My dissertation consists of three essays in three different areas: international trade; agricultural markets; and nonparametric econometrics. The first and third essays are theoretical papers, while the second essay is empirical. In the first essay, I developed a political economy model of trade agreements where the set of policy instruments are endogenously determined, providing a rationale for countervailing duties (CVDs). Trade-related policy intervention is assumed to be largely shaped in response to rent seeking demand as is often shown empirically. Consequently, the uncertain circumstance during the lifetime of a trade agreement involves both economic and rent seeking conditions. The latter approximates the actual trade policy decisions more closely than the externality hypothesis and thus provides scope for empirical testing. The second essay tests whether normal mixture (NM) generalized autoregressive conditional heteroscedasticity (GARCH) models adequately capture the relevant properties of agricultural commodity prices. Volatility series were constructed for ten agricultural commodity weekly cash prices. NM-GARCH models allow for heterogeneous volatility dynamics among different market regimes. Both in-sample fit and out-of-sample forecasting tests confirm that the two-state NM-GARCH approach performs significantly better than the traditional normal GARCH model. For each commodity, it is found that an expected negative price change corresponds to a higher volatility persistence, while an expected positive price change arises in conjunction with a greater responsiveness of volatility. In the third essay, I propose an estimator for a nonparametric additive unconditional quantile regression model. Unconditional quantile regression is able to assess the possible different impacts of covariates on different unconditional quantiles of a response variable. The proposed estimator does not require d-dimensional nonparametric regression and therefore has no curse of dimensionality. In addition, the estimator has an oracle property in the sense that the asymptotic distribution of each additive component is the same as the case when all other components are known. Both numerical simulations and an empirical application suggest that the new estimator performs much better than alternatives. / the Canadian Agricultural Trade Policy and Competitiveness Research Network, the Structure and Performance of Agriculture and Agri-products Industry Network, and the Institute for the Advanced Study of Food and Agricultural Policy.

銀行的存續有賴於能正確的評估有利的交易，以及能在經濟環境逆勢的時候仍然能夠有效的經營獲利。資本市場中的企業信用評級，影響著股票和債券的的價值，同時唯有完善的風險管理機制和資本，信評機構才可以正確的評價信用。 金融產品的市場價值決定了預期損益。在市價衡量法的基礎之上，銀行可以決定是否要持有該部位或是使用該部位建立一個避險的投資組合。也因此，銀行面臨了許多抉擇，包括怎麼轉換市場風險到不同的資本市場，以及有關市場風險的所有決策。 基於以上的原因，銀行也已經被要求需要回應巴塞爾協定的要求，必須揭露相關的風險測度予金融市場的監督機構。在1993年，G30建議銀行可以使用風險值系統來衡量風險。依據1996年的BaselⅡ，銀行則被要求使用內部模型法來測量資本充足率。然而，計算風險值包括許多工作，例如選擇合適的風險因子、產生零息曲線、金融產品的評價、敏感度分析、損失分配的估計、投資組合管理以及風險報告等。在過去幾年，更因為避險、套利的目的，銀行累積了巨大的投資在衍生性商品商場，也使得風險管理更加的困難。在2008年的金融風暴之後，BaselⅢ指出，金融機構必須強化其交易簿內信用衍生性商品的風險管理，並同時揭露壓力風險值。綜合以上原因，銀行通常會建置風險管理系統來滿足這所有的需求和報告。也因為這些工作的複雜性，銀行一般會採用系統供應商的解決方案來實施一個市場風險管理系統。 此論文從市場風險管理的歷史發展角度，完整回顧風險值理論及實務應用的相關文獻，涵蓋parametric及non-parametric 風險值模型。同時，對於市場風險管理系統以及實務建置的流程也有完整的介紹和探討，著重在趨勢、方法論及系統實務理論應用上。 / The existence of a bank involves evaluating the advantages of potential trade and with the bank’s ability to survive under adverse economic cycles, which causes market pressure. The credit rating of corporations in the market affects the market value of shares and bonds, and the rating agency requires high-risk management standards and the capitalization of the corporation to assess the proper credit rating. The market price of a financial product determines the expected profit and loss for a bank. Based on the market price, a bank may make a decision to hold the position for a while or to build a well-diversified portfolio for hedging purposes. Banks therefore face the challenges of having many choices that they can transfer their market risk into different capital markets, and all decisions are associated with the market risk. For these reasons, the bank has been responded to disclose the risk metrics that have been set by the financial system supervisor. In 1993, G30 advised that banks should evaluate the financial risk of derivatives financial instruments by the Value-at-Risk (VaR) system. According to Basel Ⅱ in 1996, banks were required to have an internal model to measure sufficient capital using VaR. However, the calculation of VaR involves many tasks, such as the selection of a large number of risk factors, the methodologies of generating zero curves, the valuation of financial instruments, sensitivity parameters, loss distribution estimations, portfolio management and risk management reports for compliance purposes. In recent years, because of hedging, arbitrage and speculation purposes, banks leverage a huge sum of money in the derivatives market and make the difficult for the risk management. After the 2008 global financial crisis, BaselⅢ was introduced which asked for financial institutions to strengthen credit derivatives in trading books and disclose the stressed VaR etc. It is common that a bank has set up a risk management system to fulfill the requirements of the regulatory compliance, governance and reporting. Usually, banks adopt the provider’s solution for the implementation of a market risk management system. This dissertation surveys the literature on VaR theory and practices from a historical perspective for market risk. An overall survey of parametric and non-parametric VaR models is provided. The market risk management system and its implementation practices were also surveyed. Emphasis is placed on recent trends and developments in methodologies and system practices.

La présente thèse a pour objectif principal de développer des approches déterministes et heuristiques pour résoudre certaines classes de problèmes d'optimisation en Finance, Affectation et Recherche d'Informations. Il s'agit des problèmes d'optimisation non convexe de grande dimension. Nos approches sont basées sur la programmation DC&DCA et la méthode Cross-Entropy (CE). Grâce aux techniques de formulation/reformulation, nous avons donné la formulation DC des problèmes considérés afin d'obtenir leurs solutions en utilisant DCA. En outre, selon la structure des ensembles réalisables de problèmes considérés, nous avons conçu des familles appropriées de distributions pour que la méthode Cross-Entropy puisse être appliquée efficacement. Toutes ces méthodes proposées ont été mises en œuvre avec MATLAB, C/C++ pour confirmer les aspects pratiques et enrichir notre activité de recherche.

There is a little doubt that, for a decade, risk measurement has become one of the most important topics in finance. Indeed, it is natural to observe such a development, since in the last ten years, huge amounts of financial transactions ended with severe losses due to severe convulsions in financial markets. Value at risk, as the most widely used risk measure, fails to quantify the risk of a position accurately in many situations. For this reason a number of consistent risk measures have been introduced in the literature. The main aim of this study is to present and compare coherent, convex, conditional convex and some other risk measures both in theoretical and practical settings.

全球金融風暴近年來發生頻率愈來愈快，主要的原因就是許多企業不管是在發行或投資衍生性金融商品的比重都大幅地增加，卻沒有規避它們潛在的市場風險。因此，避險策略的好壞是風險管理上很重要的一個議題。本研究的目的主要是希望在一個Delta Neutral的投資組合下，加入Delta-Gamma Neutral策略能夠使間斷調整避險的效果變得比較好。故本研究透過加入相同標的物和到期日，但不同履約價的選擇權作為避險部位，使用蒙地卡羅模擬法，模擬投資組合在持有一段時間後，未來價值可能的情境，計算風險值來衡量其避險效果。實證結果發現，當原始投資組合部位為價平選擇權所組成，避險部位若能使用相同標的物，到期日也相同，但履約價不同的價平選擇權，不論在到期日長短，皆有很好的避險效果。 / The global financial storm has happened more rapidly. The most important reason is that many enterprises published or invested in the derivatives ratio which has greatly increased without evading the potential market risk. Therefore, the advantages and the disadvantages of hedging strategy is a crucial issue in risk management. This research’s primary goal is to consider Delta-Gamma Neutral strategy in the invested combination of Delta Neutral that render the effect of discretely rebalance hedge became much better. The research entered the same underlying and expiration date, and let the different strike price’s option as hedging position. Using Monte Carol Simulation to obtain the condition of the portfolio’s value after holding a period of time, and compute the value-at-risk to measure hedging effect. The outcome showed that the hedging effect will be nice no matter the date of expiration by using at-the-money options with the same underlying and expiration date but different strike price when the original portfolio was composed of at-the-money options.

[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.

[pt] Valor em Risco -VaR- já é parte das ferramentas habituais que um analista financeiro utiliza para estimar o risco de mercado. Na implementação do VaR é necessário que seja estimados quantis de baixa probabilidade para a distribuição condicional dos retornos dos portfólios. A metodologia tradicional para o cálculo do VaR requer a estimação de um modelo tipo GARCH com distribuição normal. Entretanto, a hipótese de normalidade condicional nem sempre é adequada, principalmente quando se deseja estimar o VaR em períodos atípicos, caracterizados pela ocorrência de eventos extremos. Nesta situações a distribuição condicional deve apresentar excesso de curtose. O uso de distribuições derivadas do Teorema do Valor Extremos -TVE-, conhecidas coletivamente como GEV,associadas aos modelos tipo GARCH, tornou possível o cálculo do VaR nestas situações.Um parâmetro chave nas distribuições da família GEV é o índice de cauda, o qual pode ser estimado através do estimador de Hill. Entretanto este estimador apresenta muita sensibilidade em termos de variância e viés com respeito à fração amostral utilizada na sua estimação. O objetivo principal desta dissertação foi fazer uma comparação entre três métodos de escolha da fração amostral, recentemente sugeridos na literatura: o método bootstrap duplo Danielsson, de Haan, Peng e de Vries 1999, o método threshold Guillou e Hall 2001 e o Hill plot alternativo Drees, de Haan e Resnick 2000. A avaliação dos métodos foi feita através do teste de cobertura condicional de Christoffersen 1998, o qual foi aplicado às séries de retornos dos índices: NASDAQ, NIKKEY,MERVAL e IBOVESPA. Os nossos resultados indicam que os três métodos apresentam aproximadamente o mesmo desempenho, com uma ligeira vantagem dos métodos bootstrap duplo e o threshold sobre o Hill plot alternativo, porque este ultimo tem um componente normativo na determinação do índice de cauda ótimo. / [en] Value at Risk -VaR- is already part of the toolkit of financial analysts assessing market risk. In order to implement VaR it is needed to estimate low quantiles of the portfolio returns distribution. Traditional methodologies combine a normal conditional distribution together with ARCH type models to accomplish this goal. Albeit well succeed in evaluating risk for typical periods, this methodology has not been able to accommodate events that occur with very low probabilities. For these situations one needs conditional distributions with excess of kurtosis. The use of distributions derived from the Extreme Value Theory -EVT-, collectively known as Generalized Extreme Value distribution -GEV-, together with ARCH type models have made it possible to address this problem in a proper framework. A key parameter in the GEV distribution is the tail index, which can be estimated by Hill`s estimator. Hill`s estimator is very sensible, in terms of bias and RMSE, to the sample fraction that is used in its estimation. The objective of this dissertation is to compare three recently suggested methods presented in the statistical literature: the double bootstrap method Danielsson, de Haan, Peng and de Vries 1999,the threshold method Guillou and Hall 2001 and the alternative Hill plot Drees, de Haan and Resnick 2000. The methods have been evaluated with respect to the conditional coverage test of Christoffersen 1998, which has been applied to the following returns series : NASDAQ, NIKKEY, MERVAL e IBOVESPA. Our empirical findings suggests that, overall the three methods have the same performance, with some advantage of the bootstrap and threshold methods over the alternative Hill plot, which has a normative component in the determination of the optimal tail index.

Made available in DSpace on 2008-05-13T13:17:11Z (GMT). No. of bitstreams: 0 Previous issue date: 2006-06-12 / This Thesis is the result of my Master Degree studies at the Graduate School of Economics, Getúlio Vargas Foundation, from January 2004 to August 2006. am indebted to my Thesis Advisor, Professor Luiz Renato Lima, who introduced me to the Econometrics' world. In this Thesis, we study time-varying quantile process and we develop two applications, which are presented here as Part and Part II. Each of these parts was transformed in paper. Both papers were submitted. Part shows that asymmetric persistence induces ARCH effects, but the LMARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools. In the Part II, we compare four different Value-at-Risk (VaR) methodologies through Monte Cario experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust method ologies have higher probability to predict VaRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate VaR for returns of São Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.

Submitted by Letícia Veiga (leticia@bancobbm.com.br) on 2009-10-14T18:14:21Z No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2009-10-14T18:23:26Z (GMT) No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / Made available in DSpace on 2009-10-14T18:23:52Z (GMT). No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / In this work, we analyze the methodology developed by the Central Bank of Brazil, following rules set by Basel II, for estimating the Capital that must be held by Brazilian Banks in order to face its financial risks. The main objective is to compare this regulatory capital to the economic capital, the latter being measured by the methodology of Value at Risk (VaR). We asses and compare these two types of capital based on practical examples of portfolios commonly held by Brazilian banks trading different markets and strategies. Based on the results of this assessment, we analyze the difference and similarities of the two methodologies. We conclude emphasizing the importance of revising some aspects of Basel II rules in order to promote greater convergence between economic and regulatory capital. / Neste trabalho, analisamos a metodologia de cálculo do capital exigido aos bancos brasileiros pelo Banco Central do Brasil, segundo as regras de Basiléia II. O objetivo foi comparar capital regulamentar com capital econômico, medido por modelos de Value at Risk (VaR). Apresentamos exemplos de aplicação destes conceitos em carteiras normalmente negociadas por bancos brasileiros, mostrando a relação entre capital regulamentar e econômico para diversos mercados e estratégias. Tendo em vista as análises realizadas, realçamos os pontos de maior divergência entre os dois tipos de capital. Concluímos enfatizando a importância da revisão de alguns aspectos das regras de Basiléia II no sentido de promover maior convergência entre capital econômico e regulamentar.

Submitted by JULIO CESAR GRIMALT DOS SANTOS (grimbil@hotmail.com) on 2015-02-23T21:08:49Z No. of bitstreams: 1 Dissertação Final.pdf: 1416129 bytes, checksum: fcbac3f948355bac6f5b59569bf2610a (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2015-03-04T16:04:21Z (GMT) No. of bitstreams: 1 Dissertação Final.pdf: 1416129 bytes, checksum: fcbac3f948355bac6f5b59569bf2610a (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-03-12T19:06:25Z (GMT) No. of bitstreams: 1 Dissertação Final.pdf: 1416129 bytes, checksum: fcbac3f948355bac6f5b59569bf2610a (MD5) / Made available in DSpace on 2015-03-12T19:06:41Z (GMT). No. of bitstreams: 1 Dissertação Final.pdf: 1416129 bytes, checksum: fcbac3f948355bac6f5b59569bf2610a (MD5) Previous issue date: 2015-02-10 / O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de 'precisão' da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional. / The objective of this study is to propose the implementation of a statistical model to calculate the volatility not widespread in Brazilian literature, LSM, with its advantages and disadvantages compared to the models commonly used for risk measurement. To estimate the parameters will be used daily prices of Ibovespa in the period from January 2009 to December 2014, and to measure the empirical accuracy of the models out of sample tests will be performed, comparing the VaR obtained for the period from January to December 2014. Explanatory variables were introduced in an attempt to improve the models, and we chose to its corresponding American Ibovespa, the Dow Jones index, for presenting characteristics such as high correlation, causality in the Granger sense, and reason for significant log-likelihood. One of the local scale model innovation is not directly use the variance, but its reciprocal, called 'precision' series, which follows a kind of multiplicative random walk. LSM captured all financial series of stylized facts, and the results were favorable to use, so the model becomes an efficient and economical alternative specification for estimating and predicting volatility, to the extent that only one parameter has to be estimated, which represents a paradigm shift in the models of conditional heteroscedasticity.