O objetivo deste trabalho é estudar a formação do preço dos títulos de dívida corporativa brasileiros emitidos no exterior, essencialmente eurobonds, buscando identificar quais os fatores, além do seu rating, que determinam a formação do spread pelo risco pago por esses títulos no momento de emissão. Busca-se também tecer uma discussão comparativa entre os resultados auferidos pela pesquisa, e os resultados identificados em pesquisas anteriores para dados de debêntures brasileiras domésticas. O estudo foi desenvolvido por meio de regressões lineares múltiplas, que buscam identificar os fatores, levantados através de pesquisa bibliográfica, que influenciam o spread pelo risco no momento de emissão do título. A base de dados foi compilada através dos portais Bloomberg e Cbonds, e de prospectos de emissão, e contou ao final com 103 observações distribuídas em uma janela de 2002 até 2012. Os resultados indicam que os principais fatores determinantes do spread na emissão dos bonds são: a nota de rating da emissão, o desempenho recente do S&P500 e o desempenho do PIB brasileiro em relação ao desempenho do PIB global, no mesmo período. Um resultado interessante identificado é que o índice S&P500 é mais relevante na precificação dos eurobonds brasileiros do que o Ibovespa, o que indica que os investidores, ao decidir investir em um título corporativo brasileiro, possivelmente estão mais interessados no risco desse ativo, especificamente, do que no risco-Brasil genericamente. Outras variáveis foram avaliadas, como maturidade, frequência no pagamento de cupons, volume da emissão, risco-país do Brasil (medido pelo EMBI+ do JPMorgan), desempenho do dólar e Ibovespa. Os resultados da pesquisa, em sua maioria, foram alinhados com os resultados identificados por Paiva (2011) para as debêntures brasileiras emitidas no Brasil, que também encontrou relevância para as variáveis rating e desempenho da economia, entre outras. / This objective of this dissertation is to analyze the pricing of corporate debt securities issued abroad, essentially eurobonds, in order to identify which factors, beyond its rating, that determine the spread for risk paid by these securities at the moment of issue. As secondary objectives, this dissertation also aims to compare, through a qualitative discussion, the conclusions reached by this research, and the results identified in previous research that tested Brazilian domestic bond data. The method applied in the study was multiple linear regression, in order to identify the factors that influence significantly the spread for risk at the time of issue of the bond. The previous literature research that was held indicated which variables should be tested. The database was compiled through Bloomberg, Cbonds portal, and issues prospectus, and the final database was comprised of 103 observations from 2002 to 2012. The results indicate that the main determinants of the spread in the issuance of bonds are: rating of the issue, the recent performance of the S&P500 index and the performance of the Brazilian GDP in relation to the global GDP in the same period. An interesting result was that the S&P500 index is more relevant in the pricing of Brazilian eurobonds than the Bovespa index, which indicates that players, when deciding to invest in a Brazilian bond, are possibly more interested in the risk of this asset, specifically, than in the Brazil risk, overall. Other variables were tested, such as maturity, coupon payment frequency, volume of issue, the spread for Brazilian risk (measured by the JPMorgan EMBI+), dollar performance and Ibovespa. The survey results, in general, were in accordance with the outcomes identified by Paiva (2011) for the debentures issued in Brazil, who also identified the variables for rating and performance of the economy as relevant to the pricing of the debentures, among other results

Nos últimos anos, o value-at-risk tem se tornado uma ferramenta amplamente utilizada nas principais instituições financeiras, inclusive no Brasil. Dentre suas vantagens, destaca-se a possibilidade de se resumir em um único número os riscos de mercado incorridos e incorporar neste valor tanto a exposição da instituição quanto a volatilidade do mercado. O objetivo principal deste estudo é verificar a eficácia dos modelos mais conhecidos de value-at-risk - RiskMetrics(TM) e Simulação Histórica - na mensuração dos riscos de mercado de carteiras de renda fixa compostas por instrumentos pré-fixados em reais. No âmbito da alocação de capital para atendimento aos órgãos de regulamentação, o estudo estende-se também ao modelo adotado pelo Banco Central do Brasil. No decorrer do estudo, discute-se ainda as vantagens e desvantagens apresentadas, bem como o impacto que as peculiaridades do mercado brasileiro exercem sobre as hipóteses assumidas em cada um dos modelos. / Value-at-Risk (VaR) has become the primary tool for the systematic measuring and monitoring of market risk in most financial institutions. VaR is a statistical measure that comprises not only the exposure but also the market volatility in a single number. The main purpose of this work is to evaluate the performance of the well-known value-at-risk models - RiskMetrics(TM) and Historical Simulation - in the Brazilian fixed-income market. In the scope of capital allocation related to banking regulation, this study also extends briefly to the model adopted by the Brazilian Central Bank. Additionally, the underlying assumptions of these models are analyzed in the Brazilian financial market context. Also, this study discusses the advantages and disadvantages presented by the RiskMetrics and the Historical Simulation models.

This dissertation consists of two chapters. In the first chapter, I revisit the role of Central Banks, the principal entity responsible for economic and financial stability. I indicate that we can consider a universal role for a central bank instead of just a lender. I consider a model of the financial crisis and market rejuvenation where direct policies from the central bank are not efficient as the public authority lacks critical information about the status of the economy. In contrast, there exist agents who have superior information about the available assets and future projects of the economy. I show that the public authority can benefit from contracting the informed agents to the benefit of the society, where the central bank will trade off the benefit of higher financing from liquidity provision to informed agents for the cost of a public market contraction. Based on the insight of this chapter, I propose a proactive ``planner of last resort'' role for a central bank as opposed to a naive lender of last resort suggested by Bagehot’s dictum. In the second chapter, I investigate a fundamental and yet less explored moment of asset returns which is the expected time it takes for a given asset's return to change state from high to low or vice versa. I introduce formally the concept of ``expected traveling time'' in the context of asset prices and returns and demonstrate a number of results. Mainly, I provide pricing equations for a class of fixed-income assets, which their payoff would default to zero when particular states are triggered (similar to a risky bond). Moreover, I show that barrier like option prices can reveal transition probabilities of the underlying asset's return. Finally, I discuss the estimation of the traveling times from historical data where I identify a considerable variation of traveling times across different assets.

[pt] A seleção de um portfolio de renda fixa é um problema comumente enfrentado pelos agentes do mercado financeiro. A alocação ótima destes ativos melhora o nível de rentabilidade e lucratividade da instituição. Um dos trade-offs rotineiramente encontrado pelos gestores destas carteiras é decidir entre a compra de títulos pré-fixados e pós-fixados de curto prazo ou longo prazo, sendo que estes últimos no geral rendem mais devido ao prêmio de risco. Tais títulos, apesar de terem a sua rentabilidade já definida no momento da compra, podem ser vendidos a qualquer momento e sua nova rentabilidade estará sujeitas às marcações a mercado. O retorno da carteira composta por estes títulos é portanto uma variável aleatória que torna necessário o controle dos riscos de perda deste portfolio. O presente estudo teve por objetivo desenvolver um modelo de otimização da rentabilidade de uma carteira composta somente por títulos prefixados do tesouro nacional, com restrições ao nível de risco expresso através do Conditional Value at Risk. Após tal, foram realizados backtests para medir o desempenho do modelo e comparar a sua rentabilidade com o índice CDI. Os testes mostraram que o modelo apresenta resultados bons em rentabilidade e resultados satisfatórios em termos de controle de risco. / [en] Fixed-income portfolio selection is a common problem faced by financial market agents. The optimal allocation of these assets improves the profitability of institutions. A trade-off routinely found by the managers of these portfolios is deciding between buying floating rate securities or short-term or long-term fixed-rate securities, while the latter generally has a higher yield due to risk premium. Despite fixed rate securities have their return already set at the moment of purchase, they can be sold at any time and the new return will be subject to the current market prices. Since the return of a portfolio holding these securities is a random variable, we argue for the importance of a risk assessment and control a fixed income security portfolio. This study aimmed to develop an optimization model of return with a portfolio composed only on fixed and floating rate bonds from Brazil s sovereign treasury, using risk restrictions expressed on the Conditional Value at Risk measure. After that, backtestswere performed to measure model efficiency and compare its return to the Brazilian s Interbank rate. The tests have shown good results in profitability and risk control.

Darbe atlikta detali aktualių straipsnių, nagrinėjančių įvairių veiksnių įtaka skolos vertybinių popierių pajamingumui, apžvalga. Išskirti keli pagrindiniai pajamingumo pokyčius lemiantys veiksniai: likvidumas, kredito rizika bei bendra makroekonominė padėtis. Siekiant įvertinti nagrinėjamų veiksnių įtaką skolos vertybinių popierių pajamingumo pokyčiams, sukurti vektorinės autoregresijos modeliai skolos vertybinių popierių portfeliams, apibendrinantiems skirtingas skolos vertybinių popierių klases. Palyginus modeliavimo rezultatus, pateikiamos baigiamojo darbo išvados. Darbą sudaro 18 dalių: įvadas, tikslas, uždaviniai, aktualumas, literatūros apžvalga, pagrindiniai skolos vertybinių popierių rinką charakterizuojantys rodikliai, statistiniai metodai, modelio aprašymas, kintamujų aprašymas bei transformacijos, statistinė analizė, trendo išskyrimas, stacionarumo patikrinimas, modeliavimas, modelių palyginimas bei scenarijų analizė, išvados, literatūros sąrašas. / A brief survey of relevant researches on different factors’ impact on bonds’ yields is provided in master thesis. Several main factors were identified: liquidity, credit risk and macroeconomic environment. In order to measure the impact of distinguished factors on the yields’ changes vector autoregressive models for fixed income securities portfolios, generalizing different asset classes, were created. The modeling results are described and analyzed, conclusions are made Structure: introduction, goal, task, relevance, literature overview, the main indicators of sixed income securities market, statistical methods, models’ describtion, variables’ description and transformations, statistical analysis, elimination of the trend, stacionarity check, modeling, models’ comparison and scenario analysis, conclusions, references.

Our thesis aims to help the market participants to understand the source of the risk in green bonds market. We estimate the liquidity risk effects in green bonds' yield spreads as well as controlling for credit risk, bond-specific chracteristics and macroeconomic variables. Both of our liquidity measures suggest that green bonds are more liquid than investment grade US corporate bonds. We find that liquidity effect in green bonds' yield spreads is pronounced, and the result is robust after controlling for potential endogeneity bias. The power of green bonds' liquidity premium is about 10 to 100 times as strong as speculative grade German bonds and investment grade US corporate bonds respectively. In addition to the lack of clear risk profile in green bonds market, our three-stage least squares regression shows that credit risk influences the liquidity risk of green bonds, this indicates that credit risk is a potential source of private information that affects the high liquidity of green bonds. This result has an implication for policy as the credit risk and liquidity risk could be the pitfalls in green bonds market.

O objetivo da tese foi analisar a influência do rating, provido por agências independentes na formação dos preços de emissão de debêntures. A base de dados contou com 354 séries de debêntures não conversíveis, emitidas por empresas não financeiras, entre janeiro de 2000 e junho de 2010, em mercado primário público. A metodologia baseia-se no modelo fatorial de precificação aplicado a uma estrutura de dados pooled cross-section. Os modelos desenvolvidos ao longo do trabalho apontaram a relevância do rating na explicação do spread de emissão primária de debêntures no Brasil. Isoladamente, no entanto, explica cerca de 10% da variabilidade do spread. O estudo demonstrou serem significativas variáveis de crédito, maturidade, relação entre o volume emitido e o estoque de debêntures do mercado, a evolução do PIB e a alteração futura de rating (direção e a magnitude). Constatou-se também que emissões em percentual do DI tendem a ter menor spread que aquelas remuneradas por inflação mais taxa. Não se pode afirmar que o mercado diferencie, por meio do preço, a origem das agências ou as emissões com mais de um rating. As variáveis idiossincráticas da firma, na forma de índices econômico-financeiros extraídos de demonstrações financeiras publicadas, explicam diferenças de rating. Finalmente, constatou-se a utilidade da variável de escala linear de rating nos modelos de regressão desenvolvidos. / The overall objective of this dissertation was to analyze the influence of the rating provided by independent agencies in the spread of corporate bonds. The database was comprised of 354 series of non-convertible debentures issued by non-financial companies between January 2000 and June 2010 in public primary market. The study approach is based on the pricing factor model applied to a pooled cross-section data structure. The developed models suggested that the rating is significant in explaining the spread of primary issuance of debentures in Brazil. However, the rating explains no more than 10% of the spread variability. The study revealed that other factors were also significant during the analyzed period along with the credit variables: maturity, the ratio between the volume issued and total market outstanding of debentures, GDP growth, and future rating changes. It was also noted that series linked daily floating rates tend to have lower spread than those linked to inflation. When price is taken into account, the market does not seem to differentiate local agencies from international ones, or series with two or more ratings. Financial ratios obtained from financial statements, do explain the differences in rating. Finally, other important findings indicate the usefulness of the rating variable based in linear scale in the regression models developed in this work

L’objectif de cette thèse est de proposer des schémas de pondérations alternatives visant à prendre en compte le risque dans la construction d’indices obligataires. Nous partons du constat suivant : les indices obligataires qui existent sur le marché sont pondérés en fonction de la capitalisation des émetteurs. L’implication n’est pas négligeable, dans la mesure où utiliser cette approche implique de sur-pondérer les entités les plus endettées. Sur cette base, nous proposons dans le premier chapitre de pondérer les entreprises au sein de l’indice en fonction de leur solvabilité. Dans le deuxième chapitre, toujours sur l’univers des obligations d’entreprises, nous appliquons le principe du risque en parité. Plus précisément, les secteurs sont pondérés de façon inversement proportionnelle à une mesure du risque de crédit innovante : la Duration Times Spread. Enfin, le dernier chapitre s’intéresse à l’application de cette même technique du risque en parité, mais cette fois-ci à l’univers des obligations souveraines. Nous nous engageons dans la modélisation d’une structure de taux à terme, permettant de mesurer le risque de taux d’intérêt dans un contexte global. Plus généralement, nous démontrons que ces pondérations alternatives, qui intègrent une notion de risque (crédit ou taux) et s’éloignent ainsi du pur aspect “niveau d’endettement”, fournissent une nouvelle grille de lecture pour la compréhension de la dynamique des marchés obligataires ainsi que des améliorations significatives dans le profil rendement-risque. / In this thesis, we are keen to explore alternative weighting schemes that account for risk in the fixed-income indexing market. We start with the following observation: bond indexes that exist on the market are generally cap-weighted. The implication is not trivial: when holding such index, an investor is exposed to the most indebted issuers. From that standpoint, in the first chapter we make the proposal to consider an issuer’s creditworthiness as a weighting metric. Then in the second chapter, still working on the corporate bond market, we decide to turn to risk-parity indexing. More precisely, sectors are weighted inversely proportional to an innovative credit risk measure. Finally, the third chapter is devoted to the transposition of such risk-based philosophy to the sovereign bond universe. Particularly, we examine term structure modeling to appraise interest rate risk in a global framework. On a more general note, we show that these alternative indexing schemes - that do not emanate from pure indebtedness, but that are rather based on more sensible definitions of risk (credit or interest rate) provide a new reading grid for understanding bond market’s dynamics as well as appealing improvements in the indexes’ risk-return profile.

O objetivo da tese foi analisar a influência do rating, provido por agências independentes na formação dos preços de emissão de debêntures. A base de dados contou com 354 séries de debêntures não conversíveis, emitidas por empresas não financeiras, entre janeiro de 2000 e junho de 2010, em mercado primário público. A metodologia baseia-se no modelo fatorial de precificação aplicado a uma estrutura de dados pooled cross-section. Os modelos desenvolvidos ao longo do trabalho apontaram a relevância do rating na explicação do spread de emissão primária de debêntures no Brasil. Isoladamente, no entanto, explica cerca de 10% da variabilidade do spread. O estudo demonstrou serem significativas variáveis de crédito, maturidade, relação entre o volume emitido e o estoque de debêntures do mercado, a evolução do PIB e a alteração futura de rating (direção e a magnitude). Constatou-se também que emissões em percentual do DI tendem a ter menor spread que aquelas remuneradas por inflação mais taxa. Não se pode afirmar que o mercado diferencie, por meio do preço, a origem das agências ou as emissões com mais de um rating. As variáveis idiossincráticas da firma, na forma de índices econômico-financeiros extraídos de demonstrações financeiras publicadas, explicam diferenças de rating. Finalmente, constatou-se a utilidade da variável de escala linear de rating nos modelos de regressão desenvolvidos. / The overall objective of this dissertation was to analyze the influence of the rating provided by independent agencies in the spread of corporate bonds. The database was comprised of 354 series of non-convertible debentures issued by non-financial companies between January 2000 and June 2010 in public primary market. The study approach is based on the pricing factor model applied to a pooled cross-section data structure. The developed models suggested that the rating is significant in explaining the spread of primary issuance of debentures in Brazil. However, the rating explains no more than 10% of the spread variability. The study revealed that other factors were also significant during the analyzed period along with the credit variables: maturity, the ratio between the volume issued and total market outstanding of debentures, GDP growth, and future rating changes. It was also noted that series linked daily floating rates tend to have lower spread than those linked to inflation. When price is taken into account, the market does not seem to differentiate local agencies from international ones, or series with two or more ratings. Financial ratios obtained from financial statements, do explain the differences in rating. Finally, other important findings indicate the usefulness of the rating variable based in linear scale in the regression models developed in this work

Submitted by Luciana Souza (souza.luciana@gmail.com) on 2013-02-07T18:24:12Z No. of bitstreams: 1 Dissertação_Final_Luciana.pdf: 274100 bytes, checksum: fb79e489d38d3648dde8b34b71135274 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-07T19:18:57Z (GMT) No. of bitstreams: 1 Dissertação_Final_Luciana.pdf: 274100 bytes, checksum: fb79e489d38d3648dde8b34b71135274 (MD5) / Made available in DSpace on 2013-02-07T19:19:37Z (GMT). No. of bitstreams: 1 Dissertação_Final_Luciana.pdf: 274100 bytes, checksum: fb79e489d38d3648dde8b34b71135274 (MD5) Previous issue date: 2013-01-29 / This study tries to find the key drivers and/or influences for the issuance of corporate bonds by Brazilian companies offshore. 1.298 fixed income issues were analyzed, from January 1995 to July 2012, in the domestic market and abroad. From a biprobit model, it was found that main determinants for issuing offshore were greater liquidity for large volumes of funding, longer terms for their debts (if compared to the domestic market), and a larger interest rate differential (if comparing the internal rate with the American Treasury Bill rate). What made a company attractive to foreign investors were factors such as getting a rating grade by an internationally recognized agency, the fixed exchange rate period (before 1999) and a growing interest from foreign capital to invest in Brazilian companies (foreign liquidity). The economic crisis that started in 2008 had a negative influence on this type of issue. / Esse trabalho tem como objetivo encontrar os principais motivadores e/ou influenciadores para a emissão de bonds corporativos de empresas brasileiras fora do País. Foram analisadas 1.298 lançamentos de títulos de renda fixa, de janeiro de 1995 a julho de 2012, no mercado nacional e no exterior. A partir de uma análise biprobit, verificou-se que os principais determinantes para a recorrência ao exterior foram: busca de maior liquidez para grandes volumes de captações, maiores prazos para suas dívidas (comparados aos obtidos no mercado interno) e maior diferencial da taxa de juros (comparando a taxa praticada internamente com o exterior). Ademais, os fatores que tornam uma empresa atraente aos olhos dos investidores estrangeiros são a obtenção de rating de uma agência internacionalmente reconhecida, o período de câmbio fixo (anterior a 1999) e maior interesse do mercado externo em realizar investimentos em empresas brasileiras (liquidez externa). A crise econômica iniciada em 2008 apresentou influência negativa para esse tipo de emissão.