This thesis explores the use of unstructured data, and specifically textual data, in providing consumer insights and improving business decisions. The thesis consists of two essays. In essay I, I examine how the linguistic similarity between the language used by reviewers of a product and a prospective customer’s own writing style can be leveraged to assess the match between customers and products. Applying tools from machine learning, Bayesian statistics, and computational linguistics to a large-scale dataset from Yelp, I find that the closer the writing style of a restaurant’s past reviews are to a prospective customer’s writing style, the more likely that customer is to write a review for that restaurant. This effect holds across restaurant types and is driven by the linguistic similarity between the customer’s own reviews and positive past reviews for the restaurant. Further, I find that similarity with respect to words related to leisure (e.g., family, wine, beer, weekend), biology (e.g., eat, life, love), as well as swear words are most influential in creating a match between customers and restaurants. In essay II, I examine whether borrowers consciously or not, leave traces of their intentions, circumstances, and personality traits in the text they write when applying for a loan. I find that this textual information has a substantial and significant ability to predict whether borrowers will pay back the loan above and beyond the financial and demographic variables commonly used in models predicting default. Using text-mining and machine-learning tools to automatically process and analyze the raw text in over 120 thousand loan requests from Prosper.com, an online crowdfunding platform, I find that including the textual information in the loan significantly helps predict loan default and can have substantial financial implications. I find that loan requests written by defaulting borrowers are more likely to include words related to their family, mentions of God, the borrower’s financial and general hardship, pleading lenders for help, and short-term focused words. I further observe that defaulting loan requests are written in a manner consistent with the writing style of extroverts and liars.

The valuation of many types of financial contracts and contingent claim agreements is complicated by the possibility that one party will default on their contractual obligations. This dissertation develops a general model that prices Black-Scholes options subject to intertemporal default risk using stochastic barrier option pricing theory. The explicit closed-form solution is obtained by generalizing the reflection principle to k-space to determine the appropriate transition density function. The European analytical valuation formula has a straightforward economic interpretation and preserves much of the intuitive appeal of the traditional Black-Scholes model. The hedging properties of this model are compared and contrasted with the default-free model. The model is extended to include partial recoveries. In one situation, the option holder is assumed to recover α (a constant) percent of the value of the writer’s assets at the time of default. This version of the partial recovery option leads to an analytical valuation formula for a first passage option - an option with a random payoff at a random time. / Ph. D.

Peng, Handa. / "August 2011." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (p. 81-83). / Abstracts in English and Chinese. / Abstract --- p.1 / 摘要 --- p.2 / Acknowledgements --- p.3 / Introduction --- p.6 / Chapter Section I --- Literature Review --- p.11 / Theories on Sovereign Default --- p.11 / Historical Case Studies on Sovereign Default --- p.15 / Brief Summary on the Existing Theories and Empirical Cases --- p.16 / Chapter Section II --- Historical Backgrounds --- p.21 / Political Instability and Military Expenditures --- p.21 / Fiscal Status during the rule of the Nanking Government --- p.22 / Silver Standard and Currency Reform in 1935 --- p.26 / Chapter Section III --- Sovereign Default and Restructuring Episodes of the Nanking Government --- p.29 / Data --- p.29 / Sovereign Debt as a Heritage --- p.30 / Background Information of the Debts --- p.34 / The Restructuring Episode --- p.37 / Market Reactions --- p.42 / Chapter Section IV --- Capital Market Access and Reputational Theories in the Restructuring Episode --- p.45 / Access to the International Capital Market --- p.45 / Relevance of the Traditional Reputational Model --- p.48 / Signaling Model and Role of Reputation --- p.51 / Chapter Section V --- Role of Sanctions in the Restructuring Episode --- p.57 / Analytical Framework of the Sanctions Model --- p.57 / Three Possible Channels of Direct Sanctions --- p.60 / Chapter Section VI --- Informational Explanation of the Restructuring Episode --- p.64 / A Practical Analytical Framework for the Informational Model --- p.64 / Issue of Credibility and Currency Reform --- p.66 / The Need for the Settlement of Old Debts --- p.68 / Outcomes --- p.73 / Summary --- p.77 / Conclusion --- p.79 / References --- p.81 / Chapter Appendix I --- Basic information on Chinese sovereign bonds traded in the London Stock Exchange --- p.84 / Chapter Appendix II --- Price of Chinese Sovereign Bonds traded in the London Stock Exchange --- p.86 / Chapter Appendix III --- Price level change around the settlement of two Tienstin-Pukow loans --- p.93 / Chapter Appendix IV --- "Price levels and yield to maturities of the Chinese sovereign bonds on November 1，1935 and June 25, 1937" --- p.94 / Chapter Table I --- Classification of Literatures on Cost of Sovereign Defaults --- p.17 / Chapter Graph I --- Fiscal Status of China in the Nanking Decade --- p.22 / Chapter Graph II --- Breakdown of Revenue --- p.23 / Chapter Graph III --- Breakdown of Expenditures --- p.24 / Chapter Graph IV --- Financing Methods of Government Deficit --- p.25 / Chapter Graph V --- Time Distribution of Borrowing and Defaulting of Old Debts --- p.32 / Chapter Table II --- Purpose of the Old Debts --- p.35 / Chapter Table III --- Lending Countries of the Old Debts --- p.35 / Chapter Table IV --- Collateral of the Old Debts --- p.36 / Chapter Table V --- Currency Denomination of the Old Debs --- p.37 / Chapter Graph VI --- Restructuring Time Distributions --- p.39 / Chapter Graph VII --- Time distribution of new debts obtained during the Nanjing government --- p.46 / Chapter Graph VIII --- Exports and Imports of China in 1921-1937 --- p.61 / Chapter Graph IX --- "Wholesale Price Index in Shanghai, 1929-1937" --- p.74 / Chapter Graph X --- Monthly Exchange Rate of Chinese Currency to U.S. Dollar (Indirect Quotation) --- p.74 / Chapter Graph XI --- "Net Domestic Capital Formation in China, 1931-1936" --- p.76 / Chapter Graph XII --- "Industrial Product and Its Growth Rate in China, 1928-1936" --- p.76

Originally presented as the author's doctoral Thesis (Universität, St. Gallen, 2006). / Includes bibliographical references.

Originally presented as the author's doctoral Thesis (Universität, St. Gallen, 2006). / Includes bibliographical references.

This thesis investigates correlations and linkages in credit risk that widely exist in all sectors of the financial markets. The main body of this thesis is constructed around four empirical chapters. I started with extending two main issues focused by earlier empirical studies on credit derivatives markets: the determinants of CDS spreads and the relationship between CDS spreads and bond yield spreads, with a special focus on the effect of the subprime crisis. By having observed that the linear relationship can not fully explain the variation in CDS spreads, the third empirical chapter investigated the dependence structure between CDS spread changes and market variables using a nonlinear copula method. The last chapter investigated the relationship between the CDS spread and another credit spread - the TED spread, in that a MVGARCH model and twelve copulas are set forth including three time varying copulas. The results of this thesis greatly enhanced our understanding about the effect of the subprime crisis on the credit default swap market, upon which a set of useful practical suggestions are made to policy makers and market participants.

A concessão de créditos garantidos pelo próprio ativo financiado responde por substancial fatia da atividade creditícia e permite o acesso a financiamentos de devedores mais arriscados com taxas de juros reduzidas. O financiamento de aeronaves é um nicho especialmente dependente desse tipo de estrutura e a investigação de um indicador que consolide os parâmetros quantitativos relevantes para sua análise amplia a robustez e organiza a subjetividade dos processos de tomada de decisão. Esse trabalho ilustra o desenvolvimento do indicador time to loss como um desdobramento prático dos fundamentos implícitos na formulação de perda esperada do Comitê de Basileia. São evidenciadas as três curvas que caracterizam a estimação do tempo para a perda: a exposição devida ao inadimplir, o valor residual da aeronave e os custos e encargos no período de recuperação do crédito. Calculado o indicador para o caso base de estudo, o trabalho explora ainda alternativas para a construção de escalas de referência que qualifiquem sua interpretação. Testes e estudos continuados são propostos como referência para futuras pesquisas e desenvolvimento do tema. / The concession of credit secured by the financed asset itself accounts for a substantial share of lending activity and allows access to finance for riskier borrowers with lower interest rates. The aircraft financing is a typical niche dependent on this type of structure and the investigation of an index that consolidates relevant quantitative parameters for its analysis extends the robustness and organizes the subjectivity of the decision-making process. This work illustrates the development of the indicator time to loss as a practical deployment of the implicit foundations in the expected loss formulation of the Basel Committee. Three curves are evidenced featuring the estimation of the time to loss: exposure due to defaults, the residual value of the aircraft and the cost and burden on the credit recovery period. After calculating the time to loss indicator for the base case study, the work also explores ways to build a reference scale which qualify its interpretation. Tests and continued studies are proposed as reference theme for future research and development. / Dissertação (mestrado) - Programa de Pós-Graduação e Pesquisa em Administração e Economia, Faculdades Ibmec, Rio de Janeiro, 2015. / Bibliografia: p. 76-77

This thesis attempts to analyze the market response of stock prices of major U.S. banks to the February, 1987 Brazilian loan default announcement. The study's general hypothesis is that the market revalued stock prices according to each bank's amount of Brazilian loan exposure. The first chapter examines the significance of the default announcement. A survey of related literature is presented in the second chapter. Chapter III specifies the methodological techniques involved in analysis of the data. Chapter IV reports the findings of the study. Conclusions about the results are drawn in Chapter V. The results indicate the market is efficient. They also suggest that individual exposure was the major determinant of bank stock price decline.

This study investigates whether municipal demarcation addressed the challenge of financial non-viability in the Thulamela and Makhado local municipalities and the Vhembe District Municipality. The study also seeks to establish the main causes of demarcation disputes and whether the Municipal Demarcation Board (MDB) consulted the villagers in the Vuwani and Malamulele areas. The study examines whether financial viability is the sole or core factor in determining municipal boundaries. The study opted for a mixed-methods research approach using positivism and interpretivism research philosophies, including key informant interviews with municipal officials of Thulamela and Makhado local municipalities and the Vhembe District Municipality and a survey of households in the Vuwani area (previously under Makhado Local Municipality) and the Malamulele area (previously under Thulamela Local Municipality). The data were complemented by documentary analysis, including annual reports, financial statements, literature review, and legislation pertaining to financial management and local government. The study provides empirical insights into the relationship between municipal boundary demarcation and financial viability. It suggests that municipal boundary demarcation did not address the challenge of financial non-viability in the Vhembe District. The study also provides that the MDB did consult the villagers of the Vuwani area and that the main causes of demarcation disputes were the location of the newly established Collins Chabane Local Municipality. The study recommends that the South African government and the MDB should consider other factors provided for in the Local Government: Municipal Demarcation Act when demarcation decisions are made and that financial viability cannot be used to trump other factors in the restructuring of local government. The implications of this is that the government must address service delivery challenges in the Malamulele and Vuwani areas and that municipal demarcation cannot be used as a solution for financial challenges, especially in rural municipalities. The study includes implications that the MDB can explore other methods to foster stakeholder engagement and public participation. The study contributes to the body of knowledge within the sub-area of financial viability and public participation in the discipline of Public Administration and Management. / Public Administration and Management / D. Phil. (Public Administration and Management)

The aim of this study was to investigate reasons for non–payment by residents for services rendered by the Vhembe District Municipality. The municipalities are responsible for delivering such services as water supply, electricity, road maintenance, refuse collection and sanitation. Multistage sampling techniques were employed. The subjects in the study were grouped into clusters and a sample was taken from each cluster. In this case the municipalities that took part in the study were selected first, followed by wards, villages and households. Households in the selected villages were selected randomly to participate in the study. The results showed that although the municipalities were making an effort to raise and send bills to the residents, the residents were not forthcoming with payments. The reasons advanced for the unwillingness to pay services by residents include ignorance, poverty and simple unwillingness to pay. / Public Administration & Management / M.P.A. (Master of Public Administration and Management)