Les questions de croissance durable mêlées aux enjeux d’accès aux marchés financiers internationaux des pays riches en ressources naturelles ont souvent été occultées dans la littérature économique. Or, ces enjeux s’avèrent de plus en plus présents dans le débat public face à la baisse récente des prix du pétrole. Cette thèse tente de mieux comprendre comment des économies dépendantes de leur production de ressources épuisables gèrent leur dette externe en vue d’une croissance soutenable dans le long-terme et comment les marchés financiers perçoivent le risque souverain lors de l’émission de leur dette. Pour y répondre, elle recourt à de la modélisation dynamique, à travers un cadre théorique, ainsi qu’à des études économétriques. Elle contribue à la littérature en intégrant de nouvelles dimensions, comme l’ouverture financière dans un modèle de croissance avec des ressources épuisables, modèles qui jusque-là étaient étudiés sous la forme d'économies fermées. Par ses analyses empiriques, elle prend en compte la notion de volume à travers l’étude des réserves de pétrole et de gaz. Les principaux résultats sont que l'ouverture financière ne permet pas d’avoir une croissance soutenable à taux d’intérêt constant, mais la consommation peut croître un temps lorsque le taux d’intérêt est endogène à la dette du pays. Les réserves de pétrole et de gaz ont un effet significatif sur les spreads souverains. La thèse n'élude pas pour autant la question des prix, puisqu'elle montre que les rendements et la volatilité des prix du pétrole sont des déterminants significatifs des CDS du Venezuela, alors que l'effet des prix se répercute à travers le canal du taux de change pour la Russie. / The relationship between sustainable growth and international financial market access in natural resource rich countries has been overlooked in the economic literature. However, those issues have become more present in the public debate with the recent drop in oil prices. This thesis tries to better understand how natural resource dependent economies can deal with their external debt and how financial markets view this sovereign risk. To address those issues, this dissertation refers to dynamic optimization, as well as econometric studies. It contributes to the natural resource literature by including new dimensions, such as financial openness in a growth model with exhaustible resources, contrary to most growth models which are studied as closed economies. Concerning its empirical applications, this thesis takes into account natural resource stocks, through oil and gas reserves, whereas most of the empirical literature focuses on the natural resource price dimension. This price issue is also part of the analysis, especially with oil price returns and oil price volatility. The main results are that long-term sustainability is not feasible with a constant interest rate, but the consumption growth rate can be positive in the case of a debt elastic interest rate, before declining in the long-term. It is also shown that oil and gas reserves have a significant impact on sovereign spreads. Moreover, oil price returns are significant determinants of Venezuela's Credit Default Swaps (CDS), contrary to the case of Russia, where oil prices seem to impact CDS spreads through the exchange rate canal.

金融機構在承做住宅抵押貸款時，面臨兩種風險，分別是提前清償及違約。這兩種借款人風險行為對金融機構的資產管理產生相當大的影響，尤其在不動產證券化的推動上，都是評價證券價格的關鍵因子，因此，討論借款者提前還款與違約行為，是近年不動產證券化領域中重大議題。 借款人決定提前清償及違約與否，除了與借款人特性之外尚有房屋特性與財務選擇上的特性，且有許多影響因子並非維持在貸款起始的狀態，而是會在貸款存續期間內隨著時間遷移有所改變，因此，本文在進一步研究影響借款人行為時，處理時間相依變數，利用動態調整過後的變數來分析借款人提前清償及違約風險行為，觀察借款人特徵、房屋型態及貸款條件等變數與借款人風險行為的關係並進行證券價格MBS的評價。 實證結果顯示，借款人特徵部分並不會影響提前清償但會影響違約風險。且借款者在財務選擇上面，會有落後反映的現象，亦即隨著時間的經過，借款者才會選擇有利於自己的財務決策，且雖然本國貸款為浮動利率貸款，但是影響借款者最深的仍然是利率相關因素，且觀察到借款者對於財務上面的好處比壞處有更敏感的現象，顯示出借款者比較趨近於風險愛好者。 在MBS評價上發現，影響價格的最重要因素在於放款的品質，因此，要真正落實抵押住宅證券化的實行，關鍵在於金融機構必須篩選優良放款進行證券化，才能吸引投資人，增加住宅抵押貸款證券化發行的可行性。

房屋抵押貸款的評價，因為需考慮到貸款人的提前清償及違約風險造成現金流量之不確定性，決定房屋抵押貸款的價格比決定一般違約證券的價格更具困難度。因此，如何合理評估抵押貸款證券的價值實為一值得深入探討之課題，本文即針對此議題進行研究。傳統文獻在進行房屋抵押貸款的評價方法，主要可區分為兩種：結構模型(structural-form approach)及縮減式模型(reduced-form approach)。目前的文獻上，其評價的封閉解只存在於結構式模型，但在此模型下的評價，存在著違約與提前清償條件的設定問題，這將對評價的準確性造成很大的影響，在實務的應用上有一定的限制。再者，結構式模型在處理多變數且變數間具相關性的情況，存在一定的複雜性與困難度，而縮減式模型在此情況的處理上是較容易的。本研究將從縮減式模型的角度，引入 Jarrow (2001)的概念，在包含多重變數並考慮變數間相關係數之縮減模型下，進行房屋抵押貸款封閉解的推導。透過此方法可協助資產管理者從事投資組合配置最適化與避險策略的分析，亦期望能提供實務界一個更具可行性與效率性之房屋抵押貸款評價模型。 / Valuing mortgage-related securities is more complicated than valuing regular defaultable claims due to the borrower’s prepayment behavior as well as the possibility of default. In general, the methods that are applied to investigate mortgage value and termination risk can be divided into two categories: a structural-form approach and a reduced-form approach. Some researchers use a structural-form model to obtain the closed-form formulae for the mortgage value. With this method, however, it is difficult to identify the critical region of early exercise and deal with the situation including multivariable and their correlations correlation among variables. As an alternative, the reduced-form model developed in this study is able to value the mortgage without setting boundary conditions, and can thereby accurately handle the multi-dimensional space of correlated state variables. This study extends Jarrow’s (2001) model to examine mortgage valuations. The purpose of this article is to derive a closed-form solution of the mortgage valuation equation under a general reduced-form model that embeds relevant economic variables. This new approach enables portfolio managers to undertake sophisticated portfolio optimization and hedging analyses, and makes it possible to more accurately and efficiently value the complicated mortgage.

本研究以還款績效的觀點，分析小型信用貸款中申貸者的特性，讓銀行放款的依據除了判斷正常戶與否之外，進一步以還款績效與風險區分出不同群組的申貸者，以期作不同的放款策略；同時將個人基本變數 、該銀行內徵信資料以及聯合徵信資料變數 作統計性分類，篩選出代表性因素，研究這些因素如何影響各還款績效群組。 研究發現，申貸者可以區分為「還款能力平穩—逾期風險低」、「還款能力優良—逾期風險中」、「還款能力低下—逾期風險高」這三群。而從影響各群組的因素中可以瞭解，「還款能力平穩—逾期風險低」群組，多為各方面信用持平良好的申貸者；「還款能力優良—逾期風險中」群組，多為具有理財管理特質、財務狀況良好的申貸者；「還款能力低下—逾期風險高」群組，多為具有債務因素、信用表現不佳、申貸動作頻繁的申貸者。 在放款利潤與風險方面，對三個群組之申貸戶分別採用不同方法放款，可以作到讓銀行對較少申貸戶放款並且可提升利潤並且改善損失。進行多元羅吉斯迴歸模型分析可以發掘出具影響力的因素，針對這些因素來進行分群後並採差異化放款方法，也可以作到對較少申貸戶放款並且能提升利潤以及降低損失的效果。由於因素代表具解釋性變數的歸納，配合這些具預測機能的因素及變數分群訂定差異化授信政策，有助於防範風險於未然。 / This research analyses the characteristics of small-scale credit loan applicants on the persepective of repay performances，allowing the banks not only to discriminate between good and bad applicants but also to establish different lending tatics for applicants of different repay performance groups。We also analyse the personal characteristics and joint credit informantion of these applicants to sieve out the representative factors，and study how these factors affect the repay performance groups。 Our research discovers that the applicants can be discriminanted into three groups：「low but steady repay ability—low overdue loss」、「good repay ability— acceptable overdue loss」、「very low repay ability—high overdue loss」。We can learn from those factors，that most applicants grouped as 「low but steady repay ability— low overdue loss」also have good credit qualities in other aspect；applicants grouped as 「good repay ability—acceptable overdue loss」 have finance management concept and good financial condition；applicants grouped as 「very low repay ability—high overdue loss」have debt burdens and bad credit qualities。 As for the revenues and riks，we can improve the profit and loss with fewer applicants by taking differenct lending policies to those three groups。By using multinomial logistic regression，we can discover those factors who has significant effects and use these factors to cluster applicants into groups and to adopt different lending policies for these groups。Because those factors represent the induction of the variables which can explain the applicants’ behaviors，we can somehow prevent the risks by establishing different policies with the coordination of these factors and clusters。

In this work we are introducing a risk neutral valuation formula for counterparty default risk adjustments in an unilateral and in a bilateral case. In the unilateral case the adjustment is represented by a Credit Valuation Adjust- ment(CVA) and in the bilateral case the adjustment is quantified by a Bilateral Risk Adjustment(BVA). We are incorporating these adjustments into the values of zero coupon bonds, coupon bearing bonds and interest rate swaps. For such an incorporation, risk neutral default probabilities extracted from the market quotes of Credit Default Swaps are needed. A Bootstrap method is used to derive them and a reduced form approach is used to model the default times. In the practical part, we are calculating Greek and Czech risk neutral default probabilities during the years 2008-2010. We are calculating CVA for 18 quoted Greek government bonds and we are comparing the adjusted prices with the market quoted prices of these bonds. We study the impact of a risk free interest rate curve choice on such a valuation. In the last sections, we construct an interest rate swap between the Czech and the Greece. We compute and study CVA and BVA for this interest rate swap.

Gegenstand der vorliegenden Dissertation sind stochastische Kontrollprobleme, denen sich Agenten im Zusammenhang mit Entscheidungen auf Finanzmärkten gegenübersehen. Der erste Teil der Arbeit behandelt die Maximierung des erwarteten Nutzens des Endvermögens eines Finanzmarktinvestors. Für den Investor ist eine Beschreibung der optimalen Handelsstrategie, die zur numerischen Approximation geeignet ist sowie eine Stabilitätsanalyse der optimalen Handelsstrategie bzgl. kleinerer Fehlspezifikationen in Nutzenfunktion und Anfangsvermögen, von höchstem Interesse. In stetigen Marktmodellen beweisen wir Stabilitätsresultate für die optimale Handeslsstrategie in geeigneten Topologien. Für hinreichend differenzierbare Nutzenfunktionen und zeitstetige Marktmodelle erhalten wir eine Beschreibung der optimalen Handelsstrategie durch die Lösung eines Systems von stochastischen Vorwärts-Rückwärts-Differentialgleichungen (FBSDEs). Der zweite Teil der Arbeit beschäftigt sich mit optimalen Stopproblemen für einen Agenten, dessen Ertragsprozess von einem Ausfallsereignis abhängt. Unser Hauptinteresse gilt der Beschreibung der Lösungen vor und nach dem Ausfallsereignis und damit dem besseren Verständnis des Verhaltens des Agenten bei Auftreten eines Ausfallsereignisses. Wir zeigen wie sich das optimale Stopproblem in zwei einzelne Teilprobleme zerlegen lässt: eines, für das der zugrunde liegende Informationsfluss das Ausfallereignis nicht beinhaltet, und eines, in welchem der Informationsfluss das Ausfallereignis berücksichtigt. Aufbauend auf der Zerlegung des Stopproblems und der Verbindung zwischen der Optimalen Stoptheorie und der Theorie von reflektierenden stochastischen Rückwärts-Differentialgleichungen (RBSDEs), leiten wir einen entsprechenden Zerlegungsansatz her, um RBSDEs mit genau einem Sprung zu lösen. Wir beweisen neue Existenz- und Eindeutigkeitsresultate von RBSDEs mit quadratischem Wachstum. / This thesis studies stochastic control problems faced by agents in financial markets when making decisions. The first part focuses on the maximization of expected utility from terminal wealth for an investor trading in a financial market. Of utmost concern to the investor is a description of optimal trading strategy that is amenable to numerical approximation, and the stability analysis of the optimal trading strategy w.r.t. "small" misspecification in his utility function and initial capital. In the setting of a continuous market model, we prove stability results for the optimal wealth process in the Emery topology and the uniform topology on semimartingales, and stability results for the optimal trading strategy in suitable topologies. For sufficiently differentiable utility functions, we obtain a description of the optimal trading strategy in terms of the solution of a system of forward-backward stochastic differential equations (FBSDEs). The second part of the thesis deals with the optimal stopping problem for an agent with a reward process exposed to a default event. Our main concern is to give a description of the solutions before and after the default event and thereby better understand the behavior of the agent in the presence of default. We show how the stopping problem can be decomposed into two individual stopping problems: one with information flow for which the default event is not visible, and another one with information flow which captures the default event. We build on the decomposition of the optimal stopping problem, and the link between the theories of optimal stopping and reflected backward stochastic differential equations (RBSDEs) to derive a corresponding decomposition approach to solve RBSDEs with a single jump. This decomposition allows us to establish existence and uniqueness results for RBSDEs with drivers of quadratic growth.

本研究探討國內債券市場如何決定債券殖利率之風險貼水及交易成本貼水，其中風險貼水可分為時間及信用風險貼水兩部份，屬於前者之重要變數有存續期間(Duration)與凸性(Convexity)，屬於後者則有信用評等(Credit Ranking)與銀行擔保效果，而交易成本分析是在控制風險貼水因素後，看稅賦效果是否會影響投資者之必要報酬率。此外，本研究亦對殖利率曲線作分析，討論長短期資金市場是否存在明顯互動關係。首先對存續期間及凸性之特性作研究，檢測在既有到期期間變數下，加入存續期間及凸性對於債券殖利率邊際解釋能力的影響，冀描述國內投資者之訂價行為。其次就債券信用評等與銀行擔保效果作分析，公司債可能有不同信用等級，面對不等級公司債券，投資人或會要求不同程度之違約風險貼水，本文以實證對此作探討。又公司債因擔保與否，區分為擔保公司債及無擔保公司債，因此本研究關心的第二組變數是發行人為政府抑民間機構暨公司債之信用評等與銀行擔保效果。本研究亦對債券交易成本作探討，就證券交易稅而言，政府公債免徵交易稅而公司債券買賣須課徵千分之一的交易稅，因此我們想要知道存在公債與公司債之間，因稅賦差異造成交易成本不同，是否會影響到投資者的意願，故第三項變數為以證交稅為主之交易成本。最後對市場資金供需情形作分析，同時探討長短期資金市場是否存在互動關係，故第四項變數為全面資金供需情況。本研究藉檢測總體經濟資金供需變數對債券殖利率之影響，同時也可檢驗國內長短期資金市場之區隔程度。由於國內債市尚淺，仍舊有很大的發展空間，因此在可預期的未來，國內債券市場勢必會受到應有的重視。但由於早期國內債市之不發達及不受重視，使得有關債券資料的保存，特別是公司債券部份十分缺乏，連帶相關文獻亦寥寥可數，故本文以國內債券市場資料做實證研究、分析，冀望能有邊際之貢獻。

Die Arbeit ANLEIHERATING UND BONITÄTSRISIKO untersucht die Zusammenhänge zwischen dem Rating von Anleihen, dem Risiko dieser Anleihen sowie ihren Risikoprämien (Spreads). Dazu wird in einem ersten Schritt - auf analytischer Ebene - untersucht, wie Ratings vergeben werden und welchen Einschränkungen sie unterliegen. Die wichtigsten Einschränkungen für den Kapitalmarkt hinsichtlich der Ableitung von quantitativen Risikogrößen (Ausfallwahrscheinlichkeit und ggf. Ausfallschwere) sind: Ordinalität und Relativität der verwendeten Skalen; die Zeitverzögerungen bei Ratingänderungen; die Intransparenz, Subjektivität und Urteilsunabhängigkeit des Ratingverfahrens bzw. der Ratingagenturen; die Erstellung von auftragslosen Ratings; die mangelnde Vergleichbarkeit von Ratings (zeitlich, zwischen Emissionen und zwischen Agenturen); die fehlende Äquidistanz von Ratings; das Risiko fehlerhafter Ratings. In einem zweiten Schritt wird empirisch untersucht, in welcher Höhe vom Markt Spreads (Überrenditen gegenüber den als risikolos geltenden Bundesanleihen) - je nach Rating - für bestimmte Anleihen gefordert werden. Datenbasis sind Kupon-Anleihen (ohne Sonderrechte) des DM-Euromarktes mit täglichen Kursen im Zeitraum Januar 1990 bis Dezember 1995. Die Untersuchungen bestätigen die Relativität: Ratings definieren nur im langfristigen Durchschnitt die Renditeabstände zwischen den verschiedenen Klassen. Kurzfristige Veränderungen der Spreads hingegen hängen von Veränderungen des allgemeinen Zinsniveaus und dem Verlauf der Zinsstrukturkurve ab. Diese beiden Größen weisen dabei einen negativen Einfluß auf, d.h. Zinserhöhungen führen zu Verringerungen der Spreads. Grundsätzlich gilt dabei aber, dass diese Effekte umso stärker ausfallen, je geringer die Bonität der Anleihen ist. Zusätzlich hängen die Spreadänderungen auch (positiv) von Veränderungen der Spreads der jeweils anderen Klassen ab. Als mögliche Erklärungsansätze bieten sich für diese Beobachtung auch an, dass der Markt Schwankungen der erwarteten Ausfallwahrscheinlichkeiten antizipiert und/oder Veränderungen der allgemeinen Risikoeinstellung vorliegen.

關於Merton (1969) 最適投資組合策略問題，所考慮之投資情境為：一個將其財富資金安排配置於風險性資產(各類證券)與無風險短期現金部位之投資人，在給定此投資人心目中財富效用函數之前提下，希望事先決定出投資組合之最適投資權重(策略)，藉此達成在投資期滿時極大化財富效用之期望值。基於Merton (1974) 公司價值觀點，具有違約風險之證券(公司債與股票)乃是公司價值之衍生性商品，無法以傳統資產配置對股票與債券部位採取現貨方式處理最適投資策略，在此必需同時結合財務工程處理衍生性金融商品計價與避險之技術來解決。本研究利用Kron & Kraft (2003) 彈性求解法來針對市場是否有投資限制、債券提前違約、到期違約及利率隨機與否等假設，基於不同投資組合情境分析來最適投資部位策略。本研貢獻和究創新突破之處在於特別探討公司違約時，債券投資人不再享有全部公司殘值之求償權，此時股東亦享有部份比例之求償權，違約後之公司殘值將由債券投資人與股東兩者比例共分之特殊情境下，對數型態財富效用之投資人對於提前違約風險之接受度高於到期違約風險，若一般情境(股東無任何求償權)則為相反。此外亦特別提供最適成長投資組合之動態避險策略封閉解，藉以提供投資人面臨企業違約風險時應制定之投資決策與動態調整，使本研究臻至週延與實用。 / Under the Merton (1969) optimal portfolio problem, we only consider the specific investor, whose wealth utility follows the type of logarithm function; wants to maximize the expected value of the terminal wealth utility through determine the optimal investment strategy in advance. He divides his wealth into the riskless asset and risky assets such as the money market account and the various-risky securities issued by the corporate. Based on the Merton firm value framework (1974), the defaultable securities, such as the corporate bonds and stocks, are the derivatives instruments of the firm value. It will be inappropriate if we deal with this optimal portfolio problem under the original methods. Therefore, we need to handle this optimal asset allocation problem through the pricing, valuation and hedging techniques from the financial engineering simultaneously. This study apply the elasticity approach to portfolio optimization (EAPO, Kraft ,2003) to solve the optimal portfolio strategy under various scenarios, such as the market contains the investment constrain or not, intermediate default risks, mature default risk, interest rate risky under the stochastic process. The innovation and contribution of this paper are especially breaking the common setting and analysis the optimal-growth-portfolio strategy under the special scenario. In the common setting, as soon as the default event occurs, the residual firm value will be claimed by the corporate bondholders with fully proportion and the stockholder cannot share any residual value. Oppositely, the stockholder will be able to share the residual firm value proportionally with the corporate bondholder together under the so-called special scenario. We found that the investor would have higher acceptance of the premature default risk than the mature default risk in the special scenario. This phenomenon will be reversed under the common scenario. Furthermore, in order to make this study more completely and useful, we do not only illustrate the optimal investment strategy but also provide the closed-formed solution of the dynamic hedge strategy of the risky position, composed by the defaultable securities. This could help the optimal-growth-portfolio-oriented investor to make investment decision while they face the firm value downward decreasing.

I present an empirical model that is based upon the findings of both the conceptual and empirical models of previous research. I first control for independent property, location, macroeconomic and capital market specific variables on the dependent variables that takes on the form of both the cap rate and sales price. Next I introduce two new variables that represent the transaction constraint and the default risk of the tenant. I find that the variable market which represents the time an individual property is on the market is statistically significant and has a negative coefficient of when regressed on sales price and a positive coefficient when regressed on the cap rate. When the market variable is further broken into bins, I found that the time on the market does not negatively impact a property unless it is in fact on the market for over 2 years. When the variable representing a tenant’s default risk is regressed on the cap rate I found the tenants probability of default to be statistically significant with a negative coefficient. This result is counter intuitive and most likely represents the data set being controlled for investment grade credit rated tenants.