Master-Arbeit Univ. St. Gallen, 2008.

Made available in DSpace on 2014-06-12T17:17:36Z (GMT). No. of bitstreams: 2 arquivo3650_1.pdf: 699588 bytes, checksum: afb3ba36dc41b551eba6d2e90b01df62 (MD5) license.txt: 1748 bytes, checksum: 8a4605be74aa9ea9d79846c1fba20a33 (MD5) Previous issue date: 2008 / Companhia Hidroeletrica do São Francisco / No Setor Elétrico Brasileiro (SEB), o sistema interligado está dividido em quatro submercados, devido a restrições elétricas em suas interligações. Esta condição traz como conseqüência a possibilidade de existência de Preços de Liquidação das Diferenças (PLD)1 diferentes em cada um desses submercados. De acordo com a legislação vigente em 2007, os agentes do setor elétrico têm liberdade de negociar o ponto de entrega da energia elétrica, independentemente de onde estão conectados ao sistema interligado. As regras de comercialização a que os agentes do setor elétrico estão submetidos podem lhes oferecer diversos riscos, entre eles pode-se citar o risco da liquidação de curto prazo valorada ao PLD. No caso da categoria de consumo, a liquidação de curto prazo pode gerar despesas correspondentes a montantes variáveis, atingindo patamares não desejados pelos agentes dessa categoria. Já no caso da categoria produção, a liquidação de curto prazo gera receitas, que, por serem variáveis, podem oferecer aos agentes dessa categoria dificuldade em honrar os compromissos assumidos, em épocas de ocorrência de PLD baixos. Quando da utilização da liberdade de efetuar negócios em qualquer submercado, os agentes devem considerar a existência do risco correspondente às exposições de diferenças de PLD entre submercados que podem ser positivas, trazendo ganhos, ou negativas, trazendo perdas financeiras aos agentes. O objetivo deste trabalho é o de apresentar alguns modelos de operação de SWAP como alternativa para solução de mitigação ou eliminação de riscos a exposições financeiras na liquidação de curto prazo, envolvidos na comercialização de energia elétrica. Para tanto, faz-se necessário: estudar o comportamento dos PLD; analisar o fluxo de caixa de contratos com operações comerciais já realizadas; analisar os preços desses contratos dentro do contexto em que estavam inseridos; identificar os riscos envolvidos na comercialização de energia com exposições às diferenças de PLD na liquidação de curto prazo. Os resultados desta dissertação mostram a aplicação de operações de SWAP correspondentes a três modelos com objetivos distintos e um quarto modelo correspondente à associação de dois entre esses três. Desta forma, é demonstrado que essas operações podem ser utilizadas na comercialização de energia elétrica, trazendo benefícios para os agentes do setor

This thesis deals with interest rate swaps. In addition to chapters on basic principles of interest rate swaps also provides insight into the current situation in the derivative markets. The main part is devoted to the valuation of interest rate swaps, where is in addition to the theoretical site also solved the problem of obtaining the necessary data for calculations in practice. The conclusion of this work is devoted to two practical examples, which are dealing with the problem of the valuation of interest rate swaps.

This thesis presents the hedging theory and its application in order to create an optimal hedging strategy for Retal Industries Ltd. on the PET market. Through this work the hedging theory is tested and assessed basing on its relevance for actual business needs.

This thesis deals with commodity risk and its context. It concerns the commodity market, types of traded commodities, exchanges on which commodities are traded and pricing method usual for commodity market. The first section of the thesis consists of a theoretical perspective on measuring commodity risk and describes the derivatives used to hedging commodities. In the second section is a key part of the work calculations of the statistical characteristics of commodities, practical methods of measuring risk, modeling Value at Risk, stress scenarios and measuring risk using hedging transactions in the financial market. The aim is to measure the commodity risk for various risk situations on a commodity market.

The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction to the concept of CVA, beginning with the required backdrop of counterparty risk and the basics of default risk modelling. Right and wrong way risks are central themes of the dissertation. A model for the pricing of both the unilateral and the bilateral CVA on a credit default swap (CDS) is implemented. Each step of this process is explained thoroughly. Results are reported and discussed for a range of parameters. The trends observed in the CDS CVA numbers produced by the model are all justified and the right and wrong way nature of the exposures captured. In addition, the convergence and stability of the numerical schemes utilised are shown to be appropriate. A case study, in which the model is applied to a set of market scenarios, concludes the dissertation. Since the field is far from established, a number of areas are suggested for further research. Copyright / Dissertation (MSc)--University of Pretoria, 2012. / Mathematics and Applied Mathematics / unrestricted

The topic of the thesis is the application of financial derivaties in business practice. The thesis is aimed at hedging interest risk of a company. The first part includes a division and a charakterization of financial derivaties. The second part specifies definite application of financial derivaties in a company.

A consequence of the recent mergers affecting General Electric Aerospace, Martin Marietta and Lockheed has been the need to exchange information between, previously unrelated, work sites. One of these work sites is the Martin Marietta Data Center (MMDC). The information exchange is to be performed electronically to maximize efficiency. No capability exists within the MMDC to accommodate this information exchange. <p>A number of options that address this deficiency exist. The most plausible is the installation of a computer program on the MMDC's LAN that would enable the required information exchanges to take place. <p>In order to make the computer program operational, modifications to the computers that make up the MMDC LAN are necessary. Primarily, the amount of RAM the computers possess must be increased. This results in a change in the amount of swap space that must be available. <p>The intent of this project is to resolve the deficiency that exists by enabling the MMDC to exchange data electronically with other sites in the area. <p>A secondary goal of the project is to determine a better way of allocating swap space than the present method of simply using twice the amount of RAM. <p>The approach to the project is "two-pronged". An assessment of the mechanics of swapping is performed to see if it could be done more efficiently. And, an analysis of an operational network is performed to determine the empirical relationship between swap space and RAM. Retaining performance standards is an underlying requirement for reaching any conclusions. <p>By using a single formula to determine swap space needs for every network, it is implied that the swap space to RAM size relationship is the same for every network. What is unique about the methods used in this project is that actual relationships and utilization of the network in question are used in determining the swap space size requirements. / Master of Science

With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. By starting at the basic rate instrument, bonds, we will work our waytowards the pricing formula for a swaption, the Black76 model. The Black76model is a variant of the Nobel prize winning formula Black-Scholes-Merton.With the pricing model we can start looking at the main scope of this thesis,a hedging strategy against swaptions from a clearinghouse perspective.Clearinghouses are central to the modern financial market. They act asa middleman in order to clear trades from clearing members and have anoversight of the financial market. In case a clearing member defaults, theclearinghouse will gain control over the defaulted portfolio. The clearing-house will host an auction of the portfolio which they strive to hold after5 to 15 days. When they hold the portfolio, they are exposed to the risksand therefore it’s of great importance to be able to hedge the assets in theportfolio. In this thesis a strategy and algorithm have been developed todelta-hedge swaptions in order to be delta-neutral under stable market con-ditions.In the thesis we will consider two cases. The first case is when the clear-inghouse receives the portfolio long before the swaptions maturity. In thiscase forward swaps are used to hedge and in order to reduce the number offorward swaps obtained, compression is used. The second case is when theswaption maturity will be reached within the period the clearinghouse holdsthe portfolio. For the days before maturity is reached, forward swaps andcompression is used. After maturity is reached interest rate swaps is used tohedge.For both cases the result is very close to achieving delta-neutrality. Withnormalized deltas with respect to the notional amount the mean delta ex-posure is of the magnitude 10−4 for the first case and 10−6 for the second.However, one thing to keep in mind is that everything is based on simu-lated values under some simplifying assumptions. This thesis should be asolid ground for future studies where more extreme scenarios are considered.With more extreme scenarios one could investigate the possibility to hedgewith Gamma or another Greek such as Vega. / Med den ökande användningen av ränteswappar är det av stor vikt att förståswaptioner, vilket är en option på en ränteswapp. En swaption kan användasbåde för spekulativa syften och för att hedgea mot risker i ränteförändringar.Det viktigaste att förstå är hur man prissätter en swaption. Eftersom swap-tioner baseras på underliggande tillgångar så kommer vi börja med det mestgrundläggande, obligationer, och arbeta oss fram till modellen vi kommer an-vända, Black76. Black76-modellen är en variant av den nobelprisvinnandemodellen Black-Scholes-Merton. Med denna modell kan vi börja undersökadet huvudsakliga syftet med avhandlingen, en hedgningsstrategi för swap-tioner från perspektivet av ett clearingshus.Clearinghus är en central del av den moderna finansmarknaden. De agerarsom en mellanhand för att hantera affärer mellan clearingmedlemmar ochhar en översikt över marknaden. Ifall en clearingmedlem går i konkurs,kommer clearinghuset att ta över portföljen med tillgångar. Clearinghusetkommer att hålla en auktion för att sälja av portföljen. De strävar efteratt hålla auktionen så snabbt som möjligt och det sker generellt efter 5 till15 dagar. Medan de har portföljen så är de exponerade mot riskerna i till-gångarna och därför är det av största vikt att kunna hedga tillgångarna. Iden här avhandlingen har en strategi och en algorithm tagits fram för attanvända delta-hedging för att uppnå delta-neutralitet under normala mark-nadsrörelser.Vi kommer att undersöka två olika fall. Det första fallet är när portföljen tasöver när det är lång tid kvar till swaptionens förfallodatum. Då kommer viatt använda forward swaps för att hedgea och för att minska antalet swapparkommer vi att använda kompression. Det andra fallet är när förfallodatumetuppnås under tiden som clearinghuset håller i portföljen. Dagarna innan för-fallodatumet kommer vi hedgea med forward swaps med kompression. Närdatumet är nått så kommer vi istället att använda ränteswappar.I båda fallen är resultaten nära att uppnå delta-neutralitet. Med normalis-erade deltan med avsenende på det nominella beloppet är medelvärdet avdelta-exponeringen av magnituden 10−4 för det första fallet och 10−6 för detandra. Men, det är värt att komma ihåg att allting är baserat på simuler-ade värden under förenklade antaganden. Denna avhandling bör utgöra enbra grund för vidare studier där man kan undersöka mer extrema mark-nadsrörelser. Med extremare rörelser skulle man kunna undersöka hedgn-ingsstrategier med andra Greker som till exempel Gamma och Vega.

Credit derivatives are very popular on financial markets in recent days. The most liquid credit derivative is a credit default swap (CDS). In this research we investigate methods for modeling and monitoring of the price process of CDS. We study Hull and White model to calculate CDS spread and have data for our analysis. We consider different methods for monitoring of the price process of CDS. In particular we study CUSUM method. And we calculate more commonly used perfomance measures for this method.