Counterparty credit risk (CCR) is the risk that a counterparty in a deal will not be able to meet their contractual obligations in the future. While CCR is an important task for any risk desk, it has often been underestimated due to the miss-conception that some counterparties were deemed to be either too big to fail or too big to be allowed to default. This was highlighted by the 2008 nancial crisis that saw respected banks, such as Lehman Brothers, and nancial service providers, such as AIG, default on their obligations. Since then there has been renewed interest in CCR, with the focus being on actively pricing and hedging it. In this work CCR is invistigated including its intersection with other forms of risk. CCR mitigation techniques are explored, followed by the formal quanti cation of CCR in the form of credit value adjustments (CVA). The analysis of CCR is then applied to interest rate derivatives, more speci cally forward rate agreements (FRAs) and interest rate swaps (IRSs). The e ect of correlation on unilateral and bilateral CVA between counterparties, including risk factors such as the interest rate, is investigated. This is invistigated under two credit risk modelling frameworks, the structural and intensity based frameworks. It is shown that correlation has a none-negligible e ect on both unilateral and bilateral CVA for FRAs and IRSs. Correlation structures, namely the Gaussian and the Student-t copula, are used to induce dependency in order to understand their e ect on both unilateral and bilateral CVA. It is shown that the choice of copula does not have signi cant e ect on either unilateral or bilateral CVA.

Univerzita Karlova v Praze Právnická fakulta Disertační práce Veřejná nabídka cenných papírů Public Offering of Securities Abstrakt v anglickém jazyce Červen 2011 Mgr. Jan Mikuláš Školitel: Prof. JUDr. Stanislava Černá, CSc. Abstrakt v anglickém jazyce Public offering of Securities Dissertation thesis focuses on public offering of securities according to the Czech Law, USA Law and German Law. The first part of the dissertation thesis describes the definition of securities and basic types of securities according to the Czech law. Subsequently, new types of securities like derivates are described in more detail. Following part of the dissertation thesis analyzes interpretation of the term "security" according to the USA Securities Act of 1933. This part of the dissertation thesis covers the most important case-law such as SEC versus W.J.Howey Co., SEC versus Koscot Interplanetary, Inc. or Landerth Timber Co. versus Landerth. The main part of the dissertation thesis is concerned with the legal regulation of the public offering of securities. Especially the definition of the public offering is more closely analyzed, while as the basis for the definition the German professional literature and commentaries regarding prospectus and public offering according to the German Law and EU Law were used. Further...

Auctions are a key economic mechanism for establishing the value of goods that have an uncertain price. In recent years, as a consequence of the ubiquitous emergence of technology, auctions can reach consumers, and as a result drive market prices, on a global scale. Collection of private information such as past trades exposes more information than desired by market participants. The leaked information can be statistically analyzed to provide auctioneers, or competitors, an advantage on future transactions. The need to preserve privacy has become a critical concern to reach an accepted level of fairness, and to provide market participants an environment in which they can bid a true valuation. This research is about possible mechanisms to carry out sealed-bid auctions in a distributed setting, and provides the reader with the challenges that currently persevere in the field. The first chapter offers an introduction to different kinds of auction, and to describe sealed-bid auction. The next chapter surveys the literature, and provides necessary theoretical background. Moving on to chapter 3, instead of solely focusing on theoretical aspects of sealed-bid auctions, this chapter dives into implementation details, and demonstrates through communication and computational analysis how different settings affect performance. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2018. / FAU Electronic Theses and Dissertations Collection

In Essay 1, I use cross-country differences in investors’ traits — trust, patience, overconfidence, and risk tolerance — to test the underreaction, overreaction, and uncertain information theories of stock returns. I find that investors’ reactions to large daily stock price shocks vary between lower and higher levels of these traits. Specifically, investors with lower levels of trust and more patience underreact more (or overreact less) to price shocks, which aligns with the predictions of the underreaction hypothesis. Investors with higher levels of overconfidence overreact more to positive price shocks and overreact less to negative price shocks. While this finding does not conform exactly to the predictions of the overreaction hypothesis, it is consistent with more refined theories of how overconfidence affects asset prices. Investors less tolerant of risk overreact less to positive price shocks. I also find that differences in institutional characteristics affect over/underreaction. Specifically, there is less overreaction in countries with stronger investor protections and less insider trading. Additionally, the ability to sell short is associated with more overreaction to negative shocks and less overreaction to positive shocks. In Essay 2, I investigate whether publicly available information (PAI) affects over/underreaction according to predictions of several theoretical models, and then I test if differences in investors’ traits modifies the association between publicly available information and returns. After identifying and correcting for a methodological issue in some prior research, I show that in a pooled international sample of stocks, investors overreact to price shocks not accompanied by information, and also overreact (or react efficiently in some models) to information-based price shocks. I find that the effect of PAI on returns is not the same in each country, which motivates my tests on how this variability relates to differences in investor traits. My results show that investors with higher trust tend to overreact less to shocks accompanied by PAI, while investors less tolerant of risk underreact to positive price shocks. Additionally, investors with higher overconfidence and self-attribution bias overreact more to positive price shocks, but less to negative price shocks, in accordance with behavioral theories. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2018. / FAU Electronic Theses and Dissertations Collection

Thesis. 1979. M.S.--Massachusetts Institute of Technology. Alfred P. Sloan School of Management. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography: leaves 155-158. / M.S.

by Ng Hon Sun, Stephen & Poon Ming Him. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 50-52). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.v / LIST OF FIGURES --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CHARACTERISTICS OF WARRANTS AND THE NATURE OF HK WARRANT MARKET --- p.5 / Chapter II (i) --- Warrants Versus Call Options --- p.5 / Chapter II (ii) --- Historical Development of Warrants in Hong Kong --- p.6 / Chapter II (iii) --- Equity Warrants --- p.7 / Chapter II (iv) --- Derivative Warrants --- p.8 / Chapter II (v) --- The Risks of Derivative Warrants --- p.10 / High Inherent Risks --- p.10 / Complex Exercise Conditions and Conversion Adjustments --- p.10 / Chapter II (vi) --- Regulatory Environment of Derivative Warrants --- p.12 / Chapter III. --- LITERATURE REVIEW --- p.14 / Chapter IV. --- DATA AND METHODOLOGY EMPLOYED --- p.19 / Chapter IV (i) --- Date Employed --- p.19 / Chapter IV (ii) --- Methodology Employed --- p.24 / Chapter V. --- EMPIRICAL RESULTS AND INTERPRETATION --- p.28 / Chapter V (i) --- Market Trend Before and After Listing --- p.37 / Chapter V (ii) --- Trading Volume --- p.38 / Chapter V (iv) --- Volatility --- p.39 / Chapter VI. --- CONCLUSIONS --- p.44 / APPENDIXES --- p.46 / APPENDIX A STOCKS SELECTED FOR STUDY --- p.46 / APPENDIX B CONSTITUENT STOCKS OF HANG SENG INDEX --- p.47 / APPENDIX C HANG SENG INDEX 1993-1994 --- p.48 / APPENDIX D HANG SENG INDEX RETURN AND SELECTED STOCK UNADJUSTED MEAN RETURN --- p.49 / REFERENCES --- p.50 / LIST OF TABLES / TABLE 1 DERIVATIVE STOCK WARRANTS LISTING IN 1993 -1 994 --- p.21 / TABLE 2 COMPARISON OF PRE- AND POST- LISTING RETURNS --- p.28 / TABLE 3 EXCESS MARKET RATE OF RETURN AND CUMULATIVE EXCESS MARKET RATE OF RETURN --- p.32 / TABLE 4 MARKET MODEL RATE OF RETURN AND CUMULATIVE MARKET MODEL RATE OF RETURN --- p.33 / TABLE 5 β'S CALCULATED ON THE UNDERLYING STOCK --- p.33 / TABLE 6 MARKET TREND BEFORE AND AFTER LISTING OF DERIVATIVE WARRANTS --- p.37 / TABLE 7 EFFECTS OF DERIVATIVE WARRANT LISTING ON RISK CHARACTERISTICS OF UNDERLYING STOCKS --- p.41 / LIST OF FIGURES / FIGURE 1 SUMMARY OF THE REGULATIONS ON DERIVATIVE WARRANTS --- p.13 / FIGURE 2 WARRANT LISTINGS DISTRIBUTION MAP --- p.23 / FIGURE 3 CUMULATIVE RETURN % (ADJUSTED AND UNADJUSTED) --- p.31 / FIGURE 4 IMPACT OF LISTING ON VARIANCE --- p.40

Financial authorities have traditionally relied on fines, suspensions, and bars to discipline misconduct in financial markets and, in that way, protect public investors and promote financial development. In theory, these sanctions should be sufficiently high to internalize the social cost of wrongdoing and deter future misbehavior. In practice, however, public firms are often criticized for being under-punished. This concern has motivated a line of research, especially in the United States, to examine whether enforcement actions initiated by public authorities generate negative indirect effects for the firms accused of misbehavior and, therefore, whether those effects supplement the regulatory sanction. In general, the answer to this question is positive under certain circumstances. Whether or not firms also suffer collateral effects in emerging financial markets, however, is a question that has received little attention in the literature. The purpose of this work is therefore to make a first step to fill this gap. Addressing this gap is important because emerging markets are smaller, less liquid, and more concentrated than the United States' financial market, which might neutralize the side financial effects of enforcement that prior studies have documented. As a result, the policy recommendations proposed in the prior literature are not necessarily applicable to emerging economies. This work focuses on three specific types of collateral effects: the effect of enforcement on (1) the defendant's stock price, (2) the defendant's operating performance, and (3) the cost of external financing. In terms of types of violations and sample countries, this work focuses on enforcement actions triggered by securities regulation violations in the five countries that form the MSCI-EC-LATAM index (Morgan Stanley Capital International Emerging Markets Index - Latin America). The results indicate that the stock price and operating performance of firms whose insiders were sanctioned for insider trading decline significantly after the imposition of the sanction. These results have various implications for the regulation of official penalties as a tool to promote financial development.

Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2004. / Includes bibliographical references. / This thesis contains two chapters. Chapter One provides definitive evidence about the effect of discretionary current accruals on the pricing of IPOs. Specifically, I seek to discriminate between two alternative explanations for the prior findings: 1) behavioral biases coupled with limited arbitrage; and 2) the sample- and period-specific nature of the results in the prior literature. Using hand-gathered accrual data for all IPOs from 1926 to 1961 and machine-readable accrual data for all IPOs from 1962 to 1998, I obtain the following results. First, I fail to observe a negative association between discretionary current accruals and subsequent price performance for the 1926 to 1971 period. Second, my analysis reveals that the pattern of cross-sectional evidence is inconsistent with the predictions made by behavioral theories. Third, in the 1972 to 1998 period, evidence of predictable negative performance attributable to IPO discretionary current accruals is limited to NASDAQ firms. Overall, these findings are difficult to reconcile with mispricing as an outcome of investor behavioral biases correlated across individuals. Chapter Two examines how financial statement informativeness, analyst following, and company news relate to the information asymmetry between insiders and outsiders. Corporations' timely disclosures of value relevant information and information collection by outsiders reduce information asymmetry, limiting insiders' ability to trade profitably on private information. We use the profitability and intensity of insider trades to proxy for information asymmetry. We find that increased analyst following is associated with reduced profitability of insider trades and reduced insider purchases. Financial statement / (cont.) informativeness is negatively associated with the frequency of insider purchases. However, company news, good or bad, is positively associated with insider purchase frequency. / by Xu Li. / Ph.D.

Using detailed and unique data from Sweden, I show that former insiders trade profitably in the shares of companies with which they used to be affiliated. A trading strategy mimicking former insiders’ trading behavior yields abnormal returns of 7.6% per year. These returns are primarily driven by post-separation purchases rather than by sales. They do not reflect general stock-picking skills: former insiders earn significantly lower abnormal returns when trading in companies with which they have no affiliation. I show that former insiders’ informational advantage diminishes over time, but less so if they have ties to current insiders. The importance of such ties increases in the presence of value-relevant information. My results are consistent with former insiders benefiting from both a retained informational advantage and from inside information obtained post-separation when trading in inside stock.

Lau Ho-Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 56-57). / Abstracts in English and Chinese. / Abstract --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Comparison between APT and CAPM --- p.4 / Chapter 2.1 --- "CAPM, APT and UAPT" --- p.4 / Chapter 2.2 --- Introduction of CAPM --- p.5 / Chapter 2.3 --- Introduction of APT --- p.6 / Chapter 2.3.1 --- Assumptions and Requirements --- p.6 / Chapter 2.3.2 --- Introduction to the estimation of UAPT --- p.6 / Chapter 2.3.3 --- Limitations of classical procedures of APT --- p.7 / Chapter 3 --- Analysis of UAPT Using Structural Equation Model and Its Im- plementation in LISREL --- p.9 / Chapter 3.1 --- Introduction to SEM with LISREL Implementation --- p.9 / Chapter 3.1.1 --- The first stage of APT and the LISREL Model --- p.9 / Chapter 3.2 --- Estimation of APT by SEM --- p.12 / Chapter 3.2.1 --- Combining the two stages in classical method in APT by SEM --- p.12 / Chapter 3.2.2 --- Incorporating both observable and unobservable factors　in APT (UAPT) by SEM --- p.15 / Chapter 3.2.3 --- LISREL Implementation --- p.16 / Chapter 4 --- Simulation --- p.19 / Chapter 4.1 --- Simulation Procedure --- p.19 / Chapter 4.2 --- Results --- p.23 / Chapter 5 --- Empirical Study on Hong Kong Stock Market --- p.26 / Chapter 5.1 --- Description and source of the data --- p.26 / Chapter 5.2 --- The Goodness-of-fit Indexes in LISREL --- p.28 / Chapter 5.2.1 --- The normed fit index (NFI) --- p.29 / Chapter 5.2.2 --- The non-normed fit index (NNFI) --- p.29 / Chapter 5.2.3 --- The comparative fit index (CFI) --- p.29 / Chapter 5.3 --- The Structure of our LISREL Model --- p.30 / Chapter 5.4 --- The Five Models in the Empirical Analysis --- p.31 / Chapter 5.5 --- Results --- p.32 / Chapter 5.6 --- Conclusion --- p.33 / Chapter 6 --- Conclusion and Discussion --- p.35 / Appendix --- p.37 / Chapter A --- Example of LISREL Implementation --- p.37 / Chapter B --- Simulation Design and Simulation Result --- p.39 / Chapter C --- Result of Empirical Study --- p.50 / Bibliography --- p.56