Thesis (Ph. D.)--University of Missouri-Columbia, 2006. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file viewed on (May 2, 2007) Vita. Includes bibliographical references.

Opbrengskoerse van vasterentedraende effekte verander as gevolg van veranderings in vraag en aanbod op die kapitaalmark. Die veranderinge in opbrengskoerse bei'nvloed die pryse van vasterentedraende effekte, asook van die opsies op hierdie effekte en stel beleggers in hierdie instrumente bloot aan beleggingsrisiko. Hierdie studie ondersoek die uitwerking van veranderings in die opbrengskoerse op die pryse van vasterentedraende eff ekte en opsies indien geen verskansing teen beleggingsrisiko toegepas word nie. Verder word verskillende verskansingstegnieke vergelyk ten einde te bepaal welke tegniek beleggingsrisiko die mees doeltreffendste kan beperk. Die studie toon aan dat dit wenslik is om beleggings en vasterentedraende effekte en opsies teen beleggingsrisiko te verskans. Empiriese toetse is op verskeie tegnieke gedoen om te bepaal watter verskansingstegnieke beleggingsrisiko die doeltreffendste kan beperk. Die gevolgtrekking is dat beleggingsrisiko inderdaad doeltreffend beperk kan word. Vir elke posisie in vasterentedraende en opsies is 'n spesifieke verskansingstegniek gei'dentifiseer om sodanige posisie doeltreffend in terme van winsgewendheid te verskans. / Yield on fixed interest bearing securities change as a result of changes in the supply and demand in the capital market. These changes in the yield influence the prices of fixed interest securities, as well as options on fixed interest securities and expose .investors in these instruments to investment risk. This study investigates the effect of changes in yield on the prices of fixed interest securities and options if no hedging against investment risk is instituted. Different techniques are compared to establish which technique will restrict investment risk effectively. This study shows that it is desirable to hedge investments in fixed interest securities and options against investment risk. Empirical tests were conducted on a variety of techniques to establish which technique would restrict investment risk effectively. The conclusion is that investment risk can be limited. A specific technique has been identified for each position in fixed interest securities and options that can hedge such a position effectively against investment risk in terms of profitability. / Business Management / MCOM (Bedryfsekonomie)

Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. This report is concerned with the trying to provide prices for options written on these rates, in particular for swaptions that are not at-the-money (atm) utilizing prices in the cap market. Different methods have been suggested in the literature for solving this problem. In particular we study the method suggested by Hagan et al where one calibrates a SABR model to the caplet surface with the same expiry as the swaption. One then assumes that the swaption contract with the same expiry follows the same SABR dynamics as the caplet, but with a recalibrated initial volatility to fit the atm point. We also study the approach suggested by Rebonato and Jäckel. They derive a model for swaption prices based on the individual volatilities of the forward rates that the underlying interest rate swap consists of, as well as the correlation between the forward rates.  Both of these approaches are studied empirically for the STIBOR market. The data set span between 2016 and 2021 and consists of the yield curve, flat cap volatilities and swaption volatilities. We use the 1Y1Y and 5Y5Y swaption surfaces, where the prices are not only quoted atm, to verify our model. We conclude that despite the SABR model being able to fit the caplet prices well, the method suggested by Hagan does not capture the swaption smile. The Rebonato and Jäckel approach also falls short of capturing the smile and produces similar results as the Hagan et al method. This is suggested to be due to the Hagan method capturing the caplet smile well, and the constant correlation assumption made in this thesis.

In the thesis, we investigate whether hedge fund managers have liquidity timing skills in the fixed income market, foreign exchange market and commodity market, respectively. Managers with the liquidity timing skills can strategically adjust hedge funds exposure to the target financial market based on their forecasts about the future changes in market liquidity. We find empirical evidence that hedge funds in certain categories have the skills to time the liquidity levels in the fixed income market, foreign exchange market and commodity market. We conduct a range of robustness tests, which show that hedge funds still exhibit liquidity timing skills after controlling for the factors that may affect timing ability. In particular, our findings are robust to the usage of leverage, funding constraints, investor redemption restrictions, hedge funds trades on market liquidity, financial crisis, hedge fund data biases, market return and volatility timing, liquidity risk factor, systematic stale pricing and option factors. We also conduct bootstrap analysis to ensure the results are not dependent on the normality assumption. Our investigation is helpful to understand the importance of market liquidity to hedge funds professional portfolio management.

O objetivo deste trabalho é estudar a formação do preço dos títulos de dívida corporativa brasileiros emitidos no exterior, essencialmente eurobonds, buscando identificar quais os fatores, além do seu rating, que determinam a formação do spread pelo risco pago por esses títulos no momento de emissão. Busca-se também tecer uma discussão comparativa entre os resultados auferidos pela pesquisa, e os resultados identificados em pesquisas anteriores para dados de debêntures brasileiras domésticas. O estudo foi desenvolvido por meio de regressões lineares múltiplas, que buscam identificar os fatores, levantados através de pesquisa bibliográfica, que influenciam o spread pelo risco no momento de emissão do título. A base de dados foi compilada através dos portais Bloomberg e Cbonds, e de prospectos de emissão, e contou ao final com 103 observações distribuídas em uma janela de 2002 até 2012. Os resultados indicam que os principais fatores determinantes do spread na emissão dos bonds são: a nota de rating da emissão, o desempenho recente do S&P500 e o desempenho do PIB brasileiro em relação ao desempenho do PIB global, no mesmo período. Um resultado interessante identificado é que o índice S&P500 é mais relevante na precificação dos eurobonds brasileiros do que o Ibovespa, o que indica que os investidores, ao decidir investir em um título corporativo brasileiro, possivelmente estão mais interessados no risco desse ativo, especificamente, do que no risco-Brasil genericamente. Outras variáveis foram avaliadas, como maturidade, frequência no pagamento de cupons, volume da emissão, risco-país do Brasil (medido pelo EMBI+ do JPMorgan), desempenho do dólar e Ibovespa. Os resultados da pesquisa, em sua maioria, foram alinhados com os resultados identificados por Paiva (2011) para as debêntures brasileiras emitidas no Brasil, que também encontrou relevância para as variáveis rating e desempenho da economia, entre outras. / This objective of this dissertation is to analyze the pricing of corporate debt securities issued abroad, essentially eurobonds, in order to identify which factors, beyond its rating, that determine the spread for risk paid by these securities at the moment of issue. As secondary objectives, this dissertation also aims to compare, through a qualitative discussion, the conclusions reached by this research, and the results identified in previous research that tested Brazilian domestic bond data. The method applied in the study was multiple linear regression, in order to identify the factors that influence significantly the spread for risk at the time of issue of the bond. The previous literature research that was held indicated which variables should be tested. The database was compiled through Bloomberg, Cbonds portal, and issues prospectus, and the final database was comprised of 103 observations from 2002 to 2012. The results indicate that the main determinants of the spread in the issuance of bonds are: rating of the issue, the recent performance of the S&P500 index and the performance of the Brazilian GDP in relation to the global GDP in the same period. An interesting result was that the S&P500 index is more relevant in the pricing of Brazilian eurobonds than the Bovespa index, which indicates that players, when deciding to invest in a Brazilian bond, are possibly more interested in the risk of this asset, specifically, than in the Brazil risk, overall. Other variables were tested, such as maturity, coupon payment frequency, volume of issue, the spread for Brazilian risk (measured by the JPMorgan EMBI+), dollar performance and Ibovespa. The survey results, in general, were in accordance with the outcomes identified by Paiva (2011) for the debentures issued in Brazil, who also identified the variables for rating and performance of the economy as relevant to the pricing of the debentures, among other results

Nos últimos anos, o value-at-risk tem se tornado uma ferramenta amplamente utilizada nas principais instituições financeiras, inclusive no Brasil. Dentre suas vantagens, destaca-se a possibilidade de se resumir em um único número os riscos de mercado incorridos e incorporar neste valor tanto a exposição da instituição quanto a volatilidade do mercado. O objetivo principal deste estudo é verificar a eficácia dos modelos mais conhecidos de value-at-risk - RiskMetrics(TM) e Simulação Histórica - na mensuração dos riscos de mercado de carteiras de renda fixa compostas por instrumentos pré-fixados em reais. No âmbito da alocação de capital para atendimento aos órgãos de regulamentação, o estudo estende-se também ao modelo adotado pelo Banco Central do Brasil. No decorrer do estudo, discute-se ainda as vantagens e desvantagens apresentadas, bem como o impacto que as peculiaridades do mercado brasileiro exercem sobre as hipóteses assumidas em cada um dos modelos. / Value-at-Risk (VaR) has become the primary tool for the systematic measuring and monitoring of market risk in most financial institutions. VaR is a statistical measure that comprises not only the exposure but also the market volatility in a single number. The main purpose of this work is to evaluate the performance of the well-known value-at-risk models - RiskMetrics(TM) and Historical Simulation - in the Brazilian fixed-income market. In the scope of capital allocation related to banking regulation, this study also extends briefly to the model adopted by the Brazilian Central Bank. Additionally, the underlying assumptions of these models are analyzed in the Brazilian financial market context. Also, this study discusses the advantages and disadvantages presented by the RiskMetrics and the Historical Simulation models.

by Matthew Bailey Greenberg, Ng Hin Wah. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 61-62). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CONVERTIBLE BONDS AND WARRANTS --- p.3 / ConvertIBle Bonds --- p.3 / Value At Maturity --- p.5 / Value Before Maturity --- p.6 / Warrants --- p.8 / The Difference Between Convertible Bonds and Warrants --- p.11 / Considerations of Issuing Convertibles and Bond with Warrants --- p.13 / Valuation of Convertible Bond --- p.15 / Valuation of Warrants --- p.18 / Chapter III. --- CALLABLE BONDS --- p.20 / Performance Characteristics of Callable Bonds --- p.21 / Valuation of a Two-year Callable Bond with the Salomon Brothers Model --- p.22 / Valuation of a Three-year Callable Bond with the Salomon Brothers Model --- p.25 / Step1: Determination of ru and rd --- p.27 / "Step 2: Determination of ruu, rud and rdd " --- p.28 / "Black, Derman & Toy Model (BDT) " --- p.30 / Step 1: Determination of ru and rd --- p.31 / "Step 2: Determination of ruu, rud and rdd " --- p.32 / Chapter IV. --- SINKING-FUND BONDS --- p.37 / Advantages for the Investor --- p.38 / Disadvantages for the Investor --- p.38 / Methods Used by Issuers for Early Bond Redemption --- p.39 / Valuation of Non-callable Sinking Fund Bonds --- p.40 / Valuation of Callable Sinking Fund Bond --- p.45 / Chapter V. --- VALUATION OF A CALLABLE BOND BY A COMPUTERIZED PROGRAM… --- p.47 / System requirements --- p.48 / Opening the program file --- p.48 / Manual for using the program --- p.48 / Construction of Interest Rate Tree --- p.48 / Valuation of a Callable Bond --- p.50 / APPENDIX --- p.55 / BIBLIOGRAPHY --- p.61

O presente trabalho tem como objetivo analisar a volatilidade dos mercados de renda fixa e renda variável no Brasil, no período de março de 1986 até fevereiro de 2006, por meio do CDI (Certificado de Depósito Interfinanceiro) e IRF-M (Índice de Renda Fixa de Mercado), como indicadores do mercado de renda fixa, e o IBOVESPA (Índice da BOVESPA), como indicador de renda variável. Por meio da comparação da volatilidade destes ativos é possível observar se há coincidência temporal entre os dois mercados, em relação aos picos de volatilidade devido, principalmente, a influência de variáveis macroeconômicas. Tal análise é importante para que os gestores de portfólios, que tomam decisões de como alocar os investimentos, conheçam o histórico e o corrente relacionamento entre as volatilidades dos dois mercados. As volatilidades do mercado de renda fixa e do mercado de renda variável foram calculadas por meio do desvio padrão anual dos retornos mensais e por meio de um modelo GARCH(1,1). Os resultados mostram que, no Brasil, durante o período analisado, os dois mercados apresentaram: períodos coincidentes de picos de volatilidade, grande mudança no padrão comportamental das volatilidades após a implantação do Plano Real e pouca estabilidade na relação entre as volatilidades. / This work aims to study the volatility of the fixed income market and the stock market in Brazil, from March 1986 to February 2006, through CDI (Interbank Interest Rate), IRF-M (Fixed Income Index), as a fixed income market indicators, and IBOVESPA (BOVESPA index), as a stock market indicator. Through the comparison of the volatility of these assets it is possible to observe if there is time frame coincidence between the two markets, in relation to the peaks of volatility due to, mainly the influence of macroeconomics variables. Such analysis is important so that portfolio managers, responsible for decisions such investments allocation, know the history and the actual relationship between the markets volatility. Such analysis is important so that portfolio managers, responsible for decisions such investments allocation, know the history and the actual relationship between the markets volatility. Those fixed income market and stock markets volatilities were calculated through the annual standard deviation of the monthly returns and from a GARCH(1,1) model. The results show that, in Brazil, during the studied period, both markets presents: coincident volatility peaks periods, high change in the behavioral pattern of volatility after the deployment of the Plano Real and little stability in the relationship between the volatility.

[pt] A partir da década de 90, a metodologia Value at Risk (VaR) se difundiu pelo mundo, tanto em instituições financeiras quanto em não financeiras, como uma boa prática de mensuração de riscos. Em geral, abordagens paramétricas são muito utilizadas pelo mercado, apesar de freqüentemente não levarem em conta uma característica muito encontrada nas distribuições dos retornos de ativos financeiros: a presença de caudas pesadas. Uma abordagem baseada na Teoria dos Valores Extremos (TVE) é uma boa solução quando se deseja modelar caudas de distribuições probabilísticas que possuem tal característica. Em contra partida, poucos são os trabalhos que procuram desenvolver a TVE aplicada a ativos de renda-fixa. Com base nisto, este estudo propõe uma abordagem de simples implementação de cálculo de VaR para ativos de renda-fixa baseado na Teoria dos Valores Extremos. / [en] Since the 90 decade, the use of Value at Risk (VaR) methodology has been disseminated among both financial and non-financial institutions around the world, as a good practice in terms of risks management. In spite of the fact that it does not take into account one of the most important characteristics of financial assets returns distribution - fat tails (excess of kurtosis), the parametric approach is the most used method for Value at Risk measurement. The Extreme Value Theory (EVT) is an alternative method that could be used to avoid the underestimation of Value at Risk, properly modeling the characteristics of probability distribution tails. However, there are few works that applied EVT to fixed-income market. Based on that, this study implements a simple approach to VaR calculation, in which the Extreme Value Theory is applied to fixed-income assets.

O presente trabalho tem como objetivo analisar a volatilidade dos mercados de renda fixa e renda variável no Brasil, no período de março de 1986 até fevereiro de 2006, por meio do CDI (Certificado de Depósito Interfinanceiro) e IRF-M (Índice de Renda Fixa de Mercado), como indicadores do mercado de renda fixa, e o IBOVESPA (Índice da BOVESPA), como indicador de renda variável. Por meio da comparação da volatilidade destes ativos é possível observar se há coincidência temporal entre os dois mercados, em relação aos picos de volatilidade devido, principalmente, a influência de variáveis macroeconômicas. Tal análise é importante para que os gestores de portfólios, que tomam decisões de como alocar os investimentos, conheçam o histórico e o corrente relacionamento entre as volatilidades dos dois mercados. As volatilidades do mercado de renda fixa e do mercado de renda variável foram calculadas por meio do desvio padrão anual dos retornos mensais e por meio de um modelo GARCH(1,1). Os resultados mostram que, no Brasil, durante o período analisado, os dois mercados apresentaram: períodos coincidentes de picos de volatilidade, grande mudança no padrão comportamental das volatilidades após a implantação do Plano Real e pouca estabilidade na relação entre as volatilidades. / This work aims to study the volatility of the fixed income market and the stock market in Brazil, from March 1986 to February 2006, through CDI (Interbank Interest Rate), IRF-M (Fixed Income Index), as a fixed income market indicators, and IBOVESPA (BOVESPA index), as a stock market indicator. Through the comparison of the volatility of these assets it is possible to observe if there is time frame coincidence between the two markets, in relation to the peaks of volatility due to, mainly the influence of macroeconomics variables. Such analysis is important so that portfolio managers, responsible for decisions such investments allocation, know the history and the actual relationship between the markets volatility. Such analysis is important so that portfolio managers, responsible for decisions such investments allocation, know the history and the actual relationship between the markets volatility. Those fixed income market and stock markets volatilities were calculated through the annual standard deviation of the monthly returns and from a GARCH(1,1) model. The results show that, in Brazil, during the studied period, both markets presents: coincident volatility peaks periods, high change in the behavioral pattern of volatility after the deployment of the Plano Real and little stability in the relationship between the volatility.