Le but de cette thèse est de relier la valorisation des produits dérivés àl’analyse par scénario qui fait référence dans la gestion des banques. La valorisationdes options est un domaine qui a donné lieu à une très large littératureavec un cadre mathématique bien défini, développé plutôt à destinationdes praticiens de la finance de marché dans l’optique d’une couverture par réplication.La gestion du risque de ces produits est donc analysée sous l’angledu fameux principe d’absence d’opportunité d’arbitrage. Selon ce principe,l’estimation pour un taux futur devient celle qu’anticipe les marchés dès aujourd’huigrâce à la présence d’instrument de couverture. D’un autre côté, lepilotage financier en entreprise se base sur une approche dite “par scénario”.Différents scénarios qui semblent perspicaces et font sens économiquementpour les dirigeants de la banque sont retenus, et une projection pour chaquescénario est étudiée. Ces scénarios ne sont en général pas probabilisés; noussommes dans une modélisation de l’incertain où la notion de probabilité etd’espérance n’intervient pas. La banque, qui possède des produits complexesliés à son activité, ne se couvre pas comme le fait un service lié à des activitésde marché. C’est dans l’étude de ce cadre d’analyse que s’inscrit lathèse. Nous analysons ce besoin de projection par scénario sur le périmètredes produits complexes. / The aim of this thesis is to link the pricing of derivative products to the scenariobased analysis used in banks management. Options’ pricing has a wideliterature and a well-defined mathematical framework focusing on the marketfinance problematics and in particular on delta hedging. The risk managementof these products are thus analyzed with this point of view based onthe famous absence of arbitrage opportunity principle. Under this principle,the best estimates for tomorrow are those anticipated by the market todaydue to the presence of hedging instuments. On the other side, corporate financialmanagement is based on a scenario based approach. Senior managersselect scenarios which seem both interesting and plausible and a projectionfor each scenario is analyzed. Generally, we do not attribute probability tothe scenarios, which implies a modeling based on uncertainty where the notionof probability and mathematical expectation are not involved. Bank hascomplex products for the needs of its activity and it does not hedge them asa service related to market activities would do. We do our analyze in thisframework. We analyze this need of scenario based projection for complexproducts.

Master of Agribusiness / Department of Agricultural Economics / David G. Barton / The goal of this thesis was to help Farmers Cooperative Equity Company (FCE) remain a firm, stable cooperative while increasing wealth of their patron owners. This thesis evaluated alternative equity redemption strategies to help FCE decide what decisions need to be made for proper use of equity for financing assets and increasing patronage returns. To develop an understanding of FCE and their current financial structures, we looked at the history of FCE and cooperatives in general. Then we gave a brief background of financial performance measures that were used to evaluate the profitability, solvency, liquidity, and efficiency of FCE. A cooperative performance profile was then run on FCE, by using a financial analysis program called PERFORM, to compare it to other agriculture cooperatives. The results for FCE were very strong in that they were performing at or above the 50th percentile range for many of the measures examined. FCE appears to be a very profitable, liquid, solvent, and efficient cooperative. We then used the results provided by the financial analysis program called PERFORM to make financial projections for the future to evaluate alternative equity redemption strategies for FCE. A computer program called FINPLAN was used to make the financial projections and evaluate the alternative equity redemption strategies. Five different strategies were evaluated and compared to the status quo, “strategy S0,” business as usual. The results showed that if the projections made for the future are correct, FCE would be able to return larger redemptions to patron owners by implementing an alternative equity redemption strategy that adheres to strict balance sheet management. Balance sheet management requires a cooperative to meet predetermined solvency and liquidity goals and then distributes the residual equity over and above that needed to finance assets, in combination with debt, as the equity redemption budget for that year. FCE could return larger redemptions while financing their operations through the use of patron equity and then return excess equity to patrons based upon cooperative usage. FCE’s general manager and board of directors have been provided with this thesis and the full project report. This thesis and project provide FCE with valuable information for them to make critical decisions on cooperative finance, including income distribution and equity management decisions.