Universiẗat, Diss.--Augsburg, 2007.

Thesis (doctoral)--Universität St. Gallen, 2009.

In this paper I propose a two-step theoretical extension of the baseline model by Diamond and Rajan (2011) and examine the amplification mechanisms when collateralized funding shocks are endogenously affected by liquidity shocks. Based on high returns on illiquid assets that are potentially available conditional on future fire sales, liquid banks increase their cash holdings by limiting term lending - a speculative motive of liquidity hoarding directly aggravated by a cash reduction due to increased haircuts on collateralized borrowing. As a result, funding liquidity shrinks steadily and credit freezes are more likely. On the other hand, illiquid banks refuse to sell more illiquid assets than necessary to meet depositors' claims - a speculative motive of illiquidity seeking indirectly amplified as fire sale prices are endogenously depressed via increased collateral requirements. Illiquid banks are forced to sell more assets, the problem of insolvency becomes more severe and market freezes are thus even more likely. / Series: Department of Economics Working Paper Series

In this paper, I examine the impact of direct equity injections and troubled asset purchases on bank lending and solvency and analyze how ex ante tighter caps on leverage affect ex post decisions between both interventions. Extending the model of Bachmann (2018) by adding the government as a liquidity supplier, illiquid banks can either sell troubled assets at fire sale prices to collateralized financed liquid banks or to the government. If illiquid banks are forced to sell all troubled assets in order to meet premature withdrawals and the government is left with excess liquidity compared to direct equity injections, they can use these funds to bid up prices. Higher prices reduce future returns on buying illiquid assets and motivate liquid banks´ incentive to lend by crowding out their speculative motive for liquidity hoarding. As a result, troubled asset purchases weakly dominate direct equity injections in terms of lending and solvency, directly amplified by a drop in collateral liquidity. Additionally, regulating illiquid banks ex ante by tighter caps on leverage affects the government's decisions about ex post interventions to effectively stabilize lending and solvency conditions, as the self-reinforcing downward spiral between fire sale prices and collateral liquidity is mitigated. Hence, I find that there exists an inherent nexus between ex ante regulations and ex post interventions. / Series: Department of Economics Working Paper Series

A credit default swap is a contract that ensures protection against losses occurring due to a default event of an certain entity. It is crucial to know how default should be modelled for valuation or estimating of credit derivatives. In this dissertation, we first review the structural approach for modelling credit risk. The model is an approach for assessing the credit risk of a firm by typifying the firms equity as a European call option on its assets, with the strike price (or exercise price) being the promised debt repayment at the maturity. The model can be used to determine the probability that the firm will default (default probability) and the Credit Spread. We second concentrate on the valuation of credit derivatives, in particular the Credit Default Swap (CDS) when the hazard rate (or even of default) is modelled as the Vasicek-type model. The other objective is, by using South African credit spread data on defaultable bonds to estimate parameters on CIR and Vasicek-type Hazard rate models such as stochastic differential equation models of term structure. The parameters are estimated numerically by the Moment Method. / Thesis (M.Sc.)-University of KwaZulu-Natal, Durban, 2013.

This study discusses about the relationships between the qualities of collateralized shares by the broad of directors and the bank performance. In this study, we focus on the quantitative indicators of collateralized shares. Base on individual collateralization data, we build up the sets of the loans permitted by banks. In additon, this study is based on the multiple regression model to find out the relationships between the qualities of the collateral loans and the bank performance. By the conclusion, this study tries to give some advice to the banks about measuring the loans with collateralized shares. There are few conclusion of this study: 1. The stocks with higher price volatility are not good collaterals. The banks which have the loan with the collaterals with higher price volatility usually have bad proformance. The banks should pay attension to this indicator. 2. The collaterals are better with high ¡¥market price-to-book value¡¦. 3. By literature review, the higher proportion of collateralized shares by the broad of directors, the shares seem to be the worse collaterals for the banks. However, in this study, we find out some trade-off relationship between the profit and the risk in measuring this indicator.

Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we consider the Merton investment problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath-Jarrow-Morton framework of the interest rate term structure driven by an infinite dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal investment strategy. When there is uniqueness, we provide a characterization of the optimal portfolio. Furthermore, we show that a specific Gauss-Markov random field model can be treated within this framework, and explicitly calculate the optimal portfolio. We show that the optimal portfolio in this case can be identified with the discontinuities of a certain function of the market parameters. In the second essay we price a claim, using the indifference valuation methodology, in the model presented in the first section. We appeal to the indifference pricing framework instead of the classic Black-Scholes method due to the natural incompleteness in such a market model. Because we price time-sensitive interest rate claims, the units in which we price are very important. This will require us to take care in formulating the investor’s utility function in terms of the units in which we express the wealth function. This leads to new results, namely a general change-of-numeraire theorem in incomplete markets via indifference pricing. Lastly, in the third essay, we propose a method to price credit derivatives, namely collateralized debt obligations (CDOs) using indifference. We develop a numerical algorithm for pricing such CDOs. The high illiquidity of the CDO market coupled with the allowance of default in the underlying traded assets creates a very incomplete market. We explain the market-observed prices of such credit derivatives via the risk aversion of investors. In addition to a general algorithm, several approximation schemes are proposed. / text

University, Diss--Köln, 2005.

Due to the apparent global economic conditions, at the end of 2008, the International Accounting Standards Board (IASB) issued amendments to IAS 39 Financial instruments: recognition and measurement and IFRS 7 Financial instruments: disclosures in October and November, 2008. The amendments allow banks to reclassify their non-derivative financial instruments in rare circumstances. This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009. The result of the study shows that 47% of the sample Nordic banks reclassified financial instruments in 2008 and 12% in 2009. All banks increased their net profit as a result of reclassifying financial instruments in 2008. The return on equity (ROE) increased significantly compared to whether the banks would not had reclassified their financial instruments. Tendencies found among the sample Nordic banks are that larger and less profitable banks used the possibility to reclassify financial instruments to a greater extent. Because none of the banks made losses on their choice to reclassify in 2008, the conclusion is that the opportunity given due to the amendments are mostly used by the banks to enhance the net income and the key ratio ROE. This shows that management decisions are short-term. This also indicates that the amendments may be misused by management to enhance current profit for their own benefit. The thesis also concludes that the departure from fair-value as the valuation method for financial instruments, due to recent massive critic, is unlikely.

在市場上最常被用來評價抵押債務債券(Collateralized Debt Obligation, CDO)的分析方法即為應用大樣本同質性資產組合(Large Homogeneous Portfolio, LHP)假設之單因子關聯結構模型(One Factor Copula Model)。由過去文獻指出，自2008年起，抵押債務債券的商品結構已漸漸出現改變，而目前所延伸之各種單因子關聯結構模型在新型商品的評價結果中皆仍有改善空間。 在本文中使用標準化偏斜Student-t分配(Standardized Skew Student-t distribution, SSTD)取代傳統的高斯分配進行抵押債務債券之分券的評價，此分配擁有控制分配偏態與峰態的參數。但是與Student-t分配相同，SSTD同樣不具備穩定的摺積(convolution)性質，因此在評價過程中會額外消耗部分時間。而在實證分析中，以單因子SSTD關聯結構模型評價擔保債務債券新型商品之分券時得到了較佳的結果，並且比單因子高斯關聯結構模型擁有更多參數以符合實際需求。 / The most widely used method for pricing collateralized debt obligation(CDO) is the one factor copula model with Large Homogeneous Portfolio assumption. Based on the literature of discussing, the structure of CDO had been changed gradually since 2008. The effects for pricing new type CDO tranches in the current extended one factor copula models are still improvable. In this article, we substitute the Gaussian distribution with the Standardized Skew Student-t distribution(SSTD) for pricing CDO tranches, and it has the features of heavy-tail and skewness. However, similar to the Student-t distribution, the SSTD is not stable under convolution as well. For this reason, it takes extra time in the pricing process. The empirical analysis shows that the one factor SSTD copula model has a good effect for pricing new type CDO tranches, and furthermore it brings more flexibility to the one factor Gaussian copula model.