Submitted by RICARDO MEDEIROS DOS SANTOS DA SILVA (rmedeiros@gmail.com) on 2015-09-21T23:50:40Z No. of bitstreams: 1 Implied Hazard Rates Analysis Through Brazilian Corporate Debt.pdf: 1429524 bytes, checksum: f2517a6c1a79a440b38d24a6957278bf (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-21T23:57:40Z (GMT) No. of bitstreams: 1 Implied Hazard Rates Analysis Through Brazilian Corporate Debt.pdf: 1429524 bytes, checksum: f2517a6c1a79a440b38d24a6957278bf (MD5) / Made available in DSpace on 2015-09-22T14:02:44Z (GMT). No. of bitstreams: 1 Implied Hazard Rates Analysis Through Brazilian Corporate Debt.pdf: 1429524 bytes, checksum: f2517a6c1a79a440b38d24a6957278bf (MD5) Previous issue date: 2015-08-26 / The Brazilian corporate debt market is mostly underdeveloped. Most of the participants do not explore and trade in the secondary market, which is specially the case for debentures. In spite of this fact, there are a myriad of tools that could help market participants analyze credit risk, which could make them more willing to trade these risks in the secondary market. This dissertation provides an arbitrage-free model that extracts the implied Risk- Neutral Mean Loss Rates from market prices. It is a reduced form version of the model proposed by Duffie and Singleton (1999) and defines the term-structure of interest rates as a Piece-Wise Constant Function. Through this model, we were able to analyze the implied Risk-Neutral Mean Loss curve through different instruments of Brazilian corporate issuers, using bonds, CDS and debentures. We were able to compare the different curves and decide, in each case analyzed, which of them are best to take on the company’s credit risk, via bonds, CDS or debentures. / No Brasil, o mercado de crédito corporativo ainda é sub-aproveitado. A maioria dos participantes não exploram e não operam no mercado secundário, especialmente no caso de debêntures. Apesar disso, há inúmeras ferramentas que poderiam ajudar os participantes do mercado a analisar o risco de crédito e encorajá-los a operar esses riscos no mercado secundário. Essa dissertação introduz um modelo livre de arbitragem que extrai a Perda Esperada Neutra ao Risco Implícita nos preços de mercado. É uma forma reduzida do modelo proposto por Duffie and Singleton (1999) e modela a estrutura a termo das taxas de juros através de uma Função Constante por Partes. Através do modelo, foi possível analisar a Curva de Perda Esperada Neutra ao Risco Implícita através dos diferentes instrumentos de emissores corporativos brasileiros, utilizando Títulos de Dívida, Swaps de Crédito e Debêntures. Foi possível comparar as diferentes curvas e decidir, em cada caso analisado, qual a melhor alternativa para se tomar o risco de crédito da empresa, via Títulos de Dívida, Debêntures ou Swaps de Crédito.

This thesis consists of four self-contained essays on the various topics in finance.  The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. It finds that the systematic risk structure predicts the growth rate of industrial production 3 to 18 months into the future even when other leading indicators are controlled for, outperforming other models. A regime-switching estimation also shows that the systematic risk structure is very successful in identifying and capturing different growth regimes of industrial production.  The second essay, How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession? investigates whether financial conditions of the U.S. corporate sector  can explain the probability and severity of recessions. It proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) constructed as the default probability for the entire corporate sector. It finds that the CVI is a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators, and that an increase in the CVI is also associated with a rise in the probability of a more severe and lengthy recession 3 to 6 quarters ahead.  The third essay, Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia (with Jorge A. Chan-Lau), using TGARCH models, finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods: the pre-LTCM crisis period, the “tech bubble” period, and the “stock market correction” period. Hong Kong SAR, Japan, and Singapore were sources of spillovers within the region and affected the United States during the latter period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the “tech bubble” period.  The fourth essay, Coping with Financial Spillovers from the United States: The Effect of U. S. Corporate Scandals on Canadian Stock Prices, investigates the effect of U.S. corporate scandals on stock prices of Canadian firms interlisted  in the United States. It finds that firms interlisted during the pre-Enron period enjoyed increases in post-listing equilibrium prices, while firms interlisted during the post-Enron period experienced declines in post-listing equilibrium prices, relative to a model-based benchmark. Analyzing the entire universe of Canadian firms, it finds that interlisted firms, regardless of their listing time, were perceived as increasingly risky by Canadian investors after the Enron’s bankruptcy. / Diss. Stockholm : Handelshögskolan, 2003

Dissertação (mestrado) - Fundação Getúlio Vargas, Escola Brasileira de Administração pública e de Empresas, Rio de Janeiro, 2015. / Bibliografia: p. 106-116. / As concessões e as Parcerias Público-Privadas (PPP) são mecanismos cada vez mais utilizados pelo setor público para alavancar os investimentos em infraestrutura no país. Para que haja viabilidade econômica das mesmas, as suas taxas internas de retorno (TIR) apresentam- se como variáveis que precisam refletir os riscos e a realidade do negócio. O presente estudo busca analisar as taxas de retorno utilizadas para a modelagem das tarifas - teto do setor de rodovias federais frente às especificidades do seu mercado. Para tal, são seguidas três frentes: a primeira é analisar a metodologia da taxa de retorno utilizada para a modelagem das concessões mais recentes de rodovias; a segunda é estimar uma taxa de retorno a partir de pesquisa bibliográfica; e a terceira é, por meio de dados de rentabilidade de balanços de concessionárias do setor, observar se as taxas de retorno das primeiras concessões foram devidamente calculadas na época. Na dissertação, concluímos que a atual metodologia da taxa de retorno do Tesouro Nacional pode ser aprimorada, principalmente em relação aos parâmetros de grau de alavancagem e capital de terceiros, e observamos que a taxa de retorno tem se aproximado do custo de oportunidade do setor ao longo das últimas etapas de concessão. O estudo visa contribuir para o debate sobre a rentabilidade dos projetos de infraestrutura rodoviária, em meio a um período de intensos investimentos no setor. / Concessions and Public-Private Partner ships (PPP) are mechanisms increasingly used by the public sector to enhance the investments in infrastructure in Brazil. To achieve economic viability in these projects, their internal rates of return (IRR) are variables which must reflect the risks and reality of the business. The present study seeks to analyse the IRRs used for modeling the price-caps of the federal highways' sector, under the specificities of such market. For this purpose, three approaches are pursued: the first one analyses the methodology of IRR calculation applied for modelling the most recent highway concessions; the second estimates an IRR based on bibliographic research; and the third makes use of data acquired from the balance sheets from the sector's concessionaries, to observe if the IRR for the first concessions of federal highways were propelly calculated at the time. In this dissertation, we concluded that the current National Treasury's methodology of the rate of return can be improved, especially in relation to parameters like leverage and debt, and we observed that the rate of return has come closer to the opportunity cost for the sector throughout the last concession rounds. This study aims to contribute to the debate on the profitability of road infrastructure projects, a midst a period of intense investments in the sector.