雖然跨通貨股酬交換在國際投資市場扮演著重要的角色，但文獻上關於股酬交換評價模式的相關探討並不多，且多集中於國內市場或以本國貨幣做為支付幣別的股酬交換。對於跨通貨股酬交換而言，其評價模式較國內股酬交換之評價模式複雜許多，如何將影響其價值之股價指數、匯率與利率此三個主要因子間的交互相關性同時加入考量，即是此產品之評價過程的重點。 本文在完全市場的假設下，同時放寬傳統評價方法之各變數之相關係數為固定值的假設，提出一新的股酬交換評價方法，即以『兩階段兩步驟』之較具經濟含意的複製方式，推導出股酬交換的一般化評價公式。透過此複製方法，可更清楚得知股酬交換於存續期間的價值變動，更可進一步求得其避險方式，以提供股酬交換交易商在面臨不對稱風險(mismatch risk)時的避險方法。而本文的第二個貢獻在於，將本文所提出之『兩階段兩步驟』的複製方法應用於利率交換的評價上，推導出跨通貨利率交換的一般化評價模式，以進一步比較股酬交換與利率交換此兩種商品的差異性，並試圖釐清市場上對於跨通貨股酬交換評價上的誤解。 與傳統評價公式最大的差異在於：本文評價公式額外考慮了一修正項，複製投資組合可藉由此修正項，對未來各參數間的變動隨時做出調整，以使投資組合能完全複製跨通貨股酬交換的價值。 本文發現，對於國內投資人支付固定利率，以交換B市場的股價指數報酬，且以C國的貨幣做為支付幣別的跨通貨股酬交換而言，其價值除了受到當期利率期間結構的影響外，在期初或每期交換後，其價值與股價指數無直接關聯，但在兩支付間，其價值則會受到當時股價指數與前期股價指數之相對比例的影響。同時，C國對本國的未來匯率並未直接影響跨通貨股酬交換的價值。且若假設各國遠期利率的波動度為零下，則當B國股價指數與C國對本國的匯率呈現正關係或當B國股價指數與B國對本國的匯率呈現負關係時，跨通貨股酬交換的價值愈大。另外，市場上投資人通常誤認股酬交換的價值等於利率交換價值，對於股酬交換與利率交換的比較，本文發現在大多數的情況下，股酬交換的價值與利率交換的價值並不相等。

The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...

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.

Diese Dissertation konzentriert sich auf das hochdimensionale Financial Engineering, insbesondere in der Dependenzmodellierung und der sequentiellen Überwachung. Im Bereich der Dependenzmodellierung wird eine Einführung hochdimensionaler Kopula vorgestellt, die sich auf den Stand der Forschung in Kopula konzentriert. Eine komplexere Anwendung im Financial Engineering, bei der eine hochdimensionale Kopula verwendet wird, konzentriert sich auf die Bepreisung von Portfolio-ähnlichen Kreditderivaten, d. h. CDX-Tranchen (Credit Default Swap Index). In diesem Teil wird die konvexe Kombination von Kopulas in der CDX-Tranche mit Komponenten aus der elliptischen Kopula-Familie (Gaussian und Student-t), archimedischer Kopula-Familie (Frank, Gumbel, Clayton und Joe) und hierarchischer archimedischer Kopula-Familie vorgeschlagen. Im Abschnitt über finanzielle Überwachung konzentriert sich das Kapitel auf die Überwachung von hochdimensionalen Portfolios (in den Dimensionen 5, 29 und 90) durch die Entwicklung eines nichtparametrischen multivariaten statistischen Prozesssteuerungsdiagramms, d.h. eines Energietest-basierten Kontrolldiagramms (ETCC). Um die weitere Forschung und Praxis der nichtparametrischen multivariaten statistischen Prozesskontrolle zu unterstützen, die in dieser Dissertation entwickelt wurde, wird ein R-Paket "EnergyOnlineCPM" entwickelt. Dieses Paket wurde im Moment akzeptiert und veröffentlicht im Comprehensive R Archive Network (CRAN), welches das erste Paket ist, das die Verschiebung von Mittelwert und Kovarianz online überwachen kann. / This dissertation focuses on the high dimensional financial engineering, especially in dependence modeling and sequential surveillance. In aspect of dependence modeling, an introduction of high dimensional copula concentrating on state-of-the-art research in copula is presented. A more complex application in financial engineering using high dimensional copula is concentrated on the pricing of the portfolio-like credit derivative, i.e. credit default swap index (CDX) tranches. In this part, the convex combination of copulas is proposed in CDX tranche pricing with components stemming from elliptical copula family (Gaussian and Student-t), Archimedean copula family (Frank, Gumbel, Clayton and Joe) and hierarchical Archimedean copula family used in some publications. In financial surveillance part, the chapter focuses on the monitoring of high dimensional portfolios (in 5, 29 and 90 dimensions) by development of a nonparametric multivariate statistical process control chart, i.e. energy test based control chart (ETCC). In order to support the further research and practice of nonparametric multivariate statistical process control chart devised in this dissertation, an R package "EnergyOnlineCPM" is developed. At moment, this package has been accepted and published in the Comprehensive R Archive Network (CRAN), which is the first package that can online monitor the shift in mean and covariance jointly.

With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research)

Thesis (MEd (Curriculum Studies))--University of Stellenbosch, 2009. / The research was done in a period of curriculum transformation and reform in South Africa, a period during which teachers attended many interventions by service providers other than the education department to sharpen their skills. In this study, I investigate teacher professional development and professional development programmes using two case studies, MTN-SUNSTEP (Mobile Telecommunications Network – Stellenbosch University Schools Technology in Electronics Programme) and SWAP (Schools Water Project). These INSET programmes were intended to assist with the improvement of science teaching in terms of the new curricula suggested for the country. The study proceeds by way of two case studies within an interpretive paradigm. The purpose of the study is to evaluate the two programmes based on the criteria developed through a literature review and to understand and give meaning to the process of teacher professional development that might have occurred in the programmes. This process is framed by my research question, “can resource kits enable professional development in science teaching”. Data was collected at various stages by way of field notes, questionnaires, interviews and observations at workshops. Teachers generally found the processes useful but do indicate dissatisfaction with certain areas of the programmes. Issues that emerged from the study were that teacher development processes need to be organized over a long period, the development of teacher networks needs to be nurtured, and support at school level was essential to ensure implementation. An important insight was that the research, once again, emphasized a key aspect of effective teacher development programmes. Effective programmes require a team consisting of three agents that bring their own expertise to the process namely, teachers, district officials and university staff. This team has to take into account the factors that ensure effective teacher professional development and should occur within the parameters of accepted professional development practices and learning support materials play an important role in supporting this process.

Many people have already questioned whether Greece would default: investors, economists, politicians and general public. The Greek debt crisis has also caused a great turmoil in the EU causing fears of its spreading to other countries with poor fiscal situation in Eurozone through bond markets. Finally the rescue package was prepared for Greece consisting of EUR 110 billion loan facility from both Eurozone and IMF. We study the Greek fiscal crisis in the thesis. We try to find its real causes in the historical chapter and we also show the methodology which can be used to assess the credit risk of Greek government using bond market information and CDS contracts information. In the empirical part we study the evolution of the probability of default of Greek government during the debt crisis using parsimonious model based on the bond market information.

The thesis analyses several ways to use financial derivatives in public debt management. It mainly focuses on the manager's motives to use derivatives, associated risks and other fundamental aspects, including the known examples of a questionable use of swaps. In the last chapter the thesis also uses historical data to determine whether the use of derivatives can have a positive effect on the Czech republic's interest expenditures.

「凸性偏誤」（Convexity Bias），非債券的「凸性因子」（Convexity），來自利率非平行變動對債券價格的影響。對利率交換契約而言，有其特殊意義。是指利用一連串到期日連續的期貨契約，作為評價利率交換契約的模型，卻因為在期貨契約到期前，其隱含利率並不等於遠期利率的情況下，採用未經修正過的模型，將錯誤估算交換契約的價格。而此偏誤值因隨著到期日的增加，或利率的波動增高而逐漸擴大，呈曲線特性，故稱之為「凸性偏誤」（Convexity Bias）。 由於完整資料收集不易，本論文的重心就限於探討美國歷史上，從1994年至1996年間，美國聯邦準備理事會（Federal Reserve Board；FED），第一階段利息大幅變動期間，利率的變動對凸性偏誤的影響，並預測之後利率變動時，對利率交換契約價格的影響。旨在以實證資料作完整分析，希望藉此探討凸性偏誤是否也會因利率變動程度的不同，進而對利率交換契約價格產生不同程度的影響。並進一步利用簡單的模型，推算出準確的遠期利率，作為評價利率交換契約的指標。將來若利率發生變動，交換契約的交易雙方，也能因此得到正確的交換契約價格，進行交易或避險，以減低利率風險可能帶來的損失。

Credit risk measurement and management has great importance in credit market. Credit derivative products are the major hedging instruments in this market and credit default swap contracts (CDSs) are the most common type of these instruments. As observed in credit crunch (credit crisis) that has started from the United States and expanded all over the world, especially crisis of Iceland, CDS premiums (prices) are better indicative of credit risk than credit ratings. Therefore, CDSs are important indicators for credit risk of an obligor and thus these products should be understood by market participants well enough. In this thesis, initially, advanced credit risk models firsts, the structural (firm value) models, Merton Model and Black-Cox constant barrier model, and the intensity-based (reduced-form) models, Jarrow-Turnbull and Cox models, are studied. For each credit risk model studied, survival probabilities are calculated. After explaining the basic structure of a single name CDS contract, by the help of the general pricing formula of CDS that result from the equality of in and out cash flows of these contracts, CDS price for each structural models (Merton model and Black-Cox constant barrier model) and CDS price for general type of intensity based models are obtained. Before the conclusion, default intensities are obtained from the distribution functions of default under two basic structural models / Merton and Black-Cox constant barrier. Finally, we conclude our work with some inferences and proposals.