A convertible bond (CB) is a hybrid security possessing the characteristics of both debt and equity. It gives the holder the right to convert the bond into a pre-specified number of shares (usually by the same issuer of the CB) until maturity of the bond, and may also contain additional features such as callability and putability. CB’s along with all hybrid securities are difficult to value due to their uncertain income stream. In this dissertation several convertible bond valuation models are suggested, but with particular attention to the calibration of the underlying inputs into the model and also by taking default risk into account, which is extremely important given the subordination of convertibles. The models range from the basic component models that decompose the CB into a straight bond and an exchange/call option; to more sophisticated ones consisting of stochastic interest rates, default risk, volatility structures, and even some exotics such as exchangeable and inflation-linked convertibles. An important aspect often missed by CB valuation models is the presence of negative convexity for extremely low share prices. As such a credit spread function dependent upon the underlying share price is introduced into the Tsiveriotis and Fernandes, and Hung and Wang models which improve upon the accuracy of the original models. Once a reliable model has been developed it becomes necessary to take advantage of convertible arbitrage trading strategies if they exist. The typical delta hedge, gamma hedge and option strategies that many convertible hedge funds employ are explained including the underlying risks with respect to the “Greeks”. Copyright / Dissertation (MSc)--University of Pretoria, 2009. / Mathematics and Applied Mathematics / unrestricted

The post-2007 global financial crisis, characterised by huge firm losses, especially in the USA and Europe, initiated a new strand of literature, where default models are adjusted for unobserved risk factors, including measurement errors, missing firm specific and macroeconomic variables. These new models assume that default correlations are not only driven by observable firm-specific and macroeconomic factors, but also by unobserved risk factors. This thesis present three empirical essays. The first essay estimates and predicts the within-sector failure rate and dependence of firms on the London Stock Exchange. The study offers an additive lognormal frailty model that accounts for both unobserved factors and regime changes. The analysis reveals that during distressed market periods the sector-based failure rates and dependencies tend to be high. The second essay proposes a novel approach based on a bias-corrected estimator to investigate the impact of informative firm censoring and unobserved factors on hazard rates of US firms. The approach uses inverse probability of censoring weighted scheme that explicitly accounts for firm specific factors, economic cycles, industry-level dependence and market activities induced by unobservable factors. The analysis shows that during distressed market periods the effect of informative censoring averagely increases the hazards rates, and varies across industries. The third essay employs a mixed effects Cox model to estimate the failure dependence caused by firms’ exposure to country-based and group-level unobserved factors within the Eurozone. The empirical results show that a higher failure dependence among firms in groups of countries with similar economic and financial conditions than countries with different conditions. Overall, the thesis contributes to the empirical literature on firm default in the broad area of corporate finance by offering a different approach of capturing default dependence and its variations during unfavourable market conditions and adjusting for the effects of non-default firm exit on active firms.

Vymezení CDO jako samostatného druhu sekuritizace a porovanání se sekuritizaci tradiční. Vymezení základních parametrů (kreditní struktura, účel vytvoření, struktura tranší, podkladová aktiva), které charakterizují CDO a systematizace CDO dle uvedených parametrů. Vysvětlení specifik vybraných struktur (Cash Flow, Market Value, Syntetická CDO) a rizik s nimi spojených. Popis kolaterálu a specifik struktury Structured Finance CDO.

This paper performs an analysis of rating agencies and evaluates their importance for financial markets and economic policy. The importance of rating agencies and their ratings is assessed based on two criteria -- independence and accuracy of ratings, both criteria are analysed in detail from different views throughout this paper. Independence of rating agencies is considered in terms of historical context and the most important development milestones and trends, in terms of market positioning and demand for services of rating agencies, in terms of ownership structures and financing models. Accuracy of ratings is considered by historical analyses of sovereign ratings from the times of the Asian financial crisis, the European debt crisis and sovereign debt defaults and restructuralisations since 1990. In the issue of independence, the paper has revealed several risk factors, mainly in relation to financing model "issuer pays". In the issue of sovereign rating accuracy, the paper has come to a conclusion that rating agencies were only able to identify the most visible negative trends -- defaults and restructuralisations of debts in countries, where the problems had developed gradually. On the other hand, in surprising and sudden cases such as the Asian financial crisis and the European debt crisis, rating agencies were suprised just like the wider investor's public.

This master's thesis describes economic and socio-political development of Argentina from 1976 up until the current situation. The last chapter introduces the perspectives of the future development as well. During this period, Argentina experienced a lot of changes when the country switched from policy of ISI to neoliberalism which was the main policy of Argentina from 1976 until the default in 2001, with the exception of Alfonsín's presidency. The thesis deals with the main causes of this default. The next part of the work examines what led the country to the economic recovery after 2002 and explains the changes that have occured during the period of Kirchnerism.

Having just survived what is arguably the worst financial crisis in time, it is expected that the focus on regulatory capital held by financial institutions such as banks will increase significantly over the next few years. The probability of default is an important determinant of the amount of regulatory capital to be held, and the accurate calibration of this measure is vital. The purpose of this study is to propose the use of the Shannon entropy when determining the parameters of the prior bivariate beta distribution as part of a Bayesian calibration methodology. Various bivariate beta distributions will be considered as priors to the multinomial distribution associated with rating categories, and the appropriateness of these bivariate beta distributions will be tested on default data. The formulae derived for the Bayesian estimation of Shannon entropy will be used to measure the certainty obtained when selecting the prior parameters. / Dissertation (MSc)--University of Pretoria, 2010. / Statistics / unrestricted

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-01-20T14:02:39Z No. of bitstreams: 1 lucianalimagentilribeiro.pdf: 5045937 bytes, checksum: 338891e62a317ed04639084d01446292 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-01-25T18:37:01Z (GMT) No. of bitstreams: 1 lucianalimagentilribeiro.pdf: 5045937 bytes, checksum: 338891e62a317ed04639084d01446292 (MD5) / Made available in DSpace on 2016-01-25T18:37:01Z (GMT). No. of bitstreams: 1 lucianalimagentilribeiro.pdf: 5045937 bytes, checksum: 338891e62a317ed04639084d01446292 (MD5) Previous issue date: 2014-08-13 / O presente trabalho busca identificar as dificuldades e os desafios frequentes apontados pelos gestores como possíveis obstáculos para a autuação dos processos de prestação de contas dos recursos estaduais, de merenda e de manutenção, e que podem acabar sendo fator determinante da causa da inadimplência da Unidade Escolar. Ainda que, a Resolução SEEDUC nº 3630/2007 oriente quanto ao dispositivo de como elaborar a prestação de contas e de que maneira os recursos podem ser executados, alguns gestores apresentam dificuldades em cumprir, dentro do prazo determinado, o que lhe é confiado e exigido. Para a coleta dos dados, foi aplicado um questionário aos gestores das UEs localizadas em quatro municípios do Estado do Rio de Janeiro, a saber, Belford Roxo, Mesquita, Nilópolis e São João de Meriti, que fazem parte da Regional Metropolitana VII. Este trabalho foi elaborado a partir de um estudo de caso, a metodologia utilizada foi qualitativa, e, como principal aporte teórico utilizou-se os estudos de Heloísa Lück. Os dados coletados apontaram para três principais dificuldades de acordo com a percepção dos gestores respondentes: carência de pessoal, dificuldade em cumprir os prazos determinados pela SEEDUC/RJ e falta de tempo para se dedicar à prestação de contas. A partir dos resultados, apresenta-se um Plano de Ação cujas proposições sugerem ações palpáveis que contribuam positivamente para que o gestor possa cumprir com as exigências da Secretaria de Educação, evitando possíveis punições em decorrência do não cumprimento dos prazos. Tais proposições estão voltadas para a capacitação dos gestores, compartilhamento de experiências, busca de soluções em grupo para os obstáculos apresentados e auxilio para dirimir as dificuldades ainda apresentadas por esses gestores. / This work aims to identify difficulties and challenges which are frequently pointed out by managers as possible hindrances to the filing of the proceedings of account rendering of state resources for school meals and maintenance, and which can be determining factors of the cause of default by school units. Even though the Resolution of SEEDUC (State Department of Education of Rio de Janeiro) number 3630/2007 provides guidance as to the provision on how to render accounting and in what manner resources can be executed, some managers face difficulties in fulfilling within due time what is expected and demanded from them. In this dissertation, in order to collect data, a questionnaire was submitted to managers of school units located in four towns of the state of Rio de Janeiro: Belford Roxo, Mesquita, Nilópolis and São João de Meriti, which are part of Regional Metropolitana VII (Metropolitan Region VII). This work was developed from a case study; its methodology was of a qualitative character, since it aimed to find the main challenges of school managers related to account rendering. As its main theoretic sources, studies by Heloísa Lück, as well as authors Martins, Libâneo and Polon, were considered. Data collected pointed to three main difficulties, according to the perceptions of answering managers: shortage of staffs, difficulties in meeting deadlines set by SEEDUC/RJ and lack of time to put into account rendering. From these results, a Plan of Action is presented, whose propositions suggest solid actions that might contribute substantially so that a manager can fulfill the demands of the Department of Education, preventing possible consequences of not meeting deadlines, such as answering to account taking. The propositions presented in this work are aimed at qualifying managers, sharing experiences, seeking group solutions for hindrances that are presented and assistance to prevent difficulties faced by those managers.

Cette thèse porte sur l'étude des facteurs sous-jacents au risque du défaut souverain, tel que mesuré par les spreads des CDS souverains, au cours de la crise de la dette souveraine en Europe. En analysant les données mensuelles de janvier 2007 à septembre 2015 en utilisant un modèle à correction d'erreur (VECM), nous constatons que le risque de défaut souverain européen répond en partie à un environnement macroéconomique caractérisé par de mauvaises politiques budgétaires et une détérioration des facteurs économiques. Plus précisément, la hausse du taux de chômage, le niveau d'endettement et la réduction des soldes de la balance courante ont accru les spreads des CDS souverains. Ces résultats ne permettent pas de rejeter l’hypothèse selon laquelle le défaut souverain a été motivé par des fondamentaux économiques faibles. Mais l'importance relative de ces facteurs change avec le temps et le groupe de pays. La présence et l'absence de la Grèce ont joué un rôle clé dans l'évolution des spreads dans les pays de la zone euro. La dégradation des notations en Grèce et l'aversion accrue pour le risque de la part des Européens ont contribué à une augmentation significative des spreads de CDS des pays de la zone euro et des autres pays. Notre analyse VECM met en évidence des retombées directes de la Grèce vers la périphérie de la zone euro via des canaux non fondamentaux. Enfin, nos résultats suggèrent que l’émergence de la crise de la dette a été causée par des fondamentaux faibles, mais a également un caractère auto-réalisateur. / This thesis attempts to identify the factors behind the sovereign default risk, as measured by sovereign CDS spreads, during the sovereign debt crisis in Europe. By analyzing monthly data from January 2007 to September 2015 using vector error correction model with panel data, we find that European sovereign default risk is partly a response to a macroeconomic environment characterized by poor fiscal policies and deteriorating economic factors. Specifically, higher unemployment rate, debt levels and lower current account balances have increased the sovereign CDS spreads. These results do not allow us to reject the hypothesis that the sovereign default was driven by weak economic fundamentals. But the relative importance of these factors changes over time and group of countries. The presence and absence of Greece have played a key role in the developments of the spreads in the euro area countries. The rating downgrades in Greece and the higher European risk aversion had contributed to a significant rise in the CDS spreads of euro and non-euro area countries. Our VECM analysis does suggest direct spillovers from Greece to Euro area periphery via non-fundamental channels. Finally, our results suggest that the emergence of the debt crisis was caused by weak fundamentals but has also a self-fulfilling character.

Svensk fastighetsmarknad blomstrar med anledning av rekordlåga räntor, bostadsbrist och näst intill inga vakanser. De låga räntorna har lett till att fler tar sig an fastighetsmarknaden, samtidigt som den nämnda bostadsbristen kan tänkas öka incitamenten att investera i fastigheter. Riskerna för fastigheter bör vara snarlika oavsett läge om med beaktande av att belåning är billigt, bostadsbristen hög och vakanserna närapå obefintliga. Det är därför befogat att ställa frågan hur det kommer sig att fastighetsföretag har olika direktavkastningskrav på fastigheter belägna i olika lägen? Studiens syfte är att få förståelse för hur fastighetsägare tänker när de sätter sina avkastningskrav och försöka förklara vad det finns för motiv till att de uppställer skilda avkastningskrav beroende på var fastigheterna är belägna. Vi undersöker också hur fastighetsbolagen hanterar de risker som finns kopplade till fastighetsmarknaden. En kvantitativ enkät har besvarats av 31 fastighetsbolag som arbetar med hyreslägenheter runt om i Sveriges tre största städer, Stockholm, Malmö och Göteborg. Enkäten ska ha besvarats av företagets analytiker och/eller av de investeringsansvariga på företagen. Enkätsvaren gav en inblick i fastighetsföretagens bestånd, deras avkastningskrav, vakanser, omflyttningar, standardrisk och i vilket läge de anser att risken är störst att äga fastigheter. Arbetet har inte har inte tagit hänsyn till skillnader i företagens storlek utan enbart deras verksamhetsområde det vill säga hyresbostäder. Studiens resultat bekräftar att fastighetsföretagen har väldigt låga vakanser i sitt bestånd oberoende av fastigheternas läge. Vår regressionsmodell förklarar 54,7% av direktavkastningskraven och för att signifikant kunna säkerställa vad som är bakgrunden till fastighetsbolagens direktavkastningskrav och riskbedömning krävs fler observationer och fler förklarande variabler. / Abstract Title: Can difference in yield be justified? Subject, Course: Real Estate Science, Bachelor Thesis 15 creditsAuthors: Hjalmar Åhman and Sebastian PeterssonAdvisor: Peter KarpestamKeywords: Risk, yield, vacancies, default risk, real estate housingSwedish real estate market is booming due to low interest rates, housing shortages and almost no vacancies. The low interest rates have made it more interesting to invest in real estate, while the mentioned housing shortage may conceivably increase the incentive to invest in real estate. The risks for real estate should be similar regardless of the situation if one looks at the above, where the borrowing is cheap, the housing shortage is high and the vacancies close to non-existing. It is therefore a fair question to ask why real estate companies have different direct yield requirements for housing properties in different locations?The purpose of the study is to gain an insight into how property owners think when they set their requirements for returns and understand why the yield requirements are different in different locations. In connection therewith, we will also study how the property companies handle the risks associated with the real estate market.A quantitative questionnaire has been answered by 31 real estate companies that manage rental apartments around Sweden's three largest cities, Stockholm, Malmö and Gothenburg. The survey was addressed to the company's analysts or investment managers. The questionnaire responses gave an insight into the companies' portfolios, their yield requirements, vacancies, relocations, standard risk and in what position they believe the risk is greatest to own real estate.The study's results confirm that the real estate companies have very low vacancies in their stock regardless of their location. Our regression model explains 54.7% of the direct yield requirements and in order to have substantially certain of the background to the property companies' direct yield requirements and risk assessment, more observations and more explanatory variables may be required.

Abstract In the 1990s researchers discovered task-deactivated regions in the human brain. Together, these areas make up the default mode network (DMN). It was originally proposed to act as a balancing mechanism between different brain systems, explaining the deactivations, but is now mostly studied with regards to internal awareness, such as daydreaming and mental imagery. The purpose of this thesis is to present a summary of DMN research, focusing on the network’s suggested role in internal awareness. This will be done by reviewing a wide variety of research that either explicitly or indirectly correlate default mode network features with aspects of consciousness and internal awareness. The subjective experience of being conscious have been a source of argument primarily among philosophers, but the qualities we feel are intimately linked to cognitive functions that are supported by the regions found in the DMN. Cognitive neuroscience may therefore be able to contribute to the concept of internal awareness and consciousness.