Darbe atlikta detali aktualių straipsnių, nagrinėjančių įvairių veiksnių įtaka skolos vertybinių popierių pajamingumui, apžvalga. Išskirti keli pagrindiniai pajamingumo pokyčius lemiantys veiksniai: likvidumas, kredito rizika bei bendra makroekonominė padėtis. Siekiant įvertinti nagrinėjamų veiksnių įtaką skolos vertybinių popierių pajamingumo pokyčiams, sukurti vektorinės autoregresijos modeliai skolos vertybinių popierių portfeliams, apibendrinantiems skirtingas skolos vertybinių popierių klases. Palyginus modeliavimo rezultatus, pateikiamos baigiamojo darbo išvados. Darbą sudaro 18 dalių: įvadas, tikslas, uždaviniai, aktualumas, literatūros apžvalga, pagrindiniai skolos vertybinių popierių rinką charakterizuojantys rodikliai, statistiniai metodai, modelio aprašymas, kintamujų aprašymas bei transformacijos, statistinė analizė, trendo išskyrimas, stacionarumo patikrinimas, modeliavimas, modelių palyginimas bei scenarijų analizė, išvados, literatūros sąrašas. / A brief survey of relevant researches on different factors’ impact on bonds’ yields is provided in master thesis. Several main factors were identified: liquidity, credit risk and macroeconomic environment. In order to measure the impact of distinguished factors on the yields’ changes vector autoregressive models for fixed income securities portfolios, generalizing different asset classes, were created. The modeling results are described and analyzed, conclusions are made Structure: introduction, goal, task, relevance, literature overview, the main indicators of sixed income securities market, statistical methods, models’ describtion, variables’ description and transformations, statistical analysis, elimination of the trend, stacionarity check, modeling, models’ comparison and scenario analysis, conclusions, references.

Our thesis aims to help the market participants to understand the source of the risk in green bonds market. We estimate the liquidity risk effects in green bonds' yield spreads as well as controlling for credit risk, bond-specific chracteristics and macroeconomic variables. Both of our liquidity measures suggest that green bonds are more liquid than investment grade US corporate bonds. We find that liquidity effect in green bonds' yield spreads is pronounced, and the result is robust after controlling for potential endogeneity bias. The power of green bonds' liquidity premium is about 10 to 100 times as strong as speculative grade German bonds and investment grade US corporate bonds respectively. In addition to the lack of clear risk profile in green bonds market, our three-stage least squares regression shows that credit risk influences the liquidity risk of green bonds, this indicates that credit risk is a potential source of private information that affects the high liquidity of green bonds. This result has an implication for policy as the credit risk and liquidity risk could be the pitfalls in green bonds market.

In the first essay, this thesis provides a new methodology for pricing the fixed income derivatives using the arbitrage-free Heath-Jarrow-Morton model (hereafter HJM model). While, most previous empirical implementations of HJM model like that by Amin and Morton (1994) are focused on one-factor model only, the essay attempts to extend the test to a two-factor model that could further capture the subtleties of the forward rate process. The two-factor Poisson-Gaussian version of HJM model derived by Das (1999) that incorporates a jump component as the second state variables is used to value the actively traded Eurodollar futures call option under the jump diffusion lattice. The one-factor and two-factor models are compared with five volatility functions to evaluate the degree of pricing improvement by the inclusion of one more state variable. / The essay also addresses the critical issues on the volatility structure of forward rates that affect the pricing performance of option under the HJM framework. Three new volatility specifications are constructed to estimate the traded options. The first volatility function is the humped & curvature adjusted model that allows for humped shape in volatility structure and better adjustment to the curvature of the term structure. The second is the humped & proportional model that exhibits humped volatility feature and is proportional to the forward rate. The third function is the linear exponential model that is extended from Vasicek's exponential model. They are compared with two other volatility structures developed by previous researchers on their pricing performances. The alternative models are examined from the perspectives of in-sample fit, out-of-sample pricing and hedging. / The second essay develops an approach for estimating the Value-at-Risk (hereafter VaR) with jumps using the Monte Carlo simulation method. It is by far the first paper to estimate VaR using the HJM model. The paper takes the framework of the Poisson Gaussian version of HJM model (hereafter, HJM jump-diffusion model) from Das (1999). The model is incorporated with a jump component to capture the kurtosis effect in the daily price changes. As a result, the HJM jump-diffusion model allows for the fat tailed and skewed distribution of return in most financial markets. The simulation process is expedited by using variance reduction method. The model is used for calculating the VaR of a portfolio consisting of the fixed income derivatives. The accuracy of the VaR estimates is examined statistically at the VaR at confidence level of both 95 and 99 percent. / This thesis is a collection of two essays that explore issues related to the pricing and the risk management of fixed income securities and derivatives in US markets. In the context of the pricing of derivatives, the arbitrage-free pricing approach is adopted. For the issue of risk management, the estimation of Value-at-Risk is presented. / by Ze-To Yau Man. / Source: Dissertation Abstracts International, Volume: 62-09, Section: A, page: 3138. / Supervisors: Jia He; Ying-foon Chow. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p. 145-151). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Thesis (M.Com. (Economics)) -- University of Limpopo, 2022 / The primary goal of this study was to investigate the effects of budget deficit on fixed investment using annual data for the period 1990-2017 in selected African countries namely, Cameroon, Namibia, Ghana, Egypt, Seychelles, Mauritius, Botswana, Lesotho and South Africa. The study employed panel unit root tests including the Augmented Dickey-Fuller test, Philips Perron test and Levin Lin and chu test. The tests revealed that all the variables are integrated at 1st difference. The study further employed the Panel ARDL bounds test to examine the relationship between budget deficit, fixed investment, money supply and inflation. The empirical findings indicated that a long run relationship exists between the variables of interest. Furthermore, the results revealed that the budget deficit has a negative and statistically significant effect on fixed investment. A one percent increase in the budget deficit, ceteris paribus, leads to a reduction in fixed investment by 44 percent in the long run. The findings further postulated a bidirectional causal relationship between budget deficit and fixed investment, between money supply and fixed investment and between fixed investment and inflation. It was evident in the research that indeed the budget deficit is a problematic macroeconomic policy in African countries. Policy makers should limit high government expenditures as they contribute to increased and persistent budget deficits which crowd out private investment.

Current economic situation is characterized for deflation and low inflation, low economic growth, and low or negative interest rates, which lead to phenomenon of issuing governments bonds with negative yield. The main goal of this work is to understand the valuation and behavior of bonds with condition of negative interest rates, analyze impacts of negative rates on volatility of bonds. This work also compares the behavior of negative yields of bonds in contrast with positive yields. The contribution of this work consists in the critical evaluation of limitations of the formula for calculating the bond price to fulfill its role if the values of negative interest rates are too low.

[pt] Este trabalho propõe um modelo de otimização robusta de pior caso orientado por dados aplicado na seleção de um portfólio de títulos de renda fixa. A gestão das carteiras implica na tomada de decisões financeiras e no gerenciamento do risco através da seleção ótima de ativos com base nos retornos esperados. Como estes são variáveis aleatórias incertas foi incluído um conjunto definido de incertezas estimadas diretamente no processo de otimização, chamados de cenários. Foi usado o modelo de ajuste de curvas Nelson e Siegel para construir as estruturas a termo das taxas de juros empregadas na precificação dos títulos, um ativo livre de risco e alguns ativos com risco de maturidades diferentes. Os títulos prefixados são marcados a mercado porque estão sendo negociados antes do prazo de vencimento. A implementação ocorreu pela simulação computacional usando dados de mercado e dados estimados que alimentaram o modelo.Com a modelagem de otimização robusta foram realizados diferentes testes como: analisar a sensibilidade do modelo frente às variações dos parâmetros verificando seus resultados e a utilização de um horizonte de janela rolante para simular o comportamento ao longo do tempo. Obtidas as composições ótimas das carteiras, foi feito o backtesting para avaliar o comportamento das alocações com o retorno real e também a comparação com o desempenho de umbenchmark. Os resultados dos testes mostraram a adequação do modelo da curva de juros e bons resultados de alocação do portfólio robusto, que apresentaram confiabilidade até em períodos de crise. / [en] This paper proposes a data-driven worst case robust optimization model applied in the selection of a portfolio of fixed income securities. The portfolio management implies in financial decision-making and risk management through the selection of optimal assets based on expected returns. As these are uncertain random variables, was included a defined set of estimated uncertainties directly in the optimization process, called scenarios. The Nelson and Siegel curve fitting model was used to construct the term structure of the interest rates employed in the pricing of securities, a risk-free asset and some risky assets of different maturities. The fixed-rate securities are marked to market because they are being traded before the maturity date. The implementation took place through computational simulation using market data and estimated data that fed the model. With robust optimization modeling were done different tests such as: analyze the sensitivity of the model to the variations of the parameters checking the results and the use of a rolling horizon scheme to simulate behavior over time. Once the optimal portfolio composition was obtained, the backtesting was done to evaluate the behavior of the allocations with the real return and also the comparison with the performance of a benchmark. The results of the tests showed the adequacy of the interest curve model and good allocation results of the robust portfolio, which presented reliability even in times of crisis.