This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid market. This is a nonlinear model. Using analytical methods we studied the symmetry properties of theequation which described the given model. We called this equation aSchonbucher-Wilmott equation or the main equation. We have foundinnitesimal generators of the Lie algebra, containing the informationabout the symmetry group admitted by the main equation. We foundthat there could be dierent types of the unknown function g, whichwas located in the main equation, in particular four types which admitsricher symmetry group. According to the type of the function gthe equation was split up into four PDEs with the dierent Lie algebrasin each case. Using the generators we studied the structure ofthe Lie algebras and found optimal systems of subalgebras. Then weused the optimal systems for dierent reductions of the PDE equationsto some ODEs. Obtained ODEs were easier to solve than the correspondingPDE. Thereafter we proceeded to the solution of the desiredSchonbucher-Wilmott equation. In the project we were guided by thepapers of Bank, Baum [1] and Schonbucher, Wilmott [2]. In these twopapers authors introduced distinct approaches of the analysis of thenonlinear model - stochastic and dierential ones. Both approaches leadunder some additional assumptions to the same nonlinear equation - the main equation.

Darbe analizuojamos palyginamųjų daugiklių metodo taikymo galimybės Baltijos šalių listinguojamoms įmonėms. Darbo tikslas - įvertinti palyginamųjų daugiklių metodo taikymo galimybes nelikvidžiose rinkose Baltijos šalių listinguojamų įmonių pavyzdžiu. Darbą sudaro trys dalys, kurių pirmojoje pristatomi daugiklių metodo privalumai, trūkumai, praktinio pritaikymo etapai ir skirtingų metodų, naudojamų kiekviename praktinio pritaikymo etape, poveikio vertinimo rezultatams apžvalga. Antroje dalyje pateikiama ir pagrindžiama tyrimo metodologija, o trečioje - tyrimo rezultatai. Pagrindiniai tyrimo rezultatai rodo, kad palyginamųjų daugiklių metodas nelikvidžiose rinkose listinguojamų įmonių atveju duoda didesnes paklaidas nei įmonių, listinguojamų likvidesnėse kapitalo rinkose, atveju. Visgi, EV/IC, EV/NOA, EV/TA, EV/EBITDA, EV/EBIT ir P/B daugikliai gali būti taikomi vertinant Baltijos šalių listinguojamas įmones. Be to, nustatyta, kad 1) įmonės vertės daugikliai duoda mažesnes paklaidas nei nuosavybės vertės daugikliai; 2) su balansinėmis vetėmis susieti daugikliai duoda mažesnes paklaidas, nei su pelnu, pardavimais ar pinigų srautais susieti daugikliai; 3)tinkamiausias įmonių atrankos kriterijus yra ROIC; 4) daugiklių kombinavimas nėra prasmingas, kadangi padidina vertinimo tikslumą tik nežymiai ir tik kai kurių daugiklių atveju; 5) skirtingiems pramonės sektoriams egzistuoja skirtingi tinkamiausi daugikliai. / This paper analyzes the application possibilities of multiples valuation method in the Baltic states equity market. The aim of this paper is to assess the application possibilities of multiples valuation method in illiquid markets, with the example of Baltic listed companies. The work consists of three parts. The first part presents the advantages and disadvantages of the multiples method, also it presents method‘s practical applications stages and and the review of results of the previous research on this topic. The second part describes the research methodology. The third part presents the results of empyrical study. The main findings of this study is: 1) valuation erros, when multiples valuation method is applied in illiquid markets are higher, then those in liquid markets; 2) however, the EV / IC, EV / NOA, EV / TA, EV / EBITDA, EV / EBIT and P / B multiples are appropriate for valuation of companies listed in Baltic stock exchange; 3) entity value multiples outperform equity value multiples 4) book value multiples outperform accrual flow and cash flow multiples 3) the most appropriate criteria for selecting comperable companies is ROIC; 4) The combination of multiples is not meaningful as it increases the accuracy of valuation only slightly, and only for some of the multiples 5) different industries are associated with different best multiples.

This dissertation consists of three independent essays in Macroeconomics. The first essay studies whether efficiency can be improved by introducing government-issued illiquid bonds to an economy where money is the only asset and essential. In contrast with perfectly liquid bonds, illiquid bonds can increase societal welfare in two ways: First, allocating consumption goods among heterogeneous agents more efficiently; second, stimulating consumption and output level by loosening the liquidity constraints of households. More importantly, since societal welfare is elevated persistently when the inflation rates range from a level slightly above Friedman Rule to an upper bound, this essay provides an insight into the essentiality of illiquid bonds. The second essay provides a novel propagation mechanism of productivity shocks to explain an empirical fact: The response curve of output to a positive productivity shock reaches its peak up to eight quarters after the shock. Using a micro-founded monetary search model and focusing on agents’ decisions on establishing long-term trading relationships in the goods market, I show that when a positive shock takes place in the economy, marginal agents break down previous trading relationships and explore better matching opportunities. As a result, shortly after the shock, the average productivity level of transactions increases, but the total number of transactions decreases. The calibrated model shows that the latter effect dominates, resulting a slightly decrease of aggregate output after a positive productivity shock. The search friction, together with the monetary channel, gives rise to a delayed output response at the aggregate level. The third essay develops a general equilibrium theory of household formation – i.e., marriage – following Coase’s theory of firm formation. Individuals in the model consume both market-and home-produced commodities, and home production is facilitated through marriage. Market frictions, including taxation, search and bargaining problems, increase marriage rates when home and market goods are substitutes. In particular, inflation, as a tax on market activity, makes household production and hence marriage more attractive, as long as singles use cash more than married individuals, which is supported by data. The prediction that inflation and other taxes affect household formation is also supported by evidence.

This dissertation consists of three independent essays in Macroeconomics. The first essay studies whether efficiency can be improved by introducing government-issued illiquid bonds to an economy where money is the only asset and essential. In contrast with perfectly liquid bonds, illiquid bonds can increase societal welfare in two ways: First, allocating consumption goods among heterogeneous agents more efficiently; second, stimulating consumption and output level by loosening the liquidity constraints of households. More importantly, since societal welfare is elevated persistently when the inflation rates range from a level slightly above Friedman Rule to an upper bound, this essay provides an insight into the essentiality of illiquid bonds. The second essay provides a novel propagation mechanism of productivity shocks to explain an empirical fact: The response curve of output to a positive productivity shock reaches its peak up to eight quarters after the shock. Using a micro-founded monetary search model and focusing on agents’ decisions on establishing long-term trading relationships in the goods market, I show that when a positive shock takes place in the economy, marginal agents break down previous trading relationships and explore better matching opportunities. As a result, shortly after the shock, the average productivity level of transactions increases, but the total number of transactions decreases. The calibrated model shows that the latter effect dominates, resulting a slightly decrease of aggregate output after a positive productivity shock. The search friction, together with the monetary channel, gives rise to a delayed output response at the aggregate level. The third essay develops a general equilibrium theory of household formation – i.e., marriage – following Coase’s theory of firm formation. Individuals in the model consume both market-and home-produced commodities, and home production is facilitated through marriage. Market frictions, including taxation, search and bargaining problems, increase marriage rates when home and market goods are substitutes. In particular, inflation, as a tax on market activity, makes household production and hence marriage more attractive, as long as singles use cash more than married individuals, which is supported by data. The prediction that inflation and other taxes affect household formation is also supported by evidence.

Submitted by Marcela Zuppini (marcela.zuppini@gmail.com) on 2018-09-17T15:29:45Z No. of bitstreams: 1 Dissertacao-MarcelaZuppini.pdf: 981569 bytes, checksum: 5370718f173516ac989c81abc20caba1 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2018-09-17T18:01:06Z (GMT) No. of bitstreams: 1 Dissertacao-MarcelaZuppini.pdf: 981569 bytes, checksum: 5370718f173516ac989c81abc20caba1 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-09-18T14:11:35Z (GMT) No. of bitstreams: 1 Dissertacao-MarcelaZuppini.pdf: 981569 bytes, checksum: 5370718f173516ac989c81abc20caba1 (MD5) / Made available in DSpace on 2018-09-18T14:11:35Z (GMT). No. of bitstreams: 1 Dissertacao-MarcelaZuppini.pdf: 981569 bytes, checksum: 5370718f173516ac989c81abc20caba1 (MD5) Previous issue date: 2018-08-20 / A marcação a mercado de ativos ilíquidos é um desafio, dada a escassez de informações e negociações no mercado que possam indicar qual deve ser o seu preço justo. As debêntures, que são ativos de renda fixa do mercado brasileiro, são marcadas a mercado descontando-se os fluxos futuros do papel a valor presente. Quando as debêntures são ilíquidas, a dificuldade na determinação do valor justo está em encontrar o fator de desconto apropriado, ou seja, qual é o spread apropriado para o ativo. Este trabalho busca determinar o spread de debêntures ilíquidas com base nas suas características, nas informações sobre a saúde financeira dos emissores e na situação do mercado. As ferramentas utilizadas para esse fim são modelagem por redes neurais e clustering. Como base de comparação para os resultados obtidos, é utilizada regressão linear múltipla. / Market marking of illiquid assets is a challenge, given the scarcity of information and negotiations in the market that can indicate what the fair price should be. The debentures, which are fixed income assets of the Brazilian market, are marked to market discounting the future flows of paper to present value. When debentures are illiquid, the difficulty in determining fair value lies in finding the appropriate discount factor, i.e., what is the appropriate spread for the asset. This study seeks to determine the spread of illiquid debentures based on their characteristics, the information on the financial health of the issuers and the market situation. The tools used for this purpose are neural network modeling and clustering. Multiple linear regression is used as the basis of comparison for the obtained results.

The purpose of the work is to develop recommendations for the improvement of methods and organization of enterprise logistics support system. The theoretical bases of the procurement activities of industrial enterprises were surveyed in this work; the practice of procurement management on the example of OJSC Sinara Pipe Plant was investigated; shortcomings and weak points in the theoretical, methodological and organizational framework of the logistics support were revealed; recommendations to improve the efficiency of supply by necessary materials and resources for enterprise were developed. Organizational and methodical ways to improve the enterprise logistics support system were proposed:  a way of improving the system of classification of resources on the most significant economic and technical characteristics and classification system for their storage were offered;  the changing of the supply department organizational structure was offered to improve its efficiency: the introduction of a new post of specialist in the nomenclature of used material resources to ensure uniqueness in the naming and classification of resources;  a method of suppliers rating was developed;  the technique of identifying illiquid stocks, reducing their level and to prevent further accumulation was developed. / Цель работы заключается в разработке рекомендаций по совершенствованию методов и организации обеспечения материально-технического снабжения предприятия. В работе раскрыты теоретические основы закупочной деятельности промышленного предприятия; исследована практика организации закупочной деятельности на примере ОАО СинТЗ; выявлены недостатки и проблемные места в теоретических, методических и организационных основах материально-технического обеспечения предприятия; разработаны рекомендации, направленные на повышение эффективности процесса снабжения предприятия необходимыми материалами и ресурсами. Предложены организационные и методические пути совершенствования системы снабжения предприятия:  предложен путь усовершенствования системы классификации ресурсов по наиболее значимым экономическим и техническим классификационным признакам и системы их складирования;  предложено изменение организационной структуры отдела снабжения для повышения эффективности его работы: введение новой должности специалиста по номенклатуре используемых материальных ресурсов с целью обеспечения однозначности в наименовании и классифицировании ресурсов;  разработана методика рейтинговой оценки поставщиков;  предложена методика выявления неликвидных запасов, снижения их уровня и предотвращения их дальнейшего накопления

Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. In an attempt to demystify the illiquidity conundrum, shadow allocations are attached to the classical mean-variance framework to account for liquidity activities. The framework is further improved by replacing the variance for the coherent risk measure conditional value at risk (CVaR). This framework is then used to first stress test and optimize a theoretical portfolio and then analyze real-world data in a case study. The investors’ liquidity preferences are based on common institutional investors such as Foundations & Charities, Pension Funds, and Unions. The theoretical results support previous findings of the shadow allocations framework and decrease the allocation towards illiquid assets, while the results of the case study do not support the shadow allocations framework. / Trots det faktum att illikvida tillgångar medför flera svårigheter när det gäller portföljallokeringsproblem för investerare, så ökar allt fler investerare sin allokering mot dem. Alternativa tillgångar kännetecknas av att de är svårare att värdera och handla på grund av sin illikviditet, vilket väcker frågan om hur de ska hanteras ur ett allokeringsoptimeringsperspektiv. I ett försök att avmystifiera illikviditetsproblemet adderas skuggallokeringar till det klassiska ramverket för modern portföljteori för att ta hänsyn till likviditetsaktiviteter. Ramverket förbättras ytterligare genom att ersätta variansen mot det koherenta riskmåttet CVaR. Detta ramverk används sedan för att först stresstesta och optimera en teoretisk portfölj, och sedan analysera verkliga data i en fallstudie. Investerarnas likviditetspreferenser baseras på vanliga institutionella investerare såsom stiftelser & välgörenhetsorganisationer, pensionsfonder samt fackföreningar. De teoretiska resultaten stödjer tidigare forskning om ramverket för skuggallokeringer och sänker allokeringen mot illikvida tillgångar, samtidigt som resultaten från fallstudien inte stödjer ramverket för skuggallokeringar.

Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’une seule source de risque systématique qui est la conjoncture macro-économique), ne sont pas respectées. Premièrement, ils existent des portefeuilles concentrés pour lesquels les macro-stress tests ne sont pas suffisants pour mesurer les pertes potentielles, voire inefficaces si ces portefeuilles impliquent des contreparties non cycliques. Deuxièmement, le risque systématique peut provenir de plusieurs sources ; le modèle actuel à un facteur empêche la répercussion propre des chocs « macro ».Nous proposons un stress test spécifique de crédit qui permet d’appréhender le risque spécifique de crédit d’un portefeuille concentré, et un stress test spécifique de liquidité qui permet de mesurer l’impact des chocs spécifiques de liquidité sur la solvabilité de la banque. Nous proposons aussi une généralisation multifactorielle de la fonction d’évaluation du capital réglementaire en IRB, qui permet d’appliquer les chocs des macro-stress tests sur chaque portefeuille sectoriel, en stressant de façon claire, précise et transparente les facteurs de risque systématique l’impactant. Cette méthodologie permet une répercussion propre de ces chocs sur la probabilité de défaut conditionnelle des contreparties de ces portefeuilles et donc une meilleure évaluation de la charge en capital de la banque. / Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank.