依據之前的文獻研究，市場上主要是在LHP (Large Homogeneous Portfolio) 假設下利用單因子常態關聯結構模式(One factor double Gaussian copula model) 評價擔保債權憑證 (Collateralized debt obligation, CDO)。但這會造成擔保債權憑證的評價與市場報價的差距過大，且會造成base correlation偏斜的情況。Kalemanova et al. (2007) 提出用Normal inverse Gaussian (NIG) 取代常態分配評價擔保債權憑證，此模型不但計算快速而且可以準確估計權益分券 (equity tranche) 的價格，但是它也過於高估了其它的分券的價格。 在本文中使用多變量封閉常態分配(Closed skew normal, 簡稱CSN) 分配取代NIG分配作擔保債權憑證分券的評價，CSN分配具有常態分配的性質，其線性組合仍具有封閉性的特質，且具有較多的參數以控制分配的偏態與峰態。但是與單因子常態關聯結構模式相同，多變量封閉常態分配的單因子關聯結構模式仍然無法估計的很準確，僅有在最高等級分券(senior tranche)的評價上有明顯的改進。 因此在本文中我們使用NIG與CSN複合分配之單因子關聯結構模式評價擔保債權憑證分券，在實例分析時得到極佳的評價結果，並且比單因子常態關聯結構模型具有更多的的參數以使模型更符合實際的需求。 / This article extends the Large Homogeneous Portfolio (LHP) and one factor double Gaussian copula approach for pricing CDOs. In the literature, the one factor double Gaussian copula model under LHP assumption fails to fit the prices of CDO tranches, moreover, it leads to the implied base correlation skew. Some researchers proposed using one factor double NIG copula model to price CDO tranches. It not only economizes on time but also fits the equity tranches exactly, but NIG models do not price other tranches well simultaneously. On the other hand, we substitute the NIG distribution with the Closed Skew normal (CSN) distribution. This family also has properties similar to the normal distribution, which is closure under convolution, and has extra parameters to control the shape. By using this model we get a better fit in the senior tranches, but it seriously overprices subordinate tranches. Thus we consider a mixture distribution of NIG and CSN distributions. The employments of this mixture distribution are comparatively well, and furthermore it brings more flexibility to the dependence structure.

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)...

Bien que constituant un élément essentiel à tout régime de responsabilité, la notion imputation n’a engendré qu’un nombre très réduit d’études en matière de responsabilité des personnes publiques. Cette recherche s’attachera à démontrer tant l’importance du rôle joué par l’imputation que la pertinence d’une approche visant à appréhender la responsabilité par le prisme de l’opération d’imputation. Loin de se résumer à un simple aspect technique tenant à la détermination du patrimoine responsable, la problématique de l’imputation nous semble à même de permettre l’émergence d’une réflexion plus générale sur la responsabilité elle-même. En effet, parce qu’elle permet de désigner la personne débitrice de la dette de responsabilité, l’opération d’imputation correspond toujours à une prise de position sur la fonction de la responsabilité. Que celle-ci désigne l’auteur du fait générateur ou toute autre personne n’est jamais anodin. Permettant de répondre à la question de savoir pourquoi une personne est responsable, l’étude de l’imputation permet également de découvrir le fondement de la responsabilité. Plus encore, il nous sera possible de constater que le choix d’une modalité d’imputation n’est jamais neutre et induit toujours des conséquences perceptibles sur la physionomie des régimes juridiques des diverses hypothèses de responsabilité. Par le prisme de l’imputation, il nous semble donc possible de proposer une réflexion permettant de saisir la fonction de la responsabilité, d’expliquer l’existence d’une grande diversité de régimes juridiques et, surtout, de proposer une classification des hypothèses de responsabilité prenant appui sur la logique interne qui les anime. / Although every attribution system constitutes a key element regarding the matter of liability in the public sector, the concept of imputation has only been the object of a few studies. Our research shows both the importance of the role played by the notion of imputation and the relevance of an approach which would examine the concept of liability through the imputation process. Far from constituting a simple technical tool employed to ascertain the source of liability, the notion of imputation seems to promote the emergence of a wider inquiry regarding liability itself. Indeed, because this notion serves to indicate the debtor of liability, the process of imputation always indicates a statement of views on the function of liability. The utilization of this device is never inconsequential whether it is used to designate the author of the causal event or any other person. Studying the concept of imputation does both answer the question as to why someone can be held accountable and uncover the founding principles of liability. Furthermore, it will come to our understanding that the selection of a particular method of indictment is never neutral and always involves consequences in regards to the physiognomy of the legal status of the various hypotheses of liability. By analyzing the function of liability through the lens of indictment we can grasp its meaning and thus explain the reason behind the wide diversity of legal regimes and above all, offer a classification of the various hypotheses of liability which would rely on their own internal logic.