Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui conduisent à des ventes anticipées d'actifs telles que les enchères du Trésor. Dans le modèle, les investisseurs averses au risque anticipent une vente d'actifs dont l'ampleur − et donc le prix − sont incertains. Je montre que les investisseurs font face à un compromis entre se hedger au moyen d'une position longue et spéculer sur la différence entre le prix avant la vente et le prix espéré de vente. En raison du hedging, le prix d'équilibre est supérieur au prix de vente espéré. À l'approche de la date de vente, l'incertitude quant au prix de vente diminue, les positions spéculatives à découvert augmentent et le prix diminue. Conformément aux prédictions, je trouve que le rendement des bons du Trésor italien augmente de 1,2 points de base après la publication d'informations sur le prix d'enchère, par rapport aux jours sans information.Dans le troisième chapitre, j'étudie le lien entre les prix et les taux repo au cours de la crise des subprimes. Je trouve que la relation de non-arbitrage entre les prix et les taux repo de Duffie (1996) performe moins bien pendant la crise. Cependant, les obligations à faible taux repo ont 18.0% plus de chance d'être plus coûteuses que les obligations identiques à taux repo élevé lors de la crise, contre seulement 9.0% avant la crise. Dans l'ensemble, bien qu'il existe de fortes limites à l'arbitrage, les prix et les taux repo présentent des co-mouvements plus importants pendant la crise. / In the first chapter, I ask if short-sellers are superiorly informed about sovereign auctions. I find a large average increase in demand for short-selling prior to auctions. Yet, the demand for short-selling a bond does not predict a subsequent increase in the bond's yield. Overall, there is no evidence that short-sellers predict or interpret auction outcomes better than the market.In the second chapter, I develop and test a model explaining the gradual price decrease observed in the days leading to large anticipated asset sales such as Treasury auctions. In the model, risk-averse investors anticipate an asset sale which magnitude, and hence price, are uncertain. I show that investors face a trade-off between hedging the price risk with a long position, and speculating on the difference between the pre-sale and the expected sale prices. Due to hedging, the equilibrium price is above the expected sale price. As the sale date approaches, uncertainty about the sale price decreases, short speculative positions increase and the price decreases. In line with the predictions, I find that the yield of Italian Treasuries increases by 1.2 bps after the release of auction price information, compared to non-information days.In the third chapter, I study the link between prices and repo rates during the subprime crisis. I find that the no-arbitrage relationship between prices and repo rates in Duffie (1996) fares worse during the crisis. However, low-repo-rate bonds have an 18.0% higher probability of being more expensive than identical high-repo-rate bonds during the crisis, compared to only 9.0% before the crisis. Overall, while there are high limits of arbitrage, prices and repo rates feature larger co-movements during the crisis.

In my first chapter I follow the methodology put forth by Bohn(1998), the market-based sustainability method to measure whether the sovereign debt is sustainable or not. I work with a panel of 125 countries for 26 years and along with incorporate different institutions ratings by ICRG’s political risk ratings. In my analysis I find out that the debt on average is sustainable for countries up to certain extent and thus giving us an inverted U shape debt-exports curve. I use country exports to find out if the debt is sustainable or not. I also find that better institutions do give an edge to countries when it comes to borrowing as it lowers the risk expectations on the lenders part. The findings do vary based on the country’s income level and based on its geographical location.

The enforcement mechanism of international investment arbitral awards is an es- sential safeguard for resolving investment disputes. Under the existing machinery, the ICSID Convention and the New York Convention provide an effective legal framework for the enforcement of international arbitral awards. Many countries have provided a favorable domestic statutory regime for investor-state arbitral awards enforcement.  With China's accession to the ICSID Convention and the signing of bilateral and multilateral investment treaties with many countries, China has become more open and active in international investment in recent years. At the same time, some legal risks in settling investment disputes have emerged. For instance, one of the most significant issues is whether investor-state arbitral awards can be ef- fectively enforced in the PRC.  Though the New York Convention was primarily designed to enforce commercial arbitral awards, it is widely accepted that it also permits the enforcement of awards against sovereign states. However, it is risky for overseas investors resort- ing enforcement in the PRC based on the New York Convention since China left the commercial reservation clause when acceding to the New York Convention.  Thus, the ICSID Convention is more beneficial for foreign investors when entering into contracts with the PRC. However, the execution of ICSID awards is subject to the domestic law of the enforcement forum, but China does not provide specific domestic legislation that complies with the ICSID Convention. Therefore, some legal obstacles should be carefully considered during the enforcement phase, such as sovereign immunity and public policy.  This thesis focuses on the enforcement regime of investor-state arbitral awards under the ICSID Convention and the New York Convention. It also predicts the legal risks of enforcing investor-state arbitral awards in the PRC, thus putting 2 forward suggestions for overseas investors and for improving the Chinese arbitra- tion legal system.

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This study offers a reinterpretation of the so-called Eurozone crisis, arguing that its crisis character is overstated and that it is rather a normal stage in the process of European banking sector integration. Particularly, I maintain that it is neither a sovereign debt crisis caused by profligate peripheral governments, nor a crisis of the Eurozone's common monetary policy. Nor, however, are the Eurozone's low growth, high unemployment, and economic and political instability deliberate policies, whether by German or Greek governments, European institutions, or the European banking circuitry. Rather, I trace the Eurozone's low growth and high unemployment back to what I call transpositions. Transpositions change the possible boundaries of perceiving political and economic situations by altering the syntagmatic structure governing their intelligibility. The shift from 2003-2007 'boom times' to post-2007 'times of crisis' is one such transposition, which occurs behind the backs of human actors and thus forms the horizon of possible behavior of market and political actors. The Eurozone's 'crisis' transposition, results in differentiations within the asset class of Euro-denominated sovereign debt between a 'core,' comprising Germany, Austria, Latvia, and Finland, among others, and a 'periphery,' encompassing Greece, Ireland, Italy, Portugal, Spain, and Cyprus. It follows that the solvency of Eurozone member states is a derivative function of banking sector liquidity, reversing the conventional 'sovereign debt crisis' explanation to what I call the country-fundamental transposition. The second transposition I explore is the austerity transposition. I maintain that the Eurozone's real economy is more interconnected than conventional narratives of European economic unification allow, and that supposedly national European economies – including particularly that of Germany – are integrated subcircuits of Europe's real economy. Constituting them as supposedly national economies is itself a transposition, necessary for the preservation of the European banking circuitry's interconnected balance sheets. Yet, the austerity transposition goes further, beyond a form of political economy oriented towards growth and sustainability, and into a moral economy of condemnation differentiating between morally virtuous and morally pernicious economies in the Eurozone. Its destructive effects are therefore neither irrational nor the result of a German hegemonic agenda, but that of the Eurozone's post-2007 syntagmatic structure. / Ph. D.

Critics have alleged that the process of negotiating sovereign debt relief is unduly politicized and favors a global capitalist elite over national and democratic interests. This study evaluates the legitimacy of these criticisms by analyzing the cases of Russia and Poland in the six year period after the end of state communism in the 1990s. An alternate hypothesis, that the words of state leaders both in public and in meetings with influential global capitalist agencies determine the outcomes of key negotiations, is advanced through a careful analysis of video recordings of key speeches as well as other sources. A comparison of these cases is used to develop insights into the political role of transnational financial institutions and global capitalism. / Master of Arts

Les périodes marquées par une aversion au risque intense sont souvent l’origine de distorsions notables dans les prix de marché, et de pertes substantielles pour les investisseurs. Chaque épisode de crise financière montre que les mouvements de ventes généralisées sur les marchés ont des conséquences très négatives sur l’économie réelle. Ainsi, explorer le phénomène d’aversion au risque et la dynamique de propagation du sentiment de panique sur les marchés financiers peut aider à appréhender ces périodes de forte volatilité.Dans ce rapport de thèse, nous explorons différentes dimensions du phénomène d’aversion au risque, dans le cadre de portefeuilles d’obligations souveraines Européennes. Le rendement des obligations d’Etat, quotté par les traders, est sensé refléter entre autre le risque que le Trésor fasse défaut sur sa dette, avant que l’obligation vienne à maturation. Il s’agit là du risque souverain. Les crises financières habituellement occasionnent un mouvement important des rendements vers des niveaux plus élevés. Ce type de correction reflète un accroissement du risque souverain, et implique nécessairement une hausse du coût de financement pour les Trésors nationaux. Un objectif de ce rapport est donc de fournir des détails inédits aux Trésors sur la manière dont les rendements obligataires sont sensés se détériorer en période d’aversion au risque.Chapitre I explore le risque souverain dans le cadre d’un modèle probabiliste impliquant des distributions à queues lourdes, ainsi que la méthode GAS qui permet de capturer la dynamique de la volatilité. L’ajustement obtenu avec les distributions Hyperboliques Généralisées est robuste, et les résultats laissent penser que notre approche est particulièrement efficace durant les périodes marquées par une volatilité erratique. Dans un but de simplification, nous décrivons la mise en place d’un estimateur de volatilité intemporel, sensé refléter la volatilité intrinsèque de chaque obligation. Cet estimateur suggère que la volatilité croit de manière quadratique lorsque celle-ci est exprimée en fonction de la fonction de répartition des variations de rendements. Dans un second temps nous explorons une version bivariée du modèle. La calibration, robuste, met en valeur les corrélations entre chaque obligation. En guise d’observation générale, notre analyse confirme que les distributions à queues épaisses sont tout à fait appropriées pour l’exploration des prix de marché en période de crise financière.Chapitre II explore différentes manières d’exploiter notre modèle probabiliste. Afin d’identifier la dynamique de la contagion entre les obligations souveraines, nous analysons la réaction attendue du marché à une série de chocs financiers. Nous considérons un niveau important de granularité pour ce qui est de la sévérité du choc sous-jacent, et ceci nous permet d’identifier des lois empiriques supposées généraliser le comportement de la réaction de marché lorsque l’aversion au risque s’intensifie. Puis, nous incorporons nos estimateurs de volatilité et de réaction de marché à certaines approches reconnues d’optimisation de portefeuille et nous notons une amélioration de la résistance des portefeuilles, dans cette nouvelle version. Finalement, nous développons une nouvelle méthodologie d’optimisation de portefeuille basée sur le principe de mean-reversion.Chapitre III est dédié au pricing de produits dérivés de taux. Nous considérons maintenant que l’aversion au risque cause l’émergence de discontinuités dans les prix de marché, que nous simulons par le biais de processus à sauts. Notre modèle se concentre sur les processus de Hawkes qui ont l’avantage de capturer la présence d’auto-excitation dans la volatilité. Nous développons une procédure de calibration qui se distingue des procédures habituelles. Les résultats de volatilité implicite sont cohérents avec la volatilité réalisée, et suggèrent que les coefficients de prime de risque ont été estimés avec succès. / Periods of deep risk aversion are usually marked by sizeable distortions in market prices, and substantial losses in portfolios. As observed during financial crises, a generalized debacle in financial markets is a very negative shock for the real economy. Against this backdrop, it looks relevant to explore how risk aversion tends to affect global market valuations, especially if this exercise helps make the promotion of more optimal portfolio rebalancing procedures.In this dissertation, we investigate different dimensions of risk aversion, with a focus on European Sovereign debt securities. For a given sovereign bond, the (quoted) yield to maturity has to reflect the underlying risk that the Treasury may default on its debt, before maturation of the bond. This is sovereign risk. Financial crises usually occasion an upward correction in bond yields. Since higher yields reflect larger sovereign risk and higher funding costs, national Treasuries are usually inclined to get a deeper understanding of how sovereign risk could evolve under the influence of fierce risk aversion. This is another objective of our research analysis.In Chapter I, we consider a probabilistic approach to sovereign risk exploration, with the main purpose of illustrating the non-linear reaction ensuing from a gradual deterioration in market sentiment. We consider heavy-tailed distributions, and we use the Generalised Autoregressive Score method as a means to capture the volatility momentum. The goodness of fit provided by Generalised Hyperbolic distributions is compelling, and results suggest that our approach is particularly relevant to fit periods or erratic volatility, typical of financial crises. As an attempt to simplify the model, we focus on an empirical formulation of the ‘untemporal’ volatility of each security. This estimator of the intrinsic volatility suggests that volatility tends to accelerate in a quadratic manner when it is expressed against the cumulative distribution function of the yield variations. In a second part, we extend this approach to a problem of larger dimension and we explore the dynamics of risk aversion from a bivariate point of view. Results look robust and illustrate multivariate correlations between sovereign securities. As a general conclusion, heavy-tailed distributions look remarkably efficient to replicate the distribution of times-series affected by distorted volatility and erratic price variations.Chapter II explores different ways to extract information from the model, about financial contagion and how it is supposed to propagate through sovereign securities. In particular, we explore the market reaction to a series of many shocks with gradual intensity. Results offer a high degree of granularity and we extrapolate empirical rules on the expected market dynamics, when risk aversion intensifies. Then we incorporate our estimators of volatility and market reaction (to shocks) into popular portfolio optimisation procedures and we see positive implications on the general resilience of these portfolios. Finally, we also design an in-house methodology for optimal portfolio rebalancing, based on mean reversion.In Chapter III, we explore how sovereign risk tends to affect the price of financial derivatives in a risk-off environment. We consider that risk aversion and the ensuing volatility now favour the emergence of sizeable discontinuities in market prices, that we model with stochastic jumps. The different approaches we investigate extensively rely on Hawkes processes. These stochastic processes seek to estimate the durable impact of risk aversion onto the dynamics of jumps, via the introduction of dedicated self-excited loops. We develop an original approach to the calibration, different from conventional procedures. In the end, the calculated implied volatility remains in the vicinity of the realised volatility and there is a visible capability to jump on any rise in risk aversion.

Magistro baigiamajame darbe išanalizuota ir įvertinta valstybių kredito reitingų suteikimo metodologija, šio proceso kritika, pateikti pasiūlymai esamoms problemoms spręsti. Atlikta koreliacinė, regresinė, pagrindinių komponenčių analizė ir pasinaudojus trijų Baltijos šalių – Lietuvos, Latvijos ir Estijos, pavyzdžiu surasti trys atskiri modeliai, tiksliausiai prognozuojantys minėtų valstybių kredito reitingus, remiantis makroekonominiais rodikliais. Pirmoje darbo dalyje teoriniu aspektu nagrinėjama kredito reitingo samprata, jo reikšmė finansų rinkoms, apibrėžiamos priežastys, lemiančios kredito reitingų trūkumus ir pateikiami tobulinimo siūlymai. Antroje dalyje analizuojamos trijų pagrindinių kredito reitingo agentūrų – Standard and Poor‘s, Fitch ir Moody‘s valstybių kredito reitingo suteikimo metodologijos, tiriama mokslinė literatūra, nagrinėjanti kredito reitingo priklausomybę nuo makroekonominių rodiklių, pateikiamas tyrimo modelis, nagrinėjamos su juo susijusios problemos, apibrėžiama darbo eiga. Trečioje dalyje sudaromos tiesinės daugianarės regresijos lygtys, naudojamos prognozuoti Lietuvos, Latvijos ir Estijos kredito reitingą, atliekamas ateities kredito reitingų prognozavimas remiantis faktiniais 2012 m. IV ketvirčio duomenimis ir numatomais scenarijais. / Master's Work analyzed and evaluated methodology of sovereign credit ratings, the critique of the process itself and proposed solutions for existing problems. Correlation, regression and principal components analysis were used to determine distinct models for the three Baltic states – Lithuania, Latvia and Lithuania, that accurately predicts future credit ratings based on macro-economic indicators. The first part examines theoretical aspect of the concept of credit rating, its value to the global financial markets, defines the causes of the credit rating errors, presents possible solutions for the failures of credit ratings. In the second section methodologies used by Standard and Poor's, Fitch and Moody's to determine sovereign credit ratings are analyzed, scientific literature on the dependence of credit rating and macro-economic indicators are examined, research model and problems associated with it are presented, workflow is defined. In the third part linear multiple regression equations are derived which are used to predict future credit ratings of Lithuania, Latvia and Estonia, future credit ratings predictions are carried out based on actual year 2012 fourth quarter data and future scenarios.

Bill C-25, The Truth in Sentencing (TIS) Act legislates the reduction of credit awarded for time served in pre-sentencing custody. The Act is but one initiative that reflects a shift toward punitiveness by the West. In reading the literature, a gap was identified concerning TIS activities in relation to the current Canadian predicament of crime control, and a socio-legal perspective provided a creative means of looking at this gap. The primary data was coded and analyzed using sensitizing categories derived from a leading theoretical framework. This framework posited the existence of conflicting criminologies and resulting strategies together forming the present regime of truth. This thesis concludes that 'truth' in sentencing is premised upon contradictory understandings as defined by the framework, that conflicting rationalities are reproduced within TIS and that although the Act is touted as an administrative reform, it also reasserts sovereign power over issues of crime and its control.

This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished