Made available in DSpace on 2016-04-25T16:44:31Z (GMT). No. of bitstreams: 1 Katia Teresinha Guerra Gomes.pdf: 888955 bytes, checksum: 4cb2854de9af35ae524beb29184c9874 (MD5) Previous issue date: 2012-10-22 / This dissertation aims at the study of 22 companies of the international insurance segment in order to ascertain whether insurers already consider in the price of its shares the expectations of future crises and also analyze which insurance market is more efficient. To this purpose, this work studied and presented results on the following aspects: a study of 20 companies of highest market value of the international insurance segment, verifying the performance of rolling stock of each comparing with the market index of the stock exchange on which the action is negotiated. Additionally, conducted an analysis between the Brazilian insurance markets and other markets studied in the sample, verifying if the insurance segment in Brazil presents itself more efficient than international markets surveyed; and third, and last, an analysis of the stock indexes out of reshaping crisis moments as selected sample. For this survey, the methodology which has been used was the study of events. According to the results observed in this work and except that the findings are limited to the sample observed, the results indicate the occurrence of the generation of statistically significant abnormal returns after the announcement of the crisis. For the windows immediately before and after the event window, was not observed to generate statistically significant abnormal returns. Thus, we accepted the null hypothesis, assuming indications anticipated adjustments, resulting from an accumulation of factors. The results comparison among companies of the 4 sub samples showed the absence of a default behavior for the series as a whole. And considering that economic crises are the result of continuous systemic adverse events, with the results published in the media, it is reasonable to accept that the prices gradually adjusted before the measurement point / A presente dissertação tem por objetivo o estudo do retorno das ações ordinárias de 22 empresas do segmento de seguros internacional a fim de verificar se elas já embutiram no preço de suas ações as expectativas de crises futuras e também analisar qual mercado segurador se apresenta mais eficiente. Para tanto, este trabalho estudou e apresentou resultados sobre os seguintes aspectos: um estudo das 20 empresas de maior Valor de Mercado que compõem o segmento de seguros internacional, verificando o desempenho evolutivo das ações de cada uma delas comparando com o índice de mercado da Bolsa de Valores na qual a ação é negociada. Adicionalmente, efetuou-se uma análise entre o mercado segurador brasileiro e os demais mercados estudados na amostra, verificando se o segmento de seguros no Brasil se apresenta mais eficiente que os mercados internacionais pesquisados; e em terceiro e último, uma análise dos índices bursáteis nos momentos das crises financeiras selecionadas como amostra. Para tal pesquisa, utilizou-se da metodologia de estudo de eventos. De acordo com os resultados observados nesse trabalho e ressalvado que as conclusões se limitam à amostra observada, conclui-se que os resultados evidenciaram a ocorrência da geração de retornos anormais estatisticamente significativos, após o anúncio da crise. Para as janelas imediatamente anteriores e posteriores a janela do evento, não foi observada a geração de retornos anormais estatisticamente significativos. Com isso, aceitou-se a hipótese nula, assumindo indícios de ajustes antecipados, resultantes de um acumulo de fatores. A comparação dos resultados entre as empresas das 4 sub amostras evidenciaram a inexistência de um comportamento padrão para a série como um todo. E ainda considerando que as crises econômicas são resultantes de uma continuidade de eventos sistêmicos adversos, com seus resultados divulgados na mídia, é admissível aceitar que os preços gradualmente se ajustaram antes do ponto de medição

Submitted by Hudson Fiorot Ilha (hudsonfiorot@yahoo.com.br) on 2011-09-13T05:27:07Z No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-13T13:11:05Z (GMT) No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-13T13:15:31Z (GMT) No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) / Made available in DSpace on 2011-09-13T13:16:44Z (GMT). No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) Previous issue date: 2011-08-19 / O objetivo dessa pesquisa foi testar a relação entre a volatilidade da variação real de índices de ações e eventos raros (positivos e negativos) no PIB real e, adicionalmente, a relação entre a volatilidade das taxas de juros reais e da variação das taxas de câmbio real efetiva e a ocorrência de tais eventos. Para testar essas relações foi utilizado o modelo GARCH, com o objetivo de modelar a volatilidade das variáveis consideradas (índices de ações, taxas de câmbio real efetiva e taxas de juros), inclusive regredindo a volatilidade contra variáveis dummy que indicassem a ocorrência de eventos raros. O teste foi realizado para os seguintes países: Estados Unidos, Canadá, Reino Unido, Coréia do Sul, Japão e Brasil. Foram encontradas evidências de que a ocorrência de eventos raros negativos (desastres raros) impacta positivamente a volatilidade tanto da variação real de índices de ações quanto da variação da taxa de câmbio real efetiva. Entretanto, os resultados não indicaram que existe um impacto de eventos raros positivos na volatilidade dessas variáveis. Para a volatilidade da taxa de juros real, os testes não indicaram a existência de relação com eventos raros, porém esses resultados podem ter sido influenciados pelo fato da amostra ser pequena. / This research test the relationship between the volatility of real returns in stock indexes and rare events (positive and negative) in real GDP and, additionally, the relationship between the occurrence of such events and the volatility of real interest rates and of growth in real effective exchange rates. To test these relationships I use the GARCH model, with the goal of modeling volatility of the considered variables (stock indexes, real effective exchange rates and interest rates) and regressing volatility against dummy variables that measures the occurrence of rare events. The test was performed for the following countries: United States, Canada, United Kingdom, South Korea, Japan and Brazil. I found evidence to suggest that the occurrence of negative rare events (rare disasters) impacts positively the volatility of real returns in stock indexes and of growth in real effective exchange rate. However, the results don’t indicate that there is a relationship between positive rare events and the volatility of these variables. In respect to the volatility of real interest rates, the tests did not indicate the existence of a relationship with rare events, but these results may have been influenced by the fact that the sample is small.

Ce travail de thèse poursuit une perspective double dans l'usage conjoint des méthodes de Monte Carlo séquentielles (MMS) et de l'algorithme Espérance-Maximisation (EM) dans le cadre des modèles de Markov cachés présentant une structure de dépendance markovienne d'ordre supérieur à 1 au niveau de la composante inobservée. Tout d'abord, nous commençons par un exposé succinct de l'assise théorique des deux concepts statistiques à Travers les chapitres 1 et 2 qui leurs sont consacrés. Dans un second temps, nous nous intéressons à la mise en pratique simultanée des deux concepts au chapitre 3 et ce dans le cadre usuel ou la structure de dépendance est d'ordre 1, l'apport des méthodes MMS dans ce travail réside dans leur capacité à approximer efficacement des fonctionnelles conditionnelles bornées, notamment des quantités de filtrage et de lissage dans un cadre non linéaire et non gaussien. Quant à l'algorithme EM, il est motivé par la présence à la fois de variables observables, et inobservables (ou partiellement observées) dans les modèles de Markov Cachés et singulièrement les modèles de volatilité stochastique étudié. Après avoir présenté aussi bien l'algorithme EM que les méthodes MCS ainsi que quelques une de leurs propriétés dans les chapitres 1 et 2 respectivement, nous illustrons ces deux outils statistiques au travers de la calibration d'un modèle de volatilité stochastique. Cette application est effectuée pour des taux change ainsi que pour quelques indices boursiers au chapitre 3. Nous concluons ce chapitre sur un léger écart du modèle de volatilité stochastique canonique utilisé ainsi que des simulations de Monte Carlo portant sur le modèle résultant. Enfin, nous nous efforçons dans les chapitres 4 et 5 à fournir les assises théoriques et pratiques de l'extension des méthodes Monte Carlo séquentielles notamment le filtrage et le lissage particulaire lorsque la structure markovienne est plus prononcée. En guise d’illustration, nous donnons l'exemple d'un modèle de volatilité stochastique dégénéré dont une approximation présente une telle propriété de dépendance. / This thesis pursues a double perspective in the joint use of sequential Monte Carlo methods (SMC) and the Expectation-Maximization algorithm (EM) under hidden Mar­kov models having a Markov dependence structure of order grater than one in the unobserved component signal. Firstly, we begin with a brief description of the theo­retical basis of both statistical concepts through Chapters 1 and 2 that are devoted. In a second hand, we focus on the simultaneous implementation of both concepts in Chapter 3 in the usual setting where the dependence structure is of order 1. The contribution of SMC methods in this work lies in their ability to effectively approximate any bounded conditional functional in particular, those of filtering and smoothing quantities in a non-linear and non-Gaussian settings. The EM algorithm is itself motivated by the presence of both observable and unobservable ( or partially observed) variables in Hidden Markov Models and particularly the stochastic volatility models in study. Having presented the EM algorithm as well as the SMC methods and some of their properties in Chapters 1 and 2 respectively, we illustrate these two statistical tools through the calibration of a stochastic volatility model. This application is clone for exchange rates and for some stock indexes in Chapter 3. We conclude this chapter on a slight departure from canonical stochastic volatility model as well Monte Carlo simulations on the resulting model. Finally, we strive in Chapters 4 and 5 to provide the theoretical and practical foundation of sequential Monte Carlo methods extension including particle filtering and smoothing when the Markov structure is more pronounced. As an illustration, we give the example of a degenerate stochastic volatility model whose approximation has such a dependence property.

我國金融市場積極發展多元化與國際化，將由台灣期貨交易所推出臺指選擇權，建立選擇權市場以完備金融市場。由於選擇權市場掛牌交易契約眾多與選擇權的交易特性，因此有賴造市者發揮提供流動性、風險移轉、價格效率性及價格資訊揭露等經濟功能。本研究以造市者之功能性逐項比較我國造市者制度與EUREX、SEHK、LIFFE等各大交易所造市者制度之差異，用以發現我國首度引進的造市者制度對於選擇權市場發展的影響。 本研究為瞭解選擇權造市者營運的知識與技術，整理造市者作業循環的流程，針對造市者業務進行分工，建立起造市風險分析架構。推導得出造市風險包含造市交易風險與部位管理風險，呈現出市場波性風險、報價及交易策略風險、造市交易之市場機制風險、市場行情變動風險、遇險交易策略風險、部位管理之市場機制風險及財務與作業風險等七大類的造市風險。 本研究亦提出對於我國選擇權市場未來發展方向的關切，以及建議重視造市者利基與市場運作之關係，並提出未來與造市者相關之研究建議。 / Taiwan's financial market has been developing constructively into a globalization and multiplicity market within these years. To create a more completed financial market, Taiwan Futures Exchange (TAIFEX) will issue "the Taiwan stock index option" recently. As the complex and various features of the options trading, the option market will be successful and efficient through the market maker's economic functions, which are adding liquidity, increasing price efficiency, transferring risk and proving price information. This survey tried to compare the different functions of market maker system with TAIFEX, EUREX, SEHK and LEFFE, and to disclose the influence of the new market maker system on Taiwan's option market. This exposure takes great interest in market maker's knowledge and technology. By summarizing and classifying the operation process cycle flow of market maker, this research further organizes an analytic structure in market maker's risks. Including the market making risks and the positions management risks, the discussion demonstrates the market change risk, pricing strategy risk, limitary quoting risk, market volatility risk, hedging risk, mechanism risk, and finance and operation risk. The consequent also furnishes the concerns about the future development of Taiwan option market, emphasizing the importance of the relationship between market makers and market' benefit, and the suggestions to the further research.