In the financial industry , typical indirect-financial institution attracts deposit, inter-bank loan, or issuing negotiable certificate of time deposit and bonds.¡@After collecting money from excess capital units through auditing procedure then loan to the needed parties as a financial intermediary in the market. The roles of financial institutions such as banks are acting as a financial intermediary by providing buy-sell funding to enterprises or individuals. Those banks actually take whole funding liquidity risk to exchange main resource of bank¡¦s profitability. Once failure in managing risk or facing dynamically financial environment changing, bank may engage in difficulty and cause serious financial crisis. Comparison with large international financial institutions, our financial institutions hold a lot of NPL (Non-Performing Loan; Taiwan major NPL almost came from mortgage), it not only lower the liquidity of fund, longer payment duration but also raise operation risk can¡¦t recover financial assets. The quality of asset has also been worse off rapidly. These phenomena raise financial institution operation risk and influence stability of financial system and development of financial environment. With the financial environment is changing, those developed countries mostly adopted structured finance or financial asset securitization methods. The purpose of financial asset securitization in general is to raise fund for originator. Originator is the most important participant on the securitization process. The originators pool and reorganize those assets, which could create cash flow into small-amount unit security and sell to the investors. By this way originator don¡¦t have to wait till maturity and buyback those securities. That is why by using financial asset securitization will help financial institution to improve asset/liability management, spread asset risk and increase the ratio of equity to assets. At the same time, this will improve the effect and efficiency of finance institution¡¦s operating and open up the funding market. Mortgage securitization can raise banks¡¦ capital adequacy and current ratio. By way of asset securitization, the originators enjoy higher asset liquidity, lower funding cost, and improved capital ratio; while investors can use mortgage-backed securities to diversity their portfolios, improve liquidity and enhance yields. For originators, securitization is not only lower the cost of capital, increase the net profit but also enhances the liquidity of cash and balances the assets¡¦ structure. Assets-backed securitization has been prevailed in USA for years. It effectively controls the NPL (Non-performing Loans) problem and stabilizes financial management. Through financial asset securitization optimal asset allocation model, this thesis has the following finding: 1. Financial market funding supply shows multiple effects after Banking Financial asset securitization. In the initial stage of securitization, banks will lower risky assets and then will increase to original size. 2. After Financial asset securitization, a capital adequate ratio will rise first then become normal level. 3. Under assumption that financial asset securitization does not create any capital gain or loss; bank will lower profitability at initial stage. Then after a while, profitability will increase dramatically later. 4. After consideration of risk, this research discovers that securitization wills steeper Capital Allocation Line. It means every risk taking will compensate higher return. Improve Banking efficiency and profitability. Securitization provides a groundbreaking tool to increase profitability and avoid risk. Under MBS structure, the commissions and fees, absolutely out of risk, is major and stable income of the bank. On the other hand, the successful development of USA RTC implement is another contribution to resolve NPL. In sum, financial asset securitization not only accelerates the efficiency of financial institutions for more balance capital markets but also avoids financial risk in the banking system. At present, the prime theme of he banking sector should be how to maintain sound operations by strengthening credit risk management and restructure assets quality. Introducing successful external professional partner system is another way to deal with NPL problems.

Submitted by Marcelo Bonança (marcelo.bonanca@vale.com) on 2014-10-31T17:02:59Z No. of bitstreams: 1 Dissertação_Marcelo Bonança.pdf: 792001 bytes, checksum: 5a68a41e5ddebd68c372493c95f262a8 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2014-11-25T17:15:41Z (GMT) No. of bitstreams: 1 Dissertação_Marcelo Bonança.pdf: 792001 bytes, checksum: 5a68a41e5ddebd68c372493c95f262a8 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2014-11-25T17:17:48Z (GMT) No. of bitstreams: 1 Dissertação_Marcelo Bonança.pdf: 792001 bytes, checksum: 5a68a41e5ddebd68c372493c95f262a8 (MD5) / Made available in DSpace on 2014-11-26T16:45:01Z (GMT). No. of bitstreams: 1 Dissertação_Marcelo Bonança.pdf: 792001 bytes, checksum: 5a68a41e5ddebd68c372493c95f262a8 (MD5) Previous issue date: 2014-05-19 / This study analyses the effects of diversification in risk and return among the major global mining players. To evaluate the diversification, firstly, we created a ranking that relates risk, degree of diversification and return of the companies. It was mandatory to create a data base with a series of revenues and proxies of cash generation by business, which is not fully provided by Bloomberg, Economática or other public data bases. We estimated the effects of diversification by using the CAPM to calculate the companies’ beta and basic statistics of the historical return series to find the Sharpe Index. We looked through the financial statements to understand more profoundly their businesses for a sample equivalent to 50% of the market capitalization of the top 100 mining companies of the world for the period from 2002 to 2014. Finally, we approached, as a study case, essential issues in the diversification as efficiency and discipline in capital allocation. Our study confirmed the presence of a negative correlation between risk and diversification degree. It also showed evidences which suggest that focused companies have better discipline in capital allocation, and hence, generate more value to their shareholders. / Neste trabalho, medimos os efeitos da diversificação sob o aspecto de risco e retorno entre os grandes players globais de mineração. Para avaliar a diversificação, primeiramente, foi criado um ranking que relaciona risco, grau de diversificação e retorno das empresas. Foi necessário montar um banco de dados com séries de receita e de proxies de geração de caixa por negócios, o qual não se encontra prontamente disponível na Bloomberg, Economática ou em outras bases de dados públicas. Estimamos os efeitos da diversificação fazendo o uso do CAPM para calcular o beta das empresas e das estatísticas básicas das séries históricas de retornos para encontrar o Índice de Sharpe. Examinamos os demonstrativos financeiros das empresas para entender com maior profundidade seus negócios para uma amostra equivalente a 50% do valor de mercado das top 100 empresas de mineração do mundo para o período entre 2002 e 2014. Por fim, abordamos, sob a forma de estudo de caso, questões relevantes na diversificação como a eficiência e a disciplina na alocação de capital. Nosso estudo confirmou que existe uma correlação negativa entre o risco e o grau de diversificação e que há sinais que sugerem que as companhias mais focadas possuem maior disciplina na alocação do capital, e, com isso geram mais valor para seus acionistas.

Le sujet principal de cette thèse porte sur les mesures de risque. L'objectif général est d'investiguer certains aspects des mesures de risque dans les applications financières. Le cadre théorique de ce travail est celui des mesures cohérentes de risque telle que définie dans Artzner et al (1999). Mais ce n'est pas la seule classe de mesure du risque que nous étudions. Par exemple, nous étudions aussi quelques aspects des "statistiques naturelles de risque" (en anglais natural risk statistics) Kou et al (2006) et des mesures convexes du risque Follmer and Schied(2002). Les contributions principales de cette thèse peuvent être regroupées selon trois axes: allocation de capital, évaluation des risques et capital requis et solvabilité. Dans le chapitre 2 nous caractérisons les mesures de risque avec la propriété de Lebesgue sur l'ensemble des processus bornés càdlàg (continu à droite, limité à gauche). Cette caractérisation nous permet de présenter deux applications dans l'évaluation des risques et l'allocation de capital. Dans le chapitre 3, nous étendons la notion de statistiques naturelles de risque à l'espace des suites infinies. Cette généralisation nous permet de construire de façon cohérente des mesures de risque pour des bases de données de n'importe quelle taille. Dans le chapitre 4, nous discutons le concept de "bonnes affaires" (en anglais Good Deals), pour notamment caractériser les situations du marché où ces positions pathologiques sont présentes. Finalement, dans le chapitre 5, nous essayons de relier les trois chapitres en étendant la définition de "bonnes affaires" dans un cadre plus large qui comprendrait les mesures de risque analysées dans les chapitres 2 et 3. / The aim of this thesis is to study several aspects of risk measures particularly in the context of financial applications. The primary framework that we use is that of coherent risk measures as defined in Artzner et al (1999). But this is not the only class of risk measures that we study here. We also investigate the concepts of natural risk statistics Kou et al (2006) and convex risk measure Follmer/ and Schied (2002). The main contributions of this Thesis can be classified in three main axes: Capital allocation, risk measurement and capital requirement and solvency. In chapter 2, we characterize risk measures with the Lebesgue property on bounded càdlàg processes. This allows to present two applications in risk assessment and capital allocation. In chapter 3, we extend the concept of natural risk statistics to the space of infinite sequences. This has been done in order to introduce a consistent way of constructing risk measures for data bases of any size. In chapter 4, we discuss the concept of Good Deals and how to deal with a situation where these pathological positions are present in the market. Finally, in chapter 5, we try to relate all three chapters by extending the definition of Good Deals to a larger set of risk measures that somehow includes the discussions in chapters 2 and 3.

Le sujet principal de cette thèse porte sur les mesures de risque. L'objectif général est d'investiguer certains aspects des mesures de risque dans les applications financières. Le cadre théorique de ce travail est celui des mesures cohérentes de risque telle que définie dans Artzner et al (1999). Mais ce n'est pas la seule classe de mesure du risque que nous étudions. Par exemple, nous étudions aussi quelques aspects des "statistiques naturelles de risque" (en anglais natural risk statistics) Kou et al (2006) et des mesures convexes du risque Follmer and Schied(2002). Les contributions principales de cette thèse peuvent être regroupées selon trois axes: allocation de capital, évaluation des risques et capital requis et solvabilité. Dans le chapitre 2 nous caractérisons les mesures de risque avec la propriété de Lebesgue sur l'ensemble des processus bornés càdlàg (continu à droite, limité à gauche). Cette caractérisation nous permet de présenter deux applications dans l'évaluation des risques et l'allocation de capital. Dans le chapitre 3, nous étendons la notion de statistiques naturelles de risque à l'espace des suites infinies. Cette généralisation nous permet de construire de façon cohérente des mesures de risque pour des bases de données de n'importe quelle taille. Dans le chapitre 4, nous discutons le concept de "bonnes affaires" (en anglais Good Deals), pour notamment caractériser les situations du marché où ces positions pathologiques sont présentes. Finalement, dans le chapitre 5, nous essayons de relier les trois chapitres en étendant la définition de "bonnes affaires" dans un cadre plus large qui comprendrait les mesures de risque analysées dans les chapitres 2 et 3. / The aim of this thesis is to study several aspects of risk measures particularly in the context of financial applications. The primary framework that we use is that of coherent risk measures as defined in Artzner et al (1999). But this is not the only class of risk measures that we study here. We also investigate the concepts of natural risk statistics Kou et al (2006) and convex risk measure Follmer/ and Schied (2002). The main contributions of this Thesis can be classified in three main axes: Capital allocation, risk measurement and capital requirement and solvency. In chapter 2, we characterize risk measures with the Lebesgue property on bounded càdlàg processes. This allows to present two applications in risk assessment and capital allocation. In chapter 3, we extend the concept of natural risk statistics to the space of infinite sequences. This has been done in order to introduce a consistent way of constructing risk measures for data bases of any size. In chapter 4, we discuss the concept of Good Deals and how to deal with a situation where these pathological positions are present in the market. Finally, in chapter 5, we try to relate all three chapters by extending the definition of Good Deals to a larger set of risk measures that somehow includes the discussions in chapters 2 and 3.

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