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published_or_final_version / Business Administration / Master / Master of Business Administration

In the first chapter we introduce securitisations and discuss the current state of structured finance in Europe; we also explore the main trends in securitisations and future prospects. Next, we provide a general introduction to the theoretical and empirical literature concerning securitisations and structured finance more generally: we discuss theoretical hypotheses concerning different rationales for structured credit and explore the empirical literature on the topic. In the second chapter, we look at financial contracts determining implicit boundaries of a firm. In the spirit of the incomplete contract theory, we analyse optimal allocations of control in financial contracts involving limits on managerial discretion and legal separation of assets. Our model explores the interplay between different groups of creditors and managers in a symmetric information environment. The results display optimality conditions for different contracts from asset-backed securities through project finance to debt with covenants vis-a-vis a standard debt contract. In the third chapter, we provide the first systematic testing of the theories of tranching. We find support for asymmetric information and market segmentation explanations for tranching and present evidence on how such different rationales influence the structuring process in practice. We also investigate the impact of tranching on the price of securities at the issue level. In the fourth chapter, we investigate determinants of launch spreads in securitisation transactions. First, we develop a reduced-form pricing model of tranches across different transaction types and test it. We document the importance of credit ratings for prices of structured securities. Next, we test for the effect of tranching on pricing of individual securities. Finally, we develop a simultaneous equations supply and demand model with endogenous structuring to further investigate the effects of structuring on prices at launch. In the fifth chapter, we investigate returns to equity around securitisation dates, and explore how different factors influence the size and the direction of the potential effects. We find significant, positive, and consistent abnormal returns to equity on the pricing date, over longer event windows, and over the period immediately prior to the issue date. We find support for the theory that equity holders in well-capitalised banks and firms with low gearing benefit from securitisations. Furthermore, we show that more developed securitisation markets, larger issuers, and banks in particular all benefit from securitisations.

Charles University in Prague Faculty of Social Sciences Institute of Economic Studies Bibliographic Record of a an Academic Thesis Title in the language of the thesis (as recorded in SIS) Terrorism and market risk assessment Subtitle Translation of the title into English/Czech (as recorded in SIS) Terrorism and market risk assessment Type of the Thesis Master's thesis Author: Bc. Jean Lacroix Year 2015 Advisor of the thesis Mgr Magdalena Patakova Number of pages 77 Awards Specialization Economics (CFS) Abstract in Czech Abstract in English Terrorist attacks are one of the best examples of fast evolving institutional framework. In that context investors are impacted by a lot of pieces of information in a limited period of time. This disturbs the trading behavior and consequently the distribution of returns on the period following the attack (the information was not predicted and directly affects the investment choices). The present thesis focuses on the risk aspect of such disturbances. If terrorist attacks reshape the distribution of returns, it may modify the risk measures (multivariate and univariate). The particularity of the change in distribution implies that the observed translation into financial measures of risk will not be equal among all indicators. First a distinction exists between univariate...

This dissertation consists of four chapters. The first chapter developed a new warning system for international currency crises. The existing crisis indicators in the literature are essentially static. We examine the relationship between the foreign reserves dynamics and currency crises. It is shown that rapid reserve depletion is a prominent feature before the collapse of the exchange rate system. Our model provides clear warning signals for policy makers to take actions before the reserves has reached a critical value that heralds the arrival of a full-blown crisis. The second chapter employed a competing risk model to investigate the crisis-driven exit and orderly exit from fixed exchange rate regime for the period 1972-2001. It is found that the time spent within a regime is itself a significant determinant of the probability of an exit. Different types of exits exhibit different patterns of duration dependence. Crisis-driven exits have a positive duration dependence pattern while orderly exits show a negative duration dependence pattern, even after controlling for country specific characteristics and unobserved heterogeneity. The Competing Risk model yields several interesting results. It is found that the more open the economy, the lower the likelihood of leaving an exchange rate peg, and that the higher the trade concentration, the lower the probability of an orderly exit. Further, financial openness increases the probability of having an orderly exit. There is also strong evidence that a lower reserve growth rate and the incidence of bank crisis are associated with a higher likelihood of crisis driven exits. The third chapter examines whether the gains from incentive realignment have driven corporations out of the public security market. It is shown that going private transactions are due to the reduction in the diversification gains from the public market. For firms whose managers own most equity and are highly leveraged, they have low incentive gains prior to the public-to-private transaction. Such firms go private because of financial distress and dwindling profitability. These kinds of going-private activities are counter-cyclical. On the other hand, a financially healthy firm with a low managerial ownership has high anticipated incentive gains. The gain from incentive realignment is the dominant factor for these going-private transactions. Such firms go private because of an increase in profitability or an improvement in financial distress. We show that these going-private activities are pro-cyclical. The fourth chapter investigates the sources of economy fluctuations in China since its economic reform in 1978. Under the framework of a standard neoclassical open economy model with time-varying frictions (wedge), we study the relative importance of efficiency, labor, investment and foreign debt wedges on recent business cycles phenomena in China. The business accounting procedure suggests that productivity best explains the behavior of aggregate economic variables in China throughout the 1978-2006 periods. Labor wedge plays a major role in explaining the movement of labor enforcement. Foreign debt wedge and investment wedge primarily affect the composition of output between consumption, investment and trade balance, and have a modest role in explaining the fluctuation of output. Our results imply that the reform on inefficiency factor utilization and labor market rigidity should be a focus of future government policies. / He, Qing. / Adviser: Tai Leung Chong. / Source: Dissertation Abstracts International, Volume: 71-01, Section: A, page: 0276. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 129-143). / 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 Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese.

This thesis examines the influences of global banking flows and its implication on the monetary policy regimes and economic fluctuations in the recipient economies. This work is based on the view that monetary policy shocks in core countries could be transmitted to the recipient EMEs via cross-border banking flows. Chapter 1 investigates influences of internal transactions within Asia-headquartered global banking group on the monetary policy effectiveness in selected Asian countries. It has been argued that global banks, when facing financial stress, reallocate their internal funds from their foreign affiliates in support of the parent banks. This action might help the parent banks to better protect their bank lending. In this spirit, the chapter investigates evidences suggestive of the operation of the channel for the Asian global banks. In Chapter 2, the US monetary policy shock identified from narrative sources is applied to measure the responses of banking flows and US global banks that in-termediate cross-border interbank funding. The results suggest that the responses of US global banks and the magnitude in banking outflows are much larger than previously thought. Chapter 3 examines an interaction between exchange rate regimes and financial crisis in EMEs triggered by a US monetary policy shock. First, an empirical evidence on the magnitude in banking outflows in EMEs in response to a US monetary policy shock is suggested. Then, an open economy model equipped with a banking sector is estimated and analyzed. The model predicts the well-known wisdom in the literature on sudden stops episodes: countries in the position of having to defend an exchange rate peg are more likely to suffer severe Sudden Stops and financial distress.

<p>In most African countries the private sector provides the main impetus for economic growth, especially since countries started opening up their economics for foreign investment. Foreign investments have played an important role in the economic growth and development process. Consequently, the purpose of this work was to analyse the consequences of having a MAI in light of the proposed OECD Agreement, the implications it may have for developing countries in Africa, and the way forward towards a balanced multilateral Agreement.</p>

Thesis (Ph. D.)--University of Oregon, 2000. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 97-101). Also available for download via the World Wide Web; free to University of Oregon users.

This thesis investigates issues relating to international portfolio diversification from the perspective of the Polish stock market in the context of the financial crisis. Beginning with an outline of the functioning of the Polish stock market, the first contribution of the thesis is to consider the risks, benefits and opportunities in this market. Within this context, trading strategies are considered with an emphasis on the impact on risk reduction or return enhancement of initial public offerings. Second, the thesis provides a model which may be relevant for measuring trend durations in equity prices. A third element of the thesis considers the influence of spill-over effects (from the financial crisis) on equity investments in Poland, incorporating country and industry specific factors. Finally, the thesis considers financial crisis contagion and policies that may be relevant for practitioners.

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