Tesi sul tema "Produits structurés (finances)"

La crise économique et financière de 2008 a été un moment révélateur pour les collectivités locales et les établissements de crédit dans l’utilisation des produits financiers structurés devenus « toxiques ». Depuis de nombreuses années, ces deux acteurs ont établi des relations contractuelles basées sur la combinaison de produits financiers classiques et de produits financiers dérivés devenus de plus en plus sophistiqués. Or, le contexte dans lequel ces relations s’exercent devient complexe et nécessite une prise de décision immédiate et durable pour encadrer leur avenir. Que ce soit le juge par sa jurisprudence ou l’État et le législateur qui ont mis en place un fonds de soutien, des lois, des circulaires et une charte, chacun a tenté de trouver des solutions aux problèmes rencontrés par les collectivités locales et leurs partenaires financiers.L’objet de notre thèse sera d’expliquer les raisons et les conséquences de l’utilisation, par les collectivités locales, de ces produits d’un nouveau genre proposés par les établissements de crédit. En suivant la chronologie des évènements que les acteurs en présence ont vécu, des réflexions juridiques seront menées autour de ces relations contractuelles passées, présentes et futures
The 2008 economic crisis was a revealing event for local and regional authorities and credit institutions regarding the use of structured finance products, which had become « toxic ». For many years, both of them have been establishing contractual relationships based on the association of standard structured finance products and increasingly sophisticated derived finance products. However, as the context in which such relationships are taking place is becoming complex, an immediate and a sustainable decision-making is necessary to provide a framework to their future. Whether it is the judge through case laws or the State and the legislator through the development of a support fund, various laws, circular notes and a charter, each of them has tried to find solutions to the problems faced by the local and regional authorities and their financial partners.The object of the thesis is to explain why local and regional authorities used this new type of finance products provided by credit institutions and what the resulting consequences were. Following the chronology of the events experienced by all of these stakeholders, legal considerations on these past, current and future contractual relationships will be presented

Cette thèse regroupe un ensemble de travaux sur les problématiques de simulation numérique et de modélisation des données de marché rencontrées lors du développement d'un système d'évaluation des produits dérivés actions. La première partie porte sur l'utilisation des méthodes de simulation Monte Carlo et Quasi-Monte Carlo pour évaluer des produits dérivés. Elle insiste plus particulièrement sur le choix et sur l'implémentation des générateurs uniformes, sur les techniques de simulation des variables gaussiennes et sur l'utilisation des méthodes de réduction de variance pour accélérer la convergence des estimateurs. La seconde partie porte sur la modélisation des paramètres de marché qui interviennent dans la dynamique des prix d'une action. Elle aborde successivement la construction des courbes zéro-coupon et des surfaces de volatilité implicite en absence d'arbitrage puis l'évaluation d'une option Européenne en présence de dividendes discrets dont les montants sont connus à l'avance
This thesis gathers a set of studies dealing with the problematic of numerical procedures and with the problematic of market data modelling met during the development of an equity derivatives valuation tool. The first part relates to the use of Monte Carlo and Quasi-Monte Carlo simulations in order to price derivatives. It insists more particularly on the choice and the implementation of uniform generators, on the techniques employed to simulate Gaussian variables and on the variance reduction procedures that can be applied to improve the convergence rate of the estimators. The second part relates to the modelling of the market parameters, which influence the stock price dynamic. The first two chapters deal successively with the zero curve construction and the implied volatility surface fitting under the no-arbitrage assumption. The third chapter resolves the European option-pricing problem in the presence of discrete cash dividends

Cette thèse de doctorat est à l’intersection entre l’économie publique et politique. Fondée à partir d’une approche empirique, elle explore certaines problématiques touchant les démocraties occidentales en ce début de XXI siècle: telles que l’augmentation de la dette publique, le populisme ou encore la ségrégation partisane. Les deux premiers chapitres se concentrent sur les conséquences de l’exposition du secteur public à l’innovation financière, en évaluant les aspects politiques et économiques. Le premier chapitre étudie les effets de chocs d’endettement locaux sur l’activité économique, lorsque le niveau d’endettement est particulièrement élevé. A partir de deux chocs exogènes qui ont affecté l’endettement public des municipalités françaises exposées au Franc Suisse, je parviens à distinguer l’effet d’un choc informationnel sur l’endettement public d’une réelle augmentation de la dette publique. Je trouve qu’une couverture médiatique défavorable sur l’endettement public est suffisante pour affecter la marge intensive des établissements étudiés. Une montée réelle de l’endettement local peut au contraire engendrer des effets persistants sur l’activité économique locale, en augmentant les fermetures d’établissements. L’endettement public peut donc fortement impacter l’activité économie locale. Le second chapitre est co-écrit avec Gianmarco Daniele et Paul Vertier. Afin d’explorer la montée du populisme, il propose un nouveau mécanisme entre populisme et crises financières: la révélation de scandales financiers. A l’aide de données administratives et collectées, ce chapitre prend appui sur l’affaire en 2011 des emprunts toxiques. En utilisant une stratégie d’identification par variable instrumentale, nous observons aux élections municipales de 2014 les résultats suivants: i) une candidature populiste de droite, comme de gauche, est plus probable dans les municipalités concernées – ce qui entraîne une augmentation du vote populiste, ii) cette affaire fut suffisante pour propulser les partis populistes – indépendamment de chocs économiques adverses, iii) l’entrée des partis populistes est renforcée par les facteurs usuels de la montée du populisme - ce qui fait des scandales financiers un mécanisme distinct mais complémentaire à la littérature sur le populisme. Le troisième chapitre n’est pas relié en soi au populisme mais enquête sur l’évolution de la demande politique au cours du temps, dans un monde qui tend à être polarisé. Ce chapitre est co-écrit avec Jacob Brown, Enrico Cantoni, Ryan Enos et Vincent Pons. A notre connaissance, il est le premier à utiliser des données de panel au niveau individuel pour tester la montée de la ségrégation partisane aux Etats-Unis au cours de la dernière décennie. A partir de plusieurs sources de données, nous mettons en évidence une augmentation de la ségrégation partisane entre 2008 et 2020 aussi bien au niveau des districts congressionnels, qu’à celui des comtés ou encore à celui d’unités géographiques inférieures. Nous montrons notamment que la ségrégation partisane n’apparaît pas davantage dans les zones rurales que dans les zones urbaines mais que la vision de deux Amériques divisées ne peut être que renforcée par cette dernière – avec une augmentation en faveur des Démocrates dans les zones urbaines et en faveur des Républicains dans les zones rurales. Ce dernier chapitre propose également pour la première fois une décomposition de la montée de la ségrégation partisane en différents facteurs. Dans les zones à tendance républicaine, la ségrégation partisane s’accompagne de changements de préférences au sein de l’électorat – avec une part croissante de Démocrates devenant Républicains. Dans les zones à tendance Démocrate, ce sont au contraire des changements de composition de l’électorat et particulièrement, une dynamique intergénérationnelle qui contribuent à la montée de la ségrégation partisane
This Ph.D. dissertation lies at the intersection of public and political economy. Based on empirical studies in France and the U.S., this dissertation explores some challenges faced by Western democracies in the wake of the twenty-first century: high-level of public indebtedness, populism, and partisan segregation. The first two chapters study the political and economic consequences of exposure to extreme financial innovation in the public sector. Chapter 1 provides first evidence on the effects of local public debt shocks on economic activity for highly indebted local governments. Exploiting two exogenous shocks on public debt that affect French municipalities indebted with CHF-toxic loans, I can disentangle the impact of an information shock on public debt from the effect of an actual debt increase. I find that negative press coverage on local public debt is sufficient to impact – at least temporarily – the intensive margin. Compared to information shocks, the actual increase in local public debt burden can trigger persistent consequences on local economic activity, by increasing plant closures in highly-indebted municipalities. Local public debt appears as an important driver of economic activity. Chapter 2 is joint with Gianmarco Daniele and Paul Vertier. It considers the disclosure of public financial scandals as a new mechanism for the rise of populism. Combining administrative data with collected datasets, it exploits the Toxic Loan scandal, which was revealed in 2011 as a case of public-finance mismanagement. Using an instrumental variable as the main identification strategy, we find in the subsequent municipal election that i) both right-wing and left-wing populist parties are entering in municipalities involved in the scandal and experienced, as a result, a rise in their vote shares, ii) public financial scandals are sufficient to fuel the entry of populist parties - independently from any adverse economic shocks, iii) entries of populist parties are reinforced by cultural and economic factors, meaning that this new mechanism can be viewed as complementary to usual explanations for the rise of populism. The third chapter is not related to populism per se but investigates how political demand evolves over time. In the U.S., partisan segregation has been linked with the rise of political polarization. Chapter 3 is joint with Jacob Brown, Enrico Cantoni, Ryan Enos, and Vincent Pons. To the best of our knowledge, we are the first to use individual-panel data to test whether or not partisan segregation has been increasing over the last decade. Exploring two datasets, we find robust evidence that partisan segregation has been overall increasing between 2008 and 2020 – at the congressional district level, at the county level, and even within smaller geographic units. Importantly, we show that partisan segregation is not more likely in rural areas than in urban areas but reinforces the picture of two divided Americas: with a rise of partisan segregation in favor of Republicans in rural areas and in favor of Democrats in urban areas. Finally, this last chapter contributes to the literature by decomposing the rise of partisan segregation into multiple factors. We show that the rise of partisan segregation is mainly driven by a change in the composition of the electorate and in particular, by generational change in Democratic-leaning places. In contrast, in Republican-leaning places, partisan segregation is fueled by change in preferences and particularly by change in partisan affiliation among Democrats and Republicans

Aim: The purpose of the thesis is to give small private investors an insight the financial world of derivatives and to show that an investor does not need to consult with an advisor in order to make decisions about the investments. The aim was to show through a new product that a small investor can beat the market return. Method: The method used in the thesis is to collect data over a three year period for an option, a bull ETF and a treasury bill. The database DataStream was used to obtain statistics of the option and the Treasury bill and Nasdaq OMX Nordic was used for the Bull ETF. We calculated the expected return and variance of each in order to use in the portfolio. Having the information needed we then used a trial-and-error method to calculate the weight each component will be given, with the help of Excel and its Solver add-on. Result & Conclusion: The results were surprising in that over the three year period the product had a 100% increase, while the market only went up by 30%. The major reason for the products strong return was that the daily earnings were shifted everyday so that the weights remained constant throughout the life of the product. The issue with the product was that no transaction costs were included in the calculations, and as there would be at least one transaction per day the costs would be enormous for the given product. Suggestions for Further Research: As one of the limitations for the thesis was that no transactions cost were included, one idea for further research could be to calculate the transaction costs as well as seeing if there is a method to minimize them so that the product could be profitable. Contribution to the Field: To our knowledge we are the first to test theses three components in order to from a structured product. Through our method interested parties could do the same with other components or retest our product. We have showed through our method one way to create your own structured product.

Cette thèse traite de la gestion du risque de crédit et de son influence dans le cycle financier. A partir d'une analyse détaillée des modèles de détermination du risque de crédit utilisés par les banques et de la valorisation des dérivés de crédit, on met en évidence les problèmes posés par l'évaluation des crédits titrisés. Alors que la titrisation a permis aux banques de réduire leurs expositions au risque de crédit sur les entreprises et de faire face avec succès à la montée des taux de défaut qui a suivi le krach technologique et les scandales financiers de 2001, elle a également favorisé une prise de risque sans précédent sur le secteur des ménages, dopée par la bulle immobilière, et qui conduira à la crise des subprimes. 2001-2006 a en effet été une phase euphorique du cycle financier, caractérisée par une hausse des leviers d’endettement et une sous-évaluation générales du risque de crédit. Pendant cette période, la technique de titrisation a été employée à outrance par les banques qui ont adopté un modèle industriel de production et distribution du crédit, dans lequel elles étaient peu incitées à contrôler les risques. Les contreparties des produits structurés en question bénéficiaient de rendements élevés sans qu’elles puissent nécessairement mesurer l’ampleur des risques encourus, notamment lorsque celles-ci se limitaient à une sélection des titres par le seul critère de notation des agences. Nous montrons ainsi la nécessité de renforcer la supervision bancaire et l’encadrement du marché de la titrisation
This thesis is concerned with credit risk management and its influence on the financial cycle. After a detailed analysis of credit risk models used by banks, we point out different issues concerning risk measurement and the valuation of credit derivatives. We then show that securitization allowed banks to mitigate the strong increase in default rates following the IT crash and the corporate governance crisis. But the proliferation of structured products backed by household debt, and sustained by the real estate bubble, played a major role in the subprime crisis. Indeed, the period 2001-2006 was symptomatic of an euphoric phase in the financial cycle, where leveraging increases exponentially and risk under-evaluation is extreme. Securitization transformed the original banking model into a production/distribution model in which banks have no incentive to monitor credit risk. Structured products attracted investors with high returns, but these investors were not always aware of the risks involved due to misleading agency ratings. Therefore, we conclude the analysis by stressing the need to reinforce banking supervision and regulation of securitization markets

Ce travail de thèse initié en novembre 2005 au sein du laboratoire PRISM se place dans le cadre de la conduite du processus d'évaluation d'un nouveau type de classe d'actif financier : les dérivés de crédit. A la fin des années 90 et comme conséquence cie la réglementation Bâle, les institutions financières cherchaient des solutions pour transférer le risque de crédit en dehors de leur bilan afin de pouvoir se refinancer à moindre coût. En même temps les investisseurs recherchaient des produits financiers de plus en plus complexes dans le but d'améliorer le rendement. Ainsi la classe d'actifs des structures de crédit s'est imposée sur le marché. Il s'agit des dérivés qui conjuguent techniques de titrisation et caractéristiques optionnelles dans le but de répondre aux nouveaux besoins des institutions financières ainsi qu'aux exigences des investisseurs. L'auteur présente de différents montages de dérivés de crédit complexes et analyse des risques inhérents. Ensuite il propose des formules d'évaluation fermées dans les cas où ces dernières n'existaient pas auparavant. A noter que dans la plupart des cas les banques ont recours à des méthodes de simulation afin de déterminer les prix (une approche longue et peu adaptée aux besoins des salles de marché). Ensuite des approches de couverture sont proposées qui visent à maîtriser les positions concernant des produits financiers dont on ignorait les risques associés encore il y a peu de temps. Le première partie de la thèse est consacrée à la présentation du contexte économique et de marché. Or plus il fournit un résumé pédagogique des différents outils quantitatifs et des concepts scientifiques essentiels à la compréhension des dérivés de crédit. Ensuite l'auteur consacre respectivement une partie au Collateralized Oebt Obligations (COOs), aux options sur tranches de COOs, aux COO Squareds, aux Constant Proportion Collateralized Oebt Obligations (CPOOs), et au Foreign Exchange Collateralized Obligations (CFXOs). . Bien qu'initié il y a trois ans, ce travail gagne de l'importance dans le contexte actuel de la crise des "subprimes".

Si l'immobilier est de loin la plus importante classe d'actifs de notre économie, elle est également l'une des dernières à ne pas disposer d'un marché de dérivés mature. Des études académiques récentes ont montré que le manque de compréhension de leurs prix en est la principale raison. Ce travail doctoral cherche à y remédier. Par la conduite d'études à la fois théoriques et empiriques, nous sommes parvenus à déterminer leurs caractéristiques statistiques, leurs facteurs de risque mais aussi à appréhender l'intérêt de ces produits en terme de fonction de découverte des prix. Si les dérivés immobiliers constituent un outil de paramétrisation du risque immobilier essentiel, ils offrent également la possibilité aux investisseurs comme aux pouvoirs publics de disposer d'informations qui ne seraient pas disponibles autrement

Ce recueil d'articles s'articule autour de deux thèmes centraux. Le premier porte sur la différenciation des produits, sur les problèmes méthodologiques que pose l'estimation des fonctions de demande du commerce extérieur et leurs implications pour l'analyse de la concurrence internationales. L'évolution des élasticités prix du commerce extérieur fournit ainsi la motivation d'une première série de travaux. Le deuxième thème porte sur l'hétérogénéité des structures de marché, les modalités de la concurrence qui s'y exercent et les conséquences au niveau des salaires relatifs, taux de marge et spécialisations commerciales. L'introduction d'une taxonomie de structures de marché permet-elle de mieux comprendre la nature de ces spécialisations et d'expliquer les variations sectorielles des salaires relatifs et des taux de marge ? Une autre série de travaux cherche à répondre à ces questions. Chacune de ces deux parties est précédée d'un résumé de l'état de la littérature. L'apport des travaux présentés et les méthodes utilisées sont ensuite analysés.

L'objectif de notre recherche était de déterminer si face à la diversification des instruments financiers, le législateur fiscal avait su trouver le juste équilibre entre accompagnement de l'innovation financière et mitigation du risque qu'elle soit source d'évitement de l'impôt. Le droit fiscal présente des biais structurels en matière d'imposition des revenus du capital ou de l'emprunt, auxquels certains d'entre eux - hybrides financiers, «depositary receipts», produits structurés et contrats financiers portant sur des actifs financiers, des intérêts ou des dividendes - nous ont semblé lancer d'importants défis. Une fois leur nature juridique et leurs nombreuses particularités clairement définies, le manque de cohérence, de pertinence et de clarté des mesures de droit fiscal interne qui leurs sont applicables nous a amenés à conclure qu'un certain nombre de réformes devraient ou pourraient être envisagées pour atteindre l'équilibre recherché. Dans un contexte international, trouver le juste équilibre pour s'assurer qu'ils ne soient pas malicieusement utilisés nécessite une action coordonnée des différents États concernés. L'étude des mesures identifiées à l'échelle supranationale afin de neutraliser l'hybridité fiscale de certains hybrides financiers, fruit du frottement des souverainetés, nous a permis de conclure que la lutte est loin d'être achevée compte tenu de leur manque de proportionnalité. Celle contre l'évitement de la retenue à la source sur dividendes par le truchement de contrats financiers mériterait quant à elle d'être engagée, en s'inspirant sans en reproduire les écueils les plus importants de la solution adoptée par le législateur américain
Given the diversification of financial instruments, the goal of our research was to determine whether the tax legislator was able to strike the right balance between supporting financial innovation and mitigating the risks it could be a source of tax avoidance. When applied to capital and loan income, tax law has certain structural bias to which we believed some of them - financial hybrids, depositary receipts, structured products and financial contracts relating to interests, dividends or financial assets - issue important challenges. Once their legal nature and numerous peculiarities were clearly defined, the Jack of coherence, relevance and clarity of the domestic tax measures they are subject to led us to conclude that a number of reforms should or could be considered in order to achieve the desired balance. Striking the right balance in an international context to ensure they are not maliciously used requires a coordinated action between impacted states. The study of the measures identified at a supranational level in order to counteract tax mismatches due to the use of some financial hybrids, led us to conclude that the fight is far from over in light of their lack of proportionality. The one against the avoidance of dividend withholding tax through financial contracts deserves consideration. It could be modeled after the solution adopted by the US legislator provided it is stripped of its most important pitfalls

L'objet de cette thèse est l'étude d'un modèle de la dynamique de la courbe de taux d'intérêt pour la valorisation et la gestion des produits dérivées. En particulier, nous souhaitons modéliser la dynamique des prix dépendant de la volatilité. La pratique de marché consiste à utiliser une représentation paramétrique du marché, et à construire les portefeuilles de couverture en calculant les sensibilités par rapport aux paramètres du modèle. Les paramètres du modèle étant calibrés au quotidien pour que le modèle reproduise les prix de marché, la propriété d'autofinancement n'est pas vérifiée. Notre approche est différente, et consiste à remplacer les paramètres par des facteurs, qui sont supposés stochastiques. Les portefeuilles de couverture sont construits en annulant les sensibilités des prix à ces facteurs. Les portefeuilles ainsi obtenus vérifient la propriété d’autofinancement
This PhD thesis is devoted to the study of an Affine Term Structure Model where we use Wishart-like processes to model the stochastic variance-covariance of interest rates. This work was initially motivated by some thoughts on calibration and model risk in hedging interest rates derivatives. The ambition of our work is to build a model which reduces as much as possible the noise coming from daily re-calibration of the model to the market. It is standard market practice to hedge interest rates derivatives using models with parameters that are calibrated on a daily basis to fit the market prices of a set of well chosen instruments (typically the instrument that will be used to hedge the derivative). The model assumes that the parameters are constant, and the model price is based on this assumption; however since these parameters are re-calibrated, they become in fact stochastic. Therefore, calibration introduces some additional terms in the price dynamics (precisely in the drift term of the dynamics) which can lead to poor P&L explain, and mishedging. The initial idea of our research work is to replace the parameters by factors, and assume a dynamics for these factors, and assume that all the parameters involved in the model are constant. Instead of calibrating the parameters to the market, we fit the value of the factors to the observed market prices. A large part of this work has been devoted to the development of an efficient numerical framework to implement the model. We study second order discretization schemes for Monte Carlo simulation of the model. We also study efficient methods for pricing vanilla instruments such as swaptions and caplets. In particular, we investigate expansion techniques for prices and volatility of caplets and swaptions. The arguments that we use to obtain the expansion rely on an expansion of the infinitesimal generator with respect to a perturbation factor. Finally we have studied the calibration problem. As mentioned before, the idea of the model we study in this thesis is to keep the parameters of the model constant, and calibrate the values of the factors to fit the market. In particular, we need to calibrate the initial values (or the variations) of the Wishart-like process to fit the market, which introduces a positive semidefinite constraint in the optimization problem. Semidefinite programming (SDP) gives a natural framework to handle this constraint

Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. Since the structured products are non-linear, it is difficult to asses their long-term risk today. This study, conducted at Nordea Markets, focuses on the risk of structured products and how the risk and return in a portfolio changes when we include structured products into it. Nordea can only calculate the one-year risk with their current risk advisory tool, which makes long time predictions difficult. To solve this problem, we have simulated portfolios and structured products over a five-year time horizon with the Monte Carlo method. To investigate how the structured product allocations behave in different conditions, we have developed three test methods and a ranking program. The first test method measures how different underlying assets changes the risk and return in the portfolio allocations. The second test method varies the drift, volatility, and correlation for both the underlying asset and the portfolio to see how these parameters changes the risk and return. The third test method simulates a crisis market with high correlations and low drift. All these tests go through the ranking program, the most important part, where the different allocations are compared against the original portfolio to decide when the allocations perform better. The ranking is based on multiple risk measures, but the focus in this study is at using Expected Shortfall for risk while the expected return is used for ranking the return. We used five different reference portfolios and six different structured products with specific parameters in an example run where the ranking program and all three test methods are used. We found that the properties of the reference portfolio and the structured product’s underlying are significant and affect the performance the most. In the example run it was possible to find preferable cases for all structured products but some performed better than others. The test methods revealed many aspects of portfolio allocation with structured products, such as the decrease in portfolio risk for Capital Protected notes and increase in portfolio return for Participation notes. Our ranking program proved to be useful in the sense that it simplifies the result interpretations.

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O objetivo do presente trabalho é investigar estatisticamente a influência de determinantes econômicos, tais como, PIB per capita, câmbio real, escolaridade, abertura comercial, peso do governo no produto e população, na perda de peso do setor industrial no produto. A regressão foi estruturada na forma de painel, com dimensão temporal, para capturar a evolução no tempo, e com 130 países, de forma a garantir heterogeneidade à amostra. O resultado indica uma forte influência do produto per capita na evolução do tamanho relativo do setor manufatureiro, o que reforça o ponto da transformação estrutural e estabelece uma relação positiva entre apreciação da taxa de câmbio real e o peso da indústria.
This paper aims to investigate statistically the influence of economic indicators, such as, GDP per capita, real exchange rate, education, trade openness, government share of the GDP and population on the decline of the industrial sector as percentage of the GDP. The regression was structured in the form of a panel with time dimension to capture the evolution in time e with 130 countries to ensure the heterogeneity of the sample. The results point to a strong influence of the GDP per capita in the evolution of the relative size of the manufacturing sector, reassuring the idea of structural transformation, as well as they establish a positive relationship between the real exchange rate appreciation and the percentage of the industrial sector in the total product.

This dissertation contains two essays on the aggressive behavior of corporations in product market competition. In the first essay, I investigate how market structure can impact a firm's risk of facing predation by rivals, and hence, its financial policy decisions. Using a simple model, I demonstrate that a firm faces a greater predation threat when it meets the same competitor in many markets, as this competitor is able to internalize more of the benefit, degrading the firm's ability to compete in the future through aggressive actions today. I then test the predictions of the model using 2003-2011 panel data on store location across retail store chains in the US. I find that firms tend to expand more aggressively in markets shared with a competitor experiencing a substantial increase in leverage, or a decline in a credit rating, when they face that competitor in more of the other markets. The expansion relationship was found to be stronger in data from the 2008-2009 financial crisis, a period when difficulty in rolling over or obtaining new debt made it especially hard for weak firms to absorb losses. I also show that a firm facing the same competitors in many markets choose lower levels of leverage and that it decreases that leverage when a merger in the industry increases the amount of competitive overlap it has with other firms. These results suggest that firms are aware of the predation risk due to a competitive overlap and select financial policies to minimize this risk. In the second essay, I study the impact of internally generated funds on product market competition. More specifically, I investigate the idea that firms compete aggressively when their competitors face cash flow shortfalls. Testing this idea is challenging because competitor's cash flow changes are potentially endogenous with respect to firm's behavior. I address this problem in three ways. First, I investigate firm's reaction in a given market when its competitors face cash flow shortfalls outside of that market; this analysis is conducted using store location data on retail store chains. Second, I focus on the 2008-2009 financial crisis period in which retail store chains were hit by a negative demand shock which was hardly expected ex ante. Finally, I use a shock to local economic conditions which varies across markets and the different distributions of store locations across firms as instruments for the changes in competitors' cash flows. I find that a firm expands more in a given market in which it competes with rivals which face a more negative cash flow shortfall in the other markets. This relation is stronger when the competitors were highly leveraged before the crisis. Finally, I illustrate evidence that a firm responds more aggressively to competitor's cash flow shortfalls if it competes with that competitor in many of the same markets; this result is consistent with the prediction of the model in Chapter 1. These essays contribute to the literature by adding new evidence on the predatory behavior of corporations in product market competition.
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Classificação JEL: M20,O16 e G13
Com o contínuo crescimento dos mercados financeiros têm sido desenvolvidas novas formas de investimento de capital, tais como os produtos financeiros estruturados. O objectivo desta dissertação é a decomposição de um produto financeiro estruturado emitido pelo Deustche Bank em Londres, Reino Unido, designado por Lloyds double up que foi comercializado pela sucursal do Deustche Bank em Portugal. Para uma análise mais aprofundada do produto em questão, será apresentada uma panorâmica geral sobre o que são produtos estruturados, assim como a sua composição (activos subjacentes). Alguns pressupostos e conceitos serão igualmente detalhados tais como os contratos de opções e o Modelo Black-Scholes-Merton. Seguidamente, a análise deste produto estruturado será apresentada segundo duas perspectivas, investidores e banco. Ambas serão decompostas e explicadas tendo em conta os seus objectivos financeiros.
With the continuous growth of financial markets, it has been develop new forms of capital investment, such as financial structure products. The aim of this assignment is the decomposition of a specific financial structure product issued by Deustche Bank London, U.K., namely Lloyds double up that was commercialized by the Deustche Bank branch office in Portugal. To go further with this analysis, it will be given a general overview about what structured products are, as well as its composition (underlying assets). Some assumptions and concepts will be detailed, such as, option contracts and Black-Scholes-Merton Model. Afterwards, the analysis of this structured product will be presented, and it will be focused on two perspectives: investors and bank. Both will be decomposed and explained considering their financial goals.

碩士
國立交通大學
財務金融研究所
98
After the crash of global stock market in 2008 financial crisis, banks still have difficulty conferring with clients, and the governance also tried to find the appropriate structured products sale rules. Those domestic securities firms immediately adjust the direction of issuing financial product. According to the data from OTC, the sales of Equity linked notes (ELN) issued by financial institution reached NTD 39,242 million during 2009. The amount of equity- linked note which are not principal-guaranteed, and linked to Taiwanese stocks, sets the record since its first distribution in Taiwan. This study tries to figure out why domestic securities firms succeeded in issuing ELN, and analysis the change in traders’ investing preference. By studying the sales documents of a securities firm, this paper shows that investors preferred ELN with barrier options during the post-financial crisis period, and the preference diminished with the decrease of VIX. Moreover, they particularly favored the system of everyday observation period with a kick-out option and that of every-week observation period with a kick-out option plus a trigger option.

Problem Statement: The business of property finance has not been properly documented in South Africa. Available resource material focuses on the perspective of the property developer and investor largely neglecting the business of property finance. Thus comprehensive information on this business was not available to students and researchers This study set out to correct this deficiency. Research Procedure: Key property finance personnel in the major banks in the Republic of South Africa were interviewed to establish how the business of property finance is conducted. Jointly the interviewees represent 77% by volume of business over a period of two years A parallel process of literature research was undertaken to compliment the interview research and provide technical depth to the findings. Findings: The empirical and literature research results were combined to comprehensively document the processes, structures, systems, products
Business Management
M. Com. (Business Management)

The purpose of this dissertation is the investigation of the structured products markets, namely the equity linked structured product German market, one of the most developed. With that, this dissertation aims to provide knowledge about what structured products really are and how they work, making clear the increasing importance of these types of products. Besides that, this dissertation has also as a main objective the information about the actual conditions of the market, by the analysis of these products’ prices, through real products examples, namely Reverse Convertibles and Discount Certificates. In fact, the financial world suffered a lot of evolutions during the recent years. A relative recent one is the creation of this “structured phenomena” that combines the traditional market with the derivatives one. That happened due to an increasing importance of “financial engineering”, that in turn, through the repackaging of financial products, created a link between the “old” (traditional market) and the “new” world (derivatives market). Nevertheless, this link can be very dangerous if the investor is not well informed. Thus, it is important to understand well structured products. Along with a theoretical knowledge, this dissertation provides also an empirical approach to this complex world. Therefore, the inclusion of a pricing formula for Reverse Convertibles and Discount Certificates, based on the Constant Elasticity of Variance model, constitutes an important proxy for actual and future pricing fairness evaluations by investors, which in turn could result in a better market performance in future investment decisions.
O principal objetivo deste trabalho é a investigação do mercado de produtos estruturados, nomeadamente o mercado de capitais alemão, um dos mais desenvolvidos. Desta forma, este projeto ambiciona proporcionar conhecimento sobre o que é o mercado de produtos estruturados e como este funciona, tornando clara a importância deste tipo de produtos. Para além destes objetivos, esta pesquisa pretende informar sobre as atuais condições de mercado, através da análise do preço destes produtos, recorrendo a exemplos reais, nomeadamente os "Reverse Convertibles" e os "Discount Certificates". De facto, o mundo financeiro sofreu muitas evoluções nos anos recentes. Uma evolução recente é a criação deste "fenómeno estruturado" que combina o mercado tradicional com o mercado derivado. Isto aconteceu devido à importância crescente da engenharia financeira, que por sua vez, através da reformulação dos produtos financeiros, criou uma ligação entre o "velho" (mercado tradicional) e o "novo" mundo (mercado de derivados). Contudo, esta ligação pode ser muito perigosa se o investidor não estiver bem informado. Posto isto, é importante conhecer bem estes produtos. Em paralelo com o conhecimento teórico, este projeto providencia também uma abordagem empírica a este mundo complexo. Desta forma, a inclusão de um modelo de preço para os "Reverse Convertibles" e para os "Discount Certificates", baseado no modelo "Constant Elasticity of Variance", constitui uma importante abordagem para atuais e futuras avaliações de preço por parte dos investidores, o que por sua vez poderá resultar em melhores decisões de investimento.

As a consulting project, we were proposed to develop a neural network (NN) to predict mortgage states in one year, based on the paper ‘Deep Learning for Mortgage Risk’ by Justin A. Sirignano, Apaar Sadhwani, Kay Giesecke (2018). We developed a neural network model with the aim of being able to capture the relationships between the different variables, with respect to each other and to the response variable (the loan status in 12 months), better than traditional classification methods, such as logistic regressions, which constitute the benchmark set. Data was provided by Moody’s, relating borrower, property and loan/financing characteristics for several mortgages over several periods in time (over 350 thousand mortgages). The purpose of our model is to predict the probabilities to transition to different states at a certain point in time. The best results were obtained with a 10 layer, 500 nodes per layer network. The model can identify a large portion of defaults. At the cost, however, of a general overestimation of the default rate over the years. The capability of identifying loans that will be in arrears is also acceptable, with, again, an overestimation of the verified rate. Variables relating to borrower characteristics and history as well as financing are found to be the most significant.

碩士
銘傳大學
財務金融學系碩士在職專班
92
While capital markets are becoming more globally integrated, the wealth management business of the banking is in the continual state of flux. It must be more likely in accord with the financial innovation and trading development. It is not enough to say that the integration will continue, but one must identify the force behind increasing integration and understand what will be the strength of banking service on the wealth management in the future. The factor analysis is employed on the financial consumer questionnaire, 200. The return rate is 73.5%, including 19 invalid copies and 128 valid copies. With the factor analysis, the picture of structure products'' competition environment for the banking through the typical diamond model via blended customer relationship viewpoints might be well characterized by the eight facets:：(1) the policy of ordinance standard and consumer protection;(2)the strategy of the merchandise features and channel coordination;(3) the service of customer direction and beneficial result;(4)the effect of enterprise resource and brand image;(5)the trend of market environment and investment chance;(6)the performance of information supports and future exchange;(7)the management of market mechanism and internationalization degree; (8) the integration of manpower quality and knowledge promote. These factors be reduced to six analytic facets：the government policy；the thoroughfare cooperation；the customer demand；the chance trend；the professional technique；and the enterprise efficiency. Because the internationalization and flexibility including less requirement on the entrance of foreign and domestic institutions investments as well as better communication with the authority, it is more likely attributed into the government-facet in the modified diamond model (denoted as augmented diamond model), however, both the human resource and information support are attributed into the professional facet. Meanwhile, the comparisons of SWOT with augmented diamond model will be provided. Additionally, it pays to notice which is the current ideal structured product in consumers’ hearts. The results can be reduced to these facts: the structured products that consumer mostly want to purchase is stock option link products; the latent structured products buyers are generally distributed within the age from 30 to 40; the male consumers’ preferences for the structured products are greater than female consumers’ while female consumers’ preferences for medium-term or long-term investment are greater than male consumers.