O mercado de crédito de longo prazo, abordado aqui através dos contratos de debênture, vem se fortalecendo no Brasil após o início do Plano Real, onde a estabilização da economia permitiu que suas cláusulas contratuais migrassem para o controle de risco relativo à firma frente a anterior preocupação com o ambiente econômico conturbado, conforme exposto em Silva e Leal (2008). Assim, este trabalho tenta prever a variável Distante to Default (DD) apresentada em Crosbie e Bohn (2003) através da estrutura proposta por Collin-Dufresne e Goldstein (2001). Para o quartil mais líquido da amostra, o erro percentual médio (EPM) para um horizonte de previsão de cinco anos é de 52%, e de 21% quando considerada a previsão perfeita da volatilidade. O EPM mostra-se muito sensível à liquidez das empresas em bolsa. / The long-term credit market, addressed here through debenture contracts, has gained strength in Brazil after the start of the Real Plan, where stabilization of the economy has allowed its contractual covenants migrate to the firm's risk control in spite of the previous troubled economic environment, outlined in Silva e Leal (2008). Then, this work tries to forecast the Distance to Default variable (DD) from Crosbie e Bohn (2003) through the proposed structure by Collin- Dufresne e Goldstein (2001). For the sample's most liquid quartile, the mean percentage error (MPE) for a forecast horizon of five years is 52%, and 21% when considering perfect volatility forecast. The MPE is very sensitive to firm's market liquidity.

O mercado de crédito de longo prazo, abordado aqui através dos contratos de debênture, vem se fortalecendo no Brasil após o início do Plano Real, onde a estabilização da economia permitiu que suas cláusulas contratuais migrassem para o controle de risco relativo à firma frente a anterior preocupação com o ambiente econômico conturbado, conforme exposto em Silva e Leal (2008). Assim, este trabalho tenta prever a variável Distante to Default (DD) apresentada em Crosbie e Bohn (2003) através da estrutura proposta por Collin-Dufresne e Goldstein (2001). Para o quartil mais líquido da amostra, o erro percentual médio (EPM) para um horizonte de previsão de cinco anos é de 52%, e de 21% quando considerada a previsão perfeita da volatilidade. O EPM mostra-se muito sensível à liquidez das empresas em bolsa. / The long-term credit market, addressed here through debenture contracts, has gained strength in Brazil after the start of the Real Plan, where stabilization of the economy has allowed its contractual covenants migrate to the firm's risk control in spite of the previous troubled economic environment, outlined in Silva e Leal (2008). Then, this work tries to forecast the Distance to Default variable (DD) from Crosbie e Bohn (2003) through the proposed structure by Collin- Dufresne e Goldstein (2001). For the sample's most liquid quartile, the mean percentage error (MPE) for a forecast horizon of five years is 52%, and 21% when considering perfect volatility forecast. The MPE is very sensitive to firm's market liquidity.

O mercado de crédito de longo prazo, abordado aqui através dos contratos de debênture, vem se fortalecendo no Brasil após o início do Plano Real, onde a estabilização da economia permitiu que suas cláusulas contratuais migrassem para o controle de risco relativo à firma frente a anterior preocupação com o ambiente econômico conturbado, conforme exposto em Silva e Leal (2008). Assim, este trabalho tenta prever a variável Distante to Default (DD) apresentada em Crosbie e Bohn (2003) através da estrutura proposta por Collin-Dufresne e Goldstein (2001). Para o quartil mais líquido da amostra, o erro percentual médio (EPM) para um horizonte de previsão de cinco anos é de 52%, e de 21% quando considerada a previsão perfeita da volatilidade. O EPM mostra-se muito sensível à liquidez das empresas em bolsa. / The long-term credit market, addressed here through debenture contracts, has gained strength in Brazil after the start of the Real Plan, where stabilization of the economy has allowed its contractual covenants migrate to the firm's risk control in spite of the previous troubled economic environment, outlined in Silva e Leal (2008). Then, this work tries to forecast the Distance to Default variable (DD) from Crosbie e Bohn (2003) through the proposed structure by Collin- Dufresne e Goldstein (2001). For the sample's most liquid quartile, the mean percentage error (MPE) for a forecast horizon of five years is 52%, and 21% when considering perfect volatility forecast. The MPE is very sensitive to firm's market liquidity.

京都大学 / 0048 / 新制・課程博士 / 博士(医学) / 甲第22372号 / 医博第4613号 / 新制||医||1043(附属図書館) / 京都大学大学院医学研究科医学専攻 / (主査)教授 小柳 義夫, 教授 竹内 理, 教授 朝長 啓造 / 学位規則第4条第1項該当 / Doctor of Medical Science / Kyoto University / DFAM

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This dissertation includes three essays, which investigate contingent claims pricing subject to credit risk based on the structural approach and analyze associated issues of corporate finance. The first essay develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm's capital structure by incorporating both the industry demand and firm-level supply factors into the firm's earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms' quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are. The second essay presents a contingent claim valuation of a callable convertible bond with the issuer's credit risk. The optimal call, voluntary conversion and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. Our model not only incorporates tax benefits, bankruptcy costs, refunding costs and a call notice period, but also takes account of the issuer's debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore calling convertible bonds too late or too early can be rational. The third essay provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow for the possible default of the option issuer prior to the option's maturity, but also considers the correlations among the option issuer's total asset, the underlying stock, and the default-free zero coupon bond. We further tailor-make a specific credit-linked option for hedging the default risk of the option issuer. The numerical results show that the default risk of the option issuer significantly reduces the option values, and the vulnerable option values may be remarkably overestimated in the case where the default can occur only at the maturity of the option.

This thesis studies different aspects of firm decisions by using a dynamic model. I estimate a dynamic model of the firm based on the trade-off theory of capital structure that endogenizes investment, leverage, and payout decisions. For the estimation of the model I use Efficient Method of Moments (EMM), which allows me to recover the structural parameters that best replicate the characteristics of the data. I start analyzing the question of whether target leverage varies over time. While this is a central issue in finance, there is no consensus in the literature on this point. I propose an explanation that reconciles some of the seemingly contradictory empirical evidence. The dynamic model generates a target leverage that changes over time and consistently reproduces the results of Lemmon, Roberts, and Zender (2008). These findings suggest that the time-varying target leverage assumption of the big bulk of the previous literature is not incompatible with the evidence presented by Lemmon, Roberts, and Zender (2008). Then I study how corporate income tax payments vary with the corporate income tax rate. The dynamic model produces a bell-shaped relationship between tax revenue and the tax rate that is consistent with the notion of the Laffer curve. The dynamic model generates the maximum tax revenue for a tax rate between 36% and 41%. Finally, I investigate the impact of financial constraints on investment decisions by firms. Model results show that investment-cash flow sensitivity is higher for less financially constrained firms. This result is consistent with Kaplan and Zingales (1997). The dynamic model also rationalizes why large and mature firms have a positive and significant investment-cash flow sensitivity.

The paper estimates a dynamic macroeconometric model for the US economy that captures two important features commonly observed in the study of the US business cycle, namely the strong co-movement of key macroeconomic quantities, and the distinction between expansionary and recessionary phases. The model extends the factor-augmented vector autoregressive model of Bernanke et al. (2005) by combining Markov switching with factor augmentation, modeling the Markov switching probabilities endogenously, and adopting a full Bayesian estimation approach which uses shrinkage priors for several parts of the parameter space. Exploiting a large data set for the US economy ranging from 1971:Q1 to 2014:Q2, the model is applied to measure not only the dynamic effects of unconventional monetary policy within distinct stages of the business cycle, but also the dynamic response of the recession probabilities, based on conducting counterfactual simulations. The results obtained provide new insights on the effect of monetary policy under changing business cycle phases, and highlight the importance of discriminating between expansionary and recessionary phases of the business cycle when analyzing the impact of monetary policy on the macroeconomy. (authors' abstract) / Series: Working Papers in Regional Science

[pt] Mensurar o risco de default justo para uma empresa sempre foi uma tarefa crucial para uma instituição financeira na hora de emprestar, principalmente, hoje em dia, com o aumento da competitividade e a redução dos spreads. Por outro lado, as empresas também precisam ser críticas e devem saber determinar o seu grau de risco com a mesma exatidão das instituições financeiras.Todos os agentes de mercado devem possuir as melhores ferramentas para mensurar o risco de crédito. Com esse intuito será apresentado nesta dissertação uma metodologia de análise de risco de crédito que está sendo muito discutida no momento. O foco será no modelo teórico de equilíbrio de Merton, 1974, que foi amplamente difundido pela KMV Corporation, que desenvolveu um modelo baseado nas premissas de Merton para fazer previsão de default. A dissertação começará com uma abordagem sobre o cenário que levou ao desenvolvimento de novos modelos para quantificar o risco de crédito. Em seguida, será feita uma revisão da modelagem KMV e da modelagem DLI (baseada na teoria de Merton, 1974). Após, será estimado o valor dos ativos a partir do valor do equity e calculada a probabilidade de default de empresas brasileiras, negociadas em bolsa, e que realmente entraram em default. Serão discutidas as vantagens e desvantagens apresentadas por estes dois modelos e as diferenças que existem entre a modelagem da KMV e a DLI. / [en] Measuring the fair default risk for a company, has always been a crucial task for a financial institution when it comes to granting loans, especially nowadays, with the rise in competitiveness and the reduction of the spreads. On the other hand, companies need to be analytical and must know how to determine their level of risk with the same accuracy as the financial institutions. Every market agent must possess the best tools to measure the credit risk, and with this purpose, the most discussed subject of the moment will be presented in this dissertation. The focus will be on the theoretical model of equilibrium by Merton, 1974, which was widely spread by KMV Corporation, who developed a model based on Merton`s premises in order to be able to predict default. The dissertation will start with an approach over the scenario that led to the development of new models to quantify the credit risk. Next, a review over the KMV model and the DLI model (based on Merton, 1974) will be done. After that, we will estimate the asset value starting from the equity value, and calculate the probability of default of Brazilian companies that are negotiated on the stock exchange, and who`ve really gone into default. We will discuss the advantages and disadvantages presented by these two models and the existing difference between the KMV and the DLI models.

Le virus de la vaccine (VACV) est un grand virus à ADN, modèle du genre orthopoxvirus, et partage plus de 97% d'identité de séquence avec le virus de la variole (VARV), un pathogène humain majeur éradiqué en 1977 grâce au programme de vaccination mondial avec le VACV. Celle-ci ayant été stoppée dans les années 80, un pourcentage significatif de la population mondiale est aujourd'hui considérée comme immunologiquement naïf vis à vis du virus de la variole, ce qui fait de lui un agent bioterroriste potentiel. De plus, la vaccination implique un grand nombre de complications, particulièrement graves chez les personnes immunodéprimées ; et les antiviraux disponibles sont peu développés, ce qui souligne le besoin de nouvelles molécules. Le complexe de réplication apparait comme étant une cible privilégiée, de par son importance dans le cycle viral mais aussi par sa localisation cytoplasmique qui le rend plus accessible aux molécules antivirales. Nous nous sommes intéressés à 4 protéines essentielles de ce complexe : l'ADN polymérase E9, le facteur de processivité composé de la protéine A20 et de l'uracile ADN glycosylase D4 et l'hélicase-primase D5. Nous avons pu exprimer ces protéines de manière recombinante, seules ou en complexe ainsi que les caractériser biochimiquement et biophysiquement. Nous avons finalement abouti à une reconstruction strcuturale du complexe A20D4E9 à basse résolution grâce à la technique de SAXS, ce qui nous a permis de proposer le premier modèle structural de la fourche de réplication du virus de la vaccine. / Vaccinia virus (VACV) is a large DNA virus, prototypic virus of the orthopoxvirus genus, and shows over 97% amino acid sequence identity with the variola virus (VARV), a major human pathogene eradicated in 1977 thanks to the universal vaccination program with VACV. As this vaccination was halted in the 1980s, a significant percentage of the world population is now immunologically naïve, which makes the VARV a potent bioterrorist agent. Vaccination against smallpox may result in a variety of complications, particularly in immunologically depressed patients, and the available antiviral therapeutics are rare, which enhance the need of new molecules. The replication complex appears as an ideal target because of its importance in the viral cycle and its cytoplasmic localization, more accessible for the molecules. We have focused our study on 4 essential proteins of this complex: the DNA polymerase E9, the processivity factor composed by the A20 protein and the uracil DNA glycosylase D4 and the helicase-primase D5. We could express these recombinant proteins, alone and in complex, and characterize them biochemically and biophysically. Using the SAXS technic, we finally reached a low resolution model of the A20D4E9 complex which allow us to propose the first structural model of the vaccinia virus replication fork.