common articles of daily use, the goldsmith's works had additional meanings and functions, and - - monarch's court. Its aim is to distinguish two types of the goldsmith's works associated with Charles IV: those based can be proved by signs or inscriptions found directly on the works, or by other written sources. If there's a lack of written altar at the time of Charles IV as a specific kind of goldsmith's work, whose use interconnects the and Vienna, the catalog includes a number of solitary goldsmith's works spread across European church treasuries a liquary Bust of St. Sigismund in Plock. Two women's crowns are also included, the the Środa Treasure. From the total of thirty here described goldsmith's works placed abroad,

State-owned enterprises (SOES) exist in South Africa to drive economic development and improve service delivery to the large population. In order for SOES to achieve their mandates, as set out by government through their shareholding department, financial assistance by the state is imperative. In the case of the monopolistic power utility, Eskom, the South African government (SAGO) has 100% ownership which is managed through the Department of Public Enterprises (DPE). This total ownership by the state means that government is responsible in ensuring that the utility is operational and supported financially. The current study was aimed at evaluating the financial assistance received by SOEs in South Africa by the state with specific focus on Eskom. Eskom was selected from the eight SOES managed by the DPE for the purpose of focusing the research. The focus of the study was on the financial assistance to SOES in South Africa by the state. In 2008, Eskom received funding from different sources through loan intervention of the South African government. The loan and guarantees made available to Eskom by government, enabled the SOE to achieve a positive credit rating. Data for this research was primarily collected through academic journals, books, Acts, White Papers, legislation and personal interviews at the National Treasury (NT). The recommendation that this research states relates to the need for a single policy document on state financial assistance to SOES in South Africa. / Public Administration / M. Admin. (Public Administration)

Thesis (MDF (Development Finance))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: The traditional form of delivering infrastructure and services by government is fraught with problems. These include cost overruns, time overruns and neglect of maintenance resulting in dilapidated and aged infrastructure. Public-private partnerships (PPPs) are emerging as an alternative form of delivering infrastructure, not necessarily as a solution, but as a procurement option. PPPs have not been without problems either and one of them is deal flow. In this research deal flow is referred to as a rate at which PPP projects move in the pipeline from initiation to conclusion of the contract. Initiation means registration of the project by a sponsoring institution with the National Treasury of the Republic of South Africa and conclusion of the contract means financial close. Financial close is the last stage of the project when financial institutions are ready to disburse borrowed funds. It follows immediately after contractual close, i.e. the stage when parties to the agreement (government department and private sector) signed the contract. The main objective of the research was to identify factors that lead to a slow deal flow. As discussed in the research this movement takes place at a rate of two deals per annum in South Africa presently. This is not good if compared with countries such as the United Kingdom which closes deals at a pace of around 50 per annum. However it is recognised that South Africa is a developing country and is not at the same level of development as other European countries. This comparison is therefore done for benchmarking purposes. The other objective of the research was to find out where the occurrences of the blockages are in the project life cycle with the aim of removing or mitigating their impact. Finding answers to some of these questions will not only help the National Treasury but the whole country in delivering infrastructure. The motivation for this is that infrastructure development contributes to economic development, economic growth and poverty reduction and the creation of a better South Africa for us all. The main findings of the research are that a great amount of time is spent during the inception phase, that is from registration of the project to Treasury Approval 1 for the feasibility study. Contrary to literature which suggests that more time is always spent in negotiations, that does not seem to be a problem in South Africa. Therefore an aggressive push at inception phase is necessary. Lack of clear government objectives and commitment is a problem. Poorly defined sector policies and poor risk management are problems too. There is a lack of mechanisms to attract long-term finance at affordable rates. This research has proved that other phases in the cycle, i.e. Treasury Approvals 2A to Treasury Approval 3, are not a problem. In other words, the phase of inviting, evaluating, appointing and negotiating with bidders is not a problem and therefore a slow deal flow problem can be solved if initiatives are taken right from conceptualisation to feasibility. / AFRIKAANSE OPSOMMING: Die tradisionele manier waarop die regering infrastruktuur voorsien is deurspek van probleme. Dit sluit in oorspandering, oorskryding van spertye en gebrek aan onderhoud wat lei tot bouvallige en verouderde infrastruktuur. Publieke-private vennootskappe (public-private partnerships (PPPs)) kom na vore as 'n alternatiewe manier om infrastruktuur te skep, nie noodwendig as 'n oplossing nie, maar as 'n opsie vir verkryging. PPPs is ook nie sonder probleme nie en een van die probleme wat in hierdie navorsingstudie aangespreek word is die vloei van transaksies. In hierdie navorsing dui die vloei van transaksies (deal flow) op die tempo waarteen PPP projekte in die pyplyn beweeg vanaf die aanvang tot die sluiting van die kontrak. Aanvang beteken registrasie van die projek deur 'n borg institusie by die Nasionale Tesourie van die Republiek van Suid-Afrika en kontraksluiting beteken finansiële sluiting. Finansiële sluiting is die laaste stadium van die projek wanneer finansiële instellings gereed is om geleende geld uit te betaal. Dit volg direk op kontraksluiting, i.e. die stadium wanneer die partye tot die ooreenkoms (regeringsdepartement en privaatsektor) die kontrak onderteken het. Die stadige tempo waarteen transaksies vloei is die onderwerp van hierdie navorsing. Die hoof-doelwit van die navorsing was om faktore te identifiseer wat lei tot 'n stadige vloei van transaksies. Soos in die navorsing bespreek, vind hierdie beweging tans plaas teen 'n tempo van twee transaksies per jaar. Dit is nie goed nie, vergeleke met lande soos die Verenigde Koninkryk waar transaksies gesluit word teen 'n tempo van 50 per jaar. Daar word egter erken dat Suid-Afrika 'n ontwikkelende land is en nie op dieselfde vlak van ontwikkeling is as die ander Europese lande nie. Hierdie vergelyking word dus bloot gedoen met die doel op die vestiging van 'n maatstaf vir toekomstige verwysing. Die ander doelwit was om uit te vind waar die blokkasies in die projek se lewensiklus is met die oog daarop om dit te verwyder of die impak daarvan te verminder. Antwoorde op sommige van hierdie vrae sal nie alleen die Nasionale Tesourie help nie, maar die hele land help om infrastruktuur te skep. Die motivering hiervoor is dat die ontwikkeling van infrastruktuur bydra tot ekonomiese ontwikkeling, ekonomiese groei en die verlaging van armoede en die skep van 'n beter Suid-Afrika vir ons almal. Die hoofbevindings van hierdie navorsing is dat daar 'n groot hoeveelheid tyd spandeer word gedurende die aanvangsfase, naamlik vanaf registrasie van die projek tot by Tesourie Goedkeuring 1 vir die lewensvatbaarheidstudie. In teenstelling met die literatuur wat beweer dat meer tyd altyd spandeer word aan onderhandelings, is dit nie die probleem in Suid-Afrika nie. 'n Aggressiewe dryfkrag met die aanvangsfase is dus nodig. 'n Gebrek aan duidelike regeringsdoelwitte en -toewyding is ook 'n probleem. Swak gedefinieerde sektorbeleide en swak risikobestuur is verdere probleme. Daar is 'n gebrek aan meganismes om langtermyn-finansiering teen bekostigbare tariewe te lok. Hierdie navorsing het getoon dat ander fases in die siklus, naamlik Tesourie Goedkeuring 2A tot Tesourie Goedkeuring 3, nie problematies is nie. Met ander woorde, die fase van nooi, evalueer, aanstel en onderhandel met aanbieders is nie 'n probleem nie en die stadige transaksievloei-probleem kan dus opgelos word as inisiatief geneem word reg aan die begin van konsepsualisering tot en met die fase van lewensvatbaarheid.

Este estudo busca compreender a importância da fiscalidade colonial enquanto lócus privilegiado para a análise da construção e o desenvolvimento do poder regional na América portuguesa no longo século XVIII. Escolheu-se a capitania periférica de São Paulo como objeto principal de investigação, uma região marcada por um menor desenvolvimento econômico e por pesados encargos militares. Neste estudo, o poder regional é entendido em sua dupla dimensão estatal, a construção de uma esfera de governo na capitania, e privada, a formação de uma elite colonial propriamente regional. Esta análise considerou aspectos informais (redes) e formais (instituições), bem como dimensões cognitivas expressas por distintas culturas fiscais. Foram privilegiados três eixos de investigação: os processos de negociação fiscal, as instituições de administração fazendária e a arrematação dos contratos. Adotando-se um ponto de vista complementar e intermediário das diferentes posições no debate contemporâneo sobre o governo político na América portuguesa, a preocupação principal voltou-se para os diferentes arranjos, com conflitos e negociações, entre a Coroa portuguesa e as elites mercantis do reino e dos domínios. Entre as principais conclusões observa-se que a formação do poder regional seria marcada por dificuldades e limitações na primeira metade do século XVIII, pela construção efetiva de configurações relativamente estáveis durante o reinado absolutista de d. José I e pelo surgimento de tensões na década de 1790, decorrentes de pressões vindas do centro e dos poderes locais subjacentes. / This study aims to understand the importance of colonial fiscality as an opportune place to analyze the building and the development of the regional powers in Portuguese America in the long Eighteenth century. The peripheral captaincy of São Paulo, burdened by heavy military expenses and a lower economic importance, was chosen as the core research object. In this study, the regional power is understood in its double dimension. One side relates to the government with the construction of a state sphere in the captaincy. The other side is private, the formation of a regional colonial elite. The analysis considered informal (networks) and formal aspects (institutions) as well as cognitive dimensions expressed by different fiscal cultures. Three axis of research were highlighted: the processes of fiscal negotiation, the Treasury administration institutions and the leasing of tax contracts. The thesis supported a complementary and intermediary point of view about the different arguments in the current debate on the political government in Portuguese America. The main concern was to study the different dealings between the Portuguese Crown and the kingdom and colonial elites. These arrangements involved conflicts and negotiations. In the conclusion, it is observed that the formation of regional power was marked by difficulties and restrictions in the first half of Eighteenth century, by an effective construction of relatively stable configurations in the absolutist government of d. José I and by the awakening of tensions in the decade of 1790 provoked by central and local powers.

Uma grande dificuldade da gestão financeira é conseguir associar métodos quantitativos às formas tradicionais de gestão, em um único arranjo. O estilo tradicional de gestão tende a não crer, na devida medida, que métodos quantitativos sejam capazes de captar toda sua visão e experiência, ao passo que analistas quantitativos tendem a subestimar a importância do enfoque tradicional, gerando flagrante desarmonia e ineficiência na análise de risco. Um modelo que se propõe a diminuir a distância entre essas visões é o modelo Black-Litterman. Mais especificamente, propõe-se a diminuir os problemas enfrentados na aplicação da teoria moderna de carteiras e, em particular, os decorrentes da aplicação do modelo de Markowitz. O modelo de Markowitz constitui a base da teoria de carteiras há mais de meio século, desde a publicação do artigo Portfolio Selection [Mar52], entretanto, apesar do papel de destaque da abordagem média-variância para o meio acadêmico, várias dificuldades aparecem quando se tenta utilizá-lo na prática, e talvez, por esta razão, seu impacto no mundo dos investimentos tem sido bastante limitado. Apesar das desvantagens na utilização do modelo de média-variância de Markowitz, a idéia de maximizar o retorno, para um dado nível de risco é tão atraente para investidores, que a busca por modelos com melhor comportamento continuou e é neste contexto que o modelo Black-Litterman surgiu. Em 1992, Fischer Black e Robert Litterman publicam o artigo Portfolio Optimization [Bla92], fazendo considerações sobre o papel de pouco destaque da alocação quantitativa de ativos, e lançam o modelo conhecido por Black-Litterman. Uma grande diferença entre o modelo Black-Litterman e um modelo média-variância tradicional é que, enquanto o segundo gera pesos em uma carteira a partir de um processo de otimização, o modelo Black-Litterman parte de uma carteira de mercado em equilíbrio de longo prazo (CAPM). Outro ponto de destaque do modelo é ser capaz de fornecer uma maneira clara para que investidores possam expressar suas visões de curto prazo e, mais importante, fornece uma estrutura para combinar de forma consistente a informação do equilíbrio de longo prazo (priori) com a visão do investidor (curto prazo), gerando um conjunto de retornos esperados, a partir do qual os pesos em cada ativo são fornecidos. Para a escolha do método de estimação dos parâmetros, levou-se em consideração o fato de que matrizes de grande dimensão têm um papel importante na avaliação de investimentos, uma vez que o risco de uma carteira é fundamentalmente determinado pela matriz de covariância de seus ativos. Levou-se também em consideração que seria desejável utilizar um modelo flexível ao aumento do número de ativos. Um modelo capaz de cumprir este papel é o GARCH ortogonal, pois este pode gerar matrizes de covariâncias do modelo original a partir de algumas poucas volatilidades univariadas, sendo, portanto, um método computacionalmente bastante simples. De fato, as variâncias e correlações são transformações de duas ou três variâncias de fatores ortogonais obtidas pela estimação GARCH. Os fatores ortogonais são obtidos por componentes principais. A decomposição da variância do sistema em fatores de risco permite quantificar a variabilidade que cada fator de risco traz, o que é de grande relevância, pois o gestor de risco poderá direcionar mais facilmente sua atenção para os fatores mais relevantes. Ressalta-se também que a ideia central da ortogonalização é utilizar um espaço reduzido de componentes. Neste modelo de dimensão reduzida, suficientes fatores de risco serão considerados, assim, os demais movimentos, ou seja, aqueles não capturados por estes fatores, serão considerados ruídos insignificantes para este sistema. Não obstante, a precisão, ao desconsiderar algumas componentes, irá depender de o número de componentes principais ser suficiente para explicar grande parte da variação do sistema. Logo, o método funcionará melhor quando a análise de componentes principais funcionar melhor, ou seja, em estruturas a termo e outros sistemas altamente correlacionados. Cabe mencionar que o GARCH ortogonal continua igualmente útil e viável quando pretende-se gerar matriz de covariâncias de fatores de risco distintos, isto é, tanto dos altamente correlacionados, quanto daqueles pouco correlacionados. Neste caso, basta realizar a análise de componentes principais em grupos correlacionados. Feito isto, obtêm-se as matrizes de covariâncias utilizando a estimação GARCH. Em seguida faz-se a combinação de todas as matrizes de covariâncias, gerando a matriz de covariâncias do sistema original. A estimação GARCH foi escolhida pois esta é capaz de captar os principais fatos estilizados que caracterizam séries temporais financeiras. Entende-se por fatos estilizados padrões estatísticos observados empiricamente, que, acredita-se serem comuns a um grande número de séries temporais. Séries financeiras com suficiente alta frequência (observações intraday e diárias) costumam apresentar tais características. Este modelo foi utilizado para a estimação dos retornos e, com isso, obtivemos todas as estimativas para que, com o modelo B-L, pudéssemos gerar uma carteira ótima em um instante de tempo inicial. Em seguida, faremos previsões, obtendo carteiras para as semanas seguintes. Por fim, mostraremos que a associação do modelo B-L e da estimação GARCH ortogonal pode gerar resultados bastante satisfatórios e, ao mesmo tempo, manter o modelo simples e gerar resultados coerentes com a intuição. Este estudo se dará sobre retornos de títulos de renda fixa, mais especificamente, títulos emitidos pelo Tesouro Nacional no mercado brasileiro. Tanto a escolha do modelo B-L, quanto a escolha por utilizar uma carteira de títulos emitidos pelo Tesouro Nacional tiveram como motivação o objetivo de aproximar ferramentas estatísticas de aplicações em finanças, em particular, títulos públicos federais emitidos em mercado, que têm se tornado cada vez mais familiares aos investidores pessoas físicas, sobretudo através do programa Tesouro Direto. Ao fazê-lo, espera-se que este estudo traga informações úteis tanto para investidores, quanto para gestores de dívida, uma vez que o modelo média-variância presta-se tanto àqueles que adquirem títulos, buscando, portanto, maximizar retorno para um dado nível de risco, quanto para aqueles que emitem títulos, e que, portanto, buscam reduzir seus custos de emissão a níveis prudenciais de risco. / One major challenge to financial management resides in associating traditional management with quantitative methods. Traditional managers tend to be skeptical about the quantitative methods contributions, whereas quantitative analysts tend to disregard the importance of the traditional view, creating clear disharmony and inefficiency in the risk management process. A model that seeks to diminish the distance between these two views is the Black-Litterman model (BLM). More specifically, it comes as a solution to difficulties faced when using modern portfolio in practice, particularly those derived from the usage of the Markowitz model. Although the Markowitz model has constituted the basis of portfolio theory for over half century, since the publication of the article Portfolio Selection [Mar52], its impact on the investment world has been quite limited. The Markowitz model addresses the most central objectives of an investment: maximizing the expected return, for a given level of risk. Even though it has had a standout role in the mean-average approach to academics, several difficulties arise when one attempts to make use of it in practice. Despite the disadvantages of its practical usage, the idea of maximizing the return for a given level of risk is so appealing to investors, that the search for models with better behavior continued, and is in this context that the Black-Litterman model came out. In 1992, Fischer Black and Robert Litterman wrote an article on the Black-Litterman model. One intrinsic difference between the BLM and a traditional mean-average one is that, while the second provides the weights of the assets in a portfolio out of a optimization routine, the BLM has its starting point at the long-run equilibrium market portfolio(CAPM). Another highlighting point of the BLM is the ability to provide one clear structucture that is able to combine the long term equilibrium information with the investors views, providing a set of expected returns, which, together, will be the input to generate the weights on the assets. As far as the estimation process is concerned, and for the purpose of choosing the most appropriate model, it was taken into consideration the fact that the risk of a portfolio is determined by the covariation matrix of its assets and, being so, matrices with large dimensions play an important role in the analysis of investments. Whereas, provided the application under study, it is desirable to have a model that is able to carry out the analysis for a considerable number of assets. For these reasons, the Orthogonal GARCH was selected, once it can generate the matrix of covariation of the original system from just a few univariate volatilities, and for this reason, it is a computationally simple method. The orthogonal factors are obtained with principal components analysis. Decomposing the variance of the system into risk factors is highly important, once it allows the risk manager to focus separately on each relevant source of risk. The main idea behind the orthogonalization consists in working with a reduced dimension of components. In this kind of model, sufficient risk factors are considered, thus, the variability not perceived by the model will be considered insigficant noise to the system. Nevertheless, the precision, when not using all the components, will depend on the number of components be sufficient to explain the major part of the variability. Moreover, the model will provide reasonable results depending on principal component analysis performing properly as well, what will be more likely to happen, in highly correlated systems. It is worthy of note that the Orthogonal GARCH is equally useful and feasible when one intends to analyse a portfolio consisting of assets across various types of risk, it means, a system which is not highly correlated. It is common to have such a portfolio, with, for instance, currency rates, stocks, fixed income and commodities. In order to make it to perform properly, it is necessary to separate groups with the same kind of risk and then carry out the principal component analysis by group and then merge the covariance matrices, producing the covariance matrix of the original system. To work together with the orthogonalization method, the GARCH model was chosen because it is able to draw the main stylized facts which characterize financial time series. Stylized facts are statistical patterns empirically observed, which are believed to be present in a number of time series. Financial time series which sufficient high frequency (intraday, daily and even weekly) usually present such behavior. For estimating returns purposes, it was used a ARMA model, and together with the covariance matrix estimation, we have all the parameters needed to perform the BLM study, coming out, in the end, with the optimal portfolio in a given initial time. In addition, we will make forecasts with the GARCH model, obtaining optimal portfolio for the following weeks. We will show that the association of the BLM with the Orthogonal GARCH model can generate satisfactory and coherent with intuition results and, at the same time, keeping the model simple. Our application is on fixed income returns, more specifically, returns of bonds issued in the domestic market by the Brazilian National Treasury. The motivation of this work was to put together statistical tolls and finance uses and applications, more specifically those related to the bonds issued by the National Treasuy, which have become more and more popular due to the \"Tesouro Direto\" program. In conclusion, this work aims to bring useful information either for investors or to debt managers, once the mean-variance model can be useful for those who want to maximize return at a given level or risk as for those who issue bonds, and, thus, seek to reduce their issuance costs at prudential levels of risk.

Esta tese de doutorado estuda os requisitórios: precatórios e requisições de pequeno valor, sob o prisma do Direito Financeiro. Com esse objetivo se estuda o desenvolvimento dos requisitórios e suas regras atuais, tanto em termos de determinações constitucionais, quanto nas questões orçamentárias, da dívida pública e do controle das finanças públicas, questionando também a forma como se dá a execução contra a Fazenda Pública por quantia certa em outros países do mundo. / This doctoral thesis studies, through the prism of Financial Law, the payments of money owed by the Federal Treasury, by State Treasury, by Federal District Treasury, or by Municipal Treasury, by virtue of a court decision (writ of execution against Public Treasury or writ of execution of a small amount of money against Public Treasury). For this purpose we study the development of payments of court decisions and its current rules, both in terms of constitutional provisions, budget issues, public debt and internal and external audit of public money used to pay court decisions, also questioning how this payment is done by Public Treasury in other countries.

Made available in DSpace on 2016-04-26T20:29:07Z (GMT). No. of bitstreams: 1 Ana Paula Simao.pdf: 390277 bytes, checksum: 73b3a096a1ef2c4c2b0997f493ce3191 (MD5) Previous issue date: 2009-05-13 / The constitutional reform introduced with the Constitutional Amendment 45/2004 occasioned a deep transformation in the execution process effective until then in the Brazilian legal system. This happened by means of the modification of the matter relating to ordinary law rule on the subject, with the objective to obtain a more rapid process and the delivery of life asset as an accomplishment in an effective manner. Nevertheless, despite the modification introduced with Constitutional Amendment 45/2004, the execution against Public Treasury was not affected by any alteration, remaining, in full, the legal devices that examine the affair. The execution against the Public Treasury possesses peculiarities, which are justified due to the prerogatives granted to it aiming public interest, primordial for the maintenance of the State and its functions. The main peculiarity resides in the impossibility of constriction of the public goods, which tries the debit payment by means of the entitled payment notice to government. The judicial payment notice to government must observe the budgetary rules and a money order, under the risk of the Public Administration to suffer the impounding of public revenues. The impounding of public revenues is an exceptional measure, which occurs when some of the constitutional hypotheses are present. The jurisprudence still admits the impounding of public revenues in another hypothesis, not listed in the Federal Constitution. This hypothesis is the one which the subject creditor suffers from disease and requires urgently an amount for its survival. The non-effectiveness of the impounding of public revenues, ahead of the economic impossibility of the Federation being for effectual of the judicial sentence, is common. It is the entitled theory of the reserve of the possible. What is observed by the present work study is that the execution system in face of the Public Treasury does not reach its objective, mainly because the non-payment of judicial payment notice to government does not mean any more severe punishment. Attempting to solve the problem, there are reform projects. In our point of view, the proposals are shy ahead of the chaos established in the system of debits payments of the Public Treasury. This is the reason why we propose a more intense modification, as in the case of other countries, with the constriction of the dominical public good / A reforma constitucional introduzida com a Emenda Constitucional 45/2004 ensejou uma transformação profunda no processo de execução até então vigente no ordenamento jurídico brasileiro por meio da modificação da regra infraconstitucional sobre o tema, com o objetivo de se obter um processo mais célere e a entrega do bem da vida de forma efetiva. No entanto, em que pese a modificação introduzida com a Emenda Constitucional 45/2004, a execução contra a Fazenda Pública não sofreu qualquer alteração, mantendo-se, na íntegra, os dispositivos legais que versam sobre o assunto. A execução contra a Fazenda Pública possui peculiaridades, as quais se justificam em razão das prerrogativas a ela concedidas visando ao interesse público, primordial para a manutenção do Estado e suas funções. A principal peculiaridade reside na impossibilidade de constrição dos bens públicos, o que enseja o pagamento do débito mediante o denominado precatório judicial. O precatório judicial deve observar as regras orçamentárias e uma ordem de pagamento, sob pena de a Administração Pública sofrer o sequestro de rendas públicas. O sequestro de rendas públicas é medida excepcional, que tem vez quando presente alguma das hipóteses constitucionais. A jurisprudência ainda vem admitindo o sequestro de rendas públicas em mais uma hipótese não elencada na Constituição Federal, aquela em que o sujeito credor sofre de moléstia e carece com urgência de quantia para sua sobrevivência. É comum a não-efetivação do sequestro de rendas públicas, diante da impossibilidade econômica do ente da Federação para efetivação da decisão judicial. É a denominada teoria da reserva do possível. O que se observa pelo estudo do presente trabalho é que o sistema de execução em face da Fazenda Pública não atinge seu objetivo, principalmente porque o não-pagamento de precatório judicial não enseja qualquer punição mais severa. Na tentativa de solucionar o problema, há projetos de reforma. A nosso ver, as propostas são tímidas diante do caos instaurado no sistema de pagamento de débitos da Fazenda Pública, razão pela qual propomos uma modificação mais intensa, a exemplo de outros países, com a constrição do bem público dominical

Uma grande dificuldade da gestão financeira é conseguir associar métodos quantitativos às formas tradicionais de gestão, em um único arranjo. O estilo tradicional de gestão tende a não crer, na devida medida, que métodos quantitativos sejam capazes de captar toda sua visão e experiência, ao passo que analistas quantitativos tendem a subestimar a importância do enfoque tradicional, gerando flagrante desarmonia e ineficiência na análise de risco. Um modelo que se propõe a diminuir a distância entre essas visões é o modelo Black-Litterman. Mais especificamente, propõe-se a diminuir os problemas enfrentados na aplicação da teoria moderna de carteiras e, em particular, os decorrentes da aplicação do modelo de Markowitz. O modelo de Markowitz constitui a base da teoria de carteiras há mais de meio século, desde a publicação do artigo Portfolio Selection [Mar52], entretanto, apesar do papel de destaque da abordagem média-variância para o meio acadêmico, várias dificuldades aparecem quando se tenta utilizá-lo na prática, e talvez, por esta razão, seu impacto no mundo dos investimentos tem sido bastante limitado. Apesar das desvantagens na utilização do modelo de média-variância de Markowitz, a idéia de maximizar o retorno, para um dado nível de risco é tão atraente para investidores, que a busca por modelos com melhor comportamento continuou e é neste contexto que o modelo Black-Litterman surgiu. Em 1992, Fischer Black e Robert Litterman publicam o artigo Portfolio Optimization [Bla92], fazendo considerações sobre o papel de pouco destaque da alocação quantitativa de ativos, e lançam o modelo conhecido por Black-Litterman. Uma grande diferença entre o modelo Black-Litterman e um modelo média-variância tradicional é que, enquanto o segundo gera pesos em uma carteira a partir de um processo de otimização, o modelo Black-Litterman parte de uma carteira de mercado em equilíbrio de longo prazo (CAPM). Outro ponto de destaque do modelo é ser capaz de fornecer uma maneira clara para que investidores possam expressar suas visões de curto prazo e, mais importante, fornece uma estrutura para combinar de forma consistente a informação do equilíbrio de longo prazo (priori) com a visão do investidor (curto prazo), gerando um conjunto de retornos esperados, a partir do qual os pesos em cada ativo são fornecidos. Para a escolha do método de estimação dos parâmetros, levou-se em consideração o fato de que matrizes de grande dimensão têm um papel importante na avaliação de investimentos, uma vez que o risco de uma carteira é fundamentalmente determinado pela matriz de covariância de seus ativos. Levou-se também em consideração que seria desejável utilizar um modelo flexível ao aumento do número de ativos. Um modelo capaz de cumprir este papel é o GARCH ortogonal, pois este pode gerar matrizes de covariâncias do modelo original a partir de algumas poucas volatilidades univariadas, sendo, portanto, um método computacionalmente bastante simples. De fato, as variâncias e correlações são transformações de duas ou três variâncias de fatores ortogonais obtidas pela estimação GARCH. Os fatores ortogonais são obtidos por componentes principais. A decomposição da variância do sistema em fatores de risco permite quantificar a variabilidade que cada fator de risco traz, o que é de grande relevância, pois o gestor de risco poderá direcionar mais facilmente sua atenção para os fatores mais relevantes. Ressalta-se também que a ideia central da ortogonalização é utilizar um espaço reduzido de componentes. Neste modelo de dimensão reduzida, suficientes fatores de risco serão considerados, assim, os demais movimentos, ou seja, aqueles não capturados por estes fatores, serão considerados ruídos insignificantes para este sistema. Não obstante, a precisão, ao desconsiderar algumas componentes, irá depender de o número de componentes principais ser suficiente para explicar grande parte da variação do sistema. Logo, o método funcionará melhor quando a análise de componentes principais funcionar melhor, ou seja, em estruturas a termo e outros sistemas altamente correlacionados. Cabe mencionar que o GARCH ortogonal continua igualmente útil e viável quando pretende-se gerar matriz de covariâncias de fatores de risco distintos, isto é, tanto dos altamente correlacionados, quanto daqueles pouco correlacionados. Neste caso, basta realizar a análise de componentes principais em grupos correlacionados. Feito isto, obtêm-se as matrizes de covariâncias utilizando a estimação GARCH. Em seguida faz-se a combinação de todas as matrizes de covariâncias, gerando a matriz de covariâncias do sistema original. A estimação GARCH foi escolhida pois esta é capaz de captar os principais fatos estilizados que caracterizam séries temporais financeiras. Entende-se por fatos estilizados padrões estatísticos observados empiricamente, que, acredita-se serem comuns a um grande número de séries temporais. Séries financeiras com suficiente alta frequência (observações intraday e diárias) costumam apresentar tais características. Este modelo foi utilizado para a estimação dos retornos e, com isso, obtivemos todas as estimativas para que, com o modelo B-L, pudéssemos gerar uma carteira ótima em um instante de tempo inicial. Em seguida, faremos previsões, obtendo carteiras para as semanas seguintes. Por fim, mostraremos que a associação do modelo B-L e da estimação GARCH ortogonal pode gerar resultados bastante satisfatórios e, ao mesmo tempo, manter o modelo simples e gerar resultados coerentes com a intuição. Este estudo se dará sobre retornos de títulos de renda fixa, mais especificamente, títulos emitidos pelo Tesouro Nacional no mercado brasileiro. Tanto a escolha do modelo B-L, quanto a escolha por utilizar uma carteira de títulos emitidos pelo Tesouro Nacional tiveram como motivação o objetivo de aproximar ferramentas estatísticas de aplicações em finanças, em particular, títulos públicos federais emitidos em mercado, que têm se tornado cada vez mais familiares aos investidores pessoas físicas, sobretudo através do programa Tesouro Direto. Ao fazê-lo, espera-se que este estudo traga informações úteis tanto para investidores, quanto para gestores de dívida, uma vez que o modelo média-variância presta-se tanto àqueles que adquirem títulos, buscando, portanto, maximizar retorno para um dado nível de risco, quanto para aqueles que emitem títulos, e que, portanto, buscam reduzir seus custos de emissão a níveis prudenciais de risco. / One major challenge to financial management resides in associating traditional management with quantitative methods. Traditional managers tend to be skeptical about the quantitative methods contributions, whereas quantitative analysts tend to disregard the importance of the traditional view, creating clear disharmony and inefficiency in the risk management process. A model that seeks to diminish the distance between these two views is the Black-Litterman model (BLM). More specifically, it comes as a solution to difficulties faced when using modern portfolio in practice, particularly those derived from the usage of the Markowitz model. Although the Markowitz model has constituted the basis of portfolio theory for over half century, since the publication of the article Portfolio Selection [Mar52], its impact on the investment world has been quite limited. The Markowitz model addresses the most central objectives of an investment: maximizing the expected return, for a given level of risk. Even though it has had a standout role in the mean-average approach to academics, several difficulties arise when one attempts to make use of it in practice. Despite the disadvantages of its practical usage, the idea of maximizing the return for a given level of risk is so appealing to investors, that the search for models with better behavior continued, and is in this context that the Black-Litterman model came out. In 1992, Fischer Black and Robert Litterman wrote an article on the Black-Litterman model. One intrinsic difference between the BLM and a traditional mean-average one is that, while the second provides the weights of the assets in a portfolio out of a optimization routine, the BLM has its starting point at the long-run equilibrium market portfolio(CAPM). Another highlighting point of the BLM is the ability to provide one clear structucture that is able to combine the long term equilibrium information with the investors views, providing a set of expected returns, which, together, will be the input to generate the weights on the assets. As far as the estimation process is concerned, and for the purpose of choosing the most appropriate model, it was taken into consideration the fact that the risk of a portfolio is determined by the covariation matrix of its assets and, being so, matrices with large dimensions play an important role in the analysis of investments. Whereas, provided the application under study, it is desirable to have a model that is able to carry out the analysis for a considerable number of assets. For these reasons, the Orthogonal GARCH was selected, once it can generate the matrix of covariation of the original system from just a few univariate volatilities, and for this reason, it is a computationally simple method. The orthogonal factors are obtained with principal components analysis. Decomposing the variance of the system into risk factors is highly important, once it allows the risk manager to focus separately on each relevant source of risk. The main idea behind the orthogonalization consists in working with a reduced dimension of components. In this kind of model, sufficient risk factors are considered, thus, the variability not perceived by the model will be considered insigficant noise to the system. Nevertheless, the precision, when not using all the components, will depend on the number of components be sufficient to explain the major part of the variability. Moreover, the model will provide reasonable results depending on principal component analysis performing properly as well, what will be more likely to happen, in highly correlated systems. It is worthy of note that the Orthogonal GARCH is equally useful and feasible when one intends to analyse a portfolio consisting of assets across various types of risk, it means, a system which is not highly correlated. It is common to have such a portfolio, with, for instance, currency rates, stocks, fixed income and commodities. In order to make it to perform properly, it is necessary to separate groups with the same kind of risk and then carry out the principal component analysis by group and then merge the covariance matrices, producing the covariance matrix of the original system. To work together with the orthogonalization method, the GARCH model was chosen because it is able to draw the main stylized facts which characterize financial time series. Stylized facts are statistical patterns empirically observed, which are believed to be present in a number of time series. Financial time series which sufficient high frequency (intraday, daily and even weekly) usually present such behavior. For estimating returns purposes, it was used a ARMA model, and together with the covariance matrix estimation, we have all the parameters needed to perform the BLM study, coming out, in the end, with the optimal portfolio in a given initial time. In addition, we will make forecasts with the GARCH model, obtaining optimal portfolio for the following weeks. We will show that the association of the BLM with the Orthogonal GARCH model can generate satisfactory and coherent with intuition results and, at the same time, keeping the model simple. Our application is on fixed income returns, more specifically, returns of bonds issued in the domestic market by the Brazilian National Treasury. The motivation of this work was to put together statistical tolls and finance uses and applications, more specifically those related to the bonds issued by the National Treasuy, which have become more and more popular due to the \"Tesouro Direto\" program. In conclusion, this work aims to bring useful information either for investors or to debt managers, once the mean-variance model can be useful for those who want to maximize return at a given level or risk as for those who issue bonds, and, thus, seek to reduce their issuance costs at prudential levels of risk.

Entre histoire du capitalisme, sociologie des élites et sociologie de l’État, cette thèse prend pour objet le rôle de la direction du Trésor – direction phare du ministère des Finances – dans la fabrique de « mondes » à la fois hybrides et intégrés d’institutions, de réseaux et d’acteurs, aux sommets du pouvoir et au croisement entre État et affaires, administration et économie, public et privé. A partir d’une enquête mêlant entretiens biographiques, base prosopographique et fonds d’archives publics et privés, elle explore les mécanismes concrets par lesquels la direction du Trésor produit du flou, du flux et de la hiérarchie au sein de ses mondes, dans une configuration historique précise (milieu des années 1960- milieu des années 1990). La thèse est organisée selon trois niveaux d’analyse des relations entre le Trésor et ses mondes. Au niveau écologique – celui des alliances – elle montre la transformation des coalitions de soutien du Trésor pour peser dans l’État, du Plan à la « place », organisant les modalités du ralliement de la direction aux réformes libérales à partir des années 1960. Au niveau institutionnel, elle analyse les échanges qui forgent la porosité entre le Trésor et ses mondes, et les contraintes institutionnelles qui leur donnent sens et forme, et montre que la direction du Trésor fonctionne alors comme une entreprise de placement. Au niveau individuel, elle analyse la construction des carrières dominantes (de la « grandeur ») au sein des mondes du Trésor, et les liens d’obligation, de cooptation et de parrainage sur lesquelles elles s’appuient. La thèse contribue, ainsi, à documenter les formes d’indifférenciation des activités qui caractérisent les sommets de l’État. / Between history of capitalism, sociology of elites and public administration, this PhD thesis explores how the French Treasury Department brings together gravitating financial institutions, networks and actors into integrated and hybrid "worlds", situated at the "heights of power" and between administration and business, public and private interests. Drawing on biographical interviews, prosopographical data and public and private archival collections, it focuses on the concrete mechanisms through which the Treasury both blurs boundaries inside its worlds, and re-create hierarchies between the agents who circulate within them. The thesis analyzes the relationships between the Treasury and its worlds at three distinct levels. At the ecological level — that of the Treasury alliances in policy-making — it highlights the Treasury’ changing coalitions of support, from the Great planning coalition of the 1950s to the "place financière" of the 1970s, and shows how this transformation helps us account for the Treasury’ embrace of financial reforms in the 1970s. At the institutional level, it analyzes how various organizational constraints at the Treasury shape exchanges between the Department and its worlds. Finally, at the individual level, it looks at the construction of dominant careers ("grandeur") inside the worlds of the Treasury, and at the interpersonal ties and decentralized logics of co-optation, patronage and moral indebtedness they draw on.

在亞洲金融風暴逐漸席捲台灣之際，無可避免的，我國股市受到嚴重衝擊。基於美國庫藏股在股市非理性下跌時具有實質的效果以及各界要求政府放寬買回自己股份的限制，允許公司進入市場護盤下，主管機關推出了許多挽救股市的措施，其中之一就是庫藏股草案的推動。雖然目前我國法規不允許庫藏股的行為，但是我國股市卻存在實質庫藏股的情形。本研究的主要目的在探討我國上市公司實質庫藏股的相關現象，並以子公司買回母公司股票的情況、動機、及其可能之行為，例如作帳行情等作一相關探討。綜上所述，研究問題區分如下： 1、到底我國上市公司實質庫藏股的行為如何？ 2、我國股市如何反應上市公司的實質庫藏股行為？ 3、我國上市公司實質庫藏股行為是否涉及公司派大股東在董監改選之後運作手法之一？ 4、我國上市公司實質庫藏股行為是否會引起公司在結帳日作帳的行為？ 5、不同的產業別對於相同的訊息是否會有不同的股價效應？ 本研究資料取自民國八十三年至民國八十八年母公司替子公司公告買回母公司股票之樣本。本研究採用事件研究法來作實證分析，實證結果發現： 1、當有子公司公告買回母公司股票之時有正向的資訊內涵。 2、當有子公司公告買回母公司股票之後有負向的資訊內涵。 3、電子業與傳統產業對於公告相同的訊息會產生不同的顯著效果。 4、董監改選之後六個月內有子公司公告買回母公司股票之樣本者其股價異常報酬並無顯著差異。 5、有子公司買回母公司的樣本在結帳日時具有拉抬股價的作帳行情且比其他無子公司買回之樣本更顯著。 目 錄 謝辭‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥壹 中文摘要‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥貳 英文摘要‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥肆 目錄‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥伍 圖次‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥柒 表次‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥‥捌 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究問題 3 第三節 主要名詞定義 4 第四節 研究步驟流程與架構 7 第二章 法規探討 9 第一節 實質庫藏股之相關行為 9 第二節 公司取得自己股份之評析 13 第三節 公司取得自己股份的方式 15 第三章 文獻探討 17 第一節 國外購回及購併的文獻 17 第二節 我國有關庫藏股之相關文獻 19 第三節 我國有關交叉持股及其他之相關文獻 21 第四章 研究方法 32 第一節 理論架構 32 第二節 研究假說 33 第三節 實證方法 36 第四節 資料來源及樣本選取 44 第五章 實證結果分析 48 第一節 公告買回樣本之宣告效果 48 第二節 不同產業別之宣告效果 51 第三節 董監改選之宣告效果 55 第四節 結帳日之結帳行情 60 第六章 結論與建議 65 第一節 結論 65 第二節 研究限制 67 第三節 研究建議 68 參考文獻 71 附 錄 78 / The purpose of this study is to investigate the market responses of treasury stock repurchase in the Taiwan stock market Since the related regulations in Taiwan prevents listed companies from obtaining treasury stock, this study defines the cross investment from subsidiary to parent's stock as treasury stock. This study predicts that the main purpose of treasury stock repurchase is to manipulate voting right, stock price, and earnings number. In order to verily the hypotheses of this study, this study selects relevant samples for the period from 1994 to 1999 excluding finance and insurance industries. The major findings of this study include: 1. The market does positively response to treasury stock repurchase prior to the announcement date and four days before the announcement date. However, the results are significantly different among different industries. 2. The market negatively response to treasury stock repurchase announcement subsequent to the announcement date. However, the results are significantly different among different industries. 3. This study finds the stock price behaves abcdrmally prior to the end of each quarter, including quarterly, semiannual and annual reporting dates.