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81	The subprime mortgage crisis : asset securitization and interbank lending / M.P. Mulaudzi Mulaudzi, Mmboniseni Phanuel January 2009 (has links) Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010. Residential mortgage loan (RML) Treasuries Investing bank (IB) Special purpose vehicle (SPV) Credit risk Credit default swap (CDS) Tranching risk Counterparty risk Liquidity risk Regret Variance Value-at-risk Capital-at-risk Stochastic Optimization Discrete-time Continuous-time Discontinuous-time Subprime mortgage crisis
82	Les effets de la diversification sur le risque de change non couvert par les marchés financiers : estimation de la rentabilité du portefeuille dans un système d'informatio optimal / The effects of diversification on the currency risk is not covered by the financial markets : estimate of the profitability of the portfolio information system optimal Boukrami, Othmane 09 June 2011 (has links) Dans les conditions actuelles du marché, les entreprises dans les pays émergeants ont le choix entre une dette à court terme en monnaie locale et un financement à long terme en devise forte provenant de sources internationales pour financer leurs investissements à long terme. Ceci crée un gap de taux ou de change. Cette thèse se situe dans la continuité des travaux de recherche qui ont déjà étudié la question de la diversification des risques de change dans les marchés financiers matures. A la différence des approches existantes, cette recherche se concentre sur les monnaies des pays émergeants pour lesquels il n’existe pas ou peu d’instruments de couverture du risque de change et de taux. Le modèle proposé repose sur une conception fondamentalement différente des modèles de risque existants, cherchant à atténuer les risques internes grâce à la diversification du portefeuille, plutôt que par l’adéquation entre l'offre et la demande. Ceci en étudiant à la fois les corrélations entre les monnaies des pays des marchés émergeants constituées dans un portefeuille composé de monnaies des pays africains, asiatiques, sud-américains et d’Europe de l’Est ainsi que l’effet de la diversification sur la réduction du risque de marché. Le choix des monnaies n’a pas une incidence significative sur les résultats du moment que les limites régionales proposées sont respectées. L’objectif principal de cette thèse est de contribuer à la spécification et à l’identification d’un modèle de diversification des risques tout en démontrant que la constitution d’un portefeuille diversifié et non couvert des produits dérivés de change sur les monnaies des marchés émergents est une activité lucrative à long terme. En s’appuyant sur un Système d’Information performant, le model proposé tente de démontrer l’effet qu’auraient de tels produits de couverture sur la réduction du risque de crédit de l’emprunteur et par conséquent celui des bailleurs de fonds. Afin d’atteindre cet objectif, les différents risques liés à ces activités ont été définis tout en choisissant les méthodes pour une gestion efficace de ces risques ainsi que la modélisation d’expositions hypothétiques créées par cette activité. L’impact de la réduction de l’exposition au risque de marché par l’usage des produits de couverture du risque de change et de taux, sur le risque de crédit des entreprises dans les pays émergeants a aussi été modélisé. Les résultats de la simulation proposée montrent qu’une gestion optimale des risques de changes et de taux générés, à travers l’offre de couvertures sur les monnaies des pays émergeants, peut être une activité lucrative pour les banques car l’atténuation des risques peut se faire en diversifiant efficacement le portefeuille. / In current market conditions, companies in emerging markets have the choice between a short-term debt in local currency and a long-term hard currency financing from international sources to finance their long-term investments. This practice would create either an interest rate gap or a currency gap. As an extent of previous researches and studies covering the question of currency risks diversification in mature financial markets, this thesis is quite distinctive from the existing literature as it focuses on emerging market currencies for which there are little or no hedging options of currency and interest rate risks. The proposed model is based on a fundamentally different approach from existing risk models, seeking to mitigate risks internally through portfolio diversification, rather than by matching supply and demand. This, by analyzing both correlations between emerging market currencies in a portfolio composed of African, Asian, South American and Eastern Europe currencies and the effect of diversification on market risk reduction. The main objective of this thesis is to contribute to the specification and the identification of a risk diversification model while demonstrating that the establishment of a diversified portfolio of emerging market currencies not covered by the commercial banks is a lucrative business over the long-term. With an efficient information system, the proposed model attempts to demonstrate the effect that such hedging products would have on reducing the credit risk of borrowers and hence the lenders. To achieve this aim, the different risks associated with these activities have been identified while choosing the methods for their effective management as well as the modeling of hypothetical exposures created by this activity. The impact of reducing market risk exposure through the usage of interest rate and currency hedging products on the credit risk rating of companies in emerging countries has also been modeled. The current research claims that the choice of currencies does not significantly impact the results as long as the proposed regional limits are respected. The simulation’ results show that managing a diversified currency portfolio under an optimal risk management guidelines can be a lucrative business for banks as the risk mitigation can be effectively done through portfolio diversification. Monnaie Couverture Dérivés Déséquilibre Exposition Marchés émergeants Échéances Systèmes d’information VAR Actifs Passifs Risque de change Risque de taux d’intérê Swap Vente à terme Risque de marché Risque de crédit Risque de liquidité Currency Hedging Derivative Loan Mismatch Exposure Emerging market Maturities Information system VAR Assets Liabilities Currency risk Interest rate risk Swap FX forward Market Risk Credit Risk Liquidity Risk
83	Le risque de liquidité dans le système bancaire / Liquidity risk in the banking system Costisor, Mihaela 02 April 2010 (has links) Cette thèse étudie les différentes facettes du risque de liquidité et analyse le rôle essentiel qu'elles jouent dans la stabilité systémique.Dans la partie théorique de la thèse, nous traitons du risque de liquidité au travers des ruées bancaires. Progressivement, nous introduisons le marché interbancaire en tant que mécanisme d'assurance de liquidité entre les banques. Cependant, lorsqu'il y a une pénurie globale de liquidité, ce marché a tendance à favoriser la propagation d'une crise de liquidité de banque à banque, ce qui peut aboutir au risque systémique. Nous étudions de manière approfondie la littérature sur la contagion par les liens interbancaires et au travers des prix des actifs. / This thesis examines the different facets of the liquidity risk and aims to analyse their essential role in the stability of the financial system. In the theoretical part of the thesis, we treat liquidity risk through bank runs. Gradually, we introduce the interbank market as a liquidity insurance mechanism between banks. However, when there is an overall shortage of liquidity, this market tends to encourage the spread of liquidity crises from bank to bank which can lead to a systemic financial crisis. We study the literature on risk contagion by interbank links and through asset price effects. The applied part of the thesis aims to test the validity of hypotheses and insights presented in the theoretical framework. The goal is to betterunderstand the mechanism of liquidity risk and the forces of interaction between balance sheet effects that can lead to the transformation of liquidity risk into systemic risk caused by counterparty risk or the revaluation of tradable assets at market prices. In the first numerical application, we propose to evaluate the risk of contagion by interbank linkages in a context where banks borrow on the interbank market and/or at the central bank if necessary. The second simulation is dedicated to contagion through asset price effects, considering that the banks must sell assets on the market to meet their liquidity shortfall. If mark-to-market accounting is applied, the effects of the douwnturn in prices appear immediately and cause a spontaneous reaction from stakeholders. Risque de liquidité Ruée bancaire Contagion par des liens interbancaires Dépôt interbancaire Prêt interbancaire Exposition interbancaire Contagion par les prix des actifs Stabilité financière Risque systémique Liquidity risk Bank runs Contagion by interbank links Interbank liability Interbank claims Interbank exposure Financial stability Systemic risk
84	Systemic risk in financial economic institutions / Risques systémiques au niveau des institutions économiques et financières Mokbel, Rita 25 November 2016 (has links) Les crises financières et les problèmes se formaient mais les indicateurs ne sont pas précis pour permettre une intervention réglementaire. La thèse propose un modèle dynamique pour le système bancaire avec une banque centrale afin de calculer un indicateur de faillite en fonction de la probabilité qu'une banque soit en faillite et les pertes rencontrées dans le réseau financier, une méthodologie qui peut améliorer la mesure, le suivi et la gestion du risque systémique.La thèse propose également des mécanismes de compensation : 1- avec un modèle considérant l'ancienneté du passif et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché, 2 - avec un modèle considérant les participations croisées entres les banques dont les engagements interbancaires sont de différentes séniorités et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché. / Financial crisis pose important theoretical problems on creating reliable indicator of stability of financial systems on which basis the regulators could intervene. The thesis proposes a dynamic model of banking system were the central bank can calculate an indicator of potential defaults taking into consideration the probability for a bank to default and the losses encountered in the financial network, a methodology that can improve the measurement, monitoring, and the management of the systemic risk. The thesis also suggests a clearing mechanisms : 1- in a model with seniority of liabilities and one type of liquid asset whose fire sale has a market impact, 2 - in a model with crossholdings among the banks whose interbank liabilities may be senior and junior and with one liquid asset whose firing sale has a market impact. Risque systémique Réseaux financiers Contagion Probabilité de faillite Compensation Théorème de Knaster Tarski Hiérarchie Participation croisées Chocs communs Model stochastique Topologie de réseau Risque de liquidité Crises financières Cascade Actifs liquides Avoirs extérieurs Prix des actifs Systemic risk Financial networks Contagion Probability of default Clearing Knaster Tarski theorem Seniority Cross holdings Common shocks Dynamic model Stochastic models Network topology Liquidity risk Financial crises Cascade Liquid asset External asset Asset price 519
85	市場風險值管理之應用分析以某金融控股公司為例 / The analysis of Market Risk VaR management ：the case of financial holding company 周士偉, Chou, Jacky Unknown Date (has links) 2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。市場風險風險值經濟價值信託基金操作風險風險因子一般風險值壓力風險值條件風險值增額風險值邊際風險值變異數-共變異數法歷史模擬法蒙地卡羅模擬法隱含波動度厚尾順景氣循環標準法內部模型法市場流動性風險外生性市場流動性風險內生性市場流動性風險流動性調整後風險值壓力測試回溯測試 Market Risk Value at Risk Economic Value Active Management VaR Tracking Error Risk Factor Common VaR Stressed VaR Conditional VaR Incremental VaR Marginal VaR Variance-Covariance Approach Historical Simulation Approach Monte Carlo Simulation Approach Fat Tail Time-Varying Volatility pro-cyclical Standardized Approach Internal Models Approach Implied Volatility Generalized Error Distribution Bernoulli trial test Likelihood ratio test Unconditional Coverage Test Conditional Coverage Test Backward Looking Model Forward Looking Model Forecasting VaR Pearson Correlation Cholesky decomposition Kendall Correlation Copula method Future Volatility Disconnection Market Liquidity Risk Exogenous Market Liquidity Risk Endogenous Market Liquidity Risk Liquidity-adjusted VaR Stress Test Backtesting Net Interest Income Re-pricing Model Maturity Model Duration Model
86	從美國次級房貸談台灣金融業可能遭受之影響及省思 / How Could We Succeed In The Aftermath of U.S.Subprime Crises 徐雪蓉, Hsu, Hsueh Jung Unknown Date (has links) 美國次級房貸在1990年代中期曾經十分興盛，不過之後因LTCM危機，加上Fed採取連續升息政策，許多次級房貸放款的業者面臨資金流動性問題，以及次級房貸利潤不夠高，迫使許多業者退出這個市場，1998年亞洲金融風暴,美國雖未受波及,然自2000年開始因網路科技泡沫影响及2001年911恐怖攻擊,經濟衰退連續降息後，次級房貸在美國持續降息期間再度大幅成長，原因包括當時美國房價上升速度快、不動產市場流動性充裕，投資人增加對收益率較高產品的需求，導致更多次級房貸需求。國際資金游動頻繁，衍生性產品及不動產證券化盛行，信用卡債、擔保債權憑證(CDO)、資產抵押證券被分割、包裝成證券或基金產品賣出，次級房貸風暴發生，間接亦影響到全球投資在上列產品之銀行、避險基金、機構法人、退休金等等…導致全球股票市場大跌，引發整個金融信用環境惡化，可能引發不良金融連鎖反應，從而導致更大的經濟金融危機。美林證券、花旗銀行、歐美各大銀行相繼宣布資產減損,台灣國內銀行、保險公司亦陸續出現認列資產減損金額,只要一有次級房貸不利之消息出現,全球股市應聲而倒,截至目前問題所在雖略知一二,然國外金融業界因資訊較透明,其影響已漸公佈及擴大中,國內金融業則仍多採取保守態度,但亦逐漸依規定認列財產損失,然而問題是否已近尾聲,風險是否完全受控制則說法不一。次級房貸問題的主要原因是相關金融商品證券化,層層包裝成各種衍生性產品,於次級房貸風暴發生後,信用風險連鎖反應造成相關產品無流動性,被隱藏的風險暴露後原有的信評機制幾乎全部失效,層層包裝的風險因事先未被定價,風暴後更無法估算其所會波及之影響,Mark to Market及34號公報迫使全球企業對次級房貸投資相關產品之損失提列資產減損,更加重各項產品流動性之停滯,信用危機造成信心危機，層層結構性產品及再轉投資,造成信用無虞的公司也遭魚池之殃,次級房貸衍生之金融商品,因主要購買者多為金融業或保險業或再包裝後出售予投資客,其後繼影響更是難以估計。本論文內容除探討美國次級房貸定義、對美國國內及全球之影響、美國政府及各國政府的因應政策、截至目前影響及預計可能還會再出現影響,及因次級房貸之崩潰及衍生之金融產品之跌價所影響的層面與近年來國內外銀行爭相推展個人金融事業及財富管理事業的成立,是否有相當之關係,信用評等、風險控管、及定價在此風暴是否扮演重要角色,但卻又明顯失控?為避免類似情況再發生,應如何因應與防範?進而以提出個人對此事件探討之結論及省思後之建議。次級房貸不動產證券化衍生性商品擔保債權憑證財富管理事業個人金融事業結構債流動性風險避險基金信評機構財務工程風險預告結構式投資工具美國長期資本管理公司美國個人信用評分公司抵押債券憑證市值認列法信用修補認識您的客戶 Subrpime Mortgage Real Estate Securitization Commodity Derivatives CDOs:Collateralized Debt Obligations Wealth Management Business Personal Finance Business Structured Notes Liquidity Risk Hedge Funds Credit Agencies Financial Engineering Risk Of Giving Notes SIVs:Structured Investment Vehicles LTCM:Long Term Capital Management FICO:Fair Lsaac Corporation CMOs:Collateralized Mortgage Obligations Mark To Market Credit Repair KYC:Know Your Customer

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