Thesis (M.S.)--Rochester Institute of Technology, 1993. / Typescript. Includes bibliographical references (leaves 75-95).

Thesis (Ph. D.)--University of Chicago, 1999. / Includes bibliographical references. Also available on the Internet.

A teoria de opções propicia um vasto campo de aplicações. No Brasil, a aplicação desta teoria à estabilidade financeira vem se tornando cada vez mais favorável: 1) pela relativa estabilidade da economia, 2) pela determinação do Banco Central do Brasil no sentido de controlar o risco das instituições financeiras e 3) pelo natural desenvolvimento do mercado financeiro brasileiro. Esta tese está dividida em três ensaios e os dois primeiros focaram numa abordagem de poder de previsão. No primeiro, compararam-se volatilidades estimadas por diferentes modelos vis-à-vis a volatilidade realizada e encontrou-se alguma evidência empírica de que as implícitas do modelo de Vasicek-Estendido são informacionalmente superiores às dos outros modelos. No segundo, mostrou-se que é possível utilizar medidas da classe “distância ao default” para atribuir classificação de risco a bancos dentro do setor bancário brasileiro. No terceiro ensaio, analisou-se a nova Lei de Falência usando a teoria de opções e a teoria dos contratos. Conclui-se dos três ensaios que a teoria de opções é uma boa ferramenta para avaliar questões de estabilidade financeira. / The option pricing theory provides a myriad of applications. In Brazil, the application of this theory to financial stability is becoming more and more favourable: 1) for the increasing stability of the economy, 2) for the commitment of the Central Bank of Brazil in controlling the risk of the financial institutions and 3) for the development of the Brazilian financial market. This thesis is divided in three essays and the first two focused on a predictive-power approach. In the first one, volatilities estimated by different models were compared vis-à-vis the realized volatility and we obtained some empirical evidence that the Extended-Vasicek’s implied volatility is informationally superior to the other models’. In the second one, it was argued that it is possible to use measures of the class “distance to default” in order to rank the banks of the Brazilian banking sector in terms of risk. In the third essay, the new Brazilian Bankruptcy Law is analysed by using the option pricing theory and the theory of contracts. The three essays conclude that the option pricing theory is a good tool to evaluate financial stability issues.

A condução de processos de falência ou de recuperação geram custos, principalmente, aos seus participantes diretos: credores e devedora. Esses custos são chamados custos de falência e são classificados em diretos e indiretos. Os custos diretos são representados pelas despesas administrativas do processo jurídico, tais como honorários do administrador judicial, custas e despesas judiciais. Os indiretos são os custos de oportunidade incorridos para os participantes devido à participação em processos de falência ou de recuperação, tais como a dificuldade em obter crédito, ou o tempo despendido no processo. Admitindo-se a presença desses custos, este trabalho objetivou identificar, mensurar e classificar os custos de falência para os participantes diretos desses processos (devedor e credores) conduzidos sob a legislação falimentar brasileira a fim de compará-los aos custos encontrados em trabalhos internacionais que trataram sobre o tema. Por meio da consulta de processos de falência e de recuperação judicial nas comarcas de São Paulo-SP, Belo Horizonte-MG e Contagem-MG, foi possível coletar os dados necessários para o desenvolvimento desta pesquisa. Como resultados principais foram encontrados que os desembolsos ocorridos nos processos de falência foram de em média 35% do ativo final da falida, os ativos das falidas perderam, em média 47% do valor, a taxa de recuperação total dos credores foi de, em média, 12% e os processos duraram 9 anos, em média. Em relação aos processos de recuperação, os custos diretos foram de, em média, 26% do ativo inicial da recuperanda, a taxa de recuperação dos credores foi, em média, de 25% e a duração de processos foi de 4 anos, em média. A análise dos resultados conduziu à indicação de que o processo falimentar brasileira é moroso e oneroso, considerando-se os resultados encontrados nos estudos internacionais utilizados como parâmetro, e que a dificuldade em se maximizar o valor do ativo da falida e ressarcir credores em ambos os procedimentos é um desafio não somente para o Brasil. / The procedure of bankruptcy generates direct and indirect costs of bankruptcy to its participants. Direct costs are represented by the expenses incurred during the legal procedure, such as trustee\'s fees, legal costs and expenses. The indirect costs are the opportunity costs incurred for the participants due to participation in liquidation or reorganization. Assuming the presence of these costs, this study aimed to identify, measure and classify bankruptcy costs of Brazilian bankruptcy law to direct participants of proceedings (debtor and creditors) and to compare them to the costs found in international studies that treated on the subject. Through documentary research, it was possible to collect the necessary data for the development of research that had as its main results that the direct costs of liquidation represented in this sample, on average 11.63% of the initial asset of the bankrupt, and in the reorganization, these costs were average 25.46 % of the initial asset of the firm. The asset bankrupt companies lost an average of 46.84 % of the value. Regarding the creditor recovery rates in the liquidation it was, on average, 12.40 % and 25.36 % in the reorganization. The results led to the indication that the Brazilian bankruptcy law is slower than results of international studies and the difficulty in maximizing the value of the bankrupt\'s assets and repay creditors in both procedures is a challenge not only to Brazil.

The title of my Master's degree thesis is " Reorganization and discharge of debts". I have chosen this topic because of various reasons. Firstly, I consider the need of special legislation for the insolvency as necessary because the enforcement proceedings can be considered fair when the debtor has sufficient assets to satisfy all creditors' claims. In the case of more creditors who the debtor is unable to meet over a long period, then the enforcement proceedings do not achieve this purpose any more. Property relations between the debtor and his creditors need to be arranged equitably so that the registered creditors will be repaid in proportion to the debtor's assets. Furthermore the subject is very close to me because of a half-year traineeship with a trustee. This is a continuously developing branch of private law, which has undergone a significant change during the year 2014 and I had a chance through my thesis to become acquainted with this amendment of the Insolvency act. The aim of my work is to describe the progress of the insolvency proceedings by focusing on remedial actions. A fair debtor, who is taking such a serious-minded and responsible approach to this proceeding, can start new life without debts and creditors may be get higher monetary payment than they would have received through...

Administration of the estate is one of the most important activities in insolvency proceedings, when debtor's insolvency is resoluted by bankruptcy. Everyone can see information about the administration's results in Insolvency Register. The procedure of it is not well known nonetheless. The goal of the thesis is to enlighten the procedure of administration of the estate (including defining its content) since declaration of debtor's insolvency, when the authorization to dispose of the estate is held by insolvency administrator and to point out some relatively new legislative changes and its problems. Diploma thesis is divided into eight chapters, where there is gradual analysis of administration of the estate from the beginnings of insolvency proceedings and declaration of bankruptcy to realization of the estate and canceling the bankruptcy. The first chapter brings short review of historic legislation and tries to point out some similarities of roman bankruptcy law and present legislation. The second chapter describes initiation of insolvency proceedings, declaration of debtor's insolvency and it defines insolvency administrator and the way of his election by insolvency court. Following chapters are the core of the thesis. The third chapter pursues the declaration of bankruptcy itself and...

LL.M. / The main objective of the South African interrogation procedures during corporate insolvency is to trace and recover all corporate assets. The focus of such procedures is therefore on gathering information rather than investigating any probable causes of the insolvency and failure of the company, as English legislation prescribes. At present in South Africa no reasons have to be supplied to creditors, contributors or the public to explain the failure of companies. This situation contributes to the hesitant and sceptical attitude of the public towards companies and their reluctance to invest in companies. This aspect of our insolvency law can also have a negative impact on the level of foreign investment. The question therefore arises on how the insolvency industry should deal with the various challenges that such a situation presents, which entails at the same time challenging the general effectiveness of the South African insolvency system in its entirety.

This thesis is based on three essays in corporate credit risk and economic performance analysis. Corporate bankruptcy prediction using past financial information is well established in the literature. Early studies of corporate bankruptcy prediction mainly applied statistical techniques such as discriminant analysis, logit and probit. Although, some of these models such as logit is still widely popular amongst the academics and practitioners due to its simplicity, the shortcomings of such models for bankruptcy prediction have been noticed and criticised in the literature. One of the main shortcomings is that these models as linear classification approach can not explain the possible non-linear relationship between some accounting ratios and the probability of default (PD). This issue has been addressed in the literature by introducing non-linear statistical techniques such as support vector machines (SVM). The first essay of this thesis, presented in Chapter 2, investigates the performance of SVM in corporate bankruptcy prediction and compares its performance with that of logit. This essay analyses bankruptcy risk for firms in the Asian and Pacific region using a list of financial ratios which covers different aspects of a firm's performance. The financial and credit event information for this analysis is provided by the Risk Management Institute of National University of Singapore (RMI NUS). With respect to forecasting accuracy, the findings of this analysis reveal that on average the SVM displays a higher forecasting accuracy and a more robust performance than the logit. Among several financial ratios suggested as predictors of default, leverage ratios and firm size display a higher discriminating power compared to others. Additionally, an analysis of the relationship between PD and financial ratios is provided. The accounting based models in bankruptcy analysis are mostly based on a set of measures which represents current financial position of the firms. However, these models have no indication of the status of the technology competency of a firm amongst its peers, which could be a more significant factor in the survival of a firm. Therefore, a new measure about level of firm's technological knowledge is required for a more precise assessment of firms future financial performance. Considering the rise in the technological competition and patenting activities since the 1990s and also the important role of accurate credit rating modeling in the financial stability, second essay of this thesis examined in Chapter 3 focuses on the relationship between patent applications, as an output of a firm's technological development, and financial survival. Applying a survival analysis model, this relationship is empirically tested on a longitudinal firm-level data set for the listed firms in the US which matches the patent application data from European Patent Offi ce (EPO) against a set of financial variables provided by RMI NUS. The results of this analysis reveal that patent applications are strong identifiers of low default risk companies. In a further analysis, third essay of this thesis presented in Chapter 4 focuses on the impact of patent applications on firm's economic performance. In contrast to the studies which study the overall patent portfolio indicators as proxy for innovation, on a few aspects of firm performance this essay provides a comprehensive analysis of the effect of individual patent applications on several aspects of firm performance including including profitability, leverage, liquidity, size, credit rating quality and stock return. Using the matched data set of patent application data and economic variables for the US listed firms explained earlier, this essay examines whether changing from non-patenting to patenting status when a firm files its first and subsequent applications is associated with significant changes in its firm's performance and stability. The empirical findings of this essay indicates a higher capitalisation, increased liquidity, a lower leverage and an improve in credit quality for the patenting firms.

Diploma thesis dwells on company's bankruptcy according to bankruptcy law and interconnects the institute of bankruptcy with areas of financial analysis, accounting, valuation and, further on, with business and criminally law.

In this thesis will be discussed about selected models of general evaluation of company which will be applied to companies in decline. After a short introduction of the thesis will follow the theoretical and methodological apparatus in which selected bankruptcy and solvent models will be described, then there will be described the method of their calculation and interpretation of the results generated. In the practical part models will be applied to selected companies which are in decline and results will be compared. At the conclusion will be evaluated the ability of these models to predict the deteriorating financial situation of company or its bankruptcy and will be discussed their advantages and weaknesses and their potential explanatory ability for firms in the Czech market conditions.