Consideradas uma das principais medidas das reformas regulatórias financeiras pós-crise 2008, as novas políticas para os bancos \"too big to fail\", também conhecidos como bancos globais sistematicamente importantes (G-SIBs), representam uma grande oportunidade para um melhor entendimento da complexa relação entre Estados Nacionais e os grandes conglomerados financeiros. Dialogando com a ideia -ubíqua na literatura de economia política internacional de finanças - que com frequência identifica na regulamentação financeira transnacional a presença de regulatory capture, este trabalho objetiva verificar, a partir de um estudo empírico, em que medida essas novas regras produzidas em âmbito internacional foram forjadas em prol dos interesses e preferências dos atores privados afetados por tal regulamentação. As opiniões dos representantes do setor bancário privado no processo de consulta para as regras estabelecidas pelo Comitê de Basiléia de Supervisão Bancária (Basel Committe on Banking Supervision) em 2011, sob a epígrafe \"Global Systemically Important Banks: Assessment Methodology and the Loss Absorbency Requirement\" constituíram o material de base para o estudo. O argumento central apresentado neste trabalho é o de que o setor bancário transnacional não foi bem-sucedido em fazer valer seus interesses e preferências na elaboração desta regulamentação, confirmando a tese defendida por Kevin Young (2009;2012; 2013c), de que a influência do setor privado financeiro é assistemática, circunscrita e condicionada. Entre os mecanismos que limitaram a capacidade de influência dos grandes bancos nessa fase regulatória, dois aspectos foram especialmente significativos: a adoção do paradigma macroprudencialista pelos reguladores e o contexto político, principalmente dos países desenvolvidos. / Considered as one of the key measures of the financial regulation overhaul following the 2008 crisis, the new policy towards \"too big to fail\" banks, also known as global systemically important banks (G-SIBs), represents a great opportunity for a better understanding of the complex relationship between national states and major financial conglomerates. Discussing the generally ubiquitous idea in the international political economy literature which often identifies the presence of regulatory capture in transnational financial regulation, this paper aims to verify, based on an empirical study, whether these new international rules have been elaborated according to the interests and preferences of the private actors affected by such regulation. The opinions and views of the private banking sector in the consultation process of the rules established in 2011 by the Basel Committee on Banking Supervision, named \"Global Systemic Important Banks: Assessment Methodology and the Loss Absorbency Requirement\", constituted the base material for this work. The central argument presented in this paper is that the transnational banking sector was not successful in asserting its interests and preferences in the elaboration of this regulation, confirming the thesis sustained by authors such as Kevin Young (2009, 2012; 2013c) claiming that private financial sector influence is limited, conditioned and not systematic. Two aspects have been especially significant among the mechanisms that limited the influence of large banks in this regulatory phase: the macroprudential ideational shift in the international regulatory policy community and the political context, especially in developed countries.

Les écrits de Monsieur Haroun BOUCHETA, rassemblés en vue de l’obtention du titre de Docteur en droit, portent sur le droit financier. Depuis 2005, en prenant appui sur ses expériences professionnelles, l’auteur publie régulièrement des articles à destination tant des praticiens que des universitaires. Les écrits rassemblés sont de deux ordres. Premièrement, l’auteur s’intéresse à l’encadrement juridique de certains acteurs des marchés financiers ainsi qu’à celui d’instruments financiers et techniques financières.Parmi les acteurs étudiés, les contreparties centrales tiennent une place importante. Les études de l’auteur portant sur ce thème permettent d’appréhender l’environnement juridique et réglementaire spécifique et de comprendre ses récentes évolutions aux niveaux européen et français. Quant aux instruments financiers et techniques financières ayant fait l’objet de publications, l’auteur s’est essentiellement concentré sur les dérivés et les matières premières. Deuxièmement, d’autres écrits sont plus transversaux, voire prospectifs, puisqu’ils ont trait à des réformes européennes incontournables en matière de réglementation financière. A côté du règlement EMIR, l’auteur a consacré plusieurs études approfondies sur la réforme de la directive concernant les marchés d’instruments financiers (MIF). Ces écrits de droit financier sont accompagnés d’une introduction générale. La première partie s’appuie sur quinze articles publiés et a vocation à mettre en exergue certaines des lacunes de la régulation financière post-crise. Dans la seconde partie, l’auteur s’interroge sur la physionomie actuelle des sources du droit financier et sur le processus d’élaboration des textes. / The writings of Mr. Haroun BOUCHETA, gathered for the title of Doctor of Laws, deal with financial law. Since 2005, drawing on his professional experience, the author regularly publishes articles for both practitioners and academics. The collected writings are of two kinds.First, the author is interested in the legal framework of certain players in the financial markets as well as those of financial instruments and financial techniques.Among the actors studied, central counterparties play an important role. The author's studies on this subject make it possible to understand the specific legal and regulatory environment and to understand its recent developments at European and French levels.As for financial instruments and financial techniques that have been the subject of publications, the author concentrated mainly on derivatives and commodities.Secondly, other writings are more cross-cutting and even forward-looking, as they relate to unavoidable European reforms in financial regulation. In addition to the EMIR regulation, the author devoted several in-depth studies on the reform of the Markets in Financial Instruments Directive (MiFID).These writings of financial law are accompanied by a general introduction. The first part is based on fifteen published articles from the author and is intended to highlight some of the shortcomings of post-crisis financial regulation. In the second part, the author examines the current physiognomy of the sources of financial law and the process of drafting the texts.

La thèse se concentre sur l’étude des impacts de la directive européenne concernant les Marchés d’Instruments Financiers (MIF) et de sa révision (MIF II et MiFIR) sur le processus de découverte des prix. Selon Schreiber et Schwartz (1986), celui-ci est défini comme l´incorporation de l´information nouvelle dans le prix des actifs et la recherche de l´équilibre par le marché. Cette directive clé a pour objectif d´augmenter la concurrence et l´efficience au niveau des marchés européens tout en assurant la protection des investisseurs, ceci via une augmentation de la transparence et une exigence de politique de meilleure exécution des ordres de la part des firmes d´investissement. Plus particulièrement, l´étude se focalise sur les actions françaises du CAC40 qui peuvent désormais être échangées en dehors du marché national réglementé, Euronext Paris. Les plateformes multilatérales de trading, les internalisateurs systématiques et les dark pools sont des alternatives qui ont été introduites par la directive. En l´absence de consolidation du marché européen dans son ensemble et en présence d’une fragmentation spatiale des ordres de bourse, le risque est que certaines places d´échanges reçoivent plus d´ordres d´achat et d´autres, plus d´ordres de vente. Certains pensent que la technologie devrait lier des marchés spatialement fragmentés. Cependant, si suffisamment de flux d´ordres est retiré du marché réglementé et transparent, ce dernier pourrait ne plus assurer la découverte des prix car les prix et les quantités d´équilibre n´auraient pas été découverts par le marché dans son ensemble. De plus, même en présence d´un marché consolidé au niveau spatial, une fragmentation temporelle peut subsister. Elle correspond à la fracturation du flux d’ordres dans le temps, rendant la rencontre des ordres d´achat et de vente plus compliquée. […] La thèse apporte tout d’abord un éclairage sur les enjeux et les implications de la directive sur l’efficience des marchés européens. Dans le premier chapitre, nous proposons un cadre d´évaluation de la directive. Une sélection des principaux travaux académiques est réalisée dans le domaine de la microstructure des marchés afin d´identifier les problématiques restant sans réponse et les enjeux pour sa révision en cours (MIF II). Ensuite, une revue de la littérature sur le processus de découverte des prix du marché est opérée par la mise en lumière des principaux travaux théoriques, méthodologiques et empiriques. Les deux principales fonctions d´un marché sont de fournir de la liquidité et de permettre la découverte des prix. Cependant, la fonction de découverte des prix a souvent été un objectif de régulation négligé par rapport aux objectifs de transparence et de concurrence. […] / The thesis focusses on the impacts of the European Markets in Financial Instruments Directive (MiFID) and its revisions (the MiFID II and the MiFIR) on the price discovery process. According to Schreiber and Schwartz (1986), the price discovery process is defined as the incorporation of new information into the prices of assets and the search for an equilibrium by the market participants. This key directive aims to increase competition and efficiency at the European level without neglecting investor protection by increasing transparency and by requiring a best execution policy for the execution of client orders from investment firms.The study specifically highlights the CAC40 stocks, which, with the implementation of the MiFID, can be exchanged outside the regulated domestic market (Euronext Paris). The directive has introduced Multilateral Trading Facilities (MTFs), Systematic Internalisers (SI) and Dark Pools as alternative trading venues.In absence of an overall consolidation of the European market and in presence of a spatial fragmentation of orders, there is a risk that some exchange places may receive more buy orders and others more sell orders. Technology should bind spatially fragmented markets; however, if enough of the order flow were removed from the regulated and transparent market, it would be unable to ensure the price discovery because the equilibrium prices and quantities would not befound by the overall market. In addition, even in the presence of a consolidated market at the spatial level, temporal fragmentation may still exist. […]The first chapter studies the challenges and the implications of the MiFID on the efficiency of the European financial markets. This research proposes a regulatory framework to assess the directive. A selection of the principal academic work in the microstructure research area has been carried out in order to identify the remaining unanswered issues and challenges for the current revision of the MIF. The second chapter proposes a literature review of the concept of price discovery by highlighting the principal theoretical, methodological and empirical academic research. The two main functions of a market are to provide liquidity and to allow price discovery. However, the price discovery function has often been a neglected regulatory objective in comparison to transparency and competition objectives. It is important to assess the impacts of fragmentation on the quality of the market after the implementation of the MiFID. The object of study is the price discovery accuracy in the post-crisis context of more high-frequency and algorithmic trading. At this level, the thesis first offers a quantification of the degree of spatial and temporal fragmentation of CAC40 shares in the post-MiFID context. This study shows an increase in fragmentation. Furthermore, the quality of the market is evaluated from a price discovery perspective through the study of an indicator developed by Ozenbas et al. (2002, 2011) called the normalised volatility ratio. The study confirms the existence of a price discovery risk at the opening of the market before and after the implementation of MiFID. The potential causes of price discovery accuracy have been studied using three types of variables that characterise each transaction. The number of ransactions and the proportion of high-frequency traders on the buy side for the first half-hour of the day are significant variables for price discovery accuracy. In the post-MiFID scenario, spatial fragmentation does not significantly affect the market quality of CAC40 shares. At this level, temporal fragmentation seems to be a greater determinant. […]

The thesis discusses the supervision and regulation of the financial sector in the European Union with a particular focus on the banking market . The aim is to answer the research question , what are the main reasons for the introduction of the banking union in the European Union and what this concept means in practice for the Member States . The first chapter presents general reasons of financial market regulation and puts them into the context of the transformation of a European framework for financial supervision. The second part delas with the central theme of this work , a banking union as an important milestone in the process of european economic and political integration. It explains the factors leading to increased attention devoted to the regulation of banking market. The last chapter provides an analysis of the impact on the Member States of the European Union. Basic consequences arising from the introduction of banking union are analyzed on the case of the Czech Republic. The conclusion brings in attention the factors that are currently on the reform of European banking regulation most emphasized.

L’ objectif principal de cette thèse est de développer une analyse critique de ce qu’on apelle internationalisation regulatoire du système financier brésilien. Celui-ci constitue um phénomène relativement noveau que n’a pas reçu suffisament d’attention. Deux evenements peuvent être considerés comme étant directement responsables pour cette internationalisation: d’une part, la création au niveau mondial d’un accord international de réglementation financière et, d’autre, la substitution (dans les systèmes juridiques européens et brésilien) du modèle de l’Etat Positif par celui de l’Etat Régulateur. L’adoption, par les autorités brésiliennes (Conselho Monetário Nacional et Banco Central) d’un nombre considerable des règles infra-legales fut etayée sur les Recommendations et Standards des organisations internationales. Les decisions de ces organisations ont influencée également le discourse et la philosofie régulatoire des institutions brésiliennes, modifiant les procedures et les pratiques adminitratives internes. Les autorités brésiliennes participent de plus em plus des activités de coopération régulatoire avec des entités étrangères dans le but d’obtenir une homogeneité régulatoire des systèmes finacières. Cette thèse soutient l’hypothèse qu'il existe une singularité distinctive dans la façon dont la régulation financière au Brésil s'est internationalisée, dérivée de l'existence d'une relation fondamentale d'interaction et de complémentarité entre les idées d'internationalisation et de régulation dans le secteur financier brésilien. / O objetivo central desta tese é descrever e analisar criticamente o que chamo de internacionalização regulatória no Sistema Financeiro Nacional, um fenômeno relativamente recente e, em certa medida, ainda subteorizado na academia brasileira. Sustento no presente trabalho que sua manifestação, iniciada no Brasil em meados da década de 1990, está associada a dois acontecimentos que somente ganharam força no último quarto do século passado: a afirmação, em nível global, de um arranjo internacional de regulação financeira e a transição, nos sistemas jurídicos da Europa Ocidental e do Brasil, para o modelo de Estado Regulador. Como consequência direta desses dois acontecimentos, um significativo e crescente conjunto de normas infralegais editadas pelas principais autoridades administrativas financeiras nacionais, o Conselho Monetário Nacional e o Banco Central do Brasil, passou a fundamentar-se em recomendações e padrões regulatórios elaborados por organismos internacionais Da mesma forma, a atuação de organismos internacionais passou a moldar tanto o discurso quanto a filosofia regulatória dos órgãos reguladores brasileiros, transformando procedimentos e práticas administrativas internas. Por fim, as autoridades brasileiras de regulação financeira passaram a se engajar crescentemente em atividades de cooperação regulatória com seus congêneres estrangeiros, em um esforço internacional cujo resultado vem sendo a obtenção de uma maior homogeneização regulatória nos sistemas financeiros nacionais em todo o mundo. Ao descrever e abordar criticamente esse fenômeno, proponho nesta tese a hipótese de que há uma singularidade marcante no modo como a regulação do sistema financeiro no Brasil se internacionalizou, singularidade esta que decorre de uma fundamental relação de interação e complementariedade no modo como as ideias de internacionalização e regulação se afirmaram no universo financeiro brasileiro. / The central goal of this dissertation is to describe and critically analyse how regulatory internationalization took place in the Brazilian Financial System, a relatively recent phenomenon that still didn’t receive proper academical consideration. This dissertation argues that its occurrence, which started during the 1990s, is related to two events that only came into place in the last quarter of the 20th century: the consolidation, on a global level, of an architecture of international financial regulation, and the transition, in Western Europe and Brazil, to the Regulatory State. As a consequence of that, a rising body of infralegal regulations enacted by the Central Bank of Brazil and the National Monetary Council, the two main brazilian financial authorities, began to adopt as its theoretical foundation standards and recommendations made by international bodies. Moreover, the activity of these international bodies became an important influence on brazilian domestic financial regulatory policies, shaping administrative practices and procedures. Lastly, brazilian financial authorities increasingly engaged in international regulatory cooperation with its foreign peers, as part of an effort that resulted in regulatory harmonization in national financial systems throughout the world. This dissertation argues that there is a distinctive singularity in the way financial regulation in Brazil became internationalized, derived from the existence of a foundational relationship of interaction and complementarity between the ideas of internationalization and regulation in the brazilian financial sector.

En las últimas cuatro décadas, la economía afrontó diversas situaciones que han puesto a prueba la gestión de los entes reguladores, Gobiernos y especialistas en el sector financiero. La consigna ha sido estabilizar este sector con un enfoque favorable hacia el crecimiento económico sostenible. Las regulaciones que se aplicaron en los grandes mercados financieros como el de Estados Unidos, la Unión Europea, China y Taiwán; estuvieron regidas bajo los principios de Basilea III y leyes locales como el Dood Frank Act. Sin embargo, pese a plantear estos lineamientos, no se pudo evitar las diferentes crisis que han ido surgiendo. Debido a ello, esta investigación se plantea una revisión sistemática de las principales publicaciones realizadas en el periodo 2020-2014 que hayan abordado el estudio del comportamiento de las regulaciones financieras y su impacto en el desarrollo económico, así como su relación con los procesos de crisis. Para ello, se ha planteado como objetivos la revisión de cómo se asume la liberalización financiera en el marco normativo internacional, cómo se entiende en su relación con las crisis económicas ocurridas en el siglo XX. Luego, se evalúa cuáles son sus efectos sobre las fluctuaciones de ingresos, el crecimiento comercial y las políticas monetarias de diversas regiones económicas, como la asiática, europea y americana. El principal hallazgo que se cuenta es que la controversia sobre cuán positivo o negativo resulta regular el sistema financiero sigue abierta y se relaciona con su aplicabilidad de acuerdo a las características propias de cada mercado regional y de cada país. / In the last forty-year, economy has faced different situations that have tested the efficacy of regulation institutions, governments and financial specialists. The main objective of all these actors have been to stabilize this sector with a positive approach in order to get a stable economic growth. Regulations applied in large financial markets as the Northamerican, the European, Chinese or Taiwanese, were designed either by the principles of documents as Basilea III and domestic regulations as Dood Frank Act. Nevertheless, although these frameworks were implemented, it was not enough to avoid different crisis that rose in all this period. Because of this described void, this paper pretends a systematic investigation about the more relevant publications made between 2020 and 2014 focused in the study of financial regulation and its effect in economic growth. In order to get this objective, several bullet points were designed: understanding how financial liberation is assumed in the international framework and how this is connected with the evolving of economic crisis raised in the last middle of the XX Century. Then, this paper pretends to evaluate what effects financial liberation has on incomes fluctuations, the commercial growth and monetary policies of different economic areas, such as Asian, European and American. The most important idea of this study is to signalize the controversy about how positive or negative result financial regulation of the economic market is not solve and how its efficacy is related according specific features of each regional financial market and each country. / Trabajo de Suficiencia Profesional

Cette thèse passe en revue certains facteurs de risques économiques (risque de revenu, risque de la finance parallèle, et risque carbone) en utilisant de nouvelles sources de données et méthodologies. Le premier chapitre examine comment la réponse de la consommation face au risque de capital humain affecte la finance des ménages. A partir de données conjointes sur la consommation, les revenus et les actifs des ménages américains, ce papier documente le lissage excessif de la consommation comme un facteur essentiel pour le choix de portefeuille et montrer qu’il peut expliquer les énigmes financières observées chez les ménages américains. Par ailleurs, le papier formalise l’effet du lissage excessif sur le choix de portefeuille à l’aide d’un modèle de cycle de vie où un ménage est confronté à un risque de revenu salarial idiosyncratique. Le modèle est calibré de façon à correspondre aux observations sur le cycle de vie de la détention d’actifs risqués des ménages américains. Le deuxième chapitre évalue le transfert de risques des banques dans les activités bancaires non réglémentées. En exploitant les variations dans les risques discutés par les banques dans leur rapports financiers et en utilisant les outils de l’analyse textuelle, ce document fournit une nouvelle mesure de l’activité bancaire non-réglementée. Le papier montre empiriquement que (1) les banques sont plus susceptibles de contourner les régulations lorsque leurs contraintes de fonds propres deviennent contraignantes, (2) il existe une relation positive entre le transfert de risque et le risque extrême des banques. Par la suite, le papier rationalise ce transfert de risque en utilisant un modèle macroéconomique avec un secteur financier. Dans le modèle, l’événement de défaut de paiement et la présence d’externalités dues à une application imparfaite de la réglementation encourage les banques à s’engager dans une stratégie de transfert des risques. Enfin, le papier utilise ce cadre pour étudier la régulation optimale. On montre qu’une taxe sur l’activité sectorielle réduit efficacement le transfert des risques des banques par rapport à d’autres politiques comme la réglementation des fonds propres de la banque. Enfin, le troisième chapitre aborde l’effet du risque carbone sur la stabilité économique. Nous étudions ce risque à l’aide de données de panel pour 50 États américains au cours des années 1998 à 2018. De plus, nous supposons une dépendance transversale des facteurs communs non observés (par exemple, les liens commerciaux, l’intégration financière) entre les États. En utilisant une approche d’émissions de carbone basée sur la consommation, ce chapitre montre qu’une diminution d’une unité des émissions de carbone est associée, à long terme, à une croissance de la production logarithmique par habitant de 4,5 points de pourcentage. En outre, nous trouvons des impacts différentiels dans la distribution du revenu par habitant des États. Ces résultats éclairent le débat sur la voie de transition optimale vers une économie sobre en carbone. / This thesis reviews some economic risk factors (labor income risk, shadow banking risk, and carbon risk) using new data sources and novel methodologies. The first chapter investigates how the response of consumption to human capital risk affects household finance. Using joint data on consumption, income, and assets of representative US households, I document the excess smoothness of consumption as an essential factor for portfolio choice and show that it can explain household finance puzzles. Furthermore, I formalized the effect of the excess smoothness on the portfolio choice using a structural life-cycle model where a household faces an idiosyncratic wage income risk. The model is calibrated to match relevant aspects of the dynamics and the life cycle of risky asset holding from the PSID. The second chapter assesses banks’ risk-shifting in the non regulated banking activity, also called shadow banking. Exploiting variations in risks disclosed by banks in their financial reports and using textual analysis tools, this document provides a new measure non regulated banking activity. The paper empirically documents that (1) banks are more likely to shift risk out of the regulator’s reach when their risk-based capital constraints become binding, (2) there is a positive relationship between risk-shifting and tail risk of banks. The paper then rationalizes banks’ risk-shifting behavior using a macroeconomic model with a financial sector. In the model, the event of default on debt and the presence of externality due to imperfect regulation enforcement encourage banks to engage in risk-shifting strategies. As a result, banks behave as cross-sector arbitrageurs. Finally, the paper uses this framework to study optimal regulation. We show that a tax on sectoral activity effectively reduces banks’ risk-shifting compared to other bank’s equity regulation policies. Finally, the third chapter studies the effect of carbon risk on economic stability using a consumption-based carbon emissions approach for 50 U.S. states over the years 1998 - 2018. The paper assumes a cross-sectional dependence from unobserved common factors (e.g., trade linkage, financial integration) between the states. Under this assumption, we find that one unit decreases in carbon emissions is associated with 4.5 percentage points decrease in the per capita output growth over the long run. Besides, we find differential impacts across the distribution of per capita states income. These findings inform the debate over the optimal transition path toward a low carbon economy.

This dissertation explores aspects of financial stability from three different perspectives. In the first essay, we empirically analyze to which extent popular global systemic risk measures (SRMs) yield comparable results with respect to the systemic importance of a financial institution and, in particular, from which determinants the degree of consistency of the classification by the various SRMs depends. It turns out that rank correlations, in general, are more sensitive towards macroeconomic factors such as the unemployment rate, and to a minor degree towards factors that can be interpreted in a broader sense as proxies for the stability of a bank such as the market-to-book ratio and the loans-to-deposits ratio. Further analyses reveal the inconsistency of systemic risk ranks and the difficulty to detect specific explanatory factors across several different settings. In the second essay, we assess the potential of activity on Twitter for improving forecasts of daily and intra-daily stock and index return volatilities. For this purpose, a unique high-frequency dataset of a comprehensive sample of more than 150 stocks of large international companies, systemically important banks, as well as several leading international stock indices is constructed. Our results show that there is no clear advantage of adding Twitter information by assessing the forecast performance of a plethora of different model specifications. We also reveal the necessity to consider different set-ups since they partly deliver opposing results. However, even though Twitter information is sometimes valuable, we find that forecast improvements in general remain marginal. In the third essay, we characterizes the formation of self-enforcing international financial regulation agreements. Our analysis allows evaluating the desirability and feasibility of cooperative solutions and explains the challenges associated with the process of cooperation. We model the cooperation of national financial regulators in a game-theoretical framework that considers financial stability to be an impure public good. Joint national supervisory effort is supposed to increase aggregate welfare in terms of a more stable financial system both on a global and on a local level by simultaneously generating incentives to free-ride. In our basic version of the model, we show that partial cooperation of two or three countries is stable and improves the welfare of all countries relative to the non-cooperative Nash equilibrium. Further analyses highlight the role of additional club benefits. When signatory countries of a coalition gain benefits over and above the joint welfare maximization, stable coalitions of any size become feasible.

The combination of regulatory pressure and rare but impactful defaults together comprise the domain of low default portfolios, which is a central and complex topic that lacks clear industry standards. A novel approach that utilizes external data to create a Shadow Rating model has been proposed by Ulrich Erlenmaier. It addresses the lack of data by estimating a probability of default curve from an external rating scale and subsequently training a statistical model to estimate the credit rating of obligors. The thesis intends to first explore the capabilities of the Cohort model and the Pluto and Tasche model to estimate the probability of default associated with banks and financial institutions through the use of external data. Secondly, the thesis will implement a multinomial logistic regression model, an ordinal logistic regression model, Classification and Regression Trees, and a Random Forest model. Subsequently, their performance to correctly estimate the credit rating of companies in a portfolio of banks and financial institutions using financial data is evaluated. Results suggest that the Cohort model is superior in modelling the underlying data, given a Gini coefficient of 0.730 for the base case, as opposed to Pluto and Tasche's 0.260. Moreover, the Random Forest model displays marginally higher performance across all metrics (such as an accuracy of 57%, a mean absolute error of 0.67 and a multiclass receiver operating characteristic of 0.83). However, given a lower degree of interpretability, the more simplistic ordinal logistic regression model (50%, 0.80 and 0.81, respectively) can be preferred due to its clear interpretability and explainability. / Kombinationen av regulatoriskt påtryck och få men påverkande fallissemang utgör tillsammans området lågfallissemangsportföljer, vilket är ett centralt men komplext ämne med avsaknad av tydliga industristandarder. En metod som använder extern data för att skapa en skuggrating-modell har föreslagits av Ulrich Erlenmaier. Den adresserar problemet av bristande data genom att använda externa ratings för att estimera en kurva över sannolikheten. Sedermera implementeras en statistisk modell som estimerar kreditratingen av låntagare. Denna uppsats ämnar för det första att utforska möjligheterna för kohortmodellen samt Pluto-och-Tasche-modellen att estimera sannolikheten för fallissemang associerat med banker och finansiella institutioner genom användandet av extern data. För det andra implementeras statistiska modeller genom nominell logistisk regression, ordinal logistisk regression, klassificerings- och regressionsträd samt Random Forest. Sedermera utvärderas modellernas förmåga att förutse kreditratings för företag från en portfölj av banker och finansiella institutioner. Resultat föreslår att kohortmodellen är att föredra vid modellering av underliggande data, givet en Ginikoefficient på 0.730 för grundfallet, till skillnad från Pluto och Tasches resultat på 0.260. Vidare genererade Random Forest marginellt bättre resultat över alla utvärderingskriterier (till exempel, 57% träffsäkerhet, 0.67 mean absolute error och 0.83 multiclass receiver operating characteristic). Däremot har den en lägre tolkningsbarhet så att ordinal logistisk regression (med respektive värden 50%, 0.80 och 0.81) skulle kunna föredras, givet dess tydlighet och transparens.

The regulation of hedge funds has been at the centre of a global policy debate for much of the past decade. Several factors feature in this debate including the magnitude of current global investments in hedge funds and the potential of hedge funds to both generate wealth and destabilise financial markets. The first part of the thesis describes the nature of hedge funds and locates the work in relation to four elements in existing theory including regulatory competition theory, the concept of differential mobility as identified by Musgrave, Kane’s concept of the regulatory dialectic between regulators and regulatees, and the concept of unique sets of trust and confidence factors that individual jurisdictions convey to the market. It also identifies a series of questions that de-limit the scope of the present work. These include whether there is evidence that regulatory competition occurs in the context of the provision of domicile for hedge funds, what are the factors which account for the current global distribution of hedge fund domicile, what latitude for regulatory competition is available to jurisdictions competing to provide the domicile for hedge funds, how is such latitude shaped by factors intrinsic and extrinsic to the competing jurisdictions, and why do the more powerful onshore jurisdictions competing to provide the domicile for hedge funds not shut down their smaller and weaker competitors? The second part of the thesis examines the regulatory environment for hedge funds in three so-called offshore jurisdictions, specifically the Cayman Islands, Bermuda and the British Virgin Islands, as well as two onshore jurisdictions, specifically the United Kingdom and the United States. The final section presents a series of conclusions and their implications for both regulatory competition theory and policy.