A population of financial derivatives can be compressed if a subset of derivatives yield a net cash flow that lies within a given tolerance level between the parties involved. To conduct a correct population compression, it is essential that all derivatives of the involved parties are present in the derivative set. The current state-of-the-art to ensure this is to have analysts with domain expertise analyzing the populations with the use of assisting tools. The purpose of this project was to automate this process through the use of machine learning classification. Different ways of using clustering for representing a collection of derivatives was implemented and evaluated. The first representation derives from a clustering of all derivatives across populations, describing the distribution of the derivatives across the clusters. A second representation uses the previously mentioned clustering to instead find the distance from a population to all the clusters to form a vector. These representations were compared to two naive representations, one where the mean derivative of a population is used as representation and one where a random clustering is used to find a distribution. The representations were evaluated through classification, using three different classification models (Support Vector Machine, Decision Tree, and a Naive Bayes' Classifier). Different models were tested to examine whether the representations generalize across models. Both the proposed representations were found to be comparable with the naive representations, indicating that the representations fail to capture the characteristics of missing derivatives. The cause of this was found to be that populations of derivatives vary too much for clustering to be consistent enough across populations. / En population av finansiella derivat kan komprimeras om en delmängd av derivat ger ett nettokassaflöde mellan de berörda parterna som ligger inom ett givet toleransintervall. För att göra en korrekt kompression är det viktigt att alla derivat med de involverade parterna finns närvarande i derivatuppsättningen. I nuläget används analytiker som med domänkompetens och erfarenhet kan analysera populationen med hjälp utav verktyg. Syftet med detta projekt var att undersöka om det är möjligt att automatisera denna process genom att använda maskininlärningsklassificering. Olika sätt att använda klustring för att representera en samling derivat implementerades och utvärderades. Den första representationen klustrar alla derivat över populationer och representerar en population med en vektor som beskriver fördelningen av derivaten över kluster. En andra representation använder den tidigare nämnda klustringen för att istället hitta avståndet från populationen som ska representeras till alla kluster för att bilda en vektor. Dessa representationer jämfördes med två naiva representationer, en där det genomsnittliga derivatet av en population används som representation och en där en slumpmässig klustring används för att hitta en distribution likt den först beskrivna representationen. Representationerna utvärderades genom klassificering med tre olika klassificeringsmodeller (stödvektormaskiner, beslutsträd och en naiv Bayesklassificierare). Olika modeller testades för att utvärdera hur representationerna generaliserar över modeller. Båda de föreslagna representationerna visade sig prestera i linje med de naiva representationerna, vilket indikerar att representationerna misslyckas med att fånga kännetecknen för saknade derivat. Orsaken till detta tycks vara att varje uppsättning av derivat är så unik att klustring av derivaten blir för olik baserat på vilken uppsättning man använder.

研究動機 交換交易為新興財務處理工具，屬於衍生性金融商品一種，可使企業降低資金成本及規避財務風險，自一九八一年世界銀行與IBM公司簽訂首筆貨幣交換交易之後，市場迅速發展。惟因需金融財務處理、證券發行及外匯交易等專業知識技術，牽涉相關法律、會計稅務等問題增加複雜性。又其屬於資產負債表外項目，不受相關法規牽制，參與者可依照個別需求選擇操作期間及方式，相對於其他標準化的期貨契約等可提供多樣選擇與長期的避險功能，但由於資訊不易公開揭露，容易產生法律與管理風險。 一九九五年二月霸菱銀行因衍生性金融商品交易操作不當，導致該銀行破產轉讓，以及一九九五年一月我國華僑銀行在外國債權投資與利率交換交易上遭受逾六千萬美元的帳面損失，致使國內金融主管單位與監理機構對其加強管理。一九九八年LTCM長期資本管理公司之避險基金在同年八月底，該基金契約之總面值在交換交易超過七千五百億美元、期貨交易超過五千億美元、選擇權和店頭市場衍生性商品交易超過一千五百億美元，由於異常槓桿操作、資訊揭露不足、忽視流動性風險、操作策略等因素，導致破產並造成前十七大交易對手所承受的實質損失金額總數約在三十至五十億美元之間。 由於交易型態不斷地推陳出新，法律屬性難以定位，使其存有高度法律不確定性，以美國為例，除管轄爭議外，鑒於店頭衍生性商品之高度風險，交易適當性也廣受討論。為了解上述業務開放可能產生的問題，並因應金融國際化的趨勢，有深入認識交換交易之必要，是以本文擬就交換交易可能涉及之法律問題加以探討研究。 研究範圍 交換交易可利用信用評等不同所產生的比較利益來進行，因此進行交易的任何一方均可獲利，傳統上視其為增加遊戲；與期貨與選擇權有所不同，期貨與選擇權除帶有投機性質外，係一方獲利以他方損失為代價之零和遊戲。又交換交易係屬資產負債表外之項目，不受相關法規限制，參與者可依照需要選擇操作期間與方式，相較於其他已經標準化的避險工具可提供多樣與長期避險功能，但由於不受法規牽制，交易本質並無要求標準化契約及特定交易方式，相對交易風險較高。本文擬就下列問題加以介紹： （一）交換交易之定義、種類、功能、特色 （二）ISDA標準化契約內容 （三）美國法院判決分析交換交易之法律性質 （四）美國與我國相關法令規範分析 第一章為緒論，介紹論文研究動機、範圍。第二章為交換交易類型介紹，並進一步介紹現行實務廣泛使用ISDA標準化契約內容。 第三章由美國判決角度探討交換交易法律性質，由判決所建立各項標準討論交換交易是否屬於美國證交法與證券交易法之「證券」。 第四章介紹美國管理機關與法規制度，說明交換交易管轄範圍爭議，主管機關間如何協調達成協議，與美國對於新交易類型權益交換所作修正之規範。 第五章介紹我國證券金融期貨法規範，鑑於諸多交易類型不斷變化衍生，其特性與交易模式於立法層面恐非立法者於制定證券交易法當時所能預料導致現行證券交易法些許規定在規範面與實際適用可能會產生漏洞。現行市場商品有諸多由第三人為發行機構，標的資產與股權或債券相連結之金融工具如股權連結商品可能與權益交換產生相同的問題，是以本文由權益交換出發討論其與證券交易法有價證券之關係，與內部人短線交易法律層面法律漏洞，以供我國證券交易法未來之參考。第六章為結論。

The subject of this thesis is the evaluation of certain legal aspects of financial markets regulation related especially to dealing activities. Important role plays the context of contemporary period struggling with the consequences of recent financial crisis with the emphasis put on EU (resp. national) regulation. The first part is in general devoted to the meaning of existent regulation itself. Related legislation and institutional layout are subsequently brought closer in context of national and esp. EU environment. Certain point of interest deserves even (american) the most comprehensive financial markets reform ever. The key part of this thesis devotes to public law aspects instantly influencing dealing and trading activities on financial markets and their contrast to reality. The first theme describes categorization of clients entering on financial markets and duties put on subjects involved (counterparties), who conclude ind. deals with them. Then follow rating agencies, who have been influencing daily routine on financial markets for years and whose evaluation activities imminently influence the row of processes present on financial markets - starting from calculation of capital adequacy requirements until settlement of credit derivatives trades. Capital adequacy is put in context with...

Este trabalho visa a discutir aspectos centrais dos instrumentos derivativos, que têm ganhado importância crescente desde os anos 70, principalmente depois da crise do subprime em 2008. No Capítulo I, procura-se resgatar o debate sobre a natureza jurídica dos derivativos, tendo em vista sua função econômica. A partir deste ponto de partida, extraem-se conclusões práticas, como a não aplicabilidade das normas relativas à evicção, vícios redibitórios e teoria da imprevisão ou resolução por onerosidade excessiva. Ao fim, é proposta uma classificação dos derivativos. O objetivo do Capítulo II é destacar os principais aspectos da regulação dos derivativos. A partir da função econômica, legisladores e reguladores do mundo todo têm encontrado a necessidade de limitar a esfera de autonomia contratual, determinando o que pode ser negociado, de que forma e o modo como se deve dar a liquidação das obrigações. O Capítulo III visa a discutir os resultados da pesquisa de jurisprudência não enquadrados nos temas dos Capítulos I e II. Com isso, há maior transparência quanto aos resultados da pesquisa de jurisprudência e, ao mesmo tempo, discute-se possíveis pontos de atenção para a regulação. Por fim, o Apêndice descreve a metodologia utilizada na pesquisa de jurisprudência. / This paper aims to discuss key aspects of derivative instruments. Their importance has been increasing since the 70s, especially after the subprime crisis in 2008. Chapter I seeks to present the debate on the legal nature of the derivatives, highlighting its economic function. From this discussion, we found some practical conclusions, such as non-applicability of eviction, latent defects and rebus sic stantibus clause. In the end, we present a classification of derivatives. Chapter II highlights the main aspects of derivatives regulation. Due to their importance, legislators and regulators have been limiting contractual autonomy, determining what and in which way people can contract and settlement of obligations by clearinghouses or CCPs. Chapter III aims to discuss derivatives case law that have not fit the themes of Chapters I and II. It is a way of, at the same time, disclosing case law research findings and discussing possible improvements in regulation. Finally, the Appendix describes the methodology used in the case law research.

Este trabalho visa a discutir aspectos centrais dos instrumentos derivativos, que têm ganhado importância crescente desde os anos 70, principalmente depois da crise do subprime em 2008. No Capítulo I, procura-se resgatar o debate sobre a natureza jurídica dos derivativos, tendo em vista sua função econômica. A partir deste ponto de partida, extraem-se conclusões práticas, como a não aplicabilidade das normas relativas à evicção, vícios redibitórios e teoria da imprevisão ou resolução por onerosidade excessiva. Ao fim, é proposta uma classificação dos derivativos. O objetivo do Capítulo II é destacar os principais aspectos da regulação dos derivativos. A partir da função econômica, legisladores e reguladores do mundo todo têm encontrado a necessidade de limitar a esfera de autonomia contratual, determinando o que pode ser negociado, de que forma e o modo como se deve dar a liquidação das obrigações. O Capítulo III visa a discutir os resultados da pesquisa de jurisprudência não enquadrados nos temas dos Capítulos I e II. Com isso, há maior transparência quanto aos resultados da pesquisa de jurisprudência e, ao mesmo tempo, discute-se possíveis pontos de atenção para a regulação. Por fim, o Apêndice descreve a metodologia utilizada na pesquisa de jurisprudência. / This paper aims to discuss key aspects of derivative instruments. Their importance has been increasing since the 70s, especially after the subprime crisis in 2008. Chapter I seeks to present the debate on the legal nature of the derivatives, highlighting its economic function. From this discussion, we found some practical conclusions, such as non-applicability of eviction, latent defects and rebus sic stantibus clause. In the end, we present a classification of derivatives. Chapter II highlights the main aspects of derivatives regulation. Due to their importance, legislators and regulators have been limiting contractual autonomy, determining what and in which way people can contract and settlement of obligations by clearinghouses or CCPs. Chapter III aims to discuss derivatives case law that have not fit the themes of Chapters I and II. It is a way of, at the same time, disclosing case law research findings and discussing possible improvements in regulation. Finally, the Appendix describes the methodology used in the case law research.

Diplomová práce se zabývá regulací trhů OTC derivátů, které hrály zásadní roli ve vzniku a šíření světové finanční krize. Cílem této regulace bylo zmírnit následky krize a preventivně bránit opakování podobnýćh událostí v budoucnosti. Hlavní důraz je kladen na regulaci EMIR a Dodd-Frank Wall Street Reform v Evropě a USA.

Suite à la crise financière de 2007, un ensemble de réglementations a été mis en place au niveau mondial, dont EMIR en Europe. Parmi les obligations engendrées par ce texte, il y a l’obligation de déclarer à l’autorité de tutelle toutes les opérations de produits dérivés traitées de gré à gré. Ceci dans le but d’augmenter la transparence sur ces marchés. L’objectif de mon travail étant de démontrer que cela n’est en fait pas le cas. Pour cela, j’explore deux principaux axes. Le premier concerne la déclaration effective des transactions et le traitement de ces informations par les autorités de tutelle. J’exploite pour cela les données publiques relatives à cette problématique et également les informations dont je dispose dans le cadre de mon travail. Les données sont relativement bien déclarées mais ne sont pas ou très peu exploitées par les autorités de tutelle. Le second axe est plus théorique. L’information ne conduit pas nécessairement à la transparence. Ce qui est important pour le bon fonctionnement des marchés dérivés est la symétrie de l’information et la confiance entre les intervenants. / Following the financial crisis of 2007, a set of regulations was implemented, including EMIR in Europe. Among the obligations arising from this text, there is an obligation to declare to the regulatory authority all OTC transactions. The goal is to increase transparency on OTC markets. My objective is to demonstrate that this is not actually the case. For that, I explore two main axes. The first one concerns the implementation of the reporting obligation and the analysis of this data by regulators. For this purpose, I use the public data on this issue and also the private data from my work. The data are relatively well reported but not fully exploited by the regulatory authorities. The second axis is more theoretical. Information does not necessarily lead to transparency. The symmetry of information and trust between OTC’s participants are the most important.

This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated.After some conceptual background material, a journey is taken through theregulatory aspects of CVA. The three most commonly used methods for calculatingthe regulatory CVA capital charge are explained in detail and potentialchallenges with the methods are addressed. Further, the document analyses ingreater depth two of the methods; the internal model method (IMM) and thecurrent exposure method (CEM). The differences between these two methods areexplained mathematically and analysed. This comparison is supported bysimulations of portfolios containing interest rate swap contracts with differenttime to maturity and of counterparties with varying credit ratings. Oneconcluding observations is that credit valuation adjustment is a measure of centralimportance within counterparty credit risk. Further, it is shown that IMM has someimportant advantages over CEM, especially when it comes to model connection withreality. Finally, some possible future work to be done within the topic area is suggested.

This thesis addresses the current, ever-developing framework of rules governing trading in the most widespread financial instrument - OTC derivatives. The main objective of the thesis is to analyse the current state of the regulation of trading in OTC derivatives within the EU - namely, the EMIR Regulation. Subsequently, it examines whether the legal framework has been set up properly and effectively, and explores what steps should be taken in the near future in order to improve it. Given that the subject of this thesis is much more of an economic than a legal nature, its first part introduces OTC derivatives as a concept, and the specifics of trading in them. The second part examines the status of OTC derivatives within the financial market over time, starting from their modern-day beginnings in the 1990s, through their role in the global financial crisis of 2007 and 2008, to the current issues related to them. The main part of the thesis is devoted to the EMIR Regulation, its scope of application, and in particular the three main obligations which EMIR introduces in relation to OTC derivatives. These comprise, firstly, the obligation to perform a central clearing through central counterparties; secondly, the obligation to observe specific risk mitigation techniques for OTC derivative contracts...

The uppermost goal of this diploma thesis is aimed at identification and evaluation of the current trends in one of the largest segments of financial markets. Special attention has been devoted to the regulatory changes, which have not been completely implemented in all major jurisdictions so far. The introductory part deals with the nowadays situation and explanation of post-crisis measures leading to a higher level of transparency and system stability. The following chapters analyze the key elements contributing to specific trends whereby those findings are based on research studies published by the world leading universities and central banks. The author also observes alternative functional concepts in the market and potential impacts affecting real transactions. The final portion has been dedicated to analysis of practical implications in terms of increased costs related to the trades and possible prospective outlook of the OTC derivatives market. The whole text is accompanied by authors personal reflections and comparison between the most important trading regions in respect to the value of underlying assets.