Submitted by Joao Moura (joaosic@gmail.com) on 2009-06-30T19:59:09Z No. of bitstreams: 1 Tese_MFEE_JOAO SICHIERI_2007.pdf: 336631 bytes, checksum: dc4d29066af0bd6c7564db0c209c3eb2 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2009-07-07T14:50:25Z (GMT) No. of bitstreams: 1 Tese_MFEE_JOAO SICHIERI_2007.pdf: 336631 bytes, checksum: dc4d29066af0bd6c7564db0c209c3eb2 (MD5) / Made available in DSpace on 2009-07-07T14:51:00Z (GMT). No. of bitstreams: 1 Tese_MFEE_JOAO SICHIERI_2007.pdf: 336631 bytes, checksum: dc4d29066af0bd6c7564db0c209c3eb2 (MD5) Previous issue date: 2007-05-30 / Credit risk management has assumed increasing importance for the managers and directors of enterprises. Thus, different approaches aimed to measure the probability of default are under discussion nowadays. This paper evaluates models that have become more popular over the last 30 years in order forecast defaults or to provide information regarding to financial difficulties of enterprises. This paper will focus on the KMV model in order to estimate the probability of default, its methodology based on market value of the asset and its volatility and finally estimate the probability of default. Finally, to test the KMV model will be used a sample of global steel companies that have credit in Companhia Vale do Rio Doce (CVRD), which will allow us to make comparisons with the models presented in this work.

過去研究多將焦點集中在增加高階經理人薪酬，將可促使高階經理人為公司股東的權益努力，為此探討提昇股東權益包含高階經理人獎酬與公司績效間的關聯，卻忽略了其與風險間的關係。高階經理人員可能因為獎酬的激勵，從事對公司有利且風險較低的計畫，也可能會為了提高自身的權利，將風險轉嫁給公司，因此激發出探討高階經理人員獎酬與公司風險間的關係的研究動機。 本研究以KMV模型之預期違約率作為公司風險之參數，探討高階經理人之 薪酬、自由現金流量、KMV信用風險之關係，同時瞭解公司規模是否影響高階 經理人薪酬、自由現金流量及公司績效與公司KMV信用風險間的關係。 研究結果顯示，公司高階經理人的薪酬與公司違約風險呈負相關，即高階經理人薪酬的提高，確能降低公司的違約風險，但此現象僅在大規模公司才能發現。此外，就自由現金流量而言，小規模公司之自由現金流量愈多，存在較高的風險，惟有提高公司營運績效，方能減緩公司風險的承擔。另一方面，對於高階經理人薪酬的提升，雖然在小規模公司並沒有效果，但係有助減緩自由現金流量帶來的負向衝擊。最後，前述小結僅存在於小規模公司群體，這可能是因為，大公司擁有較高的政治成本，因此為了避免社會的關注，大公司較小公司有較好的公司治理機制，因此管理當局較不可能基於自利的動機來影響公司的風險。 / Many past researches focused on senior manager will be able to work hard for raising shareholder’s equity because of higher compensation. Many researches of raising stakeholder’s equity explored the relation between senior manager compensation and financial performance, but ignored the relation with credit risk of company. Senior managers maybe perform lower or higher risk project for themselves benefit due to some higher compensation motivation. Thus this researching will refocus on exploring the relation between senior manager compensation and company credit risk. This study will discuss the relation among senior manager compensation, FCF and KMV company credit risk by EDF of KMV model as a parameter of company credit risk. And to understand the scale of company weather influence the relation among senior manager compensation, FCF and KMV company credit risk? The results of this research show that the senior manager compensation is negatively correlated with company credit default risk. On the other hand, higher senior manager compensation will reduce the risk of company credit default, but this phenomenon can be found only in lager companies. In addition, as far as small company's FCF, the more FCF, the more there is a higher risk. Increase company's operating performance, the company credit risk can be slow down. On the other hand, in small company there is no effect on raising senior manager compensation, but it will help mitigate the negative impact of FCF. Finally, the foregoing summary is just only in small company groups, may be because larger companies have higher political cost, so in order to avoid the concern of society, larger companies have better corporate governance than small companies, thus senior manager will not be able to influence the company’s credit risk for their self-interested motivation.

[pt] Busca por palavras-chave fornece uma interface fácil de usar para recuperar informação. Esta tese contribui para os problemas de busca por palavras chave em conjuntos de dados sem esquema e trajetórias semânticas baseados no Resource Description Framework. Para endereçar o problema da busca por palavras-chave em conjuntos de dados RDF sem esquema, a tese introduz um algoritmo para traduzir automaticamente uma consulta K baseada em palavras-chave especificadas pelo usuário em uma consulta SPARQL Q de tal forma que as respostas que Q retorna também são respostas para K. O algoritmo não depende de um esquema RDF, mas sintetiza as consultas SPARQL explorando a semelhança entre os domínios e contradomínios das propriedades e os conjuntos de instâncias de classe observados no grafo RDF. O algoritmo estima a similaridade entre conjuntos com base em sinopses, que podem ser precalculadas, com eficiência, em uma única passagem sobre o conjunto de dados RDF. O trabalho inclui dois conjuntos de experimentos com uma implementação do algoritmo. O primeiro conjunto de experimentos mostra que a implementação supera uma ferramenta de pesquisa por palavras-chave sobre grafos RDF que explora o esquema RDF para sintetizar as consultas SPARQL, enquanto o segundo conjunto indica que a implementação tem um desempenho melhor do que sistemas de pesquisa por palavras-chave em conjuntos de dados RDF baseados na abordagem de documentos virtuais denominados TSA+BM25 e TSA+VDP. Finalmente, a tese também computa a eficácia do algoritmo proposto usando uma métrica baseada no conceito de relevância do grafo resposta. O segundo problema abordado nesta tese é o problema da busca por palavras-chave sobre trajetórias semânticas baseadas em RDF. Trajetórias semânticas são trajetórias segmentadas em que as paradas e os deslocamentos de um objeto móvel são semanticamente enriquecidos com dados adicionais. Uma linguagem de consulta para conjuntos de trajetórias semânticas deve incluir seletores para paradas ou deslocamentos com base em seus enriquecimentos e expressões de sequência que definem como combinar os resultados dos seletores com a sequência que a trajetória semântica define. A tese inicialmente propõe um framework formal para definir trajetórias semânticas e introduz expressões de sequências de paradas-e-deslocamentos (stop-and-move sequences), com sintaxe e semântica bem definidas, que atuam como uma linguagem de consulta expressiva para trajetórias semânticas. A tese descreve um modelo concreto de trajetória semântica em RDF, define expressões de sequências de paradas-e-deslocamentos em SPARQL e discute estratégias para compilar tais expressões em consultas SPARQL. A tese define consultas sobre trajetórias semânticas com base no uso de palavras-chave para especificar paradas e deslocamentos e a adoção de termos com semântica predefinida para compor expressões de sequência. Em seguida, descreve como compilar tais expressões em consultas SPARQL, mediante o uso de padrões predefinidos. Finalmente, a tese apresenta uma prova de conceito usando um conjunto de trajetórias semânticas construído com conteúdo gerado pelos usuários do Flickr, combinado com dados da Wikipedia. / [en] Keyword search provides an easy-to-use interface for retrieving information. This thesis contributes to the problems of keyword search over schema-less datasets and semantic trajectories based on RDF. To address the keyword search over schema-less RDF datasets problem, this thesis introduces an algorithm to automatically translate a user-specified keyword-based query K into a SPARQL query Q so that the answers Q returns are also answers for K. The algorithm does not rely on an RDF schema, but it synthesizes SPARQL queries by exploring the similarity between the property domains and ranges, and the class instance sets observed in the RDF dataset. It estimates set similarity based on set synopses, which can be efficiently precomputed in a single pass over the RDF dataset. The thesis includes two sets of experiments with an implementation of the algorithm. The first set of experiments shows that the implementation outperforms a baseline RDF keyword search tool that explores the RDF schema, while the second set of experiments indicate that the implementation performs better than the stateof- the-art TSA+BM25 and TSA+VDP keyword search systems over RDF datasets based on the virtual documents approach. Finally, the thesis also computes the effectiveness of the proposed algorithm using a metric based on the concept of graph relevance. The second problem addressed in this thesis is the keyword search over RDF semantic trajectories problem. Stop-and-move semantic trajectories are segmented trajectories where the stops and moves are semantically enriched with additional data. A query language for semantic trajectory datasets has to include selectors for stops or moves based on their enrichments, and sequence expressions that define how to match the results of selectors with the sequence the semantic trajectory defines. The thesis first proposes a formal framework to define semantic trajectories and introduces stop and move sequence expressions, with well-defined syntax and semantics, which act as an expressive query language for semantic trajectories. Then, it describes a concrete semantic trajectory model in RDF, defines SPARQL stop-and-move sequence expressions, and discusses strategies to compile such expressions into SPARQL queries. Next, the thesis specifies user-friendly keyword search expressions over semantic trajectories based on the use of keywords to specify stop and move queries, and the adoption of terms with predefined semantics to compose sequence expressions. It then shows how to compile such keyword search expressions into SPARQL queries. Finally, it provides a proof-of-concept experiment over a semantic trajectory dataset constructed with user-generated content from Flickr, combined with Wikipedia data.

The thesis is focused on the options of quantifying credit risk by using the concept of the KMV model. The introduction outlines the basic approaches to measuring credit risk. In the following chapters is specified the nature of KMV model with the focus on its application in the Czech capital market. Self-calibration of the KMV model is made in this part. The analytical part related to the quantification of credit risk using the KMV model is implemented on selected companies which are traded on the Prague Stock Exchange. The results obtained are consequently confronted with the official rating degrees of agency Moody's.

Submitted by Matheus Pimentel Rodrigues (mth3u5@gmail.com) on 2015-09-14T12:04:09Z No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-14T16:30:12Z (GMT) No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5) / Made available in DSpace on 2015-09-14T19:08:49Z (GMT). No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5) Previous issue date: 2015-08-17 / This is one of the first works to address the issue of evaluating the effect of default for capital allocation in the trading book, in the case of public equities. And more specifically, in the Brazilian Market. This problem emerged because of recent crisis, which increased the need for regulators to impose more allocation in banking operations. For this reason, the BIS committee, recently introduce a new measure of risk, the Incremental Risk Charge. This measure of risk, is basically a one year value-at-risk, with a 99.9% confidence level. The IRC intends to measure the effects of credit rating migrations and default, which may occur with instruments in the trading book. In this dissertation, the IRC was adapted for the equities case, by not considering the effect of credit rating migrations. For that reason, the more adequate choice of model to evaluate credit risk was the Moody’s KMV, which is based in the Merton model. This model was used to calculate the PD for the issuers used as case tests. After, calculating the issuer’s PD, I simulated the returns with a Monte Carlo after using a PCA. This approach permitted to obtain the correlated returns for simulating the portfolio loss. In our case, since we are dealing with stocks, the LGD was held constant and its value based in the BIS documentation. The obtained results for the adapted IRC were compared with a 252-day VaR, with a 99% confidence level. This permitted to conclude the relevance of the IRC measure, which was in the same scale of a 252-day VaR. Additionally, the adapted IRC was capable to anticipate default events. All result were based in portfolios composed by Ibovespa index stocks. / Esse é um dos primeiros trabalhos a endereçar o problema de avaliar o efeito do default para fins de alocação de capital no trading book em ações listadas. E, mais especificamente, para o mercado brasileiro. Esse problema surgiu em crises mais recentes e que acabaram fazendo com que os reguladores impusessem uma alocação de capital adicional para essas operações. Por essa razão o comitê de Basiléia introduziu uma nova métrica de risco, conhecida como Incremental Risk Charge. Essa medida de risco é basicamente um VaR de um ano com um intervalo de confiança de 99.9%. O IRC visa medir o efeito do default e das migrações de rating, para instrumentos do trading book. Nessa dissertação, o IRC está focado em ações e como consequência, não leva em consideração o efeito da mudança de rating. Além disso, o modelo utilizado para avaliar o risco de crédito para os emissores de ação foi o Moody’s KMV, que é baseado no modelo de Merton. O modelo foi utilizado para calcular a PD dos casos usados como exemplo nessa dissertação. Após calcular a PD, simulei os retornos por Monte Carlo após utilizar um PCA. Essa abordagem permitiu obter os retornos correlacionados para fazer a simulação de perdas do portfolio. Nesse caso, como estamos lidando com ações, o LGD foi mantido constante e o valor utilizado foi baseado nas especificações de basiléia. Os resultados obtidos para o IRC adaptado foram comparados com um VaR de 252 dias e com um intervalo de confiança de 99.9%. Isso permitiu concluir que o IRC é uma métrica de risco relevante e da mesma escala de uma VaR de 252 dias. Adicionalmente, o IRC adaptado foi capaz de antecipar os eventos de default. Todos os resultados foram baseados em portfolios compostos por ações do índice Bovespa.

The closure of a mine is an inevitable event in the lifecycle of a mining operation and one that can have massive environmental, social and economic consequences for mining communities in particular. The ultimate goal of mine closure should be sustainable development and, while adequate planning, risk assessment and goal setting influence the mine closure process, the relationships between stakeholders, especially those between mining companies and communities, lie at the heart of implementing sustainable closure. Mining communities are affected by nearby mining operations and, although they can enjoy the economic benefits of the industry, they also bear the brunt of the negative social and environmental impacts. The focus on sustainable development and corporate social responsibility in addition to the increased power of communities in recent years has forced mining companies to consider the interests of this stakeholder group. The community‟s perceptions and expectations of sustainable development can, however, differ from those of the mining company and have an influence on the stakeholder engagement process. The current study investigates the mining community of Kagiso‟s perceptions of sustainable development and the implications of these perceptions for the implementation of Mintails Mogale Gold Mine‟s approach to mine closure. Stakeholder engagement issues are brought to the fore and recommendations for improving the engagement between the mine and the community are proposed. / M (Development and Management), North-West University, Potchefstroom Campus, 2015

The closure of a mine is an inevitable event in the lifecycle of a mining operation and one that can have massive environmental, social and economic consequences for mining communities in particular. The ultimate goal of mine closure should be sustainable development and, while adequate planning, risk assessment and goal setting influence the mine closure process, the relationships between stakeholders, especially those between mining companies and communities, lie at the heart of implementing sustainable closure. Mining communities are affected by nearby mining operations and, although they can enjoy the economic benefits of the industry, they also bear the brunt of the negative social and environmental impacts. The focus on sustainable development and corporate social responsibility in addition to the increased power of communities in recent years has forced mining companies to consider the interests of this stakeholder group. The community‟s perceptions and expectations of sustainable development can, however, differ from those of the mining company and have an influence on the stakeholder engagement process. The current study investigates the mining community of Kagiso‟s perceptions of sustainable development and the implications of these perceptions for the implementation of Mintails Mogale Gold Mine‟s approach to mine closure. Stakeholder engagement issues are brought to the fore and recommendations for improving the engagement between the mine and the community are proposed. / M (Development and Management), North-West University, Potchefstroom Campus, 2015

銀行或金融機構面對的風險眾多，包括信用風險、市場風險、作業風險、法律風險、系統風險與國家主權風險等。2001年公佈的巴塞爾新資本協定(Basel II)，對於信用風險有全新的規範，使得金融機構為了提升競爭力，而致力改革。國內銀行也需加強信用風險管理，減少壞帳，增加獲利，以面對全球化的考驗。 判斷公司違約情形是風險管理者的主要責任，管理者利用各種模式，加以評估公司狀況，而面對模式的不同，會產生不同的結果，使管理者缺乏單一指標，可供遵循。本研究以此為出發點，以統計模式構建組合預測，期能簡化管理者的決策過程。 首先介紹多種信用風險模式，及國內外相關實證。然後針對兩種信用風險模式，Z-score與Merton選擇權模式，研究在台灣的適用情形。Z-score代表公司財務資訊，為一個落後指標；Merton選擇權模式代表市場資訊，是一個領先指標；本研究將兩項指標應用Logit迴歸予以組合，期能得到一個較佳的指標。組合結果顯示，組合預測能夠整合Z-score與Merton選擇權兩種模式，得到一個較好的預測正確率，判斷公司是否可能發生危機。在危機發生前一年時，判斷正確率高達90%，但是離危機發生時點越遠，組合預測的結果會近似於鑑別分析結果，其主要原因為Merton選擇權模式的不適用。 本研究提出了若各種預測指標對同一家公司的信用風險評估不同，則可以經由組合預測，得到一個綜合結果，以減少指標間互相衝突所造成的差異，與風險作業人員誤判的可能，並可提供風險管理者作為執行業務的參考。

財務報表是投資大眾據以了解企業財務體質的主要來源，然而安隆事件的發生，造成投資人依賴財務報表的信心幾近崩潰。近期國內博達科技公司在財報中有帳列現金63億元情況下，因無法償還即將到期的29.8億公司債，而無預警的向法院聲請重整，爆發財務危機事件，似乎又是一樁企業以虛飾誇大之財務報表，誤導投資人，致使無數投資人損失慘重之案例。究竟財務報表能夠表達的企業營運情況是什麼？我們到底可不可以利用財務報表，即使是經過美化的報表，看出企業有行為不軌的蛛絲馬跡？ 本研究是在傳統財務比率分析方法失效時，打算從另一個角度，尋找企業違約前之徵兆。利用選擇權理論法模型，以及Z-Score模型來檢視博達公司的信用風險，試著以信用風險模型探索其信用危機發生前之警訊。最重要的是，為使一般投資人皆可利用此信用風險模型作為信用風險管理的參考，故所有資料來源均為集中市場公開資訊，不論是股價、各種財務報表及公告資訊，均是利用臺灣證券交易所網站（www.tse.com.tw）中取得資訊。 本研究運用兩種理論模型實證結果，選擇權理論法模型並無出現特別警訊，反而是Z-Score模型結果令人滿意，不論是Altman區別函數，或是替代之「本土型」區別函數計算結果，均在博達公司財務危機事件發生一年前就以區別分數顯示其有財務危機之警訊。甚至針對博達公司倍受質疑的業績灌水、營收虛增問題，調整銷貨收入，並重新代入Z-Score模型後，Z值之預警效果更加提前反映及顯著。

Made available in DSpace on 2016-04-25T16:44:21Z (GMT). No. of bitstreams: 1 Jose Renato de Paula Lamberti.pdf: 1340923 bytes, checksum: 9600626bdbb142fe874e7ba242bc30b1 (MD5) Previous issue date: 2011-05-19 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Evaluating the risk of default by a company became an indispensable object when making the decision to grant to the financial credit institutions. Taking in account the current record of credit growth, the strategic role of risk management for financial institutions, the constant innovations in the process of detection risk and the large volume of academic researches related to management models for credit risk, because of this, it was considered the appropriate occasion for the development of this dissertation. The present work aims to confront the traditional analysis of risk based on accounting ratios and the results of KMV model to determine the probability of default of publicly traded companies. The dissertation will address the theoretical review of the traditional analysis of credit risk and the model of KWN (based on the theory of Black and Scholes 1973 and Merton, 1974). The next step will apply the accounting ratios and the KMV model, calculating the probability of default of the building sample. Therefore, we will discuss the limitations of the KMV model and some recommendations in order to improve management of credit / Avaliar o risco de inadimplência de uma empresa tornou-se objeto indispensável para a tomada de decisão de concessão de crédito para as instituições financeiras. O atual histórico de crescimento do crédito, o papel estratégico do gerenciamento do risco para as instituições financeiras, as constantes inovações nos procedimentos de detecção de risco e o grande volume de pesquisas acadêmicas abordando modelos de gestão dos riscos de crédito, considerou-se oportuna a ocasião para o desenvolvimento desta dissertação. O presente trabalho tem como objetivo confrontar a análise tradicional de risco baseada em índices contábeis e o resultado do modelo KMV para determinar a probabilidade de default das empresas de capital aberto. A dissertação abordará a revisão teórica da análise tradicional do risco de crédito e em seguida, a modelagem do KMV ( baseada na teoria de Black e Scholes, 1973 e Merton, 1974). O próximo passo aplicará os índices contábeis e a modelagem do KMV, calculando a probabilidade de default das empresas da amostra. Por conseguinte, serão discutidas as limitações do modelo KMV e algumas recomendações com o intuito de aprimorar o gerenciamento do crédito