreads and the relationship between CDS spreads and bond yield spreads, with a special focus on the effect of the subprime crisis. By having observed that the linear relationship can not fully explain the variation in CDS spreads, the third empirical chapter investigated the dependence structure between CDS spread changes and market variables using a nonlinear copula method. The last chapter investigated the relationship between the CDS spread and another credit spread - the TED spread, in that a MVGARCH model and twelve copulas are set forth including three time varying copulas. The results of this thesis greatly enhanced our understanding about the effect of the subprime crisis on the credit default swap market, upon which a set of useful practical suggestions are made to policy makers and market participants.
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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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Chabert, Pierre-Yves. "Les swaps." Clermont-Ferrand 1, 1987. http://www.theses.fr/1987CLF10052.
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Les swaps sont des contrats financiers récents et protéiformes dont l'analyse au regard du droit français est encore partielle. Cette thèse se divise en deux parties. La première a pour but d'éclaircir la notion de swap, par une double analyse. L'une économique, établit une taxinomie synthétique des différents types de swap et décrit leur mécanisme. L'autre, juridique, s'attache à mettre en valeur les caractéristiques, à élaborer une définition et à trouver la qualification de cette famille de contrats. La deuxième partie s'intéresse au régime juridique des swaps. Le régime général formation et execution des swaps fait l'objet d'une première sous-partie. L'incidence des droits spécifiques est ensuite étudiée, sous les angles successifs du droit international privé, des réglementations des changes, bancaire, fiscale, et comptableSwaps ares financial transactions that may have many different forms. Their legal analysis, as far as french law is concerned is still uncomplete. This thesis is divided into two parts. The purpose of the first part is to explain the concept of swap. It is proceeded to a double analysis. One has an economic ground and offers a classification of the various kind of swaps. The other analysis deals with the question of the definition and the characterization of what should be considered a family of contracts. The second part focuses on the legal treatment of swap transactions. A first sub-part explains general considerations concerning the formation and the performance of the contract. A second sub-part analyses the influence of the specific regulations such as exchange control, tax, accouting, banking. It also contains developments on the consequences of the international aspects of the contract
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Isiugo, Uche C. "Feats and Failures of Corporate Credit Risk, Stock Returns, and the Interdependencies of Sovereign Credit Risk." ScholarWorks@UNO, 2016. http://scholarworks.uno.edu/td/2221.
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This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads generally exhibit significant time-varying correlations, suggesting that spreads are commonly affected by global financial factors. We construct 19 country-specific commodity price indexes to instrument for country terms of trade, obtaining significant results. Our commodity price indexes account for significant variation in CDS spreads, controlling for global financial factors. In addition, sovereign spreads are found to be related to U.S. stock market returns and the VIX volatility risk premium global factors. Notwithstanding, our results suggest that terms of trade and commodity prices have a statistically and economically significant effect on the sovereign credit risk of emerging economies. Our results apply broadly to investors, financial institutions and policy makers motivated to utilize profitable factors in global portfolios.
The second essay is titled, Differential Stock Market Returns and Corporate Credit Risk of Listed Firms. This essay explores the information transfer effect of shocks to sovereign credit risk as captured in the CDS and stock market returns of cross-listed and local stock exchange listed firms. Based on changes in sovereign credit ratings and outlooks, we find that widening CDS spreads of firms imply that negative credit events dominate, whereas tightening spreads indicate positive events. Grouping firms into companies with cross-listings and those without, we compare the spillover effects and find strong evidence of contagion across equity and CDS markets in both company groupings. Our findings suggest that the sensitivity of corporate CDS prices to sovereign credit events is significantly larger for non-cross-listed firms. Possible reasons for this finding could in fact be due to cross-listed firms’ better access to external capital and less degree of asymmetric information, relative to non-cross-listed peers with lower level of investor recognition. Our results provide new evidence relevant to investors and financial institutions in determining sovereign credit risk germane to corporate financial risk, for the construction of debt and equity portfolios, and hedging considerations in today’s dynamic environment.
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Rainelli-Le, Montagner Hélène. "L'évaluation des swaps de taux d'intérêt." Rennes 1, 1995. http://www.theses.fr/1995REN11016.
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La thèse comprend 400 pages et est composée de trois parties. La première présente, dans un premier chapitre, les caractéristiques générales des swaps de taux d'interets. Dans un second chapitre, le swap est analysé comme un portefeuille d'actifs selon différentes approches mettant en jeu des FRA, puis des options et enfin des obligations à taux fixe et à taux variable. Il est montré que l'approche qui consiste à considérer le swap comme un contrat d'échange d'obligations, l'une à taux fixe et l'autre à taux variable, est à la fois la plus générale et la plus pertinente du point de vue de l'évaluation. La seconde partie est consacrée à une étude théorique de l'évaluation par arbitrage des contrats de swaps de taux et distingue deux grandes approches qui diffèrent non sur le raisonnement financier qu'elles mettent en jeu mais sur les outils mathématiques qu'elles utilisent. L'évaluation par les équations aux dérivées partielles fait l'objet d'un premier chapitre où des solutions analytiques originales, donnant le prix des swaps de taux d'intérêt dans le cadre d'un modèle monofactoriel de taux ou le taux instantané suit un processus d'Ornstein-Uhlenbeck, sont proposées. Le second chapitre de cette partie, est consacré à l'évaluation par la théorie des martingales et explicite le modèle de El Karoui et Geman (1993) dans le cas d'une structure de volatilité exponentielle. La troisième partie confronte les évaluations théoriques et les valeurs observées sur le marché francais et met en évidence la difficulté des modèles de taux utilisés à rendre compte de la configuration particulière des la courbe des taux sur la période observée (fevrier 1992 à janvier 1994)The dissertation is 400 pages long and has three parts. The first part is divided in two chapters, the first of them being devoted a description of the main features of interest rate swaps. In the second chapter, the question of whether swap contracts should be seen as series of fra, as portfolios of options or as contracts by which a floating note is exchanged for a fixed note is discussed. It is shown that this last approach is best suited as regards the valuation of interest rate swaps. In the second part of the dissertation, the theory of the valuation of swaps is extensively discussed. A first chapter shows that, following sundaresan (1991), it is possible to use the partial derivative equation approach to produce analytical solutions to the price of many interest rate swaps under the hypotheses of vatious stochastic term structure interest rate models. As an illustration, original formulae are provided when the instantaneous interest rate is the only factor of risk and follows an ornstein-uhlenbeck process. A second chapter discusses the way martingale theory can be used alternatively to value interest rate swaps and provides an application of el karoui and german's model (1993) to the case where the volatility structure is exponential in the last part of the dissertation the ability of the theoritical models to produce prices close to the ones observed on the french market is empirically tested. The main difficulty met here regards the inability of the term structure models used to account for an empirical term structure which shape on the observed period (February 1992 to January 1994) was very peculiar
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Tikkinen, N. (Nina). "Euribor basis swap spread." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201406241775.
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The aim of the study is to investigate the factors affecting Euribor basis swap spreads. Variables are divided into three component; liquidity risk, credit risk, and macroeconomic and monetary policy. The Euribor basis swap was close to zero basis points, but during the early phases of the latest financial crises the spreads jumped.
In empirical part of the study, the stationarity of the variables is tested. In the next step, Phillips-Ouliaris (P-O) co-integration test is tested to get 5 combinations that co-integrates with Euribor basis swap spread 3 month versus 12 month with 5 years to maturity. Thirdly, long-run equilibrium for the Models with Engle-Granger test is applied. Out of the five Models, picked in P-O, only three had long-run equilibrium. From the three long-run equilibrium Models the regression residuals are saved and estimated short-term equilibrium with Error Correction Model. At the end, Ordinary Least Square method with Newey-West corrections with the three co-integrated Models is tested.
The variables for liquidity risk component are Open Market Operations, Aggregate Liquidity Factors, Deposit Facility, and Governing Council Meeting day -dummy. The variables for the credit risk component are Eurobond yield and Bank Credit Default Swap spread. The variables for the macroeconomic and monetary policy component are Euro Overnight-Index Average and exchange rate.
The results show that the biggest determinants for the Euribor basis swap spread 3m vs 12m 5y are Open Market Operations, Meeting day, Eurobond yield 5y, Bank CDS, EONIA, and exchange rate of China.
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Boulat, Pierre-Antoine. "Le régime juridique des échanges de taux d'intérêt (swaps)." Paris 2, 1987. http://www.theses.fr/1987PA021026.
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L'echange de taux d'interet ("interest-rate swap")est une technique financiere de couverture ou d'arbitrage du risque de taux, apparue au debut des annees 80 dans les pays anglo-saxons. Sa nouveaute et sa relative complexite justifient d'abord une etude technique et descriptive du mecanisme et de ses utilisateurs (1ere partie). Reposant sur de purs fondements contractuels, ne de la pratique professionnelle, l'echange de taux repose sur une organisation contractuelle elaboree, d'inspiration anglaise ou americaine, etudiee en deuxieme partie. Celle-ci se consacre aussi a l'examen des codifications privees elabores en grande-bretagne et aux etats-unis, mais aussi en france. Comme tout instrument ne de l'initiative privee, l'echange de taux souleve des questions de compatibilite avec les systemes juridiques nationaux. La reception des conventions par les droits nationaux fait l'objet de la troisieme partie. La qualification du contrat, qui permet d'y reconnaitre un echange de type tres particulier, revele une certaine parente de l'echange de taux et du pari. La confrontation de la convention avec les lois imperatives, en cas d'execution normale ou anormale, en droit interne comme en droit international prive, met au jour des problemes specifiques, mais solubles dans de bonnes conditions pour la securite de l'assise juridique du procede. Procede parfaitement original, l'echange de taux s'insere harmonieusement dans l'ordre juridique francais, et l'etude de son regime juridique participe de celle des autres instruments financiers de couverture qui peuplent aujourd'hui les marches mondiauxInterest-rate swaps are based on market anomalies, and allow borrowers to manage their interest-rate risk, by exchanging rates of assets or liabilities. The study of legal issues of interest-rate swap begins with a technical description of this financial instrument and its users. Then, contract matters are viewed. Standard documentation is analysed, mostly with the help of english or american conventions, together with the codifications that professionnals set up in order to unify market practices. In a third part, the effect of mandatory laws (exchange regulation and tax law, but also, when things go wrong, penalty clauses law and insolvency law) on the contract are studied. Before that, the conven-tion has been qualified, with respect to continental laws: swaps look very much like gambling or wagering contracts, so that this resemblance has to be clarified. Mostly dedicated to french law, this study deals also with english or american legal matters of interest-rate swaps agreements. Both legal systems fit the legal aspects of swaps
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Guillotte, Delphine. "Les Equity Swaps." Thesis, Paris 11, 2011. http://www.theses.fr/2011PA111005.
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L’objet de cette thèse est de déterminer la nature et le régime d’un contrat financier appelé "equity swaps".L’equity swap est un contrat bilatéral qui permet à l’une des parties d’acquérir la propriété économique d’actions indiquées par les parties. Ces actions sont appelées « actions sous-jacentes ». Elles ne forment pas l’objet des obligations du contrat. Ce dernier ne donne naissance qu’à des dettes de valeur. C’est la nature particulière de ces obligations qui permet de rattacher les equity swaps à la catégorie des contrats financiers.Les actions sous-jacentes constituent donc le support des valeurs que chacune des parties s’engagent réciproquement à se payer. Ces valeurs représentent la propriété économique des actions sous-jacentes. Cette notion permet de distinguer les equity swaps des autres contrats financiers.La propriété économique répliquée par l’equity swap est toutefois source d’incertitudes. L’equity swap ne donne certes lieu à aucun transfert de propriété et aucune des parties n’est tenue de détenir les actions sous-jacentes. Mais un actionnaire peut conclure un equity swap afin de transférer la propriété économique de ses actions. En outre les equity swaps sont souvent utilisés par les investisseurs afin d’acquérir de façon occulte les actions de sociétés cotées. Bref, les parties à un equity swap n’ont pas toujours des motivations purement financières. La détermination du régime des equity swaps commande donc de s’interroger sur les conditions d’application du droit des sociétés et du droit boursier.Enfin, en tant que contrat financier, l’equity swap est censé être régi par la réglementation financière. Cette dernière était toutefois largement inadaptée aux contrats financiers. Elle doit être repenséeThe purpose of this study is to qualify and, consequently to specify the governing laws applicable to a derivative called “equity swap”.Equity swap is a bilateral contract which allows one of the parties to acquire economic ownership of some shares indicated by the parties. Those shares are called “underlying shares”. They are not due to be delivered by the parties. The parties to an equity swap are only due to pay to each other cash amounts representing values of the underlying shares. That is these very particular obligations which enable to qualify the equity swaps as derivatives.Thus, the underlying shares are used in order to calculate those cash amount so that they represent the economic ownership of the underlying shares. That is the reason why equity swaps are an original kind of derivatives.The economic ownership created by the equity swaps results in some legal uncertainty. Equity swap do not provide for assignment of legal ownership. And none of the parties is due to be the legal owner of the underlying shares. But a shareholder may enter into an equity swap in order to transfer the economic ownership of its shares and equity swaps are often used by investors in order to acquire hidden ownership in listed companies. In other words, parties do not enter into equity swaps for financial purpose only. Determining the laws applicable to the equity swaps requires to analyze companies law and stock exchange law.At last, as a derivative the equity swap is supposed to be governed by financial regulation. This regulation does not fit with derivatives. It needs to be specified
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Ghenima, Riadh. "L'évaluation et la gestion des swaps de taux." Lyon 3, 1996. http://www.theses.fr/1996LYO33008.
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La présente étude traite du marché des swaps. Nous nous sommes intéressés à ce marché en présentant une analyse économique des marchés internationaux des swaps et en présentant les aspects théoriques et empiriques de l'évaluation de ce produit dérivé afin de chercher le degré d'adéquation entre la théorie et la réalité des amrchés. Nous présentons une étude statistique des caractéristiques des marchés internationaux des swaps. Ce marché a connu une croissance importante de son encours. Le marché américain est le premier malgré son repli au profit d'autres devises. La conclusion d'un contrat swap engendre un transfert de risque qui constitue à coté de la création d'actifs synthétiques, de l'arbitrage fiscal, les explications théoriques de cette croissance. Nous abordons le problème de l'évaluation de ce produit dérivé sous ses aspects théoriques et empiriques. Les solutions explicites sont obtenues en suivant un raisonnement d'arbitrage. Nous proposons une étude empirique (analyse en composantes principales et recherche du degré d'adéquation des modèles théoriques d'évaluation à la réalité des marchés) des swaps standards sur le marché français et américain. Nous pouvons dire que l'introduction du risque de contrepartie d'une manière explicite dans les modèles d'évaluation et l'utilisation de modèles de taux à deux facteurs améliorerait les résultats et nous rapprocherait de la réalité des marchés.
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Payan, Pedro Carlos. "Uma contribuição à contabilização de Swap cambial como instrumento de Hedge para empresas não financeiras: Hedge Accounting." Pontifícia Universidade Católica de São Paulo, 2009. https://tede2.pucsp.br/handle/handle/1729.
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Companies can use derivative instruments for covering risks. With the use of these instruments the problems appear in the measurement, accounting, and the disclosures. This project s objective based on a case study is to analyze the Derivative Instrument (Foreign Exchange Swap) as the countable theory and international norms of the FASB, IASB and Brazilian Norms. The Brazilian Norms are published by the CPC and together these norms are the make up of the CVM. This case study demonstrated the process of the operation, the criteria for the measurement, as well as the accounting aspect. The reasons behind this project are first, the significant volume in the transactions of Swap at the end of 2008, which reached R$ 12,6 billion. Second the risk involving these operations, the difficulty encountered by accounting for the recognition, measurement and disclosure. The collected data applied from the systems of calculations and evaluations of the instruments are then compared to the collected data reported by the company. There are no significant differences in these calculations except having discrepancy in the use of accounts, which results in the registration in Swap Accounting. Three situations dealing with assets were compared by the Derivatives Instrument: a) traditionally for the curve of the paper: the financial accounts and results of the period are affected; b) recording the marking to market without hedge accounting: it showed different balances in the item accounts; c) recording the marking to market with hedge accounting: there were alterations in the result of the period, in the financial accounts and in the total shareholder s equity
As empresas podem utilizar instrumentos derivativos para cobertura de riscos. Na utilização destes instrumentos surgem os problemas para a mensuração, contabilização e divulgação. Este trabalho tem por objetivo, através de um estudo de caso, analisar o instrumento derivativo swap cambial à luz da teoria contábil e normas internacionais do FASB, IASB e normas brasileiras publicadas pelo CPC, juntamente com os pareceres normativos da CVM. O estudo de caso demonstrou os procedimentos desta operação, os critérios para mensuração bem como sua contabilização. O tema deste trabalho tem sua justificativa, primeiramente pelo volume expressivo das operações de swap, que ao final de 2008, atingiu R$ 12.6 bilhões e também pelo risco envolvendo estas operações e a dificuldade encontrada pela Contabilidade para o reconhecimento, mensuração e evidenciação. Foram pesquisados sistemas de cálculos e de avaliação deste instrumento e aplicados aos dados coletados comparando-se com os registrados pela empresa. Não houve diferenças significativas nos cálculos, havendo apenas divergência na utilização de contas de resultado para o registro da contabilização do swap. Compararam-se três situações patrimoniais na contabilização do instrumento: a) contabilizados tradicionalmente pela curva do papel: afetaram as contas de financiamentos e resultados do período; b) contabilizados com marcação a mercado sem hedge contábil: apresentaram saldos diferentes nas contas do item a; c) contabilizados com marcação a mercado e com hedge contábil: houve alterações do resultado do período, nas contas de financiamentos e no total do grupo do Patrimônio Líquido
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Sangare, Sekou. "Stratégies financières face à l'endettement international : les options de swaps." Aix-Marseille 3, 1993. http://www.theses.fr/1993AIX32032.
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Aux declarations d'insolvabilite des gouvernements des pays debiteurs dans les annees quatre-vingt. Et face au risque moral genere par l'approche collective de reechelonnements et d'apport de nouveaux credits, a emerge un marche secondaire pour evaluer les droits sur la dette "souveraine" pour contourner la baisse de la valeur de leurs titres sur les marches financiers, les banques sont imagine de nouveaux instruments de restructuration de leurs portefeuilles par la conversion des creances en prises de participations, en obligations collateralisees et en d'autres actifs financiers ou reels. Apres avoir explique l'origine de la crise d'endettement par les implications de la theorie economique sur les strategies commerciales des banques, j'ai evalue analytiquement et empiriquement les effets des instruments d'echange des creances sur le patrimoie des differentes parties (investisseurs, banques et pays debiteurs) ainsi que la raison d'etre et le comportement du marche secondaire. Les resultats qui ont des implications sur la theorie et la politique economique, la gestion des actifs des banques, et les solutions multilaterales a l'endettement de type brady, montrent que le marche des swaps est un marche derivatif pour l'allocation efficiente desI reaction to the insolvency declarations from governmants of debtor countries in the eighties, and the increasing moral hazard generated by collective bargaining of rescheduling debt payments and supplying new money, has emerged a secondary market to value claims on "sovereign" debt. As to go round the depreciation of their assets in financial markets, banks innovated new instruments of restructuring their loans portfolios through debt-equity swaps, debt-bonds swaps, and other asset-backed securities. After explaining the origin of debt crisis by the impact of economic theory on banks commercial strategies, i evaluate theoretically and empirically the welfare effects of swaps instruments for investors, banks, and debtors as well as the raison d'etre and the behavior of the secondary market. The results which have some implications about economic theory and policy. Bank assets trading, and multilateral solutions to debt of brady type, point out the swaps market as a derivative market to the efficient allocation of risks
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Fehle, Frank Rudolf. "Market structure, default risk, and swap spreads : international evidence /." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.
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Kooverjee, Jateen. "Estimating credit default swap spreads from equity data." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8525.
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Includes bibliographical references.Corporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an increase in risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate bond's credit risk by considering how to estimate the credit default swap (CDS) spread of a firm's bond. A structural credit model will be used to do this. In this dissertation, we implement an extension of Merton's model by Hull, Nelken and White (2004), which is based on the use of the implied volatilities of options on the company's stock to estimate model parameters. Such an approach provides an insight into the relationship between credit markets and options markets.
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Hounkpatin, Odile. "Lois du taux de swap et calibrage de modèles en finance." Paris 6, 2002. http://www.theses.fr/2002PA066182.
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Gauvin, Alain. "Les dérivés de crédit : nature et régime juridiques." Paris 1, 1999. http://www.theses.fr/1999PA010304.
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L'application de la technique du dérivé au crédit est, sans aucun doute, l'une des plus récentes innovations des marches financiers. On trouve trace des premières opérations sur dérives de crédit en 1992, aux États-Unis, l'objectif étant alors pour les banquiers de dégager du capital règlementaire ou même d'accéder au marché du crédit sans se positionner en qualité de préteur. On peut tenter une première approche du dérivé de crédit par une démarche comparative avec d'autres instruments voisins. Ainsi, alors qu'une valeur mobilière représente, s'agissant d'une action, une part de l'actif social et, dans le cas d'une obligation, une créance ; alors que les produits dérivés classiques, dits de la première génération tirent leur source des performances d'un actif sous-jacent, les dérivés de crédits eux, sont adossés au risque : ils en sont l'instrument de mesure et de négociation. En cela, certains auteurs ont pu, avec raison, parler de révolution financière. On pourrait comparer le dérivé de crédit à un miroir : il reflèterait purement et simplement le risque de contrepartie, non pas à un moment donné, mais tout au long de la vie du risque et en suivant fidèlement l'évolution, en retraçant symétriquement toute dégradation ou amélioration. Le concept de risque est capital pour définir et distinguer le dérivé de crédit d'autres produits dérivés car, en effet, les contours de cet instrument sont encore assez mal dessines ; le dérivé de crédit ayant autant de significations différentes que d'opérateurs l'utilisant. En dépit de ces nombreux avantages, les dérivés de crédit laissent, sur certains de leurs aspects le juriste songeur. L'avenir des dérivés de crédits dépend certes, des avantages économiques, comptables et commerciaux qu'ils offrent, mais aussi de la confiance que peuvent y investir les opérateurs. Confiance qui dépend de la sécurité juridique de ces instruments. S'assurer de la sécurité d'un instrument, quel qu'il soit, requiert de s'interroger sur sa nature et sa qualification juridiques pour, ensuite, en déduire le régime. Répondre à ces questions nous a conduit à nous prononcer sur la licéité des dérivés de crédit en droit français. C'était tout l'enjeu de cette thèse.
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Cornut, St-Pierre Pascale. "Les swaps ou l'innovation financière aux mains des juristes : contribution à l'étude socio-juridique de la financiarisation." Thesis, Paris, Institut d'études politiques, 2017. http://www.theses.fr/2017IEPP0036.
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Les dernières décennies ont été témoin d’un accroissement considérable du poids et de l’influence de la finance au sein des sociétés contemporaines, un phénomène que les sciences sociales ont commencé à cerner grâce à la notion de financiarisation. La financiarisation demeure un phénomène peu étudié en droit. Notre thèse contribue à son étude en adoptant une approche socio-juridique : elle part de l’hypothèse qu’une telle transformation des rapports sociaux et économiques a été l’occasion de controverses sur la scène juridique, à partir desquelles on peut mieux comprendre ce que représente la financiarisation en droit. Nous avons choisi d’aborder ces controverses à partir d’une question spécifique, celle de l’innovation financière, en prenant comme cas d’étude un type particulier d’instruments financiers ayant bouleversé le paysage de la finance depuis leur apparition dans les années 1980 : les swaps, ou les instruments dérivés de gré à gré. À partir d’une analyse des documents contractuels produits par l’industrie, de la littérature professionnelle de droit financier et du contentieux relatif aux swaps, notre étude retrace l’histoire juridique de ces instruments financiers. Il ressort de notre étude qu’en se livrant à un travail de mise en forme juridique de l’innovation financière, les juristes ont non seulement favorisé le succès des nouveaux marchés d’instruments financiers, mais qu’ils ont en outre amorcé une profonde transformation de la culture juridique du monde des affaires. La financiarisation coïncide ainsi, en droit, avec un renouvellement des concepts, des valeurs, des pratiques, des instruments et des modes d’argumentation que déploient les juristes des milieux financiers. Nous soutenons que, sous l’influence de ces derniers, c’est en fin de compte le droit lui-même qui s’est financiarisé, d’une façon qui a sensiblement accru l’autonomie juridique de l’industrie financièreThe last few decades have witnessed a considerable increase in the weight and influence of finance in contemporary societies, a phenomenon that social scientists have begun to study with the concept of financialization. Financialization remains rarely studied in law. This dissertation contributes to its study by adopting a socio-legal approach: it assumes that such a transformation of social and economic relations must have given rise to controversies in the legal arena, from which one could better understand what financialization means in law. I have chosen to approach these controversies through a specific question, that of financial innovation. I took as a case study a particular type of financial instruments, which have transformed the financial landscape since their invention in the 1980s: swaps, or over-the-counter (OTC) derivatives. Based on the analysis of contractual documents crafted by the industry, of the professional literature in financial law, and of the case law arising from swap disputes, this study recounts the legal history of these financial instruments. It shows that legal practitioners, through the legal shaping of financial innovation, have not only fostered the success of the new markets for financial instruments, but have also initiated a profound transformation of business’s legal culture. Financialization thus coincides, in law, with a renewal of concepts, values, practices, instruments and modes of argument deployed by financial lawyers. I argue that, under the influence of the latter, it is ultimately the law itself that was financialized, in a way that significantly increased the legal autonomy of the financial industry
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Pereira, John. "An empirical investigation of corporate credit default swap spreads and returns." Thesis, Kingston University, 2015. http://eprints.kingston.ac.uk/35845/.
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This thesis focuses on the empirical investigation of Credit Default Swap (CDS) spreads and return dynamics for listed corporates in the US, UK and EU. Academic interest in CDS market is continuously growing and this thesis aims to provide a better understanding of the CDS market dynamics. Specifically, this thesis explores three critical areas of research interest for the CDS market with each Chapter Two, Three and Four focussing on a specific aim, objectives and research questions within the context of the overall thesis. The thesis is largely based on three separate but broadly related research studies. The first study, Chapter Two, explores the dynamics of quarterly CDS spreads for corporates in US, UK and EU for the three major economic conditions namely; pre-crisis, crisis and post-crisis period. This study is the first to explore such a wider sample domain both in terms of the geographical coverage as well as the period of analysis. CDS spreads are regressed using both accounting based ad-hoc measures as well as theory driven market based variables, individually as well as collectively in a single combined model. This study documents the changing nature of spread predictor variables based on the sub-period of analysis and find the market based variables to be more closely aligned to spreads than their accounting counterparts. This study proposes the use of both information sets as additive rather than substitutive within the CDS pricing framework. This study also tests the effect of bond market liquidity dynamics and CDS market liquidity effect on CDS spreads and finds spreads in the post-crisis period to be plagued by both bond market and CDS liquidity dynamics. This study concludes that CDS spreads in the post-crisis period may be plagued by non-default driven factors and should not be considered as pure measure of corporate credit risk. Thus signals from CDS market should be carefully considered in conjunction with other financial market indicators before drawing policy implications. The second study, Chapter Three, evaluates the effect of the interest rate, quantitative easing and fiscal policy announcements in US and UK on corporate CDS returns. The unprecedented interventions announced by government and Central banks to contain the effect of the financial crisis provides the motivation for this study. This study measures the effect of these announcements on corporate credit risk by estimating daily CDS returns which is a better time series measure of corporate credit risk than CDS spreads or equity returns as used in past studies. This study notes an opposite effect of interest rate announcement where credit risk for firms following the interst rate announcement decreased for US corporate while it increased for UK corporates. Across both US and UK, corporate credit risk tends to be lower following QE announcements; highlighting its popularity during the financial crisis. Fiscal policy announcements are characterised by minor improvement in corporate credit risk which is short lived. By comparing pre and post announcement days abnormal return, this study finds that median abnormal return following US policy interventions were higher in post announcement days in US while an opposite effect can be noted for the UK corporates. This study concludes that policy interventions in US were more effective in stablising corporate credit risk for US corporate which policy announcements in UK were not effective. This study also tests the differential effect following policy interventions across corporates sampled based on sector, credit quality, frim size and CDS liquidity. No other study have undertaken such a detailed sub-sample analysis across policy announcements in US and UK and the findings underline the theme that firm specific heterogeneity leads to differential effect of policy announcement on corporate credit risk. The third study, Chapter Four, attempts to provide evidence of the generalizability of the Fama and French (FF) asset pricing model to the CDS market. The test on generalizability of the FF model to the CDS market has not been attempted before and this study is the first to check the external validity of the FF model with an aim to test if the model works for the CDS market. The findings from the portfolios returns indicate the average daily excess returns are not perfectly aligned as expected to the book-t-market, operating profitibility and investment factors and expose variations in average return sufficient to provide strong challenges in asset pricing tests. The relationship between the portfolio type and average excess return trend is also found to fluctuate based on the sub-period of analysis. Apart from testing the external validity of the FF model, this study also aims to access the external validity of the default risk hypothesis, by testing if the default risj is proced in the cross section of CDS returns and if the FF factors; SMB and HML factors are proxying for default risk in the CDS returns. The finding indicates that it is unlikely that SMB and HML are proxying for default risk. Overall, the findings from this study indicates the FF three factor (3F) and FF five factor (5F) model can be generalised to the CDS market, between the two models the 5F model is a better asset pricing model for the CDS market. This study goes a step further and queries if the FF factor model for the CDS market can be improved on by augmenting it with a default driven factor. Augmenting both the 3F and 5F model with default factor results in at best a marginal improvement to the models' explanatory power across the sub-periods analysed in this study. Hence for reasons of parsimony, this study suggest the FF 5F model to be preferred asset pricing model for the CDS market. Notwithstanding these separate contributions, overall this thesis contributes to a better understanding of CDS spreads, CDS returns and thus the CDS market in general. The past decade have seen a wealth of literature focussing on CDS market and the knowledge and understanding of the CDS market dynamics is being continuously refined and expanded. The findings of this thesis will provide useful insight and a deeper understanding for a variety of stakeholders including regulators, market participants, the financial community and the academic community at large to be able to better understand an important source of credit risk information.
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Mojuyé, Joseph Benjamin. "L'analyse juridique des produits dérivés financiers (swaps, options, futures. . . ) en droits français et américain." Paris 2, 2003. http://www.theses.fr/2003PA020022.
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Attaoui, Sami. "Modèles de "marché" de taux d'intéret : extensions et applications aux caps et swaptions." Paris 1, 2006. http://www.theses.fr/2006PA010058.
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Cette thèse étudie différentes extensions des modèles de marché des taux d'intérêt Libor et Swap et ce en analysant leurs performances quant à la valorisation et/ou la couverture des caps et des swaptions. De plus, nous précisons la mise en oeuvre et le calibrage des différents modèles obtenus. Par ailleurs, nous valorisons certains produits quantos. Pour ce faire, nous dérivons la dynamique du taux forward Libor étranger sous la mesure forward domestique en utilisant le taux de change spot. Cette approche aboutit à une dynamique impliquant différentes matrices de covariance. Enfin, nous développons, dans le cadre de l'économie monétaire proposée par Lioui et Poncet (2004), un modèle de taux nominal à court-terme dont la dynamique suit un processus mixte de type diffusion-saut. Nous discutons également de l'impact d'introduire des sauts sur certaines quantités financières telles que la prime de risque d'inflation et les taux d'intérêt réel et nominal.