Yes / This study contributes to the existing literature on the relationship between oil market shocks and the green bond market by investigating the impact of the COVID-19 pandemic on their dynamic correlation. We first decompose the oil market shocks into components using a time-frequency framework. Then, we combine wavelet decomposition and quantile coherence and causality methods to discuss changes during the COVID-19 era. We observe positive effects of both supply-driven and demand-driven oil shocks on the green bond market at most quantile levels. However, supply-driven oil price changes play a major role. The results also indicate that long-term changes have a greater impact than short-term changes on the connection between oil and green bond markets. Nevertheless, the COVID-19 pandemic changed the nature of the causal relationship, as we observed no relationship under extreme market conditions during the pandemic era. We argue that the economic and social impacts of the COVID-19 pandemic have left investors focusing on the short-term substitution between oil and green bond markets. / This research was supported by the Major Projects of the National Natural Science Fund of China [NO. 71991483], the Natural Science Fund of Hunan Province [NO. 2022JJ40647] and the Fundamental Research Funds for the Central Universities of Central South University [NO. 2022ZZTS0353].

In the aftermath of the 2008 financial crisis, the debt capital market in Sweden experienced rapid growth, resulting in a doubling of its size. In recent years, real estate companies have become increasingly dependent on financing through the capital markets. As a result, the interdependence between the real estate and financial sectors has significantly increased. Today, the real estate market constitutes for around 50 per cent of the Swedish corporate bond market. In 2023, approximately SEK 100 bn worth of bonds are expected to mature, followed by around SEK 150 bn set to mature in 2024, compelling Sweden's property companies to implement significant alterations to their methods of financing operations. This study aims to analyse the current state of the Swedish real estate bond market, as well as an examination of opportunities and risks for investors given the current market situation. The research questions follows: What are the current characteristics of the Swedish real estate bond market? What opportunities and risks are present in the Swedish real estate bond market for investors? The study is limited to the corporate real estate bond market in Sweden, with a particular emphasis on Swedish issuers and financiers. A combination of a qualitative and quantitative method was conducted, and the study adopts an abductive approach. The findings revealed that the Swedish real estate bond market holds a prominent role in the corporate bond market and is characterised as a young market that has undergone significant growth. It presents opportunities for alternative financing, investing in distressed real estate assets, promoting sustainability and better returns from a risk-reward perspective. From a risk perspective there are several risks: the challenge of refinancing, a change in market conditions thus increasing capital costs, the credit risk, the liquidity risk, credit ratings downgrades, risk of valuations, sceptical investors and creative capital structures in the Swedish real estate market and the bond market. / I efterdyningarna av finanskrisen 2008 upplevde den svenska skuldkapitalmarknaden en snabb tillväxt, vilket resulterade i en fördubbling av dess storlek. Fastighetsbolagens ökade beroende av kapitalmarknaderna för upplåning de senaste åren har ökat exponeringen mellan fastighets- och finanssektorn. Idag utgör fastighetssektorn cirka 50 procent av den svenska företagsobligationsmarknaden. År 2023 förväntas cirka 100 miljarder kronor i obligationer förfalla, följt av cirka 150 miljarder kronor år 2024, vilket tvingar Sveriges fastighetsbolag att genomföra betydande förändringar i sina finansieringsstrukturer. Denna studie syftar till att analysera det aktuella läget på den svenska fastighetsobligationsmarknaden, samt dess möjligheter och risker för investerare. Forskningsfrågorna följer: Vilka är de nuvarande karaktärsdragen hos den svenska fastighetsobligationsmarknaden? Vilka möjligheter och risker finns på den svenska fastighetsobligationsmarknaden för investerare? Studien är begränsad till företagsfastighetsobligationsmarknaden i Sverige, med särskild tonvikt på svenska emittenter och finansiärer. En kombination av en kvalitativ och kvantitativ metod genomfördes och studien antar ett abduktivt tillvägagångssätt. Resultatet avslöjade att den svenska fastighetsobligationsmarknaden har en framträdande roll på företagsobligationsmarknaden och karaktäriseras som en ung marknad som har genomgått betydande tillväxt. Det ger möjligheter till alternativ finansiering, investeringar i nödställda fastighetstillgångar, främjar hållbarhet och bättre avkastning ur ett risk-belöningsperspektiv. Ur ett riskperspektiv finns det flera risker: utmaning med refinansiering, förändrade marknadsförhållanden som ökar kapitalkostnaderna, kreditrisk, likviditetsrisk, skeptiska investerare, nedgraderingar av kreditbetyg, risk för värderingar och kreativa kapitalstrukturer på den svenska fastighetsmarknaden och obligationsmarknaden.

Thesis (MBA) -- Stellenbosch University, 2010. / As major corporate entities are investing into Sub-Saharan Africa and other African countries at a fast pace, percentages like the weighted average cost of capital (WACC) and the impairment discount rate, are becoming important measurements of assessing current investments for impairment and/or proposals of future capital investments. One of the important constituents of these percentages is the country/equity risk premium. The country risk premium can be defined as the price for taking risk for investing in that specific country. A widely used method to determine the country risk premium is to multiply the country bond default spread with an equity to bond market risk adjustment. Country bond default spreads are the spreads that investors charge for buying bonds issued by the country. These ratings measure default risk, rather than equity risk, but they are affected by many factors that drive equity risk, like the stability of a country’s currency, the budget and trade balances and the political stability. Analysis that uses spreads as a measure of country risk, usually adds them to both the cost of equity and debt of entities that trade in that country. There are several ways in determining the bond default spreads, but it is most often done in a random and unsystematic manner. Two of the major obstacles in determining these spreads for countries, especially countries of sub-Saharan Africa, are when countries do not issue bonds in another currency such as Euro or US dollar and/or do not have a sovereign credit rating. What could also be a measure of country risk, are the two major country risk polls conducted globally: 1) Euromoney Country Risk Poll; and 2) PRS (Political Risk Group) Composite Risk Ratings. Most of sub-Saharan African countries form part of these risk polls. The usefulness of the PRS scores as a measure of country risk has been previously examined to find that they are correlated with the cost of capital of emerging markets. The aim of the research is to overcome the obstacles in determining default spreads for countries such as sub-Saharan Africa where bond markets are inactive and/or sovereign credit ratings are not assigned, by deriving a predictive model. The predictive model is derived by analysing the relationship between the available estimated default spreads that are assigned to a specific country, depending on their Moody’s sovereign local currency rating and the countries’ respective country risk scores conducted by Euromoney and PRS respectively. The stability of the relationship is also analysed by comparing the prediction of the sub-Saharan’s Africa default spreads based on the 2010 predictive model to the analyses conducted on 2008 data sets. Other similar models have been developed, but this model is focused on the total risk score of a country and not only on the credit risk or related constituents. One of the definitions of country risk is that it relates to the likelihood that changes in the business environment will occur that reduce the profitability of doing business in a country, which can negatively affect operating profits as well as the value of assets. One can conclude that this derived model is a good reflection of prevailing political and economic stability of the countries and a useful measure of country risk that can be used in assessing the profitability of current investments in a specific country and for proposals of future capital investments. Key words: Country bond default spreads, Sovereign credit ratings, Euromoney risk scores, PRS composite ratings, sub-Saharan African countries.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Owners of directly held, large commercial properties mostly face problems regarding liquidity and sometimes higher-risk exposure due to large properties dominating their property portfolio. • Exit vehicles in the listed property sector on the JSE are gaining momentum but are, however, still facing the negative impact of overall bear market conditions. • An exit vehicle in the bond market can serve as an alternative, where a Limited Purpose Company/Special Purpose Vehicle (SPV) acquires a rental income stream from a portfolio of properties and issues bonds. The funds raised from bond investors, who focus on the credit rating of the income stream and not the properties, are then used to acquire the property assets. • Current market conditions, favour an asset-backed securitisation of property leases. Low interest rates and other factors in the current market, as discussed in this document, ensure lower costs of debt and easier access to capital when funds are raised on the bond market, relative to the equity markets, with highly geared structures not necessarily causing a negative impact on the credit rating (80% - 90% gearing possible with A - AA local credit rating). • Usually a promoter, a Merchant Bank and a few institutions/ pension funds are involved. Example: Institution X will be requested to take up an equity stake in the fund by selling some properties or stakes therein (Institution X buildings) and receiving payment in a combination of cash, junior bonds and equity. The benefits to Institution X are discussed on page 39. / AFRIKAANSE OPSOMMING: Eienaars van groot kommersiële eiendomme wat direk besit word, ondervind normaalweg probleme rakende likiditeit en verhoogde risiko a.g.v. die groot eiendomme wat hulle portefeulje domineer. • JEB (Johannesburgse Aandelebeurs) genoteerde maatskappye, as uitgangstrategie vir die verkoop van eiendom, is 'n oplossing, maar beer mark toestande verlaag die moontlikheid. • 'n Maatskappy genoteer op BESA (Effektemark) kan as uitgang- strategie dien, waar die voormelde maatskappy met beperkte aanspreeklikheid die huurinkomstestroom van 'n portefeulje van eiendom aankoop en effekte uitgee vir die finansiering van die transaksie. Die beleggers wie die effekte koop, fokus op die kredietgradering van die effekte en nie die eiendom as onderliggende bate nie. • Huidige mark omstandighede verbeter die moontlikheid van 'n bategesekureerde sekuritusasie van eiendomshuurkontrakte. Lae rentekoerse en ander faktore wat in hierdie dokument bespreek word, verseker laer koste van kapitaal en makliker toegang tot fondse relatief tot die aandelemarkte. Hoë hefboom-finansiering is moontlik sonder te groot impak op die kredietgradering. (A-AA kredietgradering moontlik met 80%-90% skuld) • Normaalweg is 'n promoter, 'n beleggingsbank en 'n paar institusies/ pensioenfondse betrokke. Bv. Institusie X word versoek om aandeelhouding op te neem in 'n maatskappy deur eiendomme te verkoop aan die voormelde maatskappy en betaling te ontvang in die vorm van 'n kombinasie van kontant, junior effekte en aandele. Die voordele vir Institusie X word bepreek op bl. 39

Bakalauro baigiamojo darbo tikslas yra įvertinti, kaip pastaruoju metu, Lietuvą apėmus ekonominiam sulėtėjimui, pasikeitė nekilnojamo turto ir finansų sektorių įmonių galimybės skolintis skolos vertybinių popierių rinkoje. Kaip pavyzdžiai pasirinktos dvi įmonės – AB Hanner ir AB Šiaulių bankas – kurios atstovauja minėtuosius sektorius. Naudojantis Moody‘s kredito reitingų agentūros taikomomis metodologijomis, šios įmonės buvo išsamiai išanalizuotos tiek kokybiniu, tiek kiekybiniu atžvilgiu, ir pagal gautus rezultatus nustatytas bendras kredito reitingas. AB Hanner pagal atliktą analizę teko Baa reitingas, nurodantis vidutinį rizikos laipsnį, kuriuo remiantis padaryta išvada, jog AB Hanner norėdama pasiskolinti skolos vertybinių popierių rinkoje turėtų pasiūlyti investuotojams 9-10% metinį pajamingumą, o pačių obligacijų galiojimo trukmė neturėtų būti ilgesnė nei 2 metai. Kalbant apie AB Šiaulių banką, jam priskirtas D finansinio pajėgumo reitingas, kuris parodo, jog bankas nėra itin stiprus rinkos dalyvis. Atsižvelgus į įvairius kriterijus, šis bankas galėtų pasiūlyti rinkai 10% pajamingumo obligacijas, kurių trukmė turėtų būti bent 1-2 metai. Priešingu atveju bankas gali susidurti su mokumo problemomis. / Main objective of this bachelor thesis is to assess how during the recent economic slowdown in Lithuania opportunities to borrow in bond market have changed, especially for real estate companies and banks. AB Hanner and AB Šiaulių bankas have been chosen as an example, because they represent those two sectors. A research based on Moody’s credit rating methodologies has been made. During the research a deeper look has been taken into qualitative and quantitative factors, and in the end a final credit rating has been assigned to each of company. In case of AB Hanner, Baa credit rating has been assigned. Such rating indicates that AB Hanner has an average credit risk, and if this company wants to finance its activity through bond market, it should offer at least 9-10% yield for 1-2 year maturity bonds. Speaking about AB Šiaulių bankas, this company got D financial strength rating which indicates quite weak performance. Due to such result, AB Šiaulių bankas should offer around 10% yield for 1-2 year maturity bonds. Otherwise, this bank could face problems with undertaking liabilities.

L’objet de cette thèse est d’analyser d’un point de vue financier la cotation et le comportement des obligations privées à la Bourse de Paris à partir de 1838 jusqu’à l’éclatement de la Première Guerre mondiale. Cette étude est divisée en deux parties : La première relate la création et l’évolution des émissions obligataires (marché primaire) durant le 19ème siècle. On s’intéresse aux grands émetteurs qui ont su se servir le mieux des obligations et les raisons de leur succès. Dans cette partie seront également traitées les caractéristiques techniques et les innovations financières des émissions. La deuxième partie tente d’analyser le comportement boursier des obligations(marché secondaire).Pour cela un indice général des cours d’obligations durant le 19ème siècle a été calculé. En se basant sur cet indice nous mettons en lumière pour la première fois, les caractéristiques de ce marché (rentabilité, volatilité, …). Cela permet de comparer nos résultats avec ceux des études antérieures sur les marchés d’actions et de la rente au 19ème siècle. Cet indice permet également de tester les diverses hypothèses financières relevant de la théorie financière moderne (efficience informationnelle, cointégration avec des autres compartiments du marché,…). / This thesis studies the French corporate bonds market during the 19th century. Despite its importance the performance of the corporate bonds quoted on the Paris Bourse has never been studied. In order to analyse this market, a price index of the corporate bond market has been created by using modern techniques. The creation of the index was made possible thanks to an original database created by new data, which has never been used before and collected directly from the publications of the market authorities during the nineteenth century. Thanks to the index, the risk and the return of the market have been measured. Then we compared the performance of the French corporate bonds with those of the stocks and government bonds; the results of thecomparisons are interesting. This study demonstrates that the corporate bonds are the least risky securities and their rate of return is higher than the government bonds during the nineteenth century. Some econometric tests have also been used to compare the efficiency of bond market with the other segments of the Paris Bourse.

This dissertation examines the hitherto neglected role foreign, and specifically German, bankers played in the Chinese economy and the history of modern economic globalisation in China during the late 19th and early 20th centuries. By following the history of the German Deutsch-Asiatische Bank (DAB) during the last two decades of the Qing dynasty and the first years of the Chinese republic, this dissertation shows how the interaction between foreign bankers and Chinese officials, bankers and entrepreneurs led to the rapid internationalisation of Chinese finance, both in terms of public finance and the banking sector of China’s treaty port economy. Unlike most previous literature, which only depicts foreign banks in modern China as mere manifestations of foreign imperialism, this dissertation demonstrates that foreign banks acted as intermediary institutions that financially connected China to the first global economy and provided the financial infrastructure necessary to make modern economic globalisation in China during the late 19th and early 20th centuries possible. At the same time, this dissertation stresses the importance of Chinese agency for the operation of foreign banks in China’s treaty ports and shows that the interaction between foreign bankers and Chinese actors was made up as much of cooperation as of conflict. In sum, this dissertation not only furthers our knowledge of the role foreign banks played in the modern Chinese economy, but also contributes to our understanding of how China was financially integrated into the first global economy.

An important application of term structure models is to measure the difference between the evolutions of two yield curves starting from the same initial point. Such a geometric problem can be tackled by use of the notion of information geometry after the mapping of yield curves to density functions on a Hilbert space. We prove that a pair of yield curves with large initial Bhattacharyya spherical distance would diverge from each other with a significant probability. / Finally, we implement the proposed model with initial data in the US swap market for 15 Feb, 2007. To test our model improvements over the traditional models, we also run the simulation with the Hull-White model and compare these two no-arbitrage models in various major characteristics. It shows that the proposed model forms a bridge linking interest rates and discount bonds, namely, given the initial term structure density and the volatility structure, we are able to reconstruct the short rate process and the bond price process. Our term structure density model is thus a unification of traditional models each having its own advantage. / Following the initial study of Brody and Hughston on applying information geometry to interest rate modeling, we propose a novel term structure model and investigate its application in the US swap market. Different from the traditional term structure models that impose assumptions on either bonds or rates, the newly proposed model is characterized by the evolution of a density function which is obtained from the derivative of the discount function with respect to the time left till maturity. We prove that such a density function can be interpreted as interest return on the discount bond. / The introduction of the term structure density turns the problem of yield curve dynamics into a problem of the evolution of a density distribution. There are at least three steps to model the dynamics of the density function: calibrate the initial term structure density, specify the market risk premium, and choose a proper volatility structure. First, we introduce two initial calibration methods, one by maximizing the Tsallis entropy and the other by the notion of superstatistics. By use of either method, we deduce a power-law distribution for the initial term structure density function. The entropy index q in this function, which is a well-known physics quantity, now finds its financial interpretation as the measure of departure of the current term structure from flatness on a continuously compounded basis. Our empirical experiments in the US swap market fully demonstrate this observation. Next, given the calibrated initial density, we develop the term structure dynamics in the risk-neutral world and prove that the market risk premium is immaterial. To deduce a concise martingale representation for the bond pricing formula, we choose a density volatility that possesses zero mean. Finally, as an illustration of the importance of volatility structure, the HJM volatilities are redesigned for interest rate positivity under the framework of the current model. / Yang, Yiping. / Adviser: Kwong Chung Ping. / Source: Dissertation Abstracts International, Volume: 73-03, Section: B, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 187-192). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

La crise du marché obligataire européen en 2007 a marqué les limites du fonctionnementdu modèle de tenue de marché et de liquidité obligataire urbi et orbi. Un marchéobligataire caractérisé par le surendettement des émetteurs, l’institutionnalisation desinvestisseurs et une interconnexion généralisée, mène à de brutales dislocations en lieu etplace d’ajustements par fluctuation des prix. Les conséquences potentiellement létales decet état disruptif pour les agents économiques justifient de repenser les stratégiesrespectives de ses principaux acteurs : les banques et leur rôle de liquidité, les assureurset les fonds d’investissements. C’est aussi un moment privilégié pour s’interroger sur lesraisons de l’absence des ménages dont l’épargne n’atteint qu’indirectement le marchéobligataire, et d’emprunteurs n’ayant pas accès au marché mais seulement aux banquespour se financer. L’étude confronte les caractéristiques propres à chaque intervenant aveccette dynamique interactive, avec un regard particulier sur l’action inédite de la Banquecentrale et sur la production réglementaire relative à chacun des acteurs du marché. Nostravaux concluent sur la nécessité d’un nouveau paradigme qui renonce à la liquidité perse. La dette publique, grâce aux interventions de la Banque centrale et à la réglementationBâle 3, conserve la liquidité et devient le pré carré des banques. Banques qui devront,pour le financement de l’économie privée, jouer un nouveau rôle, à travers un modèle decofinancement avec les autres investisseurs, et élargi à de nouveaux emprunteurs. Laliquidité se retire là où elle n’est plus nécessaire, et avec elle une part du risquesystémique. / The crisis of the European bond market in 2007 marked the limits of market making andbond liquidity urbi et orbi. A bond market characterized by the over-indebtedness of theissuers, the institutionalization of the investors and a generalized interconnection betweenagents, lead to brutal dislocations instead of adjustments by fluctuation in prices.Potentially lethal consequences of this disruptive state for the economic agents justifyreconsidering the respective strategies of its principal actors: banks and their role ofliquidity, insurers and investments funds. It is also a privileged moment to wonder aboutthe reasons of the absence of the households whose saving reaches only indirectly thebond market, and borrowers not having access to the market but only to the banks, to befinanced. The study confronts the characteristics of each agent with these interactivedynamics, emphasizing on the new action of the central Bank and on the regulationrelated to each actor of the market. Our work concludes on the need of a new paradigmwhich gives up the liquidity per se . The public debt, which preserves liquidity thanks tocentral Bank action and Basel regulation, becomes the corner of the banks. Banks, whichwill have for the financing of the private economy, to play a new role, through a model ofco-financing with the other investors, and widened to new borrowers. The liquidity iswithdrawn where it is not necessary any more, and with it disappears part of the systemicrisk

<p>Even though today´s world unwinds on the increasing way of the globalisation, investors are aware of the possibilities the international markets offer and distance is not an issue any more, they are still governed by the “home bias factor“. This phenomenon implies that investors tend to prefer investing in domestic securities rather than entering the global market. Swedish investors are not the exception and the issue of the attraction of foreign fixed income securities is highlighted even more when we have found out there is lack of academic research about the topic from the perspective of Swedish investors. To narrow down the research subject and provide a reader with an interesting approach, we decided to examine the attraction of foreign government bonds from the perspective of Swedish investors.</p><p>At the beginning of the paper we raised three research questions and defined the objective of the paper in questioning the existence of reasons to invest in foreign government bonds. Another research question was defined as identifying our local investor, who is entering the global market and last, but not least, what investing strategy do we recommend him to follow.</p><p>Along the paper we proposed to apply a decent level of informative as well as a scientific approach to provide a reader with a valuable study concerning pre-defined topic. To reach more concrete outcomes of the study we have accepted couple of assumtions which we have identified ourselves with and we have stressed them especially during the theoretical part of the paper.</p><p>After conducting the comprehensive analysis of the Swedish market for government bonds we have identified a huge gap between the demand and supply for such bonds and based on the discussion concerning the opportunities and risks connected with such investments we have defined our investor. Under given assumptions, as the most probable case of occurance we consider a rational investor, who is offsetting the balance of interest rate sensitive assets and liabilities simultaneously looking for the best possible yield, the lowest possible risk and sound level of diversification.</p><p>During the empirical analysis, namely examination of the national yield curves we set first, however very limited investment strategy. After the incorporation of the portfolio theory, currency rate risk and the existence of instruments covering the foreign currency exposure we have come into a conclusion that our investor does not have to necessarily prefer a security from the depicted efficient frontier, but he can employ other securities as well. As a consequence, when using 100% hedging he can use whichever security on the global market.</p><p>At the conclusion, stated findings imply another investigation, since our research was based on very strong assumptions presented during the study. Thus it by far does not provide the reader with a comprehensive investment analysis, which some readers might be interested in. However, even from the beginning we claimed that we do not have such an ambitious goal.</p>