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Romazzotti, Laure. "Collectivités locales et produits financiers structurés". Thesis, Pau, 2018. http://www.theses.fr/2018PAUU2037/document.
Pełny tekst źródłaThe 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
Patard, Pierre-Alain. "Ingénierie des produits structurés : essais sur les méthodes de simulation numérique et sur la modélisation des données de marché". Lyon 1, 2008. http://www.theses.fr/2008LYO10187.
Pełny tekst źródłaThis 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
Sartre, Emilie. "Empirical Essays on Public and Political economy". Electronic Thesis or Diss., Institut polytechnique de Paris, 2021. http://www.theses.fr/2021IPPAG006.
Pełny tekst źródłaThis 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
Kramer, Florian. "Modeling and analysis of structured finance products". [S.l. : s.n.], 2008. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-66270.
Pełny tekst źródłaBashtay, Nenus, i Mattias Lindqvist. "Why Buy a Structured Product from a Bank? : A combination of weighted products to outperform the market". Thesis, Högskolan i Gävle, Avdelningen för ekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-11705.
Pełny tekst źródłaLang, Mathias. "On the Categorization of Structured Products in Finance". St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05604715001/$FILE/05604715001.pdf.
Pełny tekst źródłaRoche, Adrian. "Transferts de risque de crédit : de l’essor des produits dérivés à la crise des produits structurés". Paris 10, 2009. http://www.theses.fr/2009PA100016.
Pełny tekst źródłaThis 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
Dorn, Jochen. "Évaluation, modélisation et couverture des produits structurés de crédit". Paris 1, 2008. http://www.theses.fr/2008PA010059.
Pełny tekst źródłaDrouhin, Pierre-Arnaud. "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers". Phd thesis, Université Paris Dauphine - Paris IX, 2012. http://tel.archives-ouvertes.fr/tel-00780338.
Pełny tekst źródłaZhang, Miao, i 张苗. "Hong Kong investors' experience with structured financial products: financial literacy, learning, and socialnetworks". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4492169X.
Pełny tekst źródłaOliveira, Martins Joaquim. "Spécialisation commerciale et structures de marchéUn recueil d'articles en économie appliquée". Phd thesis, Université Panthéon-Sorbonne - Paris I, 2006. http://tel.archives-ouvertes.fr/tel-00140536.
Pełny tekst źródłaPessoa, de Mendonca Luiz Jorge V. "La financiarisation produite par la crise politique et économique au Brésil pendant la décennie 1983-1993 : ses conséquences sur la structure productive et sur le marché du travail". Paris 10, 1999. http://www.theses.fr/1999PA100181.
Pełny tekst źródłaDussau, Émilie. "Le droit fiscal des entreprises à l'épreuve de la diversification des instruments financiers : étude en matière d'impôts directs". Thesis, Paris 1, 2020. http://www.theses.fr/2020PA01D004.
Pełny tekst źródłaGiven 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
Palidda, Ernesto. "Modélisation du smile de volatilité pour les produits dérivés de taux d'intérêt". Thesis, Paris Est, 2015. http://www.theses.fr/2015PEST1027/document.
Pełny tekst źródłaThis 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
Fredriksson, Malin. "Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons". Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144162.
Pełny tekst źródłaCaratori, Pedro Melo. "Transformação estrutural: uma abordagem estatística para analisar o peso do setor industrial no produto". reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/9402.
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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.
Lee, Bomi. "Essays on corporate finance and product market competition". Thesis, 2014. http://hdl.handle.net/2152/26051.
Pełny tekst źródłatext
Kramer, Florian [Verfasser]. "Modeling and analysis of structured finance products / vorgelegt von Florian Kramer". 2008. http://d-nb.info/1000709744/34.
Pełny tekst źródłaFerreira, Miguel Seixas do Val. "Decomposition of a financial structured product “Lloyds double up”". Master's thesis, 2014. http://hdl.handle.net/10071/10955.
Pełny tekst źródłaCom 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.
Wang, Guan-Wen, i 王冠文. "A New Business Model of Structured Products In the Post-Financial Crisis Period:The View From Behavioral Finance". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/87354625525155953460.
Pełny tekst źródła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.
Wight, A. G. (Alan Gary). "The property finance business in South Africa". Diss., 2001. http://hdl.handle.net/10500/819.
Pełny tekst źródłaBusiness Management
M. Com. (Business Management)
"Leverage, ownership structure, and product market competition: evidence from listed companies in China". 2009. http://library.cuhk.edu.hk/record=b5893982.
Pełny tekst źródłaFernandes, André Gonçalo Lopes. "Structured products insights: pricing reverse convertibles and discount certificates in the German market". Master's thesis, 2017. http://hdl.handle.net/10071/17361.
Pełny tekst źródłaO 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.
Bettencourt, Luís, Daniela Filipa Gaspar Santos, João Miguel Constâncio Serrano Rodrigues Correia, Lilia Nikolaena Chemetova i Sofia Arroz Oliveira. "Field lab project Nova SBE - moody’s analytics". Master's thesis, 2018. http://hdl.handle.net/10362/35666.
Pełny tekst źródłaGameiro, Henrique, Achile Cornelis Touchais, Filipe José Charneca Barreto, José Eduardo de Sousa Pedro dos Reis i Roberta Trento. "An approach to securitisation in Europe NPLs- machine learning model field lab project Nova SBE | moody’s analytics". Master's thesis, 2019. http://hdl.handle.net/10362/73205.
Pełny tekst źródłaHu, Kuei-Chia, i 胡桂嘉. "A Study on the Key Successful Factors upon the Structured Products’ Marketing and Competition for the Wealth Management Business of the Banking.Name of Institute:Ming Chuan University Graduate school of Finance". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/gez4c7.
Pełny tekst źródła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.