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1
Kimura, Norifumi. "Hedging Default and Price Risks in Commodity Trading." Thesis, North Dakota State University, 2016. https://hdl.handle.net/10365/28055.
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Many risk factors exist in the commodity markets, especially those related to price and quantity. Recently, the risk of counterparty default has been increasing. The purpose of this study is to develop a portfolio-hedging model to hedge both price and default risks using exchange traded commodity futures and option contracts. Two approaches are taken to determine the optimal hedge ratios (HR) using futures and options: an analytical approach that mathematically derives closed-form mean-variance (E-V) maximizing solutions, and an empirical approach that uses stochastic optimization and Monte Carlo simulation under mean-value-at-risk (E-VaR) framework. Based on the analytical approach, we proved that utility-maximizing solutions exists. The empirical approach suggests that na?ve HR (HR of one) leads to a suboptimal result. The minimum-variance, E-V, and minimum VaR objective functions generated the same optimization results. Additionally, a copula is applied instead of a linear correlation, and resulted a higher put option HR.
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Loshkina, Anna, and Elena Malysheva. "Modeling and monitoring of the price process of Credit Default Swaps." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2208.
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Credit derivatives are very popular on financial markets in recent days.
The most liquid credit derivative is a credit default swap (CDS). In
this research we investigate methods for modeling and monitoring of the
price process of CDS. We study Hull and White model to calculate CDS
spread and have data for our analysis. We consider different methods for
monitoring of the price process of CDS. In particular we study CUSUM
method. And we calculate more commonly used perfomance measures
for this method.
3
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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Shi, Shimeng. "Information content of credit default swaps : price discovery, risk transmission, and news impact." Thesis, Durham University, 2017. http://etheses.dur.ac.uk/12097/.
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This thesis comprises three empirical studies regarding information content of credit default swap (CDS). The first study provides further evidence of credit risk discovery between CDS and stock of the U.S. non-financial firms. Stock generally leads CDS in discovering credit risk information, with the exception of the stressful financial crisis period of 2008–2010. The CDS of investment-grade firms generally possesses higher informational efficiency than that of speculative-grade firms. High funding cost and central clearing counterparty hinder CDS from rapidly incorporating credit risk news. The second study investigates dynamics and determinates of credit risk transmission across the global systemically important financial institutions (G-SIFIs). The aggregate credit risk transmission across G-SIFIs dramatically increases from mid-2006 to mid-2008 and then fluctuates around 90% until 2014. Global systemically important banks (G-SIBs) and the U.S.–based G-SIFIs are major credit risk providers. More interbank loans, more non-banking income, higher extra loss absorbency requirement, and lower Tier 1 leverage ratio are positively related to a G-SIB’s role in credit risk transmission. Global systemically important insurers (G-SIIs) which have more non-traditional non-insurance activities, larger sizes, and more global sales tend to be credit risk senders. The final study examines the impact of sovereign credit rating and bailout events on sovereign CDS and equity index, especially their contemporaneous correlation, in the U.S., the U.K., and the Eurozone countries. The two assets are less negatively correlated at the arrivals of domestic rating events or surprises. Good and bad rating events present asymmetric effects on the asset correlation in Portugal, Netherlands, Ireland, Finland, and the U.S., while their symmetric effects are found in Spain, Italy, and Cyprus. Two assets become more negatively correlated on the announcement days of major bailouts. Bailout events have a stronger impact than domestic rating events. Greek rating news exerts spillover effect and generally has positive impact on the asset correlation in other economies.
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Blyzniuk, Charles H. "Incipe denuo: The Effect of Restatements on Credit Rating and Credit Default Swap Price." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/801.
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This paper seeks to investigate the reaction of credit ratings and credit markets in response to accounting restatements. Accounting restatements can often be perceived as a precursor to fraudulent activity, which could lead to a more negative credit rating, or a heightened credit default swap (CDS) price. CDS prove to be a useful measuring tool as they adjust to changes relatively quickly; much more quickly than the assessment of a credit rating agency. My results suggest that restatements do indeed have an effect on credit rating. It does, however take longer for credit ratings to be updated after the restatement, but CDS quotes move faster and are just as, if not more accurate. I also find that credit default swaps do not anticipate restatements, showing that while the credit markets are beating the rating agencies, they do not appear to be beating the accountants.
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Raykov, Radoslav S. "Essays in Applied Microeconomic Theory." Thesis, Boston College, 2012. http://hdl.handle.net/2345/bc-ir:104087.
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Thesis advisor: Utku UnverThis dissertation consists of three essays in microeconomic theory: two focusing on insurance theory and one on matching theory. The first chapter is concerned with catastrophe insurance. Motivated by the aftermath of hurricane Katrina, it studies a strategic model of catastrophe insurance in which consumers know that they may not get reimbursed if too many other people file claims at the same time. The model predicts that the demand for catastrophe insurance can ``bend backwards'' to zero, resulting in multiple equilibria and especially in market failure, which is always an equilibrium. This shows that a catastrophe market can fail entirely due to demand-driven reasons, a result new to the literature. The model suggests that pricing is key for the credibility of catastrophe insurers: instead of increasing demand, price cuts may backfire and instead cause a ``race to the bottom.'' However, small amounts of extra liquidity can restore the system to stable equilibrium, highlighting the importance of a functioning reinsurance market for large risks. These results remain robust both for expected utility consumer preferences and for expected utility's most popular alternative, rank-dependent expected utility. The second chapter develops a model of quality differentiation in insurance markets, focusing on two of their specific features: the fact that costs are uncertain, and the fact that firms are averse to risk. Cornerstone models of price competition predict that firms specialize in products of different quality (differentiate their products) as a way of softening price competition. However, real-world insurance markets feature very little differentiation. This chapter offers an explanation to this phenomenon by showing that cost uncertainty fundamentally alters the nature of price competition among risk-averse firms by creating a drive against differentiation. This force becomes particularly pronounced when consumers are picky about quality, and is capable of reversing standard results, leading to minimum differentiation instead. The chapter concludes with a study of how the costs of quality affect differentiation by considering two benchmark cases: when quality is costless and when quality costs are convex (quadratic). The third chapter focuses on the theory of two-sided matching. Its main topic are inefficiencies that arise when agent preferences permit indifferences. It is well-known that two-sided matching under weak preferences can result in matchings that are stable, but not Pareto efficient, which creates bad incentives for inefficiently matched agents to stay together. In this chapter I show that in one-to-one matching with weak preferences, the fraction of inefficiently matched agents decreases with market size if agents are sufficiently diverse; in particular, the proportion of agents who can Pareto improve in a randomly chosen stable matching approaches zero when the number of agents goes to infinity. This result shows that the relative degree of the inefficiency vanishes in sufficiently large markets, but this does not provide a "cure-all'' solution in absolute terms, because inefficient individuals remain even when their fraction is vanishing. Agent diversity is represented by the diversity of each person's preferences, which are assumed randomly drawn, i.i.d. from the set of all possible weak preferences. To demonstrate its main result, the chapter relies on the combinatorial properties of random weak preferences
Thesis (PhD) — Boston College, 2012
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Volosenkina, Viktorija. "Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100623_094310-03759.
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In this paper dependence between credit default swap (CDS) values and stock price movements of the largest European banking groups is examined and effectiveness of the usage of CDS contracts as a tool to hedge exposure to the price movements of the underlying stock during the pre-crisis and crisis periods is assessed. The effectiveness is evaluated by comparing estimated Value-at-Risk (VaR) and Expected Shortfall (ES) risk measures of portfolios consisting of stocks and CDS vis-à-vis portfolios consisting of only stocks. CDS are valued using mark-to-market approach. Marginal distributions of CDS value changes and stock returns are estimated using Kernel density estimate from historical time-series data of daily stock returns and CDS value changes. Dependence between marginal distributions is estimated using Gaussian, Gumbel and Student‟s t copulas. Random portfolio values are simulated using Monte Carlo Simulation from estimated copulas parameters and marginal distributions for daily, quarterly and yearly time horizons. VaR and ES with 90%, 95% and 99% confidence level are estimated from the simulated portfolio return distribution. The results show that there is a significant negative dependence between CDS values and stock prices during financial crisis while dependence is weak in the pre-crisis period. The main finding of the paper is that CDS added into the portfolio of stocks significantly reduces VaR and ES of a portfolio during the period of financial crisis while they... [to full text]Šiame darbe tikrinama didţiausių Europos bankų grupių kredito rizikos apsikeitimo sandorių (CDS) ir akcijų kainų priklausomybė bei vertinamas CDS efektyvumas, jei jais draudţiamasi nuo akcijų kainų svyravimų prieš kriziniu ir kriziniu laikotarpiu. Efektyvumas yra įvertinamas lyginant apskaičiuotas rizikos vertes (VaR) ir tikėtinus vertės trūkumus (ES) dviejų portfelių: akcijų portfelio bei akcijų ir CDS portfelio. CDS vertinti yra naudojamas pagal rinką vertinimo būdas (mark-to-market approach). CDS verčių pasikeitimo ir akcijų grąţos ribiniai pasiskirstymai yra įvertinami, naudojant Kernel įvertinimą (Kernel Estimator) iš istorinių akcijų grąţų ir CDS verčių pokyčių duomenų. Priklausomybė tarp ribinių pasiskirstymų yra įvertinama naudojant Gauso, Gumbelio ir Studento t kopulas (copulas). Atsitiktinės portfelių vertės yra susimuliuojamos naudojant Monte Carlo simuliaciją, pritaikant kopulų parametrus bei kintamųjų ribinius pasiskirstymus vienos dienos, ketvirčio bei metų periodams. VaR ir ES su 90%, 95% ir 99% pasitikėjimo intervalais yra skaičiuojami iš susimuliuotų portfelio grąţų pasiskirstymo. Gauti rezultatai rodo, kad tarp akcijų kainų ir CDS verčių yra stipri priklausomybė krizės laikotarpiu, tuo tarpu prieš kriziniu laikotarpiu priklausomybė yra silpna. Pagrindinė darbo išvada yra ta, jog CDS įtraukti į akcijų portfelį reikšmingai sumaţina portfelio VaR ir ES kriziniu laikotarpiu, tačiau nesumaţina prieš kriziniu laikotarpiu. Portfelio rizika gali būti sumaţinta, jei... [toliau žr. visą tekstą]
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Holemans, Amelia Nadine. "Applying a credit default swap valuation approach to price South African weather derivatives / Amelia Nadine Holemans." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4456.
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Most farmers in South Africa use standard insurance to protect their crops against natural disasters
such as hail or strong winds. However, no South African insurance contracts exist to compensate
for too much or too little rain (although floods are covered), or which will pay out if
temperatures were too high or too low for a certain period of time for the relevant crop.
Weather derivatives - which farmers may employ to ensure crops against adverse temperatures -
do exist, but these are mostly available in foreign markets in the form of Heating Degree Days
contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some
South African over-the-counter weather derivatives are available, but trading in these is rare and
seldom used.
The goal of this dissertation is to establish a pricing equation for weather derivatives specifically
for use in the South African market. This equation will be derived using a similar methodology
to that employed for credit default swaps. The premium derived will be designed to compensate
grape farmers from losses arising from two different climatic outcomes - in this case temperature
and precipitation. These derivatives will be region and crop specific and the formulation will be
sufficiently flexible as to allow for further climatic possibilities (which may be added at a later
stage).
These weather derivative premiums will then be compared to standard crop insurance to establish
economic viability of the products and recommendations will be made regarding their usage.
The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal
crop coverage will also be explored and discussed.Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.
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Coutinho, Cristina Fonseca. "Sovereign default probabilities within the european crisis." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4955.
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Mestrado em Matemática FinanceiraIn this thesis we assess the real default probabilities of three groups of European sovereigns - peripheral, central and safe haven - in order to get a forward looking measure of the market sentiment about their default, as well as their evolution within the current European crisis. We follow Moody's CDS-implied EDF Credit Measures and Fair-Value Spreads methodology by extracting risk-neutral probabilities of default, assumed to be Weibull distributed, from CDS spreads and convert them into real probabilities of default, using an adaptation of the Merton model to remove the risk premium. We use CDS spreads data from 2008 to 2011 and country dependent market prices of risk as proxy for the risk premium based on the equity benchmark indices of each country. The obtained real default probabilities proved to be a suitable indicator to predict defaults according to the credit events. They have increased severely since 2009/2010, in particular for the peripheral economies - Greece, Ireland and Portugal. The Greece's 1-year probability of default reached 55% at the end of 2011 and a default took place in March 2012. These three countries had to request a bailout from the EU/IMF authorities, Greece and Ireland in 2010 and Portugal in April 2011. Spain and Italy, the central economies, have been a concern for investors, which is reected in their real probabilities of default that increased substantially during the second half of 2011. The safe haven sovereigns - Germany and France - were also not immune to the economic slowdown in Eurozone and its GDP started to shrink, however, the rise in the default probabilities was more limited.
Nesta tese apresentamos as probabilidades de incumprimento objectivas de três grupos de soberanos Europeus - periféricos, centrais e seguros - com o objectivo de captar antecipadamente o sentimento de mercado acerca dos mesmos, bem como analisar a evolução dessas probabilidades no contexto de crise europeia. Foi seguida a metodologia descrita em CDS-implied EDF Credit Measures and Fair-Value Spreads da Moody's, extraindo as probabilidades de incumprimento risco-neutrais, que se assume seguirem a distribuição Weibull, a partir dos preços dos CDS e convertendo-as em probabilidades de incumprimento objectivas, usando uma adaptação do modelo de Merton para expurgar o prémio de risco. Foram usados os preços dos CDS de 2008 a 2011 e os índices de Sharpe, variáveis com o país como proxy para o prémio de risco, baseados nos índices accionistas de referência de cada país. As probabilidades de incumprimento objectivas obtidas parecem ser indicadas para prever os incumprimentos de acordo com os acontecimentos reais. As probabilidades têm aumentado drasticamente desde 2009/2010, especialmente para os países periféricos - Grécia, Irlanda e Portugal. A probabilidade de incumprimento a um ano da Grécia era de 55% no final de 2011 e o incumprimento ocorreu efectivamente em Março de 2012. Estes três países tiveram de recorrer à ajuda financeira das autoridades União Europeia e do Fundo Monetário Internacional, a Grécia e a Irlanda em 2010 e Portugal em Abril de 2011. Espanha e Itália, as economias centrais, têm sido uma preocupação para os investidores, reflectida no aumento substancial das probabilidades de incumprimento no segundo semestre de 2011. Os soberanos seguros - Alemanha e França - também não ficaram imunes ao abrandamento económico na zona Euro e o seu PIB diminuiu, no entanto, o aumento das suas probabilidades de incumprimento foi mais limitado.
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Silva, Paulo Miguel Pereira da. "Essays on the informational efficiency of credit default swaps." Doctoral thesis, Universidade de Évora, 2017. http://hdl.handle.net/10174/21092.
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This thesis contributes to the strand of the financial literature on credit derivatives, in particular the credit default swaps (CDS) market. We present four inter-connected studies addressing CDS market efficiency, price discovery, informed trading and the systemic nature of the CDS market. The first study explores a specific channel through which informed traders express their views on the CDS market: mergers and acquisitions (M&A) and divestitures activities. We show that information obtained by major banks while providing these investment services is impounded by CDS rates prior to the operation announcement. The run-up to M&A announcements is characterized by greater predictability of stock returns using past CDS spread data. The second study evaluates the incremental information value of CDS open interest relative to CDS spreads using a large panel database of obligors. We find that open interest helps predict CDS rate changes and stock returns. Positive open interest growth precedes the announcement of negative earnings surprises, consistent with the notion that its predictive ability is linked to the disclosure of material information. The third study measures the impact on CDS market quality of the ban on uncovered sovereign CDS buying imposed by the European Union. Using panel data models and a difference-in-differences analysis, we find that the ban helped stabilize CDS market volatility, but was in general detrimental to overall market quality. Lastly, we investigate the determinants of open interest dynamics to uncover the channels through which CDS may endanger the financial system. Although we find information asymmetry and divergence of opinions on firms’ future performance as relevant drivers of open interest, our results indicate that systematic factors play a much greater influence. The growth of open interest for different obligors co-varies in time and is pro-cyclical. Funding costs and counterparty risk also reduce dealers’ willingness to incur inventory risk; Eficiência dos mercados de Credit Default Swaps
Resumo:
Esta tese investiga o mercado de derivados de crédito, e em particular o mercado de credit default swaps (CDS). São apresentados quatro estudos interligados abordando temáticas relacionadas com a eficiência informacional, a existência de negociação informada no mercado de CDS, e a natureza sistémica daquele mercado. O primeiro estudo analisa a existência de negociação informada no mercado de CDS antes de operações de aquisição, fusões ou venda de ativos relevantes. A nossa análise mostra uma reação dos prémios de CDS antes do anúncio daqueles eventos, sendo em alguns casos mais imediata do que a reação dos mercados acionistas. O segundo estudo avalia o conteúdo informativo das posições em aberto no mercado de CDS utilizando dados em painel de diferentes empresas ao longo do tempo. Os resultados indiciam que as posições em aberto podem ajudar a prever variações futuras dos prémios de CDS e retornos acionistas. Em acréscimo, verifica-se um aumento estatisticamente significativo das posições em aberto antes da divulgação de surpresas negativas nos resultados das empresas. O terceiro estudo mede os efeitos da proibição de posições longas em CDS sobre entidades soberanas pertencentes ao Espaço Único Europeu sem a detenção do ativo subjacente pelo comprador. A análise mostra um efeito negativo da proibição sobre a qualidade do mercado, pese embora se tenha assistido em simultâneo à redução da volatilidade. Por fim, são analisados os determinantes dos montantes associados a posições em aberto, com o intuito de compreender como o mercado de CDS pode influenciar o risco sistémico. Os resultados indicam que a assimetria de informação e a divergência de opiniões dos investidores influenciam aqueles montantes. Todavia, fatores sistemáticos como risco de contraparte, aversão ao risco e risco de re-financiamento parecem ser ainda mais relevantes por via do efeito que exercem no risco do balanço dos intermediários financeiros.
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Delfino, Denísio Augusto Liberato. "Cointegração e price discovery do risco soberano brasileiro." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/1818.
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Previous issue date: 2007-04-20T00:00:00ZThe law of one price states that all identical assets, traded in different markets, must have only one price. In this dissertation, we aim to examine whether the Brazilian sovereign credit risk, traded in the international financial market, is priced similarly in the traditional bonds market as well as in the new and growing credit derivatives market. In addition to that, we make use of the Price Discovery analysis to study which of the two markets moves more rapidly in response to changes in the credit conditions in the Brazilian economy. As for the empirical analysis, we make use of time series econometrics, more specifically cointegration analysis and vector error correction. Our findings corroborate the theoretical prediction related to the law of one price, i.e., the Brazilian credit risk, either in the bonds market or in the credit derivatives market, move together in the long run. Our results also show that the majority of price discovery occurs in the credit derivatives market.
A lei do preço único afirma que o mesmo ativo negociado em diferentes mercados deve apresentar preços equivalentes. Este trabalho busca verificar se o risco de crédito soberano brasileiro negociado no mercado internacional é precificado de forma semelhante tanto nos tradicionais mercados de títulos quanto no novo e crescente mercado de derivativos de crédito. Adicionalmente, utiliza-se a análise de Price Discovery para examinar qual dos mercados se move mais rapidamente em resposta às mudanças nas condições de crédito da economia brasileira. A análise empírica é feita por meio de modelos de séries de tempo, mais especificamente análise de cointegração e vetor de correção de erros. Os resultados confirmam a predição teórica da lei do preço único de que o risco de crédito brasileiro, tanto nos mercados de títulos quanto no mercado de derivativos de crédito, movem-se juntos no longo prazo. Por fim, a maior parte do Price Discovery ocorre no mercado de derivativos de crédito.
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Basazinew, Serkalem Tilahun, and Aliaksandra Vashkevich. "RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-80844.
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When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. Discrepancies from the theoretical relationship can be exploited by capital structure arbitrageurs. In our thesis we study the intertemporal relationship between sovereign CDS and stock index markets in East Asia during the period of 2007 – 2011. We detect a negative (by and large positive) relationship between the Asian CDS spreads and stock indexes (volatilities). Across the whole region the sovereign CDS market dominates the price discovery process. However, 4 out of 7 Asian countries (Japan, Korea, Malaysia and the Philippines) demonstrate a feedback effect. The stock markets of countries with higher credit spreads (Indonesia, the Philippines and Korea) appear to react more severely at heightened variance in the CDS market. When considered separately for turbulent vs. calm periods, we find that the lead-lag relationship between the Asian sovereign CDS and stock markets is not stable. Apart from that, both markets become more interrelated during periods of increased volatility. The dependency of Asian CDS spreads and stock indexes on the “fear index” detected in the frames of robustness check implies an integration of both markets into the global one. Therefore, while seeking for arbitrage opportunities in the respective Asian markets one should also take into account possible influences of broader global factors.
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Harasta, Balazs. "The determinants of the price of credit risk : an empirical analysis of the CDS, bond and equity markets /." Table on contents, 2008. http://aleph.unisg.ch/hsgscan/hm00231731.pdf.
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Háva, Karla. "Porovnání různých způsobů stanovení výchozí ceny pro ocenění rodinných domů nákladovým způsobem." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-232542.
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This thesis presents a comparison of different methods of determining the default price for family house by using cost valuation method. Here are compared the default rates found in specific houses by itemized budget, calculating according to technical and economic indicator and obtained under the Ministry of Finance to implement certain provisions of Act No. 151/1997 Coll. Using charts and graphs shows the results for valuation individual houses and their variances. The aim is determine the price shares of construction and equipment of the itemized budget of houses created for this work and compare them to share price valuation in the annex to the Decree Ministry of Finance, perhaps to make an attention to differences or shortcomings in price share valuation announcement.
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Nilavongse, Rachatar. "Housing, Banking and the Macro Economy." Doctoral thesis, Uppsala universitet, Nationalekonomiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-281896.
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Essay 1: Expectation-Driven House Prices, Debt Default and Inflation Dynamics We contribute to the literature on dynamic stochastic general equilibrium (DSGE) models with housing collateral by including shocks to house price expectations. We also incorporate endogenous mortgage defaults that are rarely included in DSGE models with housing collateral. We use this model to study the effects of variations in house price expectations on macroeconomic dynamics and their implications for monetary policy. Model simulations show that an increase in expected future house prices leads to a decline in mortgage default rate and interest rates on household and business loans, whereas it leads to an increase in house prices, housing demand, household debt, business debt, bank leverage ratio and economic activity. In contrast to previous studies, we find that inflation is low during a house price boom. Finally, we show that monetary policy that takes into account household credit growth reduces the volatility of output and dampens a rise in housing demand, household debt and bank leverage ratio that enhances financial stability. However, a central bank that reacts to household credit growth increases the volatility of inflation.Essay 2: House Price Expectations, Boom-Bust Cycles and Implications for Monetary Policy This essay examines the role of household expectations about future house prices and their implications for boom-bust cycles and monetary policy. Our findings are as follows. First, waves of optimism and pessimism about future house prices generate boom-bust cycles in house prices, financial activities (household debt, business debt, bank leverage, interest rates on household and business loans) and the real economy (housing demand, consumption, employment, investment and output). Second, we find that inflation declines during a house price boom and increases during a house price burst. Third, we find that monetary policy that reacts to household credit growth reduces the magnitude of boom-bust cycles and improves household welfare. Fourth, we find that the case for taking into account household credit growth becomes stronger in an economy in which the bank capital to asset ratio requirement is low, interest rates on loans and deposits adjust immediately to changes in the policy rate, or the household sector is highly indebted.
Essay 3: Credit Disruptions and the Spillover Effects between the Household and Business Sectors This essay examines the effects of credit supply disruptions in a New Keynesian DSGE model with housing collateral and working capital channels. A tightening of business credit conditions creates negative spillovers from the business sector to the household sector through labor income and housing collateral channels. A tightening of household credit conditions has negative spillover effects on the business sector via the housing collateral channel. We find that spillovers are more sensitive to changes in leverage where the shock occurs. A negative business credit shock creates upward pressure on inflation, whereas a negative household credit shock creates downward pressure on inflation. The working capital channel magnifies the response of inflation to a business credit shock, whereas it dampens the response of inflation to a household credit shock.
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Kroulíková, Anna. "Porovnání výše cenových podílů jednotlivých konstrukcí budov pro bydlení na celkové ceně uvedené v cenovém předpisu a stanovené položkovým rozpočtem." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2013. http://www.nusl.cz/ntk/nusl-232775.
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This thesis presents a comparison of the amount of the price of shares of construction of buildings for housing in the total price quoted in the Price Regulation and set an itemized budget. At the beginning of the thesis describes the methods of valuation of houses cost method and procedure for determining the price of shares and adjustment of structures and equipment. Based on itemized budgets family home, according to the chosen methodology used price shares structures and equipment that are matched with shares pricing structures and equipment by Decree No. 3/2008 Coll. The aim of this thesis is to determine whether price shares structures that correspond to the pricing rules of acquisition costs provided an itemized budget.
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Lorencová, Andrea. "Porovnání výše cenových podílů jednotlivých konstrukcí na celkové ceně uvedené v cenovém předpisu a stanovené položkovým rozpočtem." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-233108.
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The topic of this diploma thesis is a comparasion of the price shares of individual constructions in the total price stated in the price schedule and determined by the item budget. The diploma thesis says and describes cost methods of valuation of building facilities and family houses at the outset. There is contained a procedure for determinating the price shares of construction and equipment and theirs adjustment in the next text. According to the chosen metodology are determined the price shares of constructions and equipments based on the item budget. This way determined the price shares of constructions and equipments are compared with the price shares of construcions and equipments determined by Decree No. 441/2013 Coll. The aim of diploma thesis is to determine if the price shares of constructions and equipments based on the item budget correspond to the price shares of constructions and equipments in the price schedule.
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Lazzaro, João Guilherme Santos. "Sovereign default risk and commodity prices." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18302.
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Country risk is known to be an important driver of emerging economies business cycles. Existing studies of macroeconomics effects of commodities prices on emerging economies' country risk assume an exogenous negative relation between these two variables. This work presents a model to explain endogenously this relation built upon the sovereign debt literature deriving from Arellano (2008). Our framework is then used to assess quantitatively the importance of the country risk effect of commodity prices on output volatility. We find that although this effect is negligible for economies with a high share of commodities on GDP but low indebtedness, the effect is important in indebted economies with a lower share of commodities in GDP.
O risco país é conhecido por ser um motor importante dos ciclos econômicos das economias emergentes. Os estudos existentes sobre os efeitos macroeconômicos dos preços das commodities sobre o risco país das economias emergentes assumem uma relação negativa exógena entre essas duas variáveis. Este trabalho apresenta um modelo para explicar endogenamente esta relação baseado na literatura de dívida soberana derivada de Arellano (2008). Este arcabouço é então utilizado para avaliar quantitativamente a importância efeito do risco país dos preços de commodities sobre a volatilidade do produto. Descobre-se que, embora este efeito seja insignificante para economias com uma alta proporção de commodities em relação ao PIB e baixo endividamento, o efeito é importante em economias endividadas com menor participação de commodities no PIB.
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Somogyi, Vanessa. "Stanovení výše pojistného plnění u chaty v Horních Loučkách poškozené pádem stromu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402103.
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Subject of master’s thesis is determination of the amount of insurance benefits in a holiday house damaged by a fallen tree due to gale in Horní Loučky. The introductory part focuses on property valuation theory. It includes basic conecepts, legislation of property valuation and methods of valuation. Inseparable part of thesis is to outline the field of insurance and it´s procedures. Following part of master’s thesis contain own solution of this problematics. It determines default price of property valued, relative to three different time events. Default price is taken into account of building established by the analytical method. The determination of insurance benefits will be based on the itemized budget of the delivery and montage of newly replaced building construction. In part of analysing achieved results, we examine the impact of repairs made after damage on the value of the holiday house.
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Keswani, Aneel. "Essays on the pricing of default and catastrophe risk." Thesis, London Business School (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325629.
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Wei, Xiangjing. "House Prices and Mortgage Defaults: Econometric Models and Risk Management Applications." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/rmi_diss/24.
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This dissertation first investigates the possible house price trend and the relationship with the mortgage market, from the perspective of risk management; then it chooses the angle from bond insurers and figures out possible methods to avoid capital procyclicality. In Chapter I, we apply vector auto regression models (VAR) and simultaneous equations models (SEM) to estimate the dynamic relations among house price returns, mortgage rates and mortgage default rates, using historical data during the time period of 1979 through second quarter 2008. We find that house prices would be better estimated and predicted with the consideration of the mortgage market. In Chapter II, following the methodology of co-integration, we first construct several succinct measures to display the possible intrinsic values of house prices. In the short run, house price return dynamics are investigated by dynamic adjustments following Capozza et al (2002) and error correction models. We examine the possible overshooting problem of house price returns. By analytical derivations and simulations, we demonstrate the effects of the coefficients on overshooting. In Chapter III, we adopt a structural model with time-varying correlations for bond insurers. We consider losses due to bond insurers’ downgrading and losses from both insurance contracts and investment portfolio. On that basis, we propose forward-looking smoothing rules of capital over a full business cycle, instead of only based on a short-term horizon, to avoid the procyclicality. With the smoothed capital, a bond insurer can actually establish some capital buffer in good times to support the potential losses in crisis.
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Desrosiers, Mary Elizabeth. "Prices of credit default swaps and the term structure of credit risk." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-050107-220449/.
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Chaudhry, Muhammad Imran. "Essays on Agricultural and Financial Markets in Pakistan." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1470400809.
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Huang, Yao. "Market Sentiments and the Housing Markets." Diss., Virginia Tech, 2020. http://hdl.handle.net/10919/97518.
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This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. In the last chapter, using the sentiment index constructed from newspaper, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment (anticipated house price appreciation) will lower the Z score of probability of default by 0.028.Doctor of Philosophy
This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017. Two sentiment index were created using text mining method based on keywords matching and machine learning respectively.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In contrast, we find much weaker feedback coming from past prices to current sentiment. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. The accuracy of the prediction could be up to 0.96 for out of sample prediction. We first use a text mining method to transfer all the text information into numerical vector space, which is able to represent the extracted full information contained in a text. Then by adopting machine learning models of Neural networks, SVM, and random forest, we classified the newspaper into 1 (up) and 0 (down) group and constructed an index as the mean label accordingly. In the last chapter, by merging the Fannie Mae loan performance data with the sentiment index constructed from newspaper as well as the macro variables about local market, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment ( anticipated house price appreciation) will lower the Z score of probability of default by 0.028. We found that during the recession period, people access more information when they try to default, on top of the traditional econ conditions and historical house price, they also consider the future house price change. Moreover, borrowers with high income, high home value, and high FICO scores tend to pay more attention to future price change. However, for those who are less experienced in this game (first time home buyer), they only pay attention to the historical price change during the recession period.
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Mynatt, Joseph Ross. "Stock Returns and the Brazilian Default an Analysis of the Efficient Market and Contagion Effect Hypotheses." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc500500/.
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This thesis attempts to analyze the market response of stock prices of major U.S. banks to the February, 1987 Brazilian loan default announcement. The study's general hypothesis is that the market revalued stock prices according to each bank's amount of Brazilian loan exposure. The first chapter examines the significance of the default announcement. A survey of related literature is presented in the second chapter. Chapter III specifies the methodological techniques involved in analysis of the data. Chapter IV reports the findings of the study. Conclusions about the results are drawn in Chapter V. The results indicate the market is efficient. They also suggest that individual exposure was the major determinant of bank stock price decline.
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Zupan, Aleksander. "Models for the term structure of defaultable bond prices under assumption of consecutive defaults." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.405647.
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Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.
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Ivaschenko, Iryna. "Essays on corporate risk, U.S. business cycles, international spillovers of stock returns, and dual listing." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/625.htm.
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BUTIN, LAURENT. "Etude et modelisation de l'intercation d'un faisceau ultrasonore large bande avec un defaut plan. Prise en compte des effets de diffraction d'ondes de volume et de surface pour la caracterisation de defauts par methodes echographiques et tandem." Paris 7, 1999. http://www.theses.fr/1999PA077040.
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Cette these se situe dans le cadre de la simulation des experiences de controle non-destructif des materiaux (cnd) par ultrasons large bande et porte sur l'etude de l'interaction d'un faisceau ultrasonore avec un defaut plan. L'approximation de kirchhoff, efficace numeriquement, ne permet pas de rendre compte des phenomenes de generation, propagation et diffraction des ondes de surface. Le present travail se propose de predire ces phenomenes avec pour contrainte de conserver une grande efficacite numerique. Le premier chapitre rappelle le formalisme integral de l'equation de l'elastodynamique pour traiter l'interaction faisceau-defaut. Le deuxieme fait la revue des methodes de calcul approche developpes dans la litterature et se concentre sur les methodes analytiques (asymptotiques) permettant de prendre en compte les ondes de surface : theorie geometrique de la diffraction (gtd), theorie asymptotique uniforme (uat), theorie uniforme de la diffraction (utd). Ces theories sont developpees selon un formalisme monofrequentiel. Un examen approfondi des hypotheses simplificatrices et une mise en evidence des dependances spectrales sont presentes pour effectuer des developpements transitoires mieux adaptes a la modelisation des experiences large bande. Ces developpements transitoires sont presentes dans le troisieme chapitre. Le quatrieme chapitre presente une etude des coefficients de diffraction en ondes de volume et ondes de surface apparaissant dans les developpements theoriques. Le cinquieme chapitre presente l'implementation numerique du modele theorique gtd transitoire integrant les effets de diffractions simple et multiple pour des defauts plans d'orientation quelconque en mode echographique et en mode tandem, configurations classiques du cnd. Le dernier chapitre presente des resultats de simulation de configurations reelles de controle, permettant de valider le modele par comparaison avec l'experience. D'autres comparaisons avec un modele developpe au laboratoire reposant sur l'approximation de kirchhoff sont menees. Enfin, des possibilites specifiques du modele et logiciel associe developpes dans le cadre de la these sont exploitees.
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Jaubert, Benoît. "Outils pour les jeux sur ordinateur : prise de connaissance de scènes 3D." Limoges, 2008. https://aurore.unilim.fr/theses/nxfile/default/c5bc2fc9-3f7b-42f2-9cc1-bb30bd268b6c/blobholder:0/2008LIMO4018.pdf.
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L'évolution des jeux vidéo est telle que la plupart d'entre eux se retrouvent maintenant face au problème de la gestion de points de vue et de trajectoires. Avec le développement des jeux en trois dimensions et des cinématiques utilisant le moteur graphique du jeu, il arrive fréquemment que les angles de vue choisis ne soient pas les meilleurs possibles. Ainsi, si les moyens mis en oeuvre pour améliorer les vitesses d'affichage et de calcul, la qualité des graphismes, la fluidité et la maniabilité du jeu sont arrivés à une qualité qui ne souffre que peu de critiques, le travail à faire sur les placements de caméra et de points de vue est encore loin d'être terminé. Nous répertorions dans un premier temps les travaux existants, portant sur le calcul de bons points de vue et la création de trajectoire, dans le domaine de l'informatique et de la robotique. Dans le second chapitre, nous présentons les méthodes et techniques que nous proposons afin de déterminer et d'évaluer de bons points de vue pour un monde ou des objets en trois dimensions en se basant sur diverses notions telles que les poylgones, les objets ou les matériaux. Le troisième chapitre introduit des techniques afin de découper des scènes en objets et des objets en sous-objets permettant d'intégrer cette notion lorsque celle ci n'est pas présente au sein d'une scène. Le quatrième et dernier chapitre décrit la création de trajectoires sur sphère englobante, ou en monde ouvert, et fournit des pistes pour l'utilisation de ces méthodes en temps réelThe evolution of video games is such that most of them are now facing the problem of managing views and trajectories. With the development of games in three dimensions and cinematic using the graphics engine of the game, it frequently happens that the angles are not chosen the as well as possible. Thus, if the means implemented to improve the speed display and calculation, quality graphics, fluidity and handling of the game came to a quality that suffers little criticism, the work to be done on camera placements and points of view is still far from over. We first describe the previous works, dealing with viewpoints computing and trajectory creation. In the second chapter, we present methods and technics to determine and evaluate goods points of view for virtual worlds ou three dimensionnal objects, basing on as various notions as polygons, objects or materials. The third chapter introduces techniques to cut scene into objects and objects into parts allows this notion to be integrate in scene inwhich it not be present. The fourth and last chapter describes the creation of trajectory on surrounding sphere and in open worlds and gives indices to use theses methods in real time environment
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El, Ez Eddine El Dandachy Nancy. "Techniques alternatives de visualisation pour la prise de connaissance de scènes tridimensionnelles." Limoges, 2007. http://aurore.unilim.fr/theses/nxfile/default/b0a2c636-a13a-4923-97ea-cb655a15baeb/blobholder:0/2007LIMO4043.pdf.
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Le développement rapide du domaine de la synthèse d'image, la diffusion de son domaine dans de nombreuses applications et puis grâce au développement des matériels en vitesse et capacité en mémoire permettant ainsi la visualisation de scènes de hauts niveaux, le problème de la compréhension et de la prise des connaissances des scènes tridimensionnelles devient de plus en plus pertinent et compliqué. Depuis le milieu des années 70, pratiquement aucune technique de base nouvelle de visualisation n'a vu le jour. Tous les efforts des chercheurs se sont portés sur les possibilités d'amélioration des techniques déjà existantes soit en réduisant les temps de calcul, soit en réduisant l'encombrement de la mémoire, soit encore en inventant des modèles photométriques plus sophistiqués permettant une meilleure qualité des images obtenues. D'autres chercheurs ont concentré leurs études sur la recherche des méthodes de calcul automatiques de bons points de vue ou à faire une animation tout autour de la scène suivant un chemin qui respecte des règles heuristiques évitant les brusques changements déconcertants l'observateur. Or ces techniques ne sont pas suffisantes pour répondre à toutes les scènes qui peuvent être crées par les matériels actuels. Nous allons donc proposer dans ce mémoire des techniques alternatives basées sur la combinaison des techniques existantes de visualisation afin d'améliorer la compréhension de certaines scènes complexes. Nous allons tout d'abord étudier le cas des scènes tridimensionnelles complexes qui comportent beaucoup de lumières, des miroirs et des objets transparents, produisant ainsi des effets réalistes qui peuvent créer des illusions dues à la présence des ombres, réflexions et réfractions. La présence de ces effets réalistes peut confondre l'utilisateur et l'empêcher de distinguer entre les objets réels de la scène et tout ce qui est illusoire. Pour améliorer la compréhension de ce type des scènes, nous avons proposé une nouvelle méthode qui combine la technique de visualisation réaliste de lancer de rayon avec l'algorithme économique du raffinement sélectif et la méthode de suivi de contour par le code de direction afin de mettre en évidence les objets réels de la scène en détectant leurs contours apparents dans le but de leurs distinguer de leurs réflexions et réfractions. Un autre type de scènes sera introduit dans ce mémoire, celui des scènes qui comportent des objets englobant d'autres objets. Trois nouvelles techniques alternatives seront décrites dans ce mémoire afin d'améliorer la visualisation et la prise de connaissance de ce type de scène. La première tend à visualiser l'objet englobant en mode filiaire alors que l'objet intérieur sera visualisé en mode plein. L'élimination des parties cachées sera réglée par la combinaison de la méthode du z-buffer avec le back facing culling. La deuxième approche tend à créer un trou sur les faces de l'objet englobant faisant ainsi apparaître l'objet intérieur. Deux méthodes sont proposées afin de réaliser ce but. La première est appliquée seulement aux scènes dans lesquelles l'objet englobant en modélisé par des facettes polygonales et elle tend à éliminer les facettes de l'objet englobant qui cachent l'objet intérieur. La deuxième peut être appliquée à n'importe quelle modélisation de scène et elle tend tout d'abord à visualiser les deux objets: l'objet englobant et l'objet intérieur, puis d'assombrir les pixels proportionnels à la silhouette de l'objet intérieur et orthogonaux dirigés vers l'extérieur de l'objet intérieurThe fast development of the image synthesis domain, the spread of this domain in lot of applications and then because of the development of PCs in speed and memory capacities, the problem of scene understanding and extracting knowledge is becoming more and more pertinent and complicated. Since the half of the seventies, practically no new basic techniques of visualization were invented. All the researchers’ efforts were focused on the possibility of the enhancement of existent techniques whether by reducing the time of computations, or by inventing photometric models more sophisticated allowing the obtaining of better image quality. Other researchers have turned their attention to search for methods that compute automatically a good point of view position or do an automatic animation around the scene following a path that respect heuristic rules in order to avoid brusque changes that might disconcert the observer. However, these techniques aren't sufficient to resolve the problem of the visualization of all type of scenes created by the PCs so developed nowadays. We are going to propose in this thesis alternative techniques which are based on the combination of existent visualization techniques in order to enhance the understanding of complex scenes. We are going first to study the case of three-dimensional complex scene that contain lot of lights, mirrors and transparent objects which produce realistic effects that might create illusions due of the presence of shadows, reflections and refractions. The presence of these realistic effects might confuse the observer and prevent him to distinguish between real objects of the scene and illusions. In order to enhance the understanding of this type of scenes, we have proposed a new method that combine between the ray tracing realistic technique of visualization with the selective refinement improvement algorithm and the followed contour technique by the code direction method, in order to underline the real objects of the scene by detecting their apparent contours so that we will be able to distinguish them from their reflexions and refractions. Another type of scenes will be introduced in this thesis, scenes which contain objects that include other objects. Three new alternative techniques will be described in order to enhance the visualization end the taking knowledge of this type of scene. The first one leads to visualize the exterior object on wireframe mode while the interior one will be visualized in fill mode. The elimination of hidden surfaces will be regulated by the combination of the z-buffer method with the back facing culling technique. The second approach leads to create a hole on the surface of the exterior object in order to show the interior one. Two methods will be proposed in order to achieve this project. The first one is applied only for scenes where exterior objects are modeled by a polygonal mesh and leads to eliminate the exterior faces which hide the interior object. The second method can be applied to any scene model and leads first to visualize both objects: the exterior and the interior one, and then make darken the pixels which are proportional and orthogonal to the silhouette of the interior object oriented to the outside of the interior object
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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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Kim, Mi lim. "Trois essais sur la dépendance et le marché immobilier." Thesis, Cergy-Pontoise, 2016. http://www.theses.fr/2016CERG0862.
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Un nombre importants de défauts de prêts immobiliers ainsi que l'eff ondrement du march é immobilier ont entraî n é la faillite de plusieurs banques d'investissement aux Etats Unies. Ces facteurs ont aussi d éclench é la derni ère crise fi nanci ère. Ces év énements ont donné lieu à un pan de travaux cherchant à expliquer les facteurs d éterminant les d éfauts simultan és des prêts immobiliers. Cette th èse apporte des preuves suppl émentaires montrant l'importance de la d épendance des d éfauts lors de la gestion des portefeuilles des prêts immobiliers. Cette th èse comporte trois chapitres identifi ant les facteurs cl és d éterminants la d épendance des d éfauts de prêts immobiliers et des prix immobiliers. Nous montrons que mesure plus pr écise du risque de cr édit est possible en tenant compte des facteurs mentionn ées ci-dessous. Dans le chapitre 1, nous analysons la variation de la dépendance de 13 indices de prix r égionaux. Nous estimons une chaîne de Markov cach ée multivari ée avec deux r égimes équid epéndants. Nous mod élisons la probabilit é de transition en utilisant la croissance du taux d'int érêt, et du rapport prêt-valeur. Nos r ésultats montrent que la d épendance r égionale moyenne des prix immobiliers varie dans le temps. De plus cette d épendance est li ée an changement du taux d'int érêt et au rapport prêt-valeur. En consid érant un sous- échantillon de r égions m étropolitaines, nous montrons aussi qu'une baisse du rapport prêt valeur est associ ée à une plus forte probabilit é d'être dans un r égime de forte d épendance d écrite par une copule en arborescence canonique. Dans le Chapitre 2, nous utilisons une vraisemblance composite de copule (composite likelihood copula), et une fonction Mat érn, nous analysons la d épendance de d éfaut par paires d'un ensemble de prêts immobiliers titris és, a haut risques (subprime mortgages), provenant de la r égion de Los Angeles, entre 2000 et 2011. Nos r ésultats montrent que la d épendance des d éfauts est aff ect ée par la distance g éographique entre les prêts, la moyenne et la di fférences dyadiques de variables telle que le rapport prêt-valeur, le cr édit scoring FICO et le revenu au niveau l'arrondissement. De plus nous identifi ons un eff et de contagion o u un indice de changement des prix immobiliers r égionaux n égatifs et un haut taux de d éfauts augmente la d épendance des d éfauts. En fin notre mod èle donne une bonne estimation de la Value at Risk du nombre de d éfauts dans un bloc de prêts titris és. Dans le chapitre 3, nous analysons l'éfficacit e d'un portefeuille de prêts immobiliers titris és à haut risque (subprime). Nous estimons l'ésp erance et la variance des rendements en utilisant des probabilit e de d éfauts obtenu a partir d'un mod èle de d épendance de d éfaut par paires. Nous analysons les 13 plus larges bloc de prêts immobiliers, titris és entre 2001 et 2005. Nos r ésultats montrent que la diversi cation des blocs de prêts n' étaient pas optimale. De plus, nous montrons qu'il est possible de d'avantage diminuer le risque associ é bloc de prêts en tenant compte des risque non g éographiqueThe high number of mortgage defaults along with the collective collapse in regional house prices have led to bankruptcies of Wall Street investment banks and triggered the last financial crisis. This phenomenon have led to a growing body of research seeking to understand how such mortgage defaults tend to occur together. This thesis adds to the body of evidence that dependence between mortgages as well as house prices needs to be seriously taken into consideration in managing the risk of mortgage pools. This thesis consists of three chapters that focus on identifying the factors affecting the dependence between house prices and mortgage defaults. We show how less risky mortgage portfolios can be constructed if we consider the factors mentionned below. In Chapter 1, we analyze time variations in the dependence of 13 regional house price indices. We estimate a multivariate hidden Markov copula model, with two equidependent regimes, and we allow the Markov transition probabilities to vary with changes in interest rates and leverage, measured by the Loan to value ratio (LTV). Our results provide evidence of time-variation in the average dependence in regional house prices. Besides they shows that house price dependence is strongly related to leverage and changes in interest rates. In addition, using a reduced set of Southwestern metropolitan statistical areas (MSAs), we further show that a decrease in leverage is associated with a higher probability of being in an asymmetric high dependence regime, described by a canonical vine copula. In Chapter 2, using a composite likelihood copula approach and a Mat'ern function, we analyze the pairwise dependence of defaults within a set of securitized subprime mortgages originated in Los Angeles between 2000 and 2011. Our results show that default dependence is affected by geographic proximity, as well as dyadic averages and differences in a number of mortgage-specific and local economic variables, such as FICO credit scores, Loan to Value (LTV) and zip code level income. In addition, we find evidence of a contagion effect, whereby negative local house price index returns and high lagged default rates increase default dependence. Our pairwise dependence model also delivers good estimates of Value at Risk for the number of defaults in a pool of mortgages. In Chapter 3, we analyze the mean variance efficiency of pools of securitized subprime mortgages. We estimate the means and variances of the returns from the default probabilities derived from a multinomial logit and a copula-based pairwise default dependence model. We examine the 13 largest mortgage pools that were securitized between 2001 and 2005. Our results first show that the mortgage portfolios were not optimally diversified. Secondly considering non-geographic risk factors leads to less risky optimal portfolios
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Assunção, Ana Maria Farhá. "Requisitos de segurança no trabalho e sua influência na formação de preços de serviços de construção civil: estudo de caso em uma empresa petroquímica." Universidade Federal da Bahia, 2006. http://www.adm.ufba.br/sites/default/files/publicacao/arquivo/ana_maria_farha_assuncao.pdf.
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A transformação nas organizações na busca da excelência de gestão fez evoluir a gestão dos Sistemas de Saúde, Higiene e Segurança no Trabalho - SSHMA que passaram a atuar de forma sistêmica nas empresas envolvendo também os fornecedores de serviços contratados. A análise do que ocorre nos custos dos serviços contratados após a introdução dos requisitos de Saúde, Higiene e Segurança do Trabalho, e em paralelo à verificação dos benefícios e avanços obtidos nos níveis de redução de acidentes, torna-se relevante para as empresas contratantes na consolidação dos seus sistemas de SSHMA. Da mesma forma torna-se relevante para as empresas de construção civil contratadas, verificar em que medida um padrão de atuação em SSHMA, diferenciado em relação seu setor usual de atuação, influencia a competitividades destas empresas para atuar como fornecedoras no mercado do Pólo Petroquímico de Camaçari. Esta pesquisa verifica, no período de 2000 a 2004, numa empresa petroquímica situada no Pólo de Camaçari, ganhadora do Prêmio Pólo de Segurança por duas vezes neste período, o reflexo na ocorrência de acidentes e nos preços dos serviços de Construção Civil realizados, com a introdução de requisitos de segurança nos contratos.
Salvador
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Daviet, Jean-Christophe. "Facteurs prédictifs du devenir vital et fonctionnel d’une cohorte d’hémiplégiques vasculaires : conséquences sur les modalités de prise en charge." Limoges, 2004. http://aurore.unilim.fr/theses/nxfile/default/79737b65-cfe6-4b35-bc58-b9a5316fa823/blobholder:0/2004LIMO310E.pdf.
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La prise en charge des accidents vasculaires cérébraux (AVC) est depuis quelques années une priorité de santé publique en France et a fait l’objet de recommandations ministérielles. Dans ce contexte, nous avons mené des travaux dont le but était de déterminer les facteurs prédictifs du devenir fonctionnel et vital des patients atteints d’AVC et d’évaluer leur impact au plan global de l’organisation de la filière de soins et au plan des prises en charge individuelles. Nous avons conduit une étude prospective de suivi d’une cohorte de 156 primo-AVC hémisphériques en se plaçant dans les conditions d’une enquête d’observation. Ce travail a permis de conclure, en accord avec les travaux antérieurs essentiellement anglo-saxons, que les principaux facteurs prédictifs du devenir fonctionnel à un an sont les troubles de la conscience, les troubles sensoriels, un déficit moteur majeur, les troubles cognitifs, l’incontinence urinaire à J2 et J15, un Index de Barthel initial faible et l’existence de co-morbidités. L’âge en lui-même n’était pas un facteur prédictif. Nous avons étudié plus spécifiquement le rôle des troubles vésico-sphinctériens. Pour structurer la filière hospitalière en post-aigu, nous avons appliqué les critères d’aide à l’orientation des patients, retenus par la société française de Médecine Physique et de Réadaptation et repris dans une circulaire ministérielle récente. Nous avons montré que la situation familiale du patient et ses possibilités de retour à domicile étaient aussi importantes dans le choix du service de soins de suite que l’évaluation prédictive du niveau fonctionnel. Des travaux complémentaires ont été consacrés aux prises en charge individuelles, concernant notamment le Syndrome Douloureux Régional Complexe de type I (SDRC I). Une première étude prospective cas-témoins sur une cohorte de 71 hémiplégiques suivis pendant 3 mois a montré que le pronostic et la réponse au traitement du SDRC I sont étroitement liés au pronostic de l’hémiplégie et à sa récupération. En effet, l’évolution du SDRC I semblait plus influencée par la récupération de l’hémiplégie que par la prise en charge thérapeutique actuelle. Deux autres études incluant un total de 60 patients ont montré que la mesure transcutanée de la pression partielle d’oxygène n’est pas suffisamment reproductible pour être utilisée dans l’étude du SDRC I. Il n’existe toujours pas d’examen complémentaire pour l’aide au diagnostic et pour le suivi évolutif de ce syndrome. De telles études de suivi longitudinal de cohorte, dans les conditions d’enquête d’observation, sont indispensables pour quantifier au niveau national les besoins en matière de prise en charge des AVC et pour évaluer la mise en application des recommandationsSince few years in France, stroke care is a priority of public health. The Ministry of Health gave recommendations for a national management and care of stroke patients. In this way, we performed studies to determine early predictive factors of functional outcome and to evaluate their impact on stroke care organisation. We conducted an observational cohort study including a population of 156 first hemispherical stroke. This work concluded, in accordance with previous studies, that early predictive factors of poor functional outcome at D360 were: severity of motor deficit, severity of the disabilities evaluated by the Barthel index, initial loss of consciousness, neuropsychological disorders, urinary incontinence, prestroke myocardial infarction and prestroke disabilities. Age itself did not seem to be predictive factor. We have studied more specifically the impact of urinary disorders. To organise post-acute stroke care, we used criteria according to a national guideline recommended by the French Society of Physical Medicine and Rehabilitation and by the Ministry of Health for a national management and care of stroke patients. Thus, we observed that the impact of early predictive factors of poor functional outcome on discharge must be considered in relation with family status. Family status had an important influence on discharge modalities and home return. Complementary works were conducted concerning individual treatments, especially the complex regional pain syndrome type 1 (CRPS I). A first prospective case-series study, including 71 hemiplegic patients, shown that the CRPS I severity and its progression were strongly correlated with the hemiplegia severity. The CRPS I progression was more influenced by hemiplegia evolution than by specific treatments. Two others studies, including 60 patients, shown that measurement of transcutaneous oxygen tension did not seem to be sufficiently reproducible for application to a pathology such as the CRPS I. Actually, their is no complementary exploration to evaluate CRPS I after stroke. The field of rehabilitation has seen several stroke rehabilitation guidelines published in recent years with very little work done on describing the implementation phase or the impact of using these guidelines on clinical
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Chuffart, Thomas. "Problèmes de choix de modèles dans la volatilité conditionnelle." Thesis, Aix-Marseille, 2016. http://www.theses.fr/2016AIXM2022.
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Cette thèse de doctorat composée de trois chapitres contribue au développement de la problématique sur la sélection de modèle de volatilité de type GARCH. Le premier chapitre propose une étude de simulation sur la sélection de modèles dans le cadre spécifique des modèles à changement de régimes. On propose des expériences de simulation permettant de mettre en évidence l'inefficacité des critères de sélection usuels dans des cas particuliers, ce qui peut conduire à des erreurs de spécification lors du choix de modèle. Le deuxième chapitre propose un test du multiplicateur de Lagrange de mauvaise spécification dans les modèles GARCH univariés. L'hypothèse nulle admet que le processus générateur des données est un modèle GARCH linéaire tandis que sous l'hypothèse alternative il correspond à une forme fonctionnelle inconnue qui est linéarisée à l’aide d’un développement de Taylor. On illustre le test dans une application empirique sur les taux de change. Le dernier chapitre étudie l'impact du prix du pétrole sur les spreads de Credit Default Swaps souverains de deux pays exportateurs de pétrole: le Vénézuela et la Russie. Utilisant des données récentes, nous trouvons que les rendements du prix du pétrole impactent les spread de CDS souverains du Vénézuela directement alors que cela passe par le canal du taux de change pour la Russie. Ce chapitre emploie des méthodes statistiques avancées, notamment l'utilisation de modèles à changement de régimes Markoviens. Finalement, l'appendice propose le manuel de la toolbox MSGtool (Matlab) qui propose une collection de fonctions pour l'étude des modèles à changement de régimes Markoviens. La toolbox est très user-friendlyThis Ph.D. thesis composed by three chapters contributes to the development of model selection in GARCH-type models.The first chapter investigates whether the most common selection criteria lead to choose the right specification in a regime switching framework. We propose simulation experiments which reveal the inefficiency of some selection criteria in particular cases which lead to misspecification. Depending on the Data Generating Process used in the experiments, great care is needed when choosing a criterion.In the second chapter, a misspecication test for GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown nonlinear GARCH-type models. This test can be seen as a general misspecication test. We investigate the size and the power of this test through Monte Carlo experiments. We show the usefulness of our test with an illustrative empirical example based on daily exchange rate returns.In the third chapter, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015, we find that crude oil price returns are a critical determinant of Venezuela CDS spreads changes, but does not explain significantly Russian CDS spreads. Indeed, oil prices seem to impact Russian CDS spreads through the exchange rates canal. Finally, we propose as an appendix the manual of the MSGtool, a MATLAB toolbox, which provides a collection of functions for the simulation and estimation of a large variety of Markov Switching GARCH (MSG) models
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Xydas, Ioannis. "Aide à la surveillance de l’application d’une politique de sécurité dans un réseau par prise de connaissance d’un graphe de fonctionnement du réseau." Limoges, 2007. https://aurore.unilim.fr/theses/nxfile/default/ba3a6a50-5708-4f1a-9d00-dca7fa1469cd/blobholder:0/2007LIMO4006.pdf.
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Dans ce mémoire nous étudions la possibilité d'appliquer la visualisation et l'analytique visuelle dans le contexte de l'analyse de données pour la sécurité des réseaux. En particulier nous avons étudié la sécurité web Internet et en employant une représentation visuelle "intelligente" des attaques web nous avons extrait la connaissance à partir d'un graphe de fonctionnement du réseau. Pour atteindre ce but nous avons conçu et développé un prototype d’un système intelligent. Ce système est une aide à la surveillance pour l'analyste de sécurité et l’administrateur web en lui offrant un outil visuel facile à utiliser pour détecter des anomalies dans des requêtes web en surveillant et explorant les graphiques 3D, ainsi que pour comprendre rapidement le genre d'attaque en cours d’exécution au moyen de couleurs et en ayant la possibilité de naviguer dans les données de la requête web, du trafic normal ou malveillant, pour une analyse complémentaire et une réponse appropriée. Les parties fondamentales d'un tel système sont l’intelligence artificielle et la visualisation. Un système évolutionnaire de réseaux de neurones artificiels combinant les réseaux de neurones et les algorithmes génétiques s'est avéré idéal pour la tâche de classification des attaques webIn this thesis we study the possibility of applying visualization and visual analytics in the context of data analysis for network security. In particular, we studied Internet web security and by using an “intelligent” visual representation of web attacks we extracted knowledge from a network operation graph. To achieve this goal we designed and developed an intelligent prototype system. This system is a surveillance aid for the security and web analyst, offering him/her a user friendly visual tool to detect anomalies in web requests by monitoring and exploring 3D graphs, to understand quickly the kind of undergoing attack by means of colours and the ability to navigate into the web request payload, of either normal or malicious traffic, for further analysis and appropriate response. The fundamental parts of such a system are Artificial Intelligence and Visualization. A hybrid expert system such as an Evolutionary Artificial Neural Network proved to be ideal for the classification of the web attacks
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Tran, Duc Si. "Epilepsie en République Démocratique Populaire du Laos : études originales sur l’épidémiologie, les étiologies, les aspects socio-culturels et la prise en charge des patients atteints d’épilepsie." Limoges, 2007. https://aurore.unilim.fr/theses/nxfile/default/825c84b4-ecc5-4761-93d4-f8c424ef8487/blobholder:0/2007LIMO310B.pdf.
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L'épilepsie est une maladie neurologique chronique qui concerne tous les pays du monde. Il y a peu de données épidémiologiques sur cette maladie en Asie. Des enquêtes porte-à-porte montraient une prévalence variant de 3,6 à 10,7‰. La prise en charge est très différente entre les pays pauvres et les pays plus avancés dans la région. La République Démocratique Populaire du Laos (RDP Laos) est un pays pauvre et enclavé d’Asie du Sud-est, souffrant de conditions d’hygiène et d’accès aux soins de santé assez précaires. Nous avons conduit un programme de recherche sur les différents aspects de l’épilepsie, en menant successivement plusieurs types d’études : 1) Une étude transversale de prévalence de l’épilepsie active. La prévalence de l'épilepsie en RDP Laos est supérieure à celle de certains pays voisins, bien que nettement moins élevée qu’en Afrique ou qu’en Amérique latine. Dans l’enquête porte-à-porte au district Hinheub, 277 cas suspects d’épilepsie ont été identifiés parmi 4 310 sujets interviewés; 33 cas d'épilepsie active ont été confirmés par un neurologue expérimenté lors de visites de confirmation au village. La prévalence calculée était de 7,7 pour mille habitants (95%IC : 5,3-10,7). 2) Une étude cas-témoins sur les facteurs de risque. Un antécédent de traumatisme crânien (OR=4,7 ; p<0,05), un antécédent familial d'épilepsie (OR=12,8 ; p=0,03), et l'utilisation des engrais humains dans les potagers (OR=4,9 ; p=0,04) étaient significativement associés à l'épilepsie. La séroprévalence de cysticercose était 4,8% dans la population générale, similaire à celle documentée au Vietnam voisin. Par contre, aucun patient n’avait un résultat sérologique positif. Ceci peut-être lié avec le tabou de porc chez des patients atteints d’épilepsie (PAE). 3) Une étude transversale sur les croyances, les attitudes et pratiques. Beaucoup de villageois (57,2%), patients (38,5%) et leur familles (51,8%) croyaient que l'épilepsie était contagieuse : en consommant du porc ou en touchant la salive de PAE. Ils décrivaient aussi l'épilepsie comme un châtiment d’origine surnaturelle. Ces croyances menaient à l'exclusion sociale. 4) Une étude transversale sur l’anxiété et la dépression liées à l’épilepsie. Des PAE, surtout en zone rurale, avaient des scores d’anxiété et de dépression plus élevés que la population générale (p<0,001). Les patients bien entourés et conseillés par leurs proches étaient significativement moins déprimés que les autres. 5) Enfin, nous avons mené un projet de traitement communautaire en collaboration avec l’hôpital du district. Le phénobarbital mis à disposition gratuitement à l'hôpital du district a été bien apprécié par les patients et leurs familles. Pour les autres patients suivant le traitement, les crises ont diminué nettement en gravité et en fréquence (de 3,5 à 0,3/mois, p<0,001). La compliance au traitement semble être une difficulté majeure dans le cadre d’un district rural pauvre et isolé. Ces différentes recherches ont contribué à améliorer les connaissances scientifiques de base sur cette affection qui n’avait jamais fait l’objet d’aucune étude au Laos. De plus, elles pourront être utiles pour mettre en place un programme national contre l’épilepsie qui manque actuellement dans ce paysEpilepsy is a ubiquitous, chronic, neurological disease. It causes physical and psychological sufferings for patients and their family, and also has important socio-economic consequences. It is a neglected disease according to most experts. The Lao Popular Democratic Republic (Lao PDR) is a developing Asian country, with poor general hygiene and health care accessibility in several areas. We carried out a research program that included different studies: 1) “Door-to-door” survey to estimate the prevalence of active epilepsy. The prevalence of epilepsy in Laos is higher than prevalences in some close countries, athough it is lower than prevalences in subsaharan Africa and South America. We conducted a door-to-door screening in the Hinheub district, Vientiane province. A total of 277 cases suspected of epilepsy were identified among 4 310 interviewed subjects; 33 people with active epilepsy were identified; the calculated prevalence was 7. 7 cases per thousand inhabitants (CI 95%: 5. 3-10. 7). 2) Case-control study on epilepsy risk factors. A history of head injury (OR=4. 7; p<0. 05), familial epilepsy (OR=12. 8; p=0. 03), and using of human feces to fertilize the domestic gardens (OR=4. 9; p=0. 04) were significantly associated with epilepsy. The seroprevalence of cysticercosis was null in the epilepsy group and low (4. 8%) in general population; the last is similar to those from the neighboring countries Vietnam or Thailand. 3) Analytic cross-sectional study on beliefs, attitudes and practices (KAP). The misunderstandings about epilepsy represent a major obstacle for epilepsy management and access to care in Lao PDR. Many villagers (15. 7%), patients (25. 9%) and patient’s relatives (37. 3%) described epilepsy like a supernatural punishment. Moreover, 44. 0% of the population thought that saliva could transmit epilepsy and 15. 7% of patients had been prohibited or discouraged from sharing meals. 4) Analytic cross-sectional study on the anxiety and the depression related to epilepsy. Patients with epilepsy, especially those inhabited in rural areas, had higher anxiety and depression scores than general population (p<0. 001). Patients who used to receive advices from their relatives and neighbors were significantly less depressed. 5) Treatment project in collaboration with the Hinheub district hospital. The treatment with phenobarbital was distributed free of charge in the district hospital and was much appreciated by patients and their care-givers, although full compliance was poor (22%). Seizures rate was clearly improved (from a mean 3. 5/month to 0. 3/month, p<0. 001). There was a high rate of lost to follow up, with only 56. 8% patients still followed-up, and only 42. 9% of them have fully respected the two-month appointment schedule. All these activities add basic scientific knowledge on several aspects of the disease, and are useful to build up a national program against epilepsy, which is currently lacking in Laos and is strongly advocated. Health education, capacity-strengthening program, advanced vocational training interventions, and improvement of drug supply would be the first actions to carry out
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Elsayed, Ahmad Ahmad. "Conception d’antennes réseaux aux performances optimisées par la prise en compte des couplages inter-éléments : application à la formation de faisceau et à la polarisation circulaire." Limoges, 2010. https://aurore.unilim.fr/theses/nxfile/default/1ebc00a8-7170-4a99-92ab-663a59293abe/blobholder:0/2010LIMO4053.pdf.
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Les travaux contenus dans ce manuscrit s’intéressent à la synthèse de fonctions de rayonnement par l’association de plusieurs éléments rayonnants. Cette demande de synthèse tient compte des couplages entre les éléments rayonnants et du diagramme de chacun d’entre eux pour aboutir à une conception conjointe des antennes et de leur circuit de distribution. Le but est de maintenir simultanément un gain optimum, des objectifs de polarisation, ainsi que de satisfaire aux gabarits de diagramme visés. Deux applications sont développées. Une première antenne, destinée à être embarquée sur le toit d’un train est contrainte par son intégration. Une seconde antenne qui servira à établir une liaison depuis un satellite, doit réaliser un diagramme de polarisation circulaireThe works in this manuscript are dedicated to the synthesis of radiation functions by associating several radiating elements. The synthesis considers the coupling between elements and their elementary radiation patterns, in order to get a joint design of antennas and their feeding network. The aim is to simultaneously maintain an optimal gain, polarization objectives but also to satisfy the template of desired radiation pattern. Antennas for two applications are developed. The first one, intended to be embedded on the top of train, is constrained by its integration. The second one which aims to establish a satellite link must provide a circularly polarized pattern
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Scolan, Virginie. "L'aide humaine / tierce personne ou la problématique d’une évaluation au plus juste lors de l’expertise médicale du "grand handicapé" : la prise en compte du handicap en matière de dommage corporel." Limoges, 2012. http://aurore.unilim.fr/theses/nxfile/default/e683108e-e911-4c31-86f5-3a48b3d85af9/blobholder:0/2012LIMO310B.pdf.
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Depuis une vingtaine d’années, le droit du dommage corporel a connu des évolutions marquantes. Les missions encadrant l’acte expertal ont suivi ces évolutions avec l’apparition de nombreux postes de préjudices dont celui de la tierce personne, représentant près de la moitié du coût total d'indemnisation. Sa détermination concentre presque à elle seule toutes les difficultés de l’évaluation du handicap. Et son indemnisation trouve son fondement dans un des principes fondateurs de l’indemnisation, celui de réparation intégrale. Confrontée à notre pratique de clinicien, plusieurs difficultés se sont présentées à nous. Elles nous ont conduits à nous interroger sur notre pratique expertale, en particulier lors des évaluations des personnes victimes de dommage corporel entraînant de lourds handicaps. Ces difficultés sont en particulier attenantes aux notions mêmes du handicap et de la tierce personne et aux limites de l’expertise médicale Notre travail de thèse s’est donc intéressé à toute cette problématique et a tenté d’apporter des réponses médico-légales, adaptées au cadre juridique et médical de notre sociétéSince about twenty years, the legal redress knew striking evolutions. The missions supervising the medical and legal evaluation followed these evolutions with the appearance of numerous posts of damages of which that of the caregiver, representing near half of the total cost of compensation. Its determination concentrates almost to her only all the difficulties of the evaluation of the disability. And its compensation finds its foundation in one of the founding principles of the compensation, that of complete repair. Confronted with our clinician's practice, several difficulties appeared at us. They led us to question us about our medicolegal practice, in particular during the evaluations of the victims of physical injury pulling majors disabilities : These difficulties are essentially adjacent to the notions of the disability and the human aid and in the limits of the medicolegal evaluation. Our study was thus interested in all this problem and tried to bring forensic answers, adapted to the legal and medical framework of our society
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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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Mokbel, Rita. "Systemic risk in financial economic institutions." Thesis, Besançon, 2016. http://www.theses.fr/2016BESA2080.
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Les crises financières et les problèmes se formaient mais les indicateurs ne sont pas précis pour permettre une intervention réglementaire. La thèse propose un modèle dynamique pour le système bancaire avec une banque centrale afin de calculer un indicateur de faillite en fonction de la probabilité qu'une banque soit en faillite et les pertes rencontrées dans le réseau financier, une méthodologie qui peut améliorer la mesure, le suivi et la gestion du risque systémique.La thèse propose également des mécanismes de compensation : 1- avec un modèle considérant l'ancienneté du passif et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché, 2 - avec un modèle considérant les participations croisées entres les banques dont les engagements interbancaires sont de différentes séniorités et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marchéFinancial crisis pose important theoretical problems on creating reliable indicator of stability of financial systems on which basis the regulators could intervene. The thesis proposes a dynamic model of banking system were the central bank can calculate an indicator of potential defaults taking into consideration the probability for a bank to default and the losses encountered in the financial network, a methodology that can improve the measurement, monitoring, and the management of the systemic risk. The thesis also suggests a clearing mechanisms : 1- in a model with seniority of liabilities and one type of liquid asset whose fire sale has a market impact, 2 - in a model with crossholdings among the banks whose interbank liabilities may be senior and junior and with one liquid asset whose firing sale has a market impact
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Holiš, Jakub. "Analýza Morgan Stanley v průběhu finanční krize." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15471.
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The main task of the diploma thesis is an analysis of financial performance and position of Morgan Stanley during several successive periods before and during the subprime financial crisis. Through the analysis of trends in key items, it also demonstrates strong cyclicality of financial performance and position of the investment bank. The first chapter deals with history and key divisions of the Company. The following chapter generally discusses selected phenomena, which, as per the author's view, significantly influenced industry-wide record-breaking performance during the period before the subprime crisis, and which substantially determined Morgan Stanley's risk profile and performance's corrections later during the Crisis. The core part of the Thesis is conceived as an analysis of financial performance and position of Morgan Stanley during the selected periods. The analysis of pre-crisis period until 2006 in the third chapter demonstrates growth of activities lying behind the unprecedented profitability of the Institution. The following fourth chapter analyzes deteriorating financial performance during the subprime crisis and indicates crucial strategy changes, implemented by the Company at the end of 2008. Effects of the strategic changes and challenges of the future development of the Institution are discussed in the last chapter. Additionally, the Thesis includes annexes, which further deal with selected topics and their general relations to investments banks and two annexes which compare Morgan Stanley with its nearest peers during specific periods.
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Hamell, Clara. "Statistical Methods for Analysis of the Homeowner's Impact on Property Valuation and Its Relation to the Mortgage Portfolio." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-288498.
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The current method for house valuations in mortgage portfolio models corresponds to applying a residential property price index (RPPI) to the purchasing price (or last known valuation). This thesis introduces an alternative house valuation method, which combines the current one with the bank's customer data. This approach shows that the gap between the actual house value and the current estimated house value can to some extent be explained by customer attributes, especially for houses where the homeowner is a defaulted customer. The inclusion of customer attributes can either reduce false overestimation or predict whether or not the current valuation is an overestimation or underestimation. This particular property is of interest in credit risk, as false overestimations can have negative impacts on the mortgage portfolio. The statistical methods that were used in this thesis were the data mining techniques regression and clustering.De modeller och tillvägagångssätt som i dagsläget används för husvärdering i bolåneportföljen bygger på husprisindexering och köpesskilling. Denna studie introducerar ett alternativt sätt att uppskattta husvärdet, genom att kombinera dagens metod med bankens egna kunddata. Det här tillvägagångssättet visar på att gapet mellan det faktiska och det uppskattade husvärdet kan i viss mån förklaras av kunddata, framförallt där husägaren är en fallerad kund. Inkluderandet av kunddata kan både minska dagens övervärdering samt predicera huruvida dagens uppskattning är en övervärdering eller undervärdering. För fallerade kunder gav den alternativa husvärderingen ett mer sanningsenligt uppskattat värde av försäljningspriset än den traditionella metoden. Denna egenskap är av intresse inom kreditrisk, då en falsk övervärdering kan ha negativa konsekvenser på bolåneportföljen, framförallt för fallerade kunder. De statistiska verktyg som användes i denna studie var diverse regressionsmetoder samt klusteranalys.
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Vilchis, Medina José Luis. "Modeling of resilient systems in non-monotonic logic : application to solar power UAV." Thesis, Aix-Marseille, 2018. http://www.theses.fr/2018AIXM0567/document.
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Cette thèse présente un modèle résilient pour piloter un avion basé sur une logique non monotone. Ce modèle est capable de gérer des solutions à partir d’informations incomplètes, contradictoires et des exceptions. C’est un problème très connu en Intelligence Artificial, qui est étudié depuis plus de 40 ans. Pour ce faire, nous utilisons la logique des défauts pour formaliser la situation et trouver des conclusions possibles. Grâce à cette logique, nous pouvons transformer les règles de pilotage en défauts. Ensuite, lorsque nous calculons les solutions, plusieurs options peuvent en résulter. À ce stade, il existe un critère de décision opportuniste pour choisir la meilleure solution. Le contrôle du système se fait via la propriété de résilience. Nous redéfinissons cette propriété comme l’intégration de la logique non monotone dans le modèle de Minsky. En conséquence, il est démontré que le modèle de résilience proposé pourrait être généralisé aux systèmes intégrant une connaissance du monde contenant des situations, des objectifs et des actions. Enfin, nous présentons les résultats expérimentaux et la conclusion de la thèse en discutant des perspectives et des défis pour les orientations futures. Différentes applications dans d’autres domaines sont prises en compte pour l’intérêt du comportement du modèleThis thesis presents a resilient model to pilot an aircraft based on a non-monotonic logic. This model is capable of handling solutions from incomplete, contradictory information and exceptions. This is a very well known problem in Artificial Intelligence, which has been studied for more than 40 years. To do this, we use default logic to formalise the situation and find possible conclusions. Thanks to this logic we can transform the piloting rules to defaults. Then, when we calculate the solutions, several options could result. At this point an opportunistic decision criteria takes place to choose the better solution. The control of the system is done via the property of resilence, we redefine this property as the integration of the non-monotonic logic in the Minsky’s model. As a result, it is shown that the proposed resilient model could be generalised to systems that incorporate a knowledge of the world that contains situations, objectives and actions. Finally, we present the experimental results and conclusion of the thesis discussing the prospects and challenges that exist for future directions. Different applications in other fields are taken into account for the interest of the model’s behavior
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Wan-YuTsai and 蔡宛諭. "The Determinants of Credit Default Swap Price." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/87891302155013032451.
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Lin, Mei-Chan, and 林美珍. "Price Limits, Margin Requirements and Default Risk." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/06143921721797707349.
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博士國立中央大學
財務管理研究所
87
Price Limits, Margin Requirements and Default Risk Essay 1: On the effects of price Limits on margin requirements and default risk This essay investigates if the imposition of price limits can reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract by considering one more period beyond Brennan''s (1986) one-period model that further takes into account the spillover of residual shocks due to price limits. The results show that, when the traders receive no additional information, price limits can reduce the margin requirement and eliminate the default probability by, however, introducing a higher liquidity cost due to trading interruption. As a result, the total contract cost is higher than that without price limits. When the traders receive additional signal about the equilibrium price, I find that the optimal margin remains unchanged with or without the imposition of price limits, a result that is in sharp contrast with Brennan''s assertion. Hence, I conclude that price limits are ineffective in improving the performance of a futures contract if price limits only serve to delay the price adjustment process. Nonetheless, if price limits have a cool-off effect that reduces the volatility and changes expected returns following a limit move, it may still serve as a partial substitute for margin requirements. Essay 2: Spot price limits and the effectiveness of futures price limits This essay investigates if the imposition of spot price limits can further reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract. The results show that, without the imposition of spot price limits, futures price limits have an effect in reducing the margin requirement and the contract costs. When the limits are placed in force on the spot market, the effectiveness of spot limits on further reducing the default risk and margin is evidently displayed. In addition, the greater the information comes from the spot market, the more the spot price limit rule constrains the information available to the losing party about the extent of his loss, then the default probability, contract costs and margin requirements are lowered to a greater degree. Furthermore, for a given margin, spot price limits and futures price limits can be substituted for each other for a contract to be self-enforcing. On the other hand, to make the price limit levels in both markets parallel, even though it does not coincide with the efficient contract design, has lower contract cost and margin requirement than that without the imposition of spot price limits.
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Chang, Chia-Wen, and 張嘉文. "Price Default Bonds Under The Generalized Vasicek Model." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/97763876599276078755.
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Lin, Yu-Yi, and 林毓儀. "The influence of credit default event upon stock price." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/17240731623786193786.
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碩士東吳大學
會計學系
92
The main purposes of this study are to investigate how financial distress firms would be effected when credit default events occur and to sort out the relationship among NSF, financial aid and restructuring. This study is useful for banks to determine loan policies and for financial institutions to develop credit derivatives. Three credit events are classified as follows. Event one: Non sufficient check (NSF) Event two: Financial aid Event three: Restructuring The study finds the three credit default events all have significant negative average abnormal return. On relative degree of accumulated average abnormal return and reaction among those three events, this study concludes that the ranks of the three credit default events impacting on investors are restructuring, NSF, and financial aid. It is meaningful to consider those credit default events when entering a credit derivatives contract. In addition, the financial situations among these three credit default events are different in profitability, solvency and scale. Finally, the study finds that the NSF event may be a warning of further credit default event.
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Shih, Ying-Cheng, and 施盈蓁. "The Empirical Study of Default Risk and Reinsurance Price." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/94409549703859065940.
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碩士國立中正大學
財務金融所
98
This thesis attempts to investigate the relationship between reinsurance prices and the financial quality of the non-proportional property-liability reinsurers. Following the prediction of the option pricing model, this thesis tests whether the price and reinsurers’ financial quality appear to be nonlinear. The results suggest that the sensitivity of reinsurance prices to reinsurers'' financial quality in the non-proportional property-liability reinsurance market varies depending on reinsurers'' capital ratio. In general, the results support both of the risky debt hypothesis and the capacity constraint hypothesis.