La tesi mette a confronto l'universo delle riorganizzazioni nel Chapter 11 con i nuovi modelli di ristrutturazione concessi dalla riforma del diritto fallimentare. In modo particolare la tesi si sofferma sul mercato del controllo nella crisi di impresa. Negli Stati Uniti c'e' da tempo un mercato dei crediti sofferenti, mentre in Italia scontiamo ancora i ritardi del sistema economico. Il primo capitolo racconta i temi collegati al mercato del controllo nel Chapter 11: gli acquisti dei crediti nelle diverse classi creditorie, la nuova finanza concessa al debtor in possession, il controllo da covenant, la remunerazione degli amministratori con il debito, i derivati sul credito e il voto connesso. Il secondo capitolo si sofferma sull'interpretazione degli artt. 124 e 127 della legge fallimentare letti nell'ottica di un potenziale mercato del controllo nella crisi di impresa come nel caso del concordato con assunzione e si interroga infine sull'esenzione o meno da opa obbligatoria di tali operazioni alla luce dell'art. 106 TUF. / The thesis compares the world of Chapter 11 reorganizations with the new types of reorganizations introduced in Italy by the recent reform of bankruptcy law. In particular the thesis deals with the market for corporate control in the insolvency arena in both countries. In the States bankruptcy claims are traded on a regular basis whereas Italy still hasn't fully experienced transfers of control within the frame of a corporate reorganization. The first chapter focuses on all issues connected to US M&A in bankruptcy: acquisition of claims in the different classes, control rights in covenants, debtor-in-possession financing, pay for performance in bankruptcy, credit default swaps and empty voting. The second chapter focuses on the interpretation of articles 124 and 127 of the new Italian bankruptcy law which may lead to the creation of a market for corporate control within the frame of a composition with a third party buyer and discusses the potential applicability of mandatory bids pursuant to art. 106 TUF to such deals.

Universiẗat, Diss.--Linz, 2007.

Submitted by Guilherme Candido (gui0488@hotmail.com) on 2018-03-07T00:37:23Z No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-03-07T23:11:03Z (GMT) No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) / Made available in DSpace on 2018-03-08T13:03:44Z (GMT). No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) Previous issue date: 2018-02-07 / Extensa literatura existe acerca de apreçamento de derivativos de crédito, em especial Credit Default Swaps, porém pouco foi discutido sobre o caso peculiar brasileiro, com convenções de taxas de juros e legislação específicas. Este trabalho foca na implementação de um modelo de intensidade, em particular o modelo padrão da ISDA, adaptado à um contrato de CDS no Brasil sobre um emissor corporativo. Spreads de Credit Default Swaps negociados no mercado offshore, yields de bonds e yields de debêntures foram utilizados como insumos para obtenção das taxas implícitas de intensidade de default e backtesting do modelo. Os dados utilizados compreendem o período de 2015 a 2017, englobando momentos de estresse relacionados à crise política brasileira. Algumas aplicações são, então, apresentadas, entre elas hedging, basis trading e estruturação de Credit Linked Notes. / Extensive literature exists on the pricing of credit derivatives, particularly Credit Default Swaps, yet little has been discussed about the distinctive Brazilian case, with specific legislation and interest rate conventions. This work aims to implement an intensity model, in particular the standard ISDA model, adapted to a CDS contract in Brazil on a corporate issuer. Spreads of Credit Default Swaps traded in the offshore market, offshore bond yields and local bond yields were used as inputs for obtaining the implicit hazard rates and for back testing the model. The data used cover the period from 2015 to 2017, including relevant moments of stress related to the Brazilian political crisis. Some applications are then presented, including hedging, basis trading and Credit Linked Notes structuring.

Submitted by Guilherme Almeida (gribalmeida@yahoo.com.br) on 2010-06-08T17:36:26Z No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2010-06-16T18:54:46Z (GMT) No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) / Made available in DSpace on 2010-06-18T13:44:59Z (GMT). No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) Previous issue date: 2010-05-26 / In this paper, we use the information from the credit default swap market to measure the main components of the oil and gas companies spread. Using nearly 20 companies of this industry with different ratings and nearly 80 bonds, the result was that the majority of the oil and gas spread is due to the default risk. We also find that the spread component related to the non-default is strongly as sociated with some liquidity measures of bond markets, what suggest that liquidity has a very important role in the valuation of fixed income assets. On the other side, we do not find evidence that the non-default component of the spread is related to tax matters. / Neste trabalho, utilizamos informações do mercado de credit default swap para medir os principais componentes do spread das empresas do setor de óleo e gás. Utilizando cerca de 20 empresas da indústria de óleo e gás composta por companhias de diversos ratings e aproximadamente 80 bonds, os resultados mostraram que a maior parte do spread corporativo do setor decorre do risco de inadimplemento. Também encontramos que o componente do spread não relacionado ao default é fortemente associado a algumas medidas de liquidez do mercado de bonds, sugerindo que a liquidez tem um papel importante na avaliação de títulos de renda fixa. Por outro lado, não encontramos evidências da importância de fatores tributários na explicação do componente do spread não relacionado à inadimplência.

Radial basis function methods exhibit several very attractive properties such as a high order convergence of the approximated solution and flexibility to the domain geometry. However the method in its classical formulation becomes impractical for problems with relatively large numbers of degrees of freedom due to the ill-conditioning and dense structure of coefficient matrix. To overcome the latter issue we employ a localisation technique, namely a partition of unity method, while the former issue was previously addressed by several authors and was of less concern in this thesis. In this thesis we develop radial basis function partition of unity methods for partial differential equations arising in financial mathematics and glaciology. In the applications of financial mathematics we focus on pricing multi-asset equity and credit derivatives whose models involve several stochastic factors. We demonstrate that localised radial basis function methods are very effective and well-suited for financial applications thanks to the high order approximation properties that allow for the reduction of storage and computational requirements, which is crucial in multi-dimensional problems to cope with the curse of dimensionality. In the glaciology application we in the first place make use of the meshfree nature of the methods and their flexibility with respect to the irregular geometries of ice sheets and glaciers. Also, we exploit the fact that radial basis function methods are stated in strong form, which is advantageous for approximating velocity fields of non-Newtonian viscous liquids such as ice, since it allows to avoid a full coefficient matrix reassembly within the nonlinear iteration. In addition to the applied problems we develop a least squares radial basis function partition of unity method that is robust with respect to the node layout. The method allows for scaling to problem sizes of a few hundred thousand nodes without encountering the issue of large condition numbers of the coefficient matrix. This property is enabled by the possibility to control the coefficient matrix condition number by the rate of oversampling and the mode of refinement.

Cette thèse étudie le risque de crédit souverain et son impact sur les banques et les entreprises. Le premier essai montre que le risque de crédit bancaire est lié au risque de crédit souverain via l’exposition commune au risque systémique au lieu du sauvetage implicite ou de l’exposition excessive aux obligations émises par le pays d’origine. Dans le deuxième essai, je construis un modèle de structure du capital qui prédit une corrélation négative entre le niveau d’endettement des grands entreprises et le risque de crédit souverain à cause du sauvetage implicite. Cette prédiction est confirmée en suite par des preuves empiriques des entreprises dans la zone euro. Le troisième essai donne un modèle joint de CDS et d’obligation pour identifier les composantes de défaut et de liquidité dans les spreads de CDS et les rendements obligataires. Je trouve une composante de liquidité importante dans les spreads de CDS des pays périphériques de la zone euros et conclus que le fait de ne pas prendre en compte de l’illiquidité des CDS conduit à surestimer la composante de défaut dans le rendement obligataire. / This thesis studies sovereign credit risk and its impact on banks and industrial firms. The first essay shows that bank credit risk is linked to sovereign credit risk through common exposure to systemic risk instead of implicit bailout or excessive holding of home country bonds. In the second essay, I build a trade-off model of capital structure which predicts negative correlation between optimal leverage of big firms and sovereign credit risk due to implicit bailout. The model prediction is confirmed by empirical evidence from firms in the euro area. The third essay provides a joint pricing model of CDS and bond to disentangle the default and liquidity component in CDS spread and bond yield spread. I find a remarkable liquidity component in the CDS spreads of peripheral euro area countries and conclude that ignoring CDS illiquidity leads to overestimation of default component in bond yield.

In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. The normal way of doing this is to use Credit Default Swap (CDS) spreads from the CDS market. In some cases, there is no associated liquid CDS market, and in those cases, it is market practice to use proxy CDS spreads. In this thesis, transformer models are used to generate proxy CDS spreads with a certain region, rating, and tenor from stand-alone CDS spread data. Two different models are created to do this. The first simpler model is an encoder-based model that uses stand-alone CDS data from a single company to generate one proxy spread per inference. The second, more advanced model is an encoder-decoder model that uses stand-alone CDS data from three companies to generate one proxy spread per inference. The performance of the models is compared, and it is shown that the more advanced model outperforms the simpler model. It should, be noted that the simpler model is faster to train. Both models could be used for data validation. To create the transformer models, it was necessary to implement custom embeddings that embedd specific corporate information and temporal information regarding the CDS spreads. The importance of the different embeddings was also investigated, and it is clear that certain embeddings are more important than others. / I efterdyningarna av kreditkrisen 2007 så ökade betydelsen av CVA vid prissättning av OTC derivat. En viktig del av prissättningen av OTC derivat är att avgöra PDs för den aktuella motparten. Om det finns en likvid CDS marknad för motparten så kan man använda sig av CDSs spreadar dirket från marknaden för att avgöra PDs. I många fall så saknas en sådan likvid CDS marknad. Då är det praksis att istället använda sig av proxy CDS spreadar. I den här uppsatsen så presenteras två transformer modeller för att generera proxy CDS spreadar för bestämda kombinationer av region, rating och löptid från enskilda företags CDS spreadar. Den först enklare modellen är en encoder baserad modell som använder sig av data från ett enskilt företag för att generera en proxy spread per inferens. Den andra modellen är en mer avancerad encoder-decoder modell. Den mer avancerade modellen använder sig av data från tre företag för att generera en proxy spread. I uppsatsen jämförs dessa modeller och man kan konstatera att den mer avancereade modellen genererar mer exakta CDS spreadar. Den enklare modellen är dock betydligt enklare att träna och båda modellerna kan användas i syfte att validera det riktiga proxy datat. För att kunna skapa modellerna så var det en nödvändighet att implementera specialbyggda embeddings som kodad in temporal information och företagsspecifik information om CDS spreadarna. Dessutom så testades vikten av enskilda embeddings och det var uppenbart att vissa embeddings var viktigare än andra.

Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. To calculate the CVA, one needs the risk-neutral Probability of Default (PD) for the counterparty, which is the centre in this type ofderivative.The traditional method for calculating risk-neutral probabilities of default involves constructingcredit curves, calibrated using the credit derivative Credit Default Swap (CDS). However,liquidity issues in CDS trading present a major challenge, as the majority of counterpartieslack liquid CDS spreads. This poses the difficult question of how to model risk-neutral PDwithout liquid CDS spreads.The current method for generating proxy credit curves, introduced by the Japanese BankNomura in 2013, involves a cross-sectional linear regression model. Although this model issufficient in most cases, it often generates credit curves unsuitable for larger counterpartiesin more volatile times. In this thesis, we introduce two Long Short-Term Memory (LSTM)models trained on similar entities, which use CDS spreads as input. Our introduced modelsshow some improvement in generating proxy credit curves compared to the Nomura model,especially during times of higher volatility. While the result were more in line with the tradedCDS-market, there remains room for improvement in the model structure by using a moreextensive dataset. / Ända sedan 2008 års finanskris har styrande finansiella organ ökat kraven för mätning ochprissättning av konkursrisk inom derivat. Ett område av särskilt högt intresse för detta arbete ärmotpartskreditrisker (CCR). I detta är Kreditvärdesjustering (CVA) den huvudsakliga metodenför prissättning av konkursrisk inom finansiella derivat och för att kunna få fram ett värde avCVA behövs en risk-neutral konkurssannolikhet (PD).En av de traditionella metoderna för att räkna ut denna sannolikhet är genom att skapakreditkurvor som sedan är kalibrerade utifrån CDS:ar. Detta handlade derivat (CDS) finns baraför ett mindre antal företag över hela världen vilket gör att en majoritet av marknaden saknaren tillräckligt handlad CDS. Lösning på detta är att ta fram proxy CDS för ett motsvarande bolag.Idag görs detta framförallt med en tvärsnitts-regressionsmodell som introducerades 2013 avden japanska banken Nomura. Den skapar i många fall rimliga kurvor men ett problem den harär att den oftare gör proxyn lägre än vad den borde vara.I detta arbete introducerar vi istället en LSTM modell som tränas på liknande företag. Resultatetav detta är att vi får en bättre modell i många fall för att skapa en proxy kurva men som delvishar liknande brister som Nomura modellen. Men med fortsatta undersökningar inom områdetsamt med mer data kan detta skapa en mer exakt och säkrare proxy modell.

Der erste Artikel analysiert den Einfluss von CDS Handel auf Kreditsyndizierung. Theoretisch können CDS sowohl positive wie auch negative Effekte haben. Auf der einen Seite sind CDS flexiblere Risikomanagement-Instrumente als Kredit Verkäufe. Auf der andern Seite kann ein Kreditgeber nicht glaubhaft versichern einen Kreditnehmer zu überwachen, wenn Kreditrisiko anonym mit CDS abgelegt werden kann (moral hazard). Wir finden, dass Kreditgeber signifikant höhere Anteile an Krediten halten, wenn CDS auf das Fremdkapital des Kreditnehmers gehandelt werden. Wir finden keine Evidenz für moral hazard. Der zweite Artikel untersucht den Einfluss von Manager Optimismus auf die Verwendung von performance-abhängigen Vertragsklauseln in Kreditverträgen (PSD). Gegeben ihrer verzerrten Erwartungen über die zukünftige Performance der Firma könnten optimistische Manager PSD als günstige Finanzierungsmöglichkeit ansehen. Wir finden, dass optimistische Manager mehr PSD nutzen und schlechter nach der Ausgabe von PSD performen als rationale Manager. Der dritte Artikel untersucht, ob PSD genutzt werden kann um hold-up Probleme in langfristigen Kreditbeziehungen zu verringern. Wir finden, dass PSD mehr in Hausbankbeziehungen genutzt wird – insbesondere wenn der Kreditnehmer wenig alternative Finanzierungsmöglichkeiten besitzt. Des Weiteren finden wir einen Substitutionseffekt zwischen der Stärkte von Finanz-Covenants und der Nutzung von PSD. Diese Resultate stützen die Hypothese, dass PSD genutzt wird um hold-up Probleme zu mindern. / The first paper analyzes the impact of credit default swap (CDS) trading on loan syndication. Theoretically, CDS can have both positive and negative effects. One the one hand, CDS are a flexible risk management tool and can therefore replace loan sales (risk management). On the other hand, lenders can no longer credibly commit to monitor a borrower if laying off credit risk anonymously via CDS is possible making loan sales costly (moral hazard). We find that lenders retain significantly higher shares of loans once CDS are actively traded on a borrower’s debt. We find no evidence for moral hazard. The second paper examines the impact of managerial optimism on the inclusion of performance-pricing provisions in debt contracts (PSD). Given their upwardly biased expectations about the firm''s future cash flow, optimistic managers may view PSD as a relatively cheap form of financing. We find that optimistic managers are more likely to issue PSD. Consistent with their biased expectations, firms with optimistic managers perform worse than firms with rational managers after issuing PSD. The third paper examines if PSD is used to reduce hold- up problems in long-term lending relationships. We find that the use of PSD is more common in the presence of a long-term lending relationship and if the borrower has fewer financing alternatives available. Further, we find a substitution effect between the use of PSD and the tightness of financial covenants. This result also supports our hypothesis that hold-up concerns motivate the use of PSD.

固定期信用違約交換(Constant Maturity Credit Default Swap)是移轉固定年期信用違約交換信用價差(CDS Spread)變動風險的信用衍生性金融商品，目前僅Brigo(2005)以及Krekel and Wenzel(2006)探討固定期信用違約交換的評價，也各自推導出近似封閉解，但對於相關參數之估計以及避險參數並沒有涉及，因此本研究將利用歷史資料估計Krekel and Wenzel(2006)評價公式中的參數，讓評價模型更加完備，並求算避險參數，提供發行商與投資人避險資訊。 本文利用目前信用違約交換(Credit Default Swap)市場中各到期日流動性較高的美國Eastman Kodak Company公司債作為標的物，發行一檔固定期信用違約交換，並利用現有市場資訊估計模型中的參數。在避險實證上，本文利用標的物債券信用價差曲線的變動，對固定期信用違約交換契約價值以及五年期及十年期信用違約交換契約價值的影響，建構了一個避險投資組合，使得避險後總投資組合價值波動減少。 / Constant Maturity Credit Default Swap (CMCDS) is one of the credit derivatives, whose function is to circumvent the fluctuating risk of CDS Spread. Brigo (2005) and Krekel and Wenzel (2006) focused on not only probing into the evaluation of the CMCDS but also deriving the approximated closed-form solution in their recent research separately. However, they seldom concern the hedging approach and the estimated parameters of pricing model, which could be major variable in the measurement. This paper is aiming to calculate the history data of hazard rate to estimate the parameters by using the formula from Krekel and Wenzel (2006) and compute the hedging approach of the pricing model to make it become more complete and provide the hedging information for both financial institutions and investors. By using the corporation bond of Eastman Kodak Company which with higher liquidity and various maturity as the main reference asset to issue a CMCDS and utilizing the current available market data to estimate the parameters of the pricing model to evaluate the value of the product, I find that the various credit spread curve of reference bond will influence the value of CDS and CMCDS and try to structure a hedging portfolio to eliminate the fluctuation of the product.