Insolvenzprognosen und Ratings sind wichtige Aufgaben der Finanzbranche und dienen der Kreditwürdigkeitsprüfung von Unternehmen. Eine Möglichkeit dieses Aufgabenfeld anzugehen, ist maschinelles Lernen. Dabei werden Vorhersagemodelle aufgrund von Beispieldaten aufgestellt. Methoden aus diesem Bereich sind aufgrund Ihrer Automatisierbarkeit vorteilhaft. Dies macht menschliche Expertise in den meisten Fällen überflüssig und bietet dadurch einen höheren Grad an Objektivität. Allerdings sind auch diese Ansätze nicht perfekt und können deshalb menschliche Expertise nicht gänzlich ersetzen. Sie bieten sich aber als Entscheidungshilfen an und können als solche von Experten genutzt werden, weshalb interpretierbare Modelle wünschenswert sind. Leider bieten nur wenige Lernalgorithmen interpretierbare Modelle. Darüber hinaus sind einige Aufgaben wie z.B. Rating häufig Mehrklassenprobleme. Mehrklassenklassifikationen werden häufig durch Meta-Algorithmen erreicht, welche mehrere binäre Algorithmen trainieren. Die meisten der üblicherweise verwendeten Meta-Algorithmen eliminieren jedoch eine gegebenenfalls vorhandene Interpretierbarkeit. In dieser Dissertation untersuchen wir die Vorhersagegenauigkeit von interpretierbaren Modellen im Vergleich zu nicht interpretierbaren Modellen für Insolvenzprognosen und Ratings. Wir verwenden disjunktive Normalformen und Entscheidungsbäume mit Schwellwerten von Finanzkennzahlen als interpretierbare Modelle. Als nicht interpretierbare Modelle werden Random Forests, künstliche Neuronale Netze und Support Vector Machines verwendet. Darüber hinaus haben wir einen eigenen Lernalgorithmus Thresholder entwickelt, welcher disjunktive Normalformen und interpretierbare Mehrklassenmodelle generiert. Für die Aufgabe der Insolvenzprognose zeigen wir, dass interpretierbare Modelle den nicht interpretierbaren Modellen nicht unterlegen sind. Dazu wird in einer ersten Fallstudie eine in der Praxis verwendete Datenbank mit Jahresabschlüssen von 5152 Unternehmen verwendet, um die Vorhersagegenauigkeit aller oben genannter Modelle zu messen. In einer zweiten Fallstudie zur Vorhersage von Ratings demonstrieren wir, dass interpretierbare Modelle den nicht interpretierbaren Modellen sogar überlegen sind. Die Vorhersagegenauigkeit aller Modelle wird anhand von drei in der Praxis verwendeten Datensätzen bestimmt, welche jeweils drei Ratingklassen aufweisen. In den Fallstudien vergleichen wir verschiedene interpretierbare Ansätze bezüglich deren Modellgrößen und der Form der Interpretierbarkeit. Wir präsentieren exemplarische Modelle, welche auf den entsprechenden Datensätzen basieren und bieten dafür Interpretationsansätze an. Unsere Ergebnisse zeigen, dass interpretierbare, schwellwertbasierte Modelle den Klassifikationsproblemen in der Finanzbranche angemessen sind. In diesem Bereich sind sie komplexeren Modellen, wie z.B. den Support Vector Machines, nicht unterlegen. Unser Algorithmus Thresholder erzeugt die kleinsten Modelle während seine Vorhersagegenauigkeit vergleichbar mit den anderen interpretierbaren Modellen bleibt. In unserer Fallstudie zu Rating liefern die interpretierbaren Modelle deutlich bessere Ergebnisse als bei der zur Insolvenzprognose (s. o.). Eine mögliche Erklärung dieser Ergebnisse bietet die Tatsache, dass Ratings im Gegensatz zu Insolvenzen menschengemacht sind. Das bedeutet, dass Ratings auf Entscheidungen von Menschen beruhen, welche in interpretierbaren Regeln, z.B. logischen Verknüpfungen von Schwellwerten, denken. Daher gehen wir davon aus, dass interpretierbare Modelle zu den Problemstellungen passen und diese interpretierbaren Regeln erkennen und abbilden.

This thesis consists of four independent chapters on bank capital regulation and the issue of unsolicited ratings.<p> The first chapter is introductory and reviews the motivation for regulating banks and credit rating agencies while providing a detailed overview of the thesis.<p> The second chapter uses a simultaneous equations model to analyze how banks from six G10 countries adjusted their capital to assets ratios and risk-weighted assets to assets ratio between 1988 and 1995, i.e., just after passage of the 1988 Basel Accord. The results suggest that regulatory pressure brought about by the 1988 capital standards had little effect on both ratios for weakly capitalized banks, except in the US. In addition, the relation between the capital to assets ratios and the risk-weighted assets to assets ratio appears to depend not only on the level of capitalization of banks, but also on the countries or groups of countries considered.<p> The third chapter provides Monte Carlo estimates of the amount of regulatory capital that EMU banks must hold for their corporate, bank, and sovereign exposures both under Basel I and the standardized approach to credit risk in Basel II. In the latter case, Monte Carlo estimates are presented for different combinations of external credit assessment institutions (ECAIs) that banks may choose to risk weight their exposures. Three main results emerge from the analysis. First, although the use of different ECAIs leads to significant differences in minimum capital requirements, these differences never exceed, on average, 10% of EMU banks’ capital requirements for corporate, bank, and sovereign exposures. Second, the standardized approach to credit risk provides a small regulatory capital incentive for banks to use several ECAIs to risk weight their exposures. Third, the minimum capital requirements for the corporate, bank, and sovereign exposures of EMU banks will be higher in Basel II than in Basel I. I also show that the incentive for banks to engage in regulatory arbitrage in the standardized approach to credit risk is limited.<p> The fourth and final chapter analyses the effect of soliciting a rating on the rating outcome of banks. Using a sample of Asian banks rated by Fitch Ratings, I find evidence that unsolicited ratings tend to be lower than solicited ones, after accounting for differences in observed bank characteristics. This downward bias does not seem to be explained by the fact that better-quality banks self-select into the solicited group. Rather, unsolicited ratings appear to be lower because they are based on public information. As a result, they tend to be more conservative than solicited ratings, which incorporate both public and non-public information.

This thesis analyses long and short-term perception of announcements issued by leading credit rating agencies (Fitch, Moody's and S&P) in sovereign bond markets. Using three empirical approaches we assess the nature of impact of CRAs on 10Y sovereign bond yields and 5Y CDS of 24 countries of EU between 2002 and 2012. We find significant response of sovereign bond yield and CDS spreads to downgrades and negative outlooks. Furthermore there is evidence of anticipative power of sovereign bond markets in foreseeing negative events implying CRAs lag the market. The spillover effect from credit rating announcements has been revealed between both EMU and non-EMU parts of EU implying the financial integration is not limited only to countries with common currency. Well performing economies outside EMU are resistant to contagion. JEL Classification C23, F34, G10, G14, G15 Keywords credit rating; credit default swap; rating agency; sovereign bond; EU Author's e-mail tomhav@gmail.com Supervisor's e-mail roman.horvath@gmail.com

信用評等機構對於企業與市場投資者而言有著重要且無可取代的功能，其所提供之信用評等資訊應當是許多市場投資者所仰賴的重要決策依據，但近年來，卻有許多外界聲浪質疑信評機構評等之準確性，本論文之研究目的即是希望從錨定效應此一行為偏誤之觀點切入，探討國內信評機構在對企業評等時，是否會受到錨定效應影響，導致評等調整不正確或是評等落後其他財務指標等現象發生。 研究結果顯示，國內信評機構對受評企業之過往財務資訊存在錨定現象，但不至於大幅影響整體違約風險之準確性，且信評機構對受評企業財務之惡化較為敏感。另一方面，本研究也發現，信評機構對於非上市櫃公司、金融業以及初次評等等級在「twAA」以上企業之評等，存在較為明顯之錨定現象。 / Credit Rating Agencies (CRAs) play a major role in the financial market. Credit rating purport to provide investors with valuable information they need to make decisions about investing, but the accuracy of the rating itself has been called into question by many investors in recent years. The purpose of this study is to examine the anchoring effect on CRAs while the rating is being given. The results indicate that domestic CRAs tend to be anchored on the past financial information of the issuers. But the impacts are very slightly. Besides this, CRAs seem relatively sensitive to the financial deterioration. Moreover, the anchoring effect are much more significant when the debt issuers are private firms, financial institutions or the companies with greater or equal to twAA initial credit rating.

O presente trabalho teve por objetivo avaliar aspectos relevantes da economia internacional. O primeiro ensaio desta tese visou avaliar pela primeira vez (até onde se tem conhecimento) se o recente desenvolvimento do mercado de Credit Default Swaps - CDS alterou os efeitos das mudanças de rating sobre o mercado financeiro.Como o CDS é um derivativo que tem como objetivo refletir a qualidade do crédito do ativo avaliado e esta mensuração é feita através do mercado e de forma contínua no tempo, este instrumento poderia reduzir a relevância dos ratings atribuídos pelas agências; uma vez que estes últimos também avaliam a qualidade do crédito, mas sua atuação é discreta no tempo. Foi empregada a metodologia de estudo de evento a uma base de dados diária de CDS, bolsa e taxas de câmbio para37 países. Em resumo,foram encontradas evidências de que o impacto das mudanças de ratings sobre os ativos financeiros sofreu moderação nos últimos dez anos e que o papel do CDS pode estar por trás desta redução. Além disso, foram encontrados resultados que mostram que o mercado de CDS é o que mais reage a reclassificações de risco. O principal objetivo dos ensaios seguintes é trazer luz ao debate das fontes de competitividade no comércio internacional. Neste sentido, o segundo ensaio trata do papel do custo fixo de entrada para a exportação sobre a competitividade internacional no nível da firma. Foi estimadoo custo médio de entrada para a exportação utilizando o banco de dados do World Bank Enterprise Survey do Banco Mundial que conta com informações de mais de 70 mil firmas de diversos setores de atividade distribuídas em mais de 120 países em desenvolvimento. A pesquisadora se apoiou no modelo e na metodologia desenvolvidos na publicação da Econometrica de Das, Roberts e Tybout (2007) e conclui que em média uma firma paga 3,2 milhões de dólares para começar a exportar. Além disso, encontrou que o custo fixo de entrada para exportação varia entre os países e isso ajuda a explicar porque firmas semelhantes com produtividade parecida instaladas em países diferentes têm probabilidades distintas de serem exportadoras. No terceiro ensaio desta tese, estudou-se o impacto da desoneração da folha de pagamento, implementada a partir de 2011, nas exportações e importações brasileiras. Através de um painel de efeito fixo para produto, relacionando as exportações e importações em função da variável desoneração e a da variável de intensidade de mão-de-obra na produção do bem. Os dados foram extraídos do MDIC, da PIA e a variável desoneração foi construída utilizando as diversas leis que, ao longo do tempo, foram ampliando o rol de bens desonerados. Grosso modo, controlando por intensidade de mão-de-obra, encontrou-se que as desonerações foram responsáveis por uma queda da quantidade importada dos bens cujos similares foram desonerados internamente, enquanto que o efeito nas exportações provocou uma queda nos preços dos bens desonerados que não foi compensada por uma elevação na quantidade exportada, o que conjuntamente resultou em uma queda das exportações em valor. / This thesis evaluated some relevant aspects of the international economy. The first chapter evaluatesfor the first time (as far as we know) if the recent development of the credit default swaps market, CDS, has changed the effects of rating reclassifications on the financial market. Given that the price of CDS is driven bythe entity\'s credit quality and it moves continuously over time, this instrument would reduce the significance of ratings assigned by the agencies, since these agencies act discretely over time. We apply the event study methodology to a daily database of CDS, stocks and exchange rates for 37 countries. Generally speaking, we find evidences that the impact of ratings changes on financial assets has moderated over the past decade and that the role of CDS may explain this reduction. Furthermore, we find results that show that the CDS market is more responsive to risk reclassification. The following chapters have the main objective to shed some light on the debate on the sources of competitiveness in international trade. In this sense, the second chapter studies the role of sunk entry cost to export in international competitiveness at firm level. We estimate the average export sunk entry cost using the World Bank Enterprise Survey database of the World Bank that has informations about more than 70 thousand firms spreaded over several activity\'s sectors and more than 120 developing countries. We followed the model and methodology developed by Das, Roberts and Tybout in a paper published in Econometrica in 2007 and we found that a firm, in average, pays 2.3million dollars in order to start exporting. Besides that, we found that the export entry cost varies between countries and this fact helps to explain why similar firms in different countries have different probabilities to become exporters. In the third chapter of this thesis, we present a study on the impact of the payroll tax exemption implemented since 2011 on Brazilian exports and imports. Using a panel of fixed effect for product, we will relate the exports and imports as function of the variable exemption and the variable of labor intensity in the production function of the good. The data were extracted from the MDIC, the PIA and the variable exemption was constructed using the many laws that, over time, were expanding the list of exempted goods. Generally speaking, controlling by labor intensity, we found that the payroll tax exemption was responsible for a drop in the quantity of goods imported from abroad, while the effect on exports led to a drop in the prices of the goods exported, which was not offset by a rise in the quantity exported, resulting in a fall in exports by FOB value.

Orientador: Murilo Gaspardo / Resumo: Este trabalho objetiva investigar como a “colonialidade do poder” do mercado de classificação de risco de crédito limita a soberania brasileira, e a existência ou não de alternativas institucionais que possam contribuir para o enfrentamento desta questão. Para tanto, estuda de que modo as Três Grandes contaram com o domínio econômico e político dos Estados Unidos para se consolidarem no domínio do mercado, e como seus saberes impactam o preço dos ativos no mercado financeiro, configurando suas “autoridades epistêmicas”. Posteriormente, examina de que maneira seus saberes apresentam semelhanças prejudiciais ao Brasil e a outros países subdesenvolvidos em, pelo menos, dois campos: teto e rating soberanos. Dessa forma, analisa como há um enredamento entre domínio econômico-político e epistêmico, característicos da “matriz colonial de poder”, que limita ainda mais a soberania do Brasil e de outros países subdesenvolvidos, além de prejudicar seus “fins” de Estado. Diante desse quadro, pesquisa alternativas institucionais disponíveis ao país para lidar com esse assunto e com outros problemas da ordem econômica atual. / Abstract: This paper aims to investigate how the credit rating market’s “coloniality of power” limits the brazilian sovereignty, and the existence or not of institutional alternatives that might contribute to face this issue. In order to achieve this, it studies how the Big Three counted on the United States’ economic and political domination to consolidate their market’s domination, and how their knowledges impact assets prices on financial market, settling their “epistemic authorities”. Afterwards, it examines how their knowledges present harmful similiarities to Brazil and other developing countries on, at least, two fieds: sovereign ceiling and rating. Thus, it analyzes how there is an entanglement between economic-political and epistemic domination, typical from “colonial matrix of power”, that limits even more the sovereignty of Brazil and other underdeveloped countries, aside from prejudicing its State’s “ends”. Before this framework, it searches for available institutional alternatives for Brazil to cope with this issue and other problems of the current economic order. / Mestre

Project finance has become a vital financing vehicle for undertaking capital-intensive and infrastructure investments. In 2017 alone, the value of deals signed using project finance was estimated at approximately $229 billion. Despite its increasing importance, little is known regarding the impact of project-level, and country characteristics on the loan terms. This thesis proceeds in examining these determinants along three empirical essays. The first essay (Chapter 3) focuses on how domestic lead arrangers certification (in emerging markets) impact the pricing of project finance loans. Using a sample 1270 project finance loan tranches signed between 1998 and 2011, and worth over $300 billion, the chapter posits that domestic lead arrangers certification reduce search and information cost, which in turn, reduces the financing cost. The results, after controlling for endogeneity of certification decision, indicate a reduction of 47 basis points in the spread offered on PF loans. The magnitude of this reduction differs across industries, geographic region, and income classification of the project countries. The second essay (Chapter 4) examines the relationship between PF contractual structures and loan outcomes, using a sample of 5872 project finance loan tranches signed between 1998 and 2013, and worth approximately $1.2 trillion. The chapter hypothesises that (i) non financial contracts (NFCs) (that is, contracts used to manage the various project functions), reduces overall project risk, (ii) the involvement of project sponsors as key counterparties to the non-financial contracts is an additional signal of project s potential worth, and (iii) the effects observed in (i and ii) are stronger, if sponsor counterparties have verifiable credit ratings. After matching loan tranches with NFCs to those without, the results indicate that the use of NFCs reduce both the loan spreads and leverage ratios. This impact is higher if the sponsor counterparties are credit-rated. The results are also stronger for developing countries. The third essay examines the impact of country-level institutions on project finance loan spread and leverage ratio, using a sample of 3,362 loan tranches signed between the year 1998 - 2012. The chapter investigates whether political and legal institutions are substitutes (or complements), that is, if improvement in one absorbs the weakness of the other, and vice versa. Further, the essay examines if project finance network of contracts substitutes for these institutions. The results indicate that political and legal institutions are substitutes. Specifically, improvements in political institutions lead to a reduction in both the loan spread and leverage ratio for countries with weak legal and governance institutions. The chapter also finds that where NFCs are included in PF, the impact of political institutions on loan spread reduces. On the other hand, the impact of political institutions on leverage ratio is higher when NFCs are used. The findings from the three research chapters provide interesting insights on how lenders and sponsors create value through contract design.

落實風險管理為公司治理與透明化過程之重要指標－2008年金融風暴之發生再度引起國內外對風險管理之重視，此也顯示風險管理並無真正落實；為達成此目標，企業風險管理之推動為關鍵因素，此部分除依賴監理機關制定規範要求保險業實行外，獨立第三者之信用評等機制亦扮演重要訊息提供之角色，藉由其對企業風險管理發展出之評鑑標準，及其對眾多受評公司進行評等的過程及瞭解，可提供保險業建置與落實企業風險管理之方向及做法。 保險業主要信用評等機構對企業風險管理的評鑑標準不同，本研究找出最佳信用評等機構之評鑑項目－風險管理文化、風險控管程序、新興風險管理、風險及經濟資本模型、策略性風險管理，及相關之評鑑標準；另藉由信用評等機構對保險業企業風險管理之調查分析，瞭解國內保險業者目前所面臨之關鍵問題：(1)大部分仍停留在傳統風險管理階段；(2)風險胃納、風險容忍度及風險限額定義及關聯不明瞭；(3)經濟資本及風險調整後報酬量化能力不足。 歸納本研究結果，(1)藉信評機制對企業風險管理之評鑑項目及標準，可為國內保險業建置企業風險管理之參考依據；(2)從信評機構對企業風險管理之評等，可瞭解國內保險業之執行成果及問題，具有值得參考之價值。本文亦提出風險管理文化、風險及經濟資本模型相關之建議，以落實企業風險管理。 / To truly implement risk management is the important indicator of corporate governance and transparency progresses－the finanacial crisis in 2008 has resulted in the focus of risk management again, of which the implications have presented it hadn’t been done well. The Enterprise Risk Management (ERM) is the key factor to achieve the objective of truly implemented. In addition to the supervisors imposing those regulations so as to request execuation by insurance industy, the independent third party－rating agencies have provided valuable information. By way of the ERM indicators developed by rating agencies, together with the experiences and understandings getting from rating procedures, they can give the ERM directions and practises to insurance industry. The major rating agencies for insurance industry have different views to ERM critirias. The thesis has found out the best items and their relative indicators developed by rating agency－Risk Management Culture, Risk Control Processes, Emerging Risk Management, Risk & Economic Capital Models, and Strategic Risk Management. Moreover, the thesis has explored the key issues faced by domestic insurance industry through the ERM surveys conducted by rating agencies: (1)the majority of insurers have still positioned at the stage of traditional risk management; (2)the understanding to definitions and relatives of risk appetite, risk tolerance and risk limit are inambigious; (3)the quantibility of economic capitals and risk-adjusted returns aren’t appropriate. The thesis has concluded: (1)the ERM items and critirias developed by rating agencies can be the references to establish their own ERM by domestic insurance industy; (2)they are valuable references to know the situations of implementation and issues faced by domestic insurance industry through the ERM rating items and critirias. In the end, the thesis has submited the suggestions within risk management culture and risk & economic capital models in oder to truly implement ERM.

In life insurance contracts, actuaries generally value premiums using deterministic mortality rates and interest rates. They have ignored them stochastically in most of the studies. However it is known that neither interest rates nor mortality rates are constant. It is also known that companies may encounter insolvency problems such as ruin, so the ruin probability need to be added to the valuation of the life insurance contracts process. Insurance companies should model their surplus processes to price some types of life insurance contracts and to see risk position. In this study, mortality rates and surplus processes are modeled and financial strength of companies are utilized when pricing life insurance contracts.

Diese kumulative Dissertation besteht aus drei Abschnitten.                                 I. Geopolitics, Aid and Growth Wir untersuchen den Effekt kurzfristiger politischer Motive auf die Effektivität von Entwicklungshilfe. Dabei testen wir, ob der Effekt der Hilfe auf Wirtschaftswachstum reduziert wird durch den Anteil der Jahre während der Hilfsvergabe, die ein Land temporäres Mitglied des Sicherheitsrates der Vereinten Nationen war. Diese Mitgliedschaft sorgt für eine quasi zufällige Variation in der Höhe der vergebenen Hilfsgelder. Unsere Ergebnisse zeigen, dass der Zusammenhang zwischen Hilfe und Wachstum schwächer und niedriger ist für Hilfe, die während der temporären Mitgliedschaft vergeben wurde. Unsere zwei Schlussfolgerungen sind: Erstens, der Einfluss politischer Motive untergräbt die Effektivität der vergebenen Hilfsgelder. Zweitens, Variablen die politisches Interesse widerspiegeln sind ungeeignet als ökonometrische Instrumente für Entwicklungshilfe. Dies weckt Zweifel an einer großen Anzahl existierender Forschungsergebnisse. II. Is there a Home Bias in Sovereign Ratings? Kreditratingagenturen werden oftmals für angeblich verzerrte Länderratings kritisiert. Dieser Abschnitt diskutiert, wie das Heimatland einer Ratingagentur deren Ratingentscheidungen aufgrund polit-ökonomischer Einflüsse und kultureller Unterschiede beeinflussen kann. Mithilfe von Daten über neun Agenturen aus sechs unterschiedlichen Ländern testen wir, ob die Agenturen bessere Ratings an ihr Heimatland oder mit ihnen ökonomisch, politisch oder kulturell verbundene Länder vergeben. Unsere Ergebnisse liefern Belege für die Existenz einer Verzerrung zugunsten des jeweiligen Heimatlandes, kulturell ähnlicher Länder, und von Ländern, in denen die Banken des Heimatlandes größeren Risiken ausgesetzt sind. Dabei scheint die linguistische Ähnlichkeit der Sprache die Haupterklärung für den gemessenen Vorteil des Heimatlandes zu sein. III. Crime, Incentives and Political Effort: A Model and Empirical Application for India Der große Anteil an Politikern, gegen welche kriminelle Vorwürfe erhoben werden, hat eine öffentliche Debatte und eine Literatur über dessen Gründe und Auswirkungen ausgelöst. Um die Auswirkungen von Kriminalität abzuschätzen, entwickeln wir ein Modell über die Anreize, welchen Abgeordnete ausgesetzt sind wenn sie entscheiden ob sie sich für ihren Wahlkreis engagieren sollen. Wir nutzen drei direkte und gut messbare Maße für das Engagement der Abgeordneten in der vierzehnten Lok Sabha während der Legislaturperiode von 2004-2009: Anwesenheitsquoten, Aktivität im Parlament und die Nutzungsrate eine Fonds für lokale Entwicklungsprojekte. Die Ergebnisse legen nahe dass kriminelle Abgeordnete im Schnitt ungefähr 5% niedrigere Anwesenheitsquoten haben, und niedrige Nutzungsraten des Fonds, aber sich nicht bezüglich der Aktivität im Parlament unterscheiden. Diese Unterschiede hängen vom ökonomischen Entwicklungsstand des Wahlkreises, einem Proxy für Möglichkeiten illegale Renten zu extrahieren und für die Intensität der Überwachung des Abgeordneten durch die Wähler, sowie von der Definition von Kriminalität ab. Wir nutzen beobachtbare Kontrollvariablen, Matchingtechniken und „Treatment Effect“ Regressionen, um zu zeigen, warum diese negativen Koeffizienten eine Obergrenze für den tatsächlich wohl noch größeren negativen Zusammenhang darstellen. Darüber hinaus analysieren wir, warum es unwahrscheinlich ist, dass Selektionsprobleme aufgrund unbeobachtbarer Einflussfaktoren unsere Ergebnisse vollständig erklären können.