Para que um operador de uma mesa proprietária de um banco consiga fornecer um preço competitivo e de forma a auferir lucro em uma operação é fundamental uma estimação adequada da estrutura a termo da taxa de juros. Afinal, cada uma dessas demandas e ofertas por liquidez exigem diferentes prazos e na grande maioria das vezes instrumentos utilizados para realizar a imunização de acordo com o prazo dessa operação não estão disponíveis para negociação no mercado financeiro. A construção de uma estrutura a termo de juros é uma forma de sintetizar em uma única curva toda a informação disponível de contratos negociáveis no mercado financeiro e que reproduzam o preço mais justo para a taxa de juros de um determinado prazo. O objetivo do presente trabalho é implementar a estimação da estrutura a termo da taxa de juros brasileira utilizando-se do método de taxas a termo constantes entre as reuniões do Comitê de Política Monetária (Copom). O algoritmo implementado deve ser capaz de resolver a estimação num tempo suficientemente rápido para que seja possível agregá-lo em um sistema de cotações de mercado em tempo real e fornecer aos operadores de mercado informações completas da curva de juros com as taxas zero cupom e as taxas a termo para cada prazo. Nesta dissertação serão apresentados detalhes da implementação do algoritmo e também do arcabouço teórico utilizado. Será apresentando também uma breve descrição da dinâmica do mercado de juros brasileiro e suas peculiaridades, além de apresentar alguns métodos de estimação da estrutura a termo comumente utilizados. / For an operator of a bank to be able to provide a competitive price and to make a profit in an operation, an adequate estimation of the term structure of the interest rate is essential. After all, each of these demands and offers for liquidity require different terms and in most cases the instruments used to carry out the immunization according to the term of this operation are not available for trading in the financial market. The construction of an interest rate term structure is a way of synthesizing in a single curve all the available information of contracts negotiable in the financial market and that best reproduces the fairer price for the interest rate of a certain term. The main purpose of this work is implement the estimation of the Brazilian term structure of interest rate using the flat forward rate method between Copom meetings. The implemented algorithm must be able to resolve the estimation in a sufficiently fast time so that it can be aggregated into a real-time market quotations system and provide to market operators information on the yield curve and forward rates. This dissertation will present the algorithm implementation in detais as well as the theoretical framework used. It will also present a brief description of the dynamics of the Brazilian interest market and its peculiarities, besides presenting some methods of estimation of the term structure commonly used.

Este trabalho tem como objetivo testar a hipótese de dominância fiscal, bem como estimar uma regra de reação fiscal para o Brasil, e é desenvolvido em duas partes. Na primeira parte investiga-se a existência de dominância fiscal no Brasil a partir de 1999 ? ano em que se inicia a fixação de metas de superávit primário pelo governo ? através de função resposta ao impulso. O resultado obtido indica que não ocorre o fenômeno da dominância fiscal no período analisado. Na segunda parte analisa-se se o comportamento da autoridade fiscal do Brasil pauta-se em alguma regra de reação fiscal. Pretende-se aferir se o governo reage a variações no nível da dívida ajustando o resultado primário, de modo a garantir a sustentabilidade da razão dívida/PIB e permitir que a política monetária seja eficaz. Para o período anterior à fixação de metas de superávit primário (1995-1998) não é possível definir uma regra de reação fiscal, pois o superávit primário não responde a mudanças na dívida pública. Para o período posterior (1999-2006), entretanto, conclui-se que o governo segue uma regra de reação fiscal, denotando preocupação em evitar a dominância fiscal, embora a especificação da regra seja distinta para os governos Fernando Henrique Cardoso e Lula. / This research, which is divided into two parts, tests the hypothesis of fiscal dominance and estimates a fiscal reaction rule for Brazil. In the first part we investigate the existence of fiscal dominance in Brazil beginning 1999 ? the starting point of primary surplus targets by the Government ? through an impulse response function. Our analysis indicates that the fiscal dominance does not apply for the concerned period. In the second part, we investigate if the Brazilian fiscal authority follows any rule of fiscal reaction. We intent to test if the Government reacts adjusting the primary surplus to debt variations, maintaining the sustainability of the debt/GDP ratio and preserving the efficacy of the monetary policy. For the period prior to the primary surplus targets (1995-1998), it?s not possible to define a rule of fiscal reaction, as the primary surplus does not respond to variations in the public debt. However, for the 1999-2006 period, we found that the Government does follow a fiscal reaction rule, highlighting the preoccupation of avoiding the fiscal dominance, even though the rule?s specification is distinct for the mandates of Fernando Henrique Cardoso and Lula.

[pt] Esta tese de doutorado compõe-se de três artigos, sendo dois em finanças empíricas e um em microestrutura de mercado. O primeiro artigo estuda de que forma movimentos nas curvas de juros futuros em Reais e Dólares Americanos negociados na BM&F estariam relacionados com duas medidas de prêmio de risco cambial, uma à priori, calculada com base nas expectativas de variação cambial três meses à frente apuradas pelo Focus-BC, e outra à posteriori, calculada sobre a variação cambial efetiva realizada nos mesmos três meses. Os resultados mostram que movimentos da curva de DI parecem mais correlacionados com a variação cambial efetiva do que com as expectativas coletadas entre os agentes. O segundo artigo é uma variação do modelo de Ang e Piazzesi (2003), e investiga a contribuição do mercado de câmbio sobre o prêmio a termo na curva de juros futuros em Reais no Brasil. Usa-se uma UIP no lugar de uma Regra de Taylor para modelar a dinâmica da taxa de curto prazo, o que nos permite substituir as variáveis macro usuais de inflação e produto pela expectativa de variação cambial e prêmio de risco cambial na especificação do prêmio a termo na curva. O terceiro artigo propõe um modelo de mercado interdealer em três estágios onde o processo de revelação de informação é modelado como um sinal ruidoso e invertido de forma seqüencial nos dois estágios de negociação no mercado inter-dealer que se seguem à transação inicial. As simulações realizadas sugerem que a diversificação de risco na economia diminui quanto maior a precisão do sinal nos dois estágios. / [en] In this thesis we discuss two empirical essays in finance and one in market microstructure. The first article studies the joint dynamics of the two most liquid term structure of interest rates traded at BM&F, one in Brazilian reais and the other in US dollars, and two currency risk premia measures. One currency risk premia measure is obtained using currency expectation surveys conducted by the Central Bank of Brazil, while the other will be residual from the three month forward premium traded each day and the effective currency observed on the liquidation date three months after. Results show that the term structures will explain some of the realized currency risk premia observed three months after. We see this as an evidence in favor of information in the curves more correlated to the effective currency movement in three months than the expected devaluation. The second article proposes and extension of the framework introduced by Ang and Piazzesi (2003) to accommodate a no- arbitrage term structure model with macro factors. We replace the usual inflation and output macro factors for two currency variables, the expected currency devaluation and the currency risk premia. Results here show a better fit when compared to existing models estimated for Brazil. The third article proposes an inter-dealer market model in three stages, where disclosure of information is modeled by noisy informative signals. Simulations show that dealers better informed will play strategically to avoid revealing information and the risk-sharing in the economy will be lower when we increase the precision of the informative signals.

The study examines the effect of oil price changes on selected economic indicators in South Africa. A VAR-5 model was applied to quarterly data of 1990:Q1-2012:Q4 estimating the impulse response functions, variance decomposition and Granger-causality tests. The findings allow for a conclusion that oil significantly affects the exchange rate and an inverse link between oil and GDP exists. A unidirectional relation is found where oil Granger-causes the exchange rate and GDP Granger-causes oil in South Africa.

This paper analyzes what factors influence the long-term interest rate, in order to give an understanding of why the government debt has increased in EU member states. It is a statistical study of panel data analyzed by the fixed effect model. The research of the 27 EU member states is based on secondary data from the European Commission; Eurostat and EconStats. The results by the fixed effect model show that government debt, budget deficit and presidential system are significant and have a positive relationship with the long- term interest rate. The growth rate is significant, having a negative relationship with the long-term interest rate and the financial crisis did not increase the long-term interest rate. The results were not entirely consistent with theories and previous studies.

Le travail soumis commence par un aperçu du micro-crédit tel qu’il a été introduit au Bangladesh par M. Yunus. Puis on donne un modèle stochastique des retards de versement. Comme ces retards ne donnent pas lieu à une sanction financière, ils constituent, de fait, une baisse du taux réel de crédit. Ce taux est alors, lui-même, aléatoire. On calcule un taux espéré en fonction de la probabilité de retard de remboursement hebdomadaire. On déduit que ce taux espéré est d’environ 3.5% inférieur au taux (annoncé) du cas déterministe si l’on considère que 3% des retards atteignent 4 semaines. Le travail se poursuit par une étude statistique de données du micro-crédit en Thaïlande. On commence par présenter un modèle de régression logistique du taux de remboursement par rapport aux 23 variables mesurées sur un échantillon de 219 groupes d’emprunteurs. On présente ensuite une sélection des variables les plus pertinentes selon un critère AIC ou BIC par une méthode “backward stepwise”. Finalement des expériences sur des sous-échantillons montrent une bonne stabilité du choix des variables obtenues par la sélection. / This study is inspired from a real scenario of microcredit lending introduced in Bangladesh by Yunus. A stochastic model of random delays in repayment installments is then constructed. Since delays occur without financial penalty, the interest rate is obviously lower than the exact claimed. This rate then becomes a random variable corresponding to the random repayment time, in which simulation results of its distribution are provided. The expected rate is computed as a function of in-time installment probability. It is found around 3.5% lower than the exact one in the deterministic case when considering 3% of delay occurred within four weeks in real practice. The work is extended to a statistical analysis on data of microcredit in Thailand. It is started by presenting a logistic regression model of repayment outcome containing 23 input variables measured on a sample of 219 lending groups. Applying penalized criterion, AIC or BIC together with backward stepwise elimination procedure on the full model, a more parsimonious model kept only most relevant predictors is obtained. Finally, experiments on sub-samples show a stability of the chosen predictors obtained by the selection method.

Philosophiae Doctor - PhD / In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.

Dissertation with title: Housing Financing in the Czech Republic using mortgage loan deals with analysis of mortgage loans. Work aims to acquaint with issue and options of financing of housing. First part is focused on legislation and theory of mortgage loans, where is also characterised process of mortgage loans. Further is followed up comparison mortgage loans with loans from building savings, their advantages and disadvantages when are used to financing of housing. In the second part are presented macroeconomic indicators, that affect state of mortgage market. In the third part are analysed mortgage products of four selected banks , that are Hypotecni banky a.s , Komercni banky a.s, Raiffeisenbank a.s. and České spořitelny a.s. Last part is devoted to model example of two hypothetical clients, where it is carried out comparison of the mortgage loan in the selected banks in terms of fundamental parameters and also the APR. Goal of dissertation is to provide recommendation within this form financing of housing and choose the best variant of mortgage loan for hypothetical clients.

The goal of this thesis is to analyze the mathematical apparatus of the most widespread methods used for the yield curves construction. It aims to introduce not only the various of construction models but also to describe the whole process of creation, while discussing the advantages and disadvantage of individual methods. The first chapter focus on the general theory and the use of the term structure of interest rates in practice. The second part deals with the construction process itself and describes the most frequently used methods. The last chapter then shows the real application of selected methods on given data set and the use of the constructed yield curves for interest rate derivative valuation too.

The thesis summarizes the situation on mortgage market in the Czech republic from the 90th of the 20th century till present time, reasons for the mortgage boom. It informs about the state support of housing (incentives, state programmes), state residential conception.It defines kinds of morgage and gives its characteristics, informes about the phases of mortgage arrangement, scoring method for client evaluation and regulative standards for bank risk management. It shows housing and mortgage in statistics.There are mentioned the actual results of financial competition and influence of American mortgage crisis on the Czech mortgage market.In conclusion,it states the trends in the Czech mortgage market.