[pt] Houve um salto de conhecimento na área de derivativos nos anos 70, com destaque para a divulgação das pesquisas de Fisher Black, Myron Scholes e Robert Merton sobre o apreçamento de opções. Desde então, várias pesquisas têm sido realizadas no intuito de encontrar uma métrica de risco adequada às carteiras não lineares, dado que ainda não há um consenso sobre a métrica ideal para estas carteiras, cuja aceitação possa ser comparada à do VaR para carteiras lineares, surgido nos anos 90. Esta pesquisa tem como objetivo comparar a eficiência de algumas métricas de risco na mensuração de risco em carteiras de opções de WTI (West Texas Intermediate). Para tal, calcula-se o valor em risco utilizando diversas metolodogias apresentadas no meio acadêmico e compara-se sua eficácia em relação à à avaliação plena, realizada através do método full Monte Carlo. / [en] In the 70’s, the market saw a big change in the knowledge about derivatives. From this period the researches of Fisher Black, Myron Scholes and Robert Merton on the pricing of options are noteworthy. Since then, many researches have been done aiming to find the ideal metrics for risk assessment of non-linear portfolios, as there is no consensus of an ideal metrics for these portfolios which could be compared to the worldwide acceptance of the 90’s VAR for linear portfolios. This work aims to compare the efficiency of some methodologies for risk assessment in portfolios containing WTI (West Texas Intermediate) options. The risk is calculated using different methodologies presented at academic studies and the result of each of them is compared to the assessment using the Full Monte Carlo method in order to define their efficiency.

The thesis deals with the analysis of the oil market with emphasis on the period from 2010 to May 2017. The aim of the thesis is to test the sensitivity of the oil price to the selected fundamental indicators and trading positions of the traders according to CFTC data. The work, in addition to the theoretical introduction, contains information on key fundamentals such as US oil production, the process of publishing reports on the state of oil stocks in the US, and the process of publishing reports on oil market traders' positions and subsequent data analysis. It confirmed that the price of oil correlates significantly with traders' positions, but the Granger test suggested that the change in the price of oil is causally affecting the position of traders and not vice versa.

2008年初，正值美國籠罩次級房貸風暴影響、全球經濟景氣趨緩、產油國地緣政治因素造成能源價格創新高…等險峻經濟狀況之際，投資銀行設計一包含 :搭配出局條款之CMS Spread雪球型利率結構商品及結合附加WTI上限、USD/JPY匯率上下限之異型選擇權的混合結構性商品提案。本文依據標的資產屬性，參考相關文獻及近期在頂級期刊發表之利率資產評價模型研究中，選用Extended BGM模型(Ting-Pin Wu, and Son-Nan Chen(2007))、遠期曲線模型及匯率評價模型為個案之基礎評價模型；以無套利觀念依取得之市場各資產相關公開報價資料估算各模型所需之參數；由於屬於雪球利率結構型商品及路徑相關特性，在目前相關文獻無封閉解的條件下，使用蒙地卡羅模擬獲得未來各資產之現金流折現值，進而計算預期理論價值。依據上述方法論評價所獲得之預期理論價格顯示，個案並非具公平價值之交易，依此結論強烈建議客戶不應該承做本交易。 個案相當於投資銀行以買入一個5年期附帶出局條件，隱含看空經濟景氣循環之CMS Spread選擇權及買入一個1年期看空WTI價格選擇權建構此混合結構性商品。為強化客戶承做意願，設立一似乎觸及機會很大，但從交易後至今從未觸及的出局條件，又透過每日數位選擇權計息方式將WTI波動度資產化，提供大於10%之相對LIBOR rate 很高，但實際是被低估之半年收息固定費率。由於雪球型利率結構型商品特性，收益不僅取決於是否達成交易付款條件，更重要因素是達成時間點之速度。 在蒙地卡羅模擬資產價格路徑中，觸及頭一次CMS Spread付款條件天數之眾數區間為125至135，貼近實際136天。從評價結果，交易之付款條件內已隱含透過兩個不同標的資產選擇權之高預期獲利相互達到避險、套利及強化收益等效益;投資銀行可以不用額外對受眾多複雜不確定因數影響之WTI價格採取避險策略，而將所有避險成本轉嫁於選擇權賣方的客戶。在資本計提規範下及確保未來預期收益之考量下，投資銀行唯一要做是以低成本尋求中介銀行進行背對背交易以強化因市場風險所衍生之信用風險。 從研究過程，不禁讚嘆個案是投資銀行設計建構在財務工程科學上的卓越藝術及策略，從它一旦出現世界上之瞬間，個人預估其價值將達34,211,458.09美元! / Early 2008 was a steep economic era when U.S. was enveloped by subprimemortgage crisis, world's economy was slowing down, and energy prices were pushed to a historical record high by oil geopolitical factors. Under this situation, an investmentbank designed a hybrid structure product, which includes a CMS Spread Snowball interest rate structured product with USD/JPY FX rate Knock out condition, a WTIoption of an additional upper limit, a USD/JPY exchange rate combined exotic option of upper and lower limits. After considering assets attributes and reviewing the relevant literature and recent research published in top journals related to the interest rate assetpricing model, Extended BGM model (Ting-Pin Wu, and Son-Nan Chen (2007)), forward curve model, and FX Rate model are selected as the basic pricing models. Tocalculate the expected theoretical value of this structured product, the unavailable model parameters of assets are estimated through the public market data based on thearbitrage-free concept, and the discounted values of the assets future cash flows are obtained by Monte Carlo simulation because of snowball interest rate structured product and path dependency characteristic and no close form solution in current relevant literature. The results of the pricing models shows that the net present value(NPV) received by customers is lower than that received by the investment bank, theconclusion is : Strongly recommend customers should not to do this trade ! In this case, the investment bank used a long position of one 5-year period CMSSpread Option with knock out condition, which implies Bearish on the economic cycle, and a short position of a 1-year period WTI option with up and low limits condition to construct this hybrid structure product. To draw customers’ attention to this proposal, the investment bank designed a knock out condition that seemed to be met very easily,but the price never touched by the article finished date. Additionally, a daily accrued digital option is used to transfer WTI volatility to a semi-annual fixed yield over 10% that, compared to LIBOR Rate, is very high but actually is underestimated. For theSnowball structure product, the total profit depends on not only when but also, more importantly, how soon to meet the payment condition. According to the asset pricing path generated by Monte Carlo simulation, the mode range which CMS Spread payment condition first met is 125 to 135 days after the contract’s value date, very close to the actually history data of 136 days. From pricing results, terms of contract implied that two different options combined to hedge risk and gain profit from each other. Hence, the investment bank does not need to make extrahedge strategy to WTI price which is impacted by more complicated risk factors.However, customer must spend hedge cost because of taking much risk as a sell option role. Under the Capital Charge regulation, to lock up the expected profit, what the investment bank needs to do is only to pay a very low cost fee, which like insurancepremium, to look for an intermediary bank to offer a back to back trade to manage thecredit risk caused by market risk! During the research of this paper, I am amazed what an excellent art and strategy that designed by the investment bank based on financial engineering science! As this structure product appeared in this world, I estimated that it would worth 34,211,458.09 USD.

Content validity methods, such as matching matrices, have been used to assist in the design and evaluation of training programs. In the present study, the Water Training Institute (WTI) curriculum was evaluated using a content validation approach. The purpose of the study was to identify topics that were being under-emphasized, over-emphasized, or receiving the correct amount of emphasis in the curriculum. A Job Knowledge Survey was developed and administered to subject matter experts to determine the importance of topics to the jobs that WTI graduates would most likely enter after graduation; the importance ratings were used as the criterion for the study. Subject matter experts in a Course Content Workshop indicated the amount of emphasis placed on each topic in four WTI courses. Matching matrices plotting job importance against course emphasis were created for each of the four target jobs for WTI graduates. These matrices did not identify any hits (i.e., topics receiving correct amount of emphasis). However, there were a number of deficiencies that were near hits. These findings will assist WTI in developing future courses and in redesigning their currently offered courses.

This study aims at analysing how African oil benchmarks within the OPEC Reference Basket relative to the WTI and Brent benchmarks which are considered as global pricing benchmarks for the period starting from 1997-2008. The Nigerian Bonny Light and Algerian Saharan blend were the two benchmarks used for this study. A time series analysis was applied to the weekly price data series set and with the aid of a breakpoint unit root test and Cusum of Squared test to determine if there was a change in the persistence of the spread of each African benchmark relative to the global benchmarks. The results for from the unit root test indicated the presence of a structural break in the price spread in 2004 for the Bonny Light benchmark and in 2005 for the Saharan blend relative to both global benchmarks. The Cusum Squared test for the four benchmark pairings indicated a change in persistence of the price spreads. The null hypothesis was rejected for the alternative hypothesis of the price spread process having a relatively high persistence value after a while. The Cusum Test results showed a change in persistence for both African benchmarks relative to the WTI benchmark and no change in persistence relative to the Brent benchmark. The results of from the Time series analysis indicated the competitive nature of African benchmarks relative to global benchmarks and this could benefit exporting countries by virtue of setting up derivative markets. The derivative markets would allow for the trade of benchmark spreads, futures contracts, options and other financial instruments for African oil producers.

The crude oil phenomenon has always been a big issue and the current situation does not prove different. Crude oil as a commodity is indisputably considered as one of the most utilized energy source as well as production input which enters into economic processes in the vast majority of countries over the world. The aim of this masters thesis is to provide a detailed description and analysis of the crude oil world market. Furthermore it not only gives a characteristics of the commodity and its energy use it also defines the market and its participants crude oil pricing crude oil trading and it also provides an analysis of the world oil demand as well as supply.The purpose of this masters thesis is among other to thoroughly analyze the crude oil prices development and introduce the contemporary trends present on the market. In the latter part of this thesis there will be a crude oil prices time series modelled and probable future price direction outlined. Moreover the thesis will reflect on the current oil prices drop with its possible effect on world economy.