Выпускная квалификационная работа (магистерская диссертация) посвящена анализу международных межбанковских расчетов на современном этапе. Предмет исследования – экономические отношения, возникающие в процессе проведения международных межбанковских расчетов. Основной целью магистерской диссертации является изучение понятий, характеристик, структур и классификаций межбанковских расчетов. Выявление по результатам анализа основных проблем в осуществлении международных расчетов В заключении обозначены рекомендации по совершенствованию проведения международных расчетных операций. / Final qualifying work (master's thesis) is devoted to the analysis of international interbank settlements at the present stage. Subject of research – economic relations arising in the process of international interbank settlements. The main purpose of the master's thesis is to study the concepts, characteristics, structures and classifications of interbank settlements. Based on the results of the analysis of the main problems in the implementation of international payments in conclusion, recommendations for improving the conduct of international settlement operations are outlined.

Научная новизна исследования заключается в следующем. Уточнено понятие «финансовое сотрудничество» в контексте российско-китайских торгово-экономических отношений. Систематизированы основные направления финансового сотрудничества между Россией и Китаем, в том числе в приграничных территориях Дальнего Востока, выявлены проблемы и перспективы развития. Практическая значимость исследования заключается в выявлении недостатков и перспектив развития финансового сотрудничества, аналитические аспекты которых могут быть использованы в деятельности российских и китайских организаций, осуществляющих двухсторонние финансово-экономические операции. / The scientific novelty of the study is as follows. The concept of "financial cooperation" in the context of Russian-Chinese trade and economic relations has been clarified. The main directions of financial cooperation between Russia and China, including in the border territories of the Far East, are systematized, problems and prospects for development are identified. The practical significance of the study is to identify the shortcomings and prospects for the development of financial cooperation, the analytical aspects of which can be used in the activities of Russian and Chinese organizations engaged in bilateral financial and economic transactions.

<p>The aim of this thesis is to study the role of banking in society and the effect of the</p> <p>interbank market on the performance of the banking system.</p> <p>It starts by reviewing</p> <p>several studies conducted on empirical banking networks and highlighting their salient</p> <p>features in the context of modern network theory. A simulated network resembling the</p> <p>characteristics documented in the empirical studies is then built and its resilience is</p> <p>analyzed with a particular emphasis in documenting the crucial role played by highly</p> <p>interconnected banks.</p> <p>It is our belief that the study of systemic risk and contagion in a banking system</p> <p>is an integral part to the study of the economic role of banks themselves. Thus the</p> <p>current work focuses on the fundamentals of banking and aims at identifying the</p> <p>necessary drivers for a dynamical setup of the interbank market.</p> <p>Through an agent–based model, we address the issues of bank formation, bank runs</p> <p>and the emergence of an interbank market. Starting with heterogeneous individuals,</p> <p>bank formation is viewed as an emergent phenomenon arising to meet the needs for</p> <p>investment opportunities in face of uncertain liquidity preferences. When banks work</p> <p>in isolation (no interbank market), in the long run and through a long experience with</p> <p>bank failures, banking turns into a monopoly or a market with few players.</p> <p>By equipping banks with their own learning tools and allowing an interbank market</p> <p>to develop, fewer bank failures and a less concentrated banking system are witnessed.</p> <p>In addition, through a scenario analysis, it is demonstrated that allowing banks to</p> <p>interact does not weaken the banking system in almost all the cases, and improves</p> <p>the performance on multiple occasions.</p> <p>The work is concluded by studying the effects of a banking system on individuals</p> <p>and the economy in what is called social measures. We establish that the effects</p> <p>of banking on social measures such as consumption level, consumption inequality</p> <p>between individuals, long term investment and economic waste, varies significantly</p> <p>based on the structure of the society.</p> / Doctor of Philosophy (PhD)

Este estudo contempla dois ensaios em finanças quantitativas, relacionados, respectivamente, a modelos de apreçamento e risco sistêmico. No Capitulo 1, e apresentado uma alternativa para modelar opções multidimensionais, cujas estruturas de ganhos e perdas dependam das trajetórias dos processos dos preços dos ativos objetos. A modelagem sugerida considera os processos de Levy, uma classe de processos estocásticos bastante ampla, que permite a existência de saltos (descontinuidades) no processo dos preços dos ativos financeiros, e tem como caso particular o movimento Browniano. Para escrever a dependência entre os processos, os conceitos estáticos de copulas ordinárias são estendidos para o contexto dos processos de Levy, levando em consideração a medida de Levy, que caracteriza o comportamento dos saltos. São realizados estudos comparativos entre as copulas dinâmicas de Clayton e de Frank, no apreçamento dos contratos derivativos do tipo asiático, utilizando-se processos gama e técnicas de simulação de Monte Carlo. No Capitulo 2, a estrutura e dinâmica interbancária das exposições mutuas entre as instituições financeiras no Brasil e explorada bem como o capital destas reservas, utilizando um conjunto de dados únicos que considera vários períodos entre 2007 e 2008. Para isto e mostrado que a rede de exposições pode ser modelada adequadamente como um gráfico estocástico dirigido de escala - livre (ponderada) seguindo distribuições que apresentam caudas grossas. A relação entre as conexões das instituições financeiras e seu colchão-de-capital também são investigados neste estudo. Finalmente, a estrutura da rede e usada para explorar a extensão de risco sistêmico gerada no sistema individualmente pelas instituições financeiras. / This study comprises two essays in quantitative finance, related, respectively, to models in asset pricing and systemic risk. In Chapter 1, it is presented an alternative to modeling multidimensional options, where the pay-offs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Levy processes, a very ample class of stochastic processes that allows the existence of jumps (discontinuities) in the price process of financial assets, and as a particular case, comprises the Brownian motion. To describe the dependence among Levy processes, extending the static concepts of the ordinary copulas to the Levy processes context, considering the Levy measure, which characterizes the jumps behavior of these processes. A comparison between the Clayton and the Frank dynamic copulas and their impact in asset pricing of Asian type derivatives contracts is studied, considering gamma processes and Monte Carlo simulation procedures. In Chapter 2, the structure and dynamics of interbank exposures in Brazil using a unique data set of all mutual exposures of financial institutions in Brazil is explored, as well as their capital reserves, at various periods in 2007 and 2008. It is shown that the network of exposures can be adequately modeled as a directed scale-free (weighted) graph with heavy-tailed degree and weight distributions. The relation between connectivity of a financial institution and its capital buffer are also investigated in this study. Finally, the network structure is used to explore the extent of systemic risk generated in the system by the individual institutions.

由於銀行準備金比率為受貨幣政策機制影響的重要變數之一，但目前並無針對台灣進行的實證研究，因此本文的研究重點著重於探討台灣的銀行準備金比率受不同變數因子的影響。本研究採用的解釋變數有央行的重貼現利率、製造業的工業生產指數、加權法定準備率、壞帳比率、存放款利差、3年期政府公債殖利率、落後一期拆款利率及代表拆款市場重大變革時點的虛擬變數。樣本主要採用由中央銀行統計資料庫及 TEJ 資料庫所蒐集之月資料，採用期間為 1995 年 6 月至 2014 年 7 月，並且使用 OLS 模型進行實證分析。實證結果發現，製造業的工業生產指數及落後一期拆款利率為負向顯著，而 1995年8月的虛擬變數為正向顯著。 / The purpose of the study was focused on the impact of Taiwan banks' reserve ratio by different variable factors, since the banks' reserve ratio was one of the important variables affected by monetary policy mechanism, however, there was no empirical research carried out for Taiwan currently. The explanatory variables used in the study has the discount rate, the index of industrial production of the manufacturing sector, the weighted statutory reserve ratio, the ratio of bad debts, deposit and loan spreads, 3-year government bond yields, the call rate that one year lags and the dummy variables of representatives major changes in interbank call loan market. This study obtained monthly samples from the central bank's statistical databases and TEJ database mainly, the period was during June 1995 to July 2014, and then OLS model was used to analyze. The results revealed that the index of industrial production of the manufacturing sector and the call rate that one year lags has a negative and significant effect on banks' reserve ratio, while the dummy variables of August 1995 has a positive and significant effect.

本研究旨在說明資本適足率對於銀行業資訊傳遞效果之影響，利用Allen and Gale (2000)模型討論在不完整市場結構下，銀行間因為持有銀行同業存款而形成相連的傳染途徑，進而影響整個系統，本研究擴展Allen and Gale (2000)的模型，加入資本適足率的考量，從而進一步探討透過資本適足要求能否有效提高銀行整體穩定性。 模型假設因為不同區域對於早、晚期消費需求不同，可藉由區域間的資源移轉，來達到最適分配情況。隨著資本適足率的納入，將改變最適分配解，同時分析緩衝(buffer)、擴散效果(spillover effect)及傳染(contagion)的變化。文中傳染定義為擴散效果扣除緩衝力道的淨結果，並說明若有超額流動性消費需求衝擊時，一家銀行的倒閉將如何傳染至整個銀行體系。 此研究發現，在資本適足規定下，若長期資產報酬率越大，會更有機會取得較大的緩衝能力，但將面對較大的擴散效果。關於傳染現象，則是發覺當銀行同業存款越小，在資本適足規定下的傳染機會越低；若長期資產的早期報酬率越大，同樣可降低發生傳染現象機率，即驗證資本適足率對於銀行穩定性的貢獻。 / The objective of this study is to testify the effect of capital requirement with regard to information transmission among banks. We develop a model based on Allen and Gale (2000) to discuss that under incomplete market structure, contagion channel is built because of interbank deposits market. We also expand Allen and Gale’s model by putting new parameter, capital requirement, into this model to analyze the impact of capital requirement with respect to stability in banking system. Due to different liquidity demands at each date in different regions, banks can exchange resources in the system to reach the first-best allocation. With capital requirement, the first-best allocation varies and so does buffer, spillover effect and contagion. In this article, contagion is defined as the net result of spillover effect minus buffer. Besides, we explain how the bankruptcy in one region evolves into the bankruptcy in the whole system under excess demand for liquidity. We find out that with capital requirement, if return of long-term asset at final date is higher, there will be more chances to have more buffers but larger spillover effect. As for contagion, it shows that with lower interbank deposits or higher return of long-term asset at early date, the possibility of contagion will be reduced. As a result, we can conclude that capital requirement really improves the stability in banking system.

L'obiettivo della tesi è lo sviluppo e nell'analisi di un modello macro-finanziario con aspetti reali e finanziari dell'economia, nell'ottica di ottenere un quadro comprensivo per l'analisi del rischio sistemico e delle instabilità. Il primo capitolo verte sulla costruzione di un modello ad agenti che si caratterizza per la presenza del mercato dei beni, del credito, del lavoro e interbancario. Il modello riproduce fluttuazioni endogene ed è in grado di replicare alcuni fatti stilizzati riguardanti i cicli economici e creditizi, mentre il mercato interbancario ha un ruolo importante dal punto di vista della stabilità e dell'efficienza. In particolare la regolazione prudenziale combinata con le aspettative adattive può esacerbare il comportamento precauzionale delle banche durante una recessione, inducendo a trattenere liquidità anche le banche solide. Inoltre la connettività del mercato interbancario ha un duplice effetto: da un lato favorisce l'accesso al credito nell'economia reale, dall'altro accresce l'accumulo di liquidità. Il secondo capitolo si concentra su un insieme di esperimenti condotti tramite il modello precedentemente sviluppato. Lo scopo è di confrontare tra loro politiche macro-prudenziali in cui le banche sono soggette a requisiti minimi di capitale derivati da misure di rischio sistemico. Nello specifico gli indicatori di rischio sistemico sono suddivisi in misure di mercato e di rete. Ogni categoria è ulteriormente scomposta in misure di vulnerabilità e misure di impatto. I risultati rivelano che le politiche costruite su indicatori di vulnerabilità sono migliori di quelle basate sull'impatto, dato che riducono i fallimenti da contagio senza peggiorare la performance macroeconomica. / The purpose of the thesis is to develop and analyse a macro-financial model with real and financial aspects of the economy to obtain a comprehensive framework for the analysis of systemic risk and instabilities. The first chapter concerns the construction of an agent-based-model, whose characteristic is the presence of goods, credit, labour and interbank markets. The model reproduces endogenous business cycles and it is able to replicate some stylized facts about business and credit cycles, while the interbank market has an important role for stability and efficiency. In particular prudential regulation, combined with adaptive expectations can exacerbate the precautionary behaviour of banks during a recession, inducing liquidity hoarding by sound banks. Furthermore connectivity of the interbank market has a twofold effect: on one side it supports credit to the real economy, on the other it increases liquidity hoarding. The second chapter is focused on a set of policy experiments performed performed on the model previously developed. The aim is to compare different macroprudential policies where banks are subject to minimum capital requirements derived from systemic risk measures. In detail systemic risk indicators are divided in market-based and network based measures. Each class is further decomposed in measures of vulnerability and measures of impact. The results reveal that policies based on vulnerability indicators perform better than those based on impact, reducing contagious defaults without worsening the macroeconomic performance.

Este estudo contempla dois ensaios em finanças quantitativas, relacionados, respectivamente, a modelos de apreçamento e risco sistêmico. No Capitulo 1, e apresentado uma alternativa para modelar opções multidimensionais, cujas estruturas de ganhos e perdas dependam das trajetórias dos processos dos preços dos ativos objetos. A modelagem sugerida considera os processos de Levy, uma classe de processos estocásticos bastante ampla, que permite a existência de saltos (descontinuidades) no processo dos preços dos ativos financeiros, e tem como caso particular o movimento Browniano. Para escrever a dependência entre os processos, os conceitos estáticos de copulas ordinárias são estendidos para o contexto dos processos de Levy, levando em consideração a medida de Levy, que caracteriza o comportamento dos saltos. São realizados estudos comparativos entre as copulas dinâmicas de Clayton e de Frank, no apreçamento dos contratos derivativos do tipo asiático, utilizando-se processos gama e técnicas de simulação de Monte Carlo. No Capitulo 2, a estrutura e dinâmica interbancária das exposições mutuas entre as instituições financeiras no Brasil e explorada bem como o capital destas reservas, utilizando um conjunto de dados únicos que considera vários períodos entre 2007 e 2008. Para isto e mostrado que a rede de exposições pode ser modelada adequadamente como um gráfico estocástico dirigido de escala - livre (ponderada) seguindo distribuições que apresentam caudas grossas. A relação entre as conexões das instituições financeiras e seu colchão-de-capital também são investigados neste estudo. Finalmente, a estrutura da rede e usada para explorar a extensão de risco sistêmico gerada no sistema individualmente pelas instituições financeiras. / This study comprises two essays in quantitative finance, related, respectively, to models in asset pricing and systemic risk. In Chapter 1, it is presented an alternative to modeling multidimensional options, where the pay-offs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Levy processes, a very ample class of stochastic processes that allows the existence of jumps (discontinuities) in the price process of financial assets, and as a particular case, comprises the Brownian motion. To describe the dependence among Levy processes, extending the static concepts of the ordinary copulas to the Levy processes context, considering the Levy measure, which characterizes the jumps behavior of these processes. A comparison between the Clayton and the Frank dynamic copulas and their impact in asset pricing of Asian type derivatives contracts is studied, considering gamma processes and Monte Carlo simulation procedures. In Chapter 2, the structure and dynamics of interbank exposures in Brazil using a unique data set of all mutual exposures of financial institutions in Brazil is explored, as well as their capital reserves, at various periods in 2007 and 2008. It is shown that the network of exposures can be adequately modeled as a directed scale-free (weighted) graph with heavy-tailed degree and weight distributions. The relation between connectivity of a financial institution and its capital buffer are also investigated in this study. Finally, the network structure is used to explore the extent of systemic risk generated in the system by the individual institutions.

Диссертация посвящена повышению клиентоориентированности коммерческих банков в условиях нестабильной внешней среды. Рассмотрены теоретические аспекты лояльности и клиентоориентированности, проведено исследование маркетинговых инструментов, направленных на достижение поставленной цели. Также разработан проект с применением инструментов бережливого производства. В ходе исследования был создан поэтапный алгоритм, объединивший все составляющие для реализации истинно клиентоориентированного подхода в организации. / The dissertation is devoted to increasing the customer focus of commercial banks in an unstable environment. The theoretical aspects of loyalty and customer focus are considered, a study of marketing tools aimed at achieving this goal is carried out. A project using lean manufacturing tools was also developed. During the study, a phased algorithm was created that combined all the components for implementing a truly customer-oriented approach in the organization.

Il y a quatre chapitres dans cette thèse.Dans le premier chapitre, nous analysons les intéractions entre le marché interbancaire et le risque de défaut souverain dans un modèle d’équilibre général à deux pays, en focalisant sur la transmission de la crise financière récente et la politique monétaire non conventionnelle.Dans le deuxième chapitre, les effets de la dévaluation fiscale sur les indicateurs macroéconomiques et le bien être sont analysés en utilisant un modèle à deux pays en union monétaire o`u les variétés de biens et le commerce sont endogènes.Dans le troisième chapitre, l’impact du facteur démographique sur la croissance du secteur des services à long terme est mis en exergue.Dans le quatrième chapitre, on étudie les effets de la mobilité des travailleurs et de la mobilité du capital dans une union monétaire. / This thesis studies challenges for modern developped economies, including the structural change toward services, population ageing, weak labor mobility in the EMU and unconventional monetary policies after the 2008 financial crisis. The manuscript is divided into four chapters.In the first chapter, we analyze the interaction between interbank markets and default risk using a two-country dynamic general equilibrium model, with a focus on the transmission of the recent financial crisis and unconventional monetary policies.In the second chapter, we investigate the effects of fiscal devaluations on key macroeconomic aggregates and welfare using a two-country monetary-union model with endogenous varieties and endogenous tradability.In the third chapter, we study the impact of demographic factor and the growth of service sector by using a multi-sectoral OLG model, and effectuate counterfactual experiments in which the annual growth rate of young generation is ±1pp than the actual growth rate.In the fourth chapter, we study the potential interactions between financial integration and labor mobility in a currency union facing asymmetric shocks, and simulate the impacts of 2008 financial crisis under different mobility costs.