信用衍生性商品（credit derivatives）是用於移轉信用風險之契約，契約是由保護買方（protection buyer）與保護賣方（protection seller）所簽定，由保護買方支付保險金（可為躉繳或分期支付）以獲得信用的保護，而保護賣方則需在律定之信用事件發生時支付償金予保護買方做為補償。近年來頻傳金融事件，巴塞爾銀行監理委員會（Basel Committee on Banking Supervision）也不得不制定新版的巴塞爾協定以要求銀行強化信用風險控制與分散，而信用衍生性商品亦有助於信用風險的移轉與抵減的功能。 本篇針對利用conditional Markov chain來建構信用違約交換與第n次信用違約交換之評價模型，並利用模擬的方式來求算出各商品之利差。藉由現實中的資料取得參數的估計值放入模型內則可以模擬出各種不同的狀況，進而做出避險的策略。 此外，本篇亦探討如何利用Gibbs sampler來改良conditional Markov chain的模擬方法，以模擬當信用衍生性商品中的資產組合有傳染效果的情況。

本文主要是討論市場上有哪些因素會影響信用違約交換的價格(價差)，並且透過2005年初發生的通用汽車與福特汽車信用評等調降事件，研究信用評等的改變對於股票、債券與信用違約交換市場的影響。 一開始先介紹信用衍生性商品市場的發展。第二部份則介紹評價信用違約交換的模型，並由模型中找出可能影響信用違約交換價格的因素，並且提出公司本身發佈的消息也可能會影響價差的改變，甚至更為明顯，但沒有任何一個評價模型包含這樣一個因素。而透過對通用汽車與福特汽車事件的研究，我們發現兩家公司的股票、公司債或是信用違約交換價格(價差)都在評等調降的消息發布前已經事先反映公司經營不善的狀況，或是所面臨的困境，而在評等調降結果真正公佈的時點時，市場的反應反而沒有預期的明顯。對於公司內部發佈的消息，或是預期之外的事件，價格或價差則會大幅波動。

本論文針對市面上發行的兩檔結構型商品：『十年期美元計價雪球型利率連動票券』與多標的信用連動債券-『啄利信用連動債券』進行分析。分別利用LIBOR利率市場模型（LIBOR Market Model）來評價利率連動票券，以及Kijima與Muromachi（2000）評價一籃子信用違約交換的方法來評價信用連動債券。計算出合理價值後，再因應不同的經濟環境作敏感度分析。

The main task of the diploma thesis is an analysis of financial performance and position of Morgan Stanley during several successive periods before and during the subprime financial crisis. Through the analysis of trends in key items, it also demonstrates strong cyclicality of financial performance and position of the investment bank. The first chapter deals with history and key divisions of the Company. The following chapter generally discusses selected phenomena, which, as per the author's view, significantly influenced industry-wide record-breaking performance during the period before the subprime crisis, and which substantially determined Morgan Stanley's risk profile and performance's corrections later during the Crisis. The core part of the Thesis is conceived as an analysis of financial performance and position of Morgan Stanley during the selected periods. The analysis of pre-crisis period until 2006 in the third chapter demonstrates growth of activities lying behind the unprecedented profitability of the Institution. The following fourth chapter analyzes deteriorating financial performance during the subprime crisis and indicates crucial strategy changes, implemented by the Company at the end of 2008. Effects of the strategic changes and challenges of the future development of the Institution are discussed in the last chapter. Additionally, the Thesis includes annexes, which further deal with selected topics and their general relations to investments banks and two annexes which compare Morgan Stanley with its nearest peers during specific periods.

The main aim of this diploma thesis is to analyze benefits of the establishment of the European Rating Agency. The partial aim is to determine the influence of the credit ratings on economics situation in selected European countries and to analyze problems of current credit rating industry. A slight impact of the credit ratings on the observed countries has been found by way of the analysis of evolution of the yields of ten-year government bonds and the prices of CDS contracts on these bonds. Non-perfect competition, weak transparency of the rating process and conflict of interest are considered as the most important problems of the credit rating agencies. By way of the analysis of the ability of the European Rating Agency to remove or at least to partially eliminate discussed problems has been found that the European Rating Agency would not be able to remove all problems of the credit rating industry. The uncertainty about the independence of the European Rating Agency is the biggest weakness of this agency. For this reason, we can't expect that the European Rating Agency would be able to make the credit rating process more efficient and improve the situation in the credit rating industry.

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

Cette thèse se propose d’analyser la structure et la dynamique de dépendance de crédit des institutions financières aux Etats-Unis et en Europe durant la crise financière de 2008. Un premier chapitre présente une revue de la littérature des modèles multi-dimensionnels de crédit et des modèles économétriques de contagion financière. Ce chapitre a pour vocation de guider notre réflexion à la fois conceptuelle et méthodologique sur les hypothèses analytiques de la contagion ainsi que ses méthodes de mesure. Nous montrons que si la contagion est devenue une hypothèse centrale des modèles multivariés de risque de crédit, il n’en reste néanmoins que sa définition et sa quantification ne font pas l’objet de consensus dans la littérature. Un deuxième chapitre propose une analyse empirique des co-movements des rendements de CDS de banques et sociétés d’assurance américaines et européennes. La dissociation de leur structure de dépendance entre association linéaire et dépendances extrêmes nous permet de mettre en évidence des phénomènes d'interconnexions entre institutions financières apparues au courant de la crise et véhiculant ainsi sous l'effet de la contagion, un risque systémique croissant. Un dernier chapitre présente une interprétation économique des résultats obtenus dans notre deuxième chapitre. En particulier, nous cherchons à quantifier l'influence jouée par la contagion et les facteurs de risques communs sur la dynamique de dépendance extrême des institutions financières. Nous démontrons ainsi le rôle du risque de contrepartie, du risque de liquidité et du risque de défaut des institutions financières dans la transmission de la contagion sur le marché de CDS. / This thesis examines the credit dependence structure and dynamics of financial institutions in the U.S. and Europe amid the recent financial crisis. A first chapter presents a survey of multi-name models of credit risk and econometric models of financial contagion with the purpose of guiding both the analytical and conceptual assumptions and econometric modelling techniques we use in the subsequent chapters. We show that if contagion has become a central cornerstone of multi-name models of credit risk, there is nonetheless a lack of consensus on the way to both define and measure it. A second chapter presents the results of an empirical analysis of U.S. and European banks and insurance companies’ CDS return extreme co-movements. By uncovering financial institutions' linear as well as extremal dependence structures, we provide evidence that their credit dependence has strengthened during the crisis, thereby effectively conveying, in the face of extreme tail events, potential systemic risks. A third and last chapter provides an economic rationale of the results presented in our second chapter. In particular, we examine the impact of common risk factors and contagion on the dynamics of financial institutions' extremal credit dependence. We demonstrate the role of counterparty risk and liquidity risk, as well the repricing by market participants since July 2007 of their jump-to-default premia as additional channels driving financial institutions' increased dependence and amplifying contagion on the CDS market.

The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...

Depuis la succession des récentes crises financières, les « dérivés de crédit » connaissent une notoriété médiatique très intense qui dépasse la seule sphère des spécialistes. Créés au début des années 1990, ils sont des instruments financiers de transfert du risque de crédit. Ils autorisent tant la protection que la spéculation. Ils sont juridiquement documentés par des conventions-Cadres proposées par l’International Swaps and Derivatives Association (ISDA), et dans une très petite mesure, par la Fédération Bancaire Française en France. Ils regroupent cinq grandes catégories de contrat : « credit default swap » ou « contrat d’échange sur le risque de crédit », « credit linked notes » ou « dérivé de crédit titrisé », « credit spread option » ou « option sur écart de taux », « credit spread forward » ou « dérivé sur écart de taux » et « total rate of return swap » ou « dérivé de transfert total de rendement ». La nature et la diversité des « dérivés de crédit » posent depuis toujours de sérieuses difficultés de qualification dans de nombreux pays. En droit français, si une qualification commune semble émerger, celle d’instrument financier, elle est hélas insuffisante à apporter un régime juridique complet. Un travail complémentaire de qualification est indispensable pour chaque contrat membre des « dérivés de crédit ». / Nowadays, since financial crisis, « credit derivatives » are famous. Born in 1990’s, they transfer the credit risk. They are speculation’s instrument or margin’s instrument. International Swaps and Derivatives Association (ISDA), and the Fédération Bancaire Française (in France), point to pattern juridical agreement. Credit derivatives include five big sort of agreement : « credit default swap » (« contrat d’échange sur le risque de crédit »), « credit linked notes » (« dérivé de crédit titrisé »), « credit spread option » (« option sur écart de taux »), « credit spread forward » (« dérivé sur écart de taux ») and « total rate of return swap » (« dérivé de transfert total de rendement »). Their variety and essence ask difficult question of juridical appreciation in many countries. In French law, credit derivatives are « instrument financier ». But this juridical appreciation is incomplete. Every sort of agreement must being individually studies.