Thesis (Ph. D.)--University of Texas at Austin, 2005. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of California, San Diego, 2002. / Vita. Includes bibliographical references (leaves 268-289).

O principal objetivo deste trabalho é construir um modelo de cálculo de risco de crédito que considere efeitos de contágio microeconômico entre os tomadores de um portfólio. Considera-se que tais efeitos ocorrem sob estruturas de relações econômicas que são representadas por realizações de grafos aleatórios com topologias préviamente estabelecidas. Nesse sentido, podemos considerar efeitos de contágio microeconômico em um portfólio que modela, por exemplo, uma cadeia ou um centro produtivo (topologia fixas de cadeia ou centro) onde as relações de dependências propriamente ditas são estocásticas. O principal resultado consistirá em obter a distribuição de perdas do portfólio cuja incerteza reside tanto sobre o estado de default do tomador como nas realizações de contágio microeconômicos que induzem demais defaults. / The main objective of this work is to construct a model of calculation of credit risk that considers contagion effects microeconomic among the debtor of a portfolio. It is considered that such effects happen under structures of economical relationships that it are represented by accomplishments of random graphs with topologies previously established. In this sense we can to consider effects of infection microeconomics in a portfolio that it models, for instance, a chain or a productive center (topology fixed of chain or center) where the relationships of dependences are stochastics. The main result will consist of obtaining the distribution of losses of the portfolio whose uncertainty lives on the state of default of the debtor as in the accomplishments of contagion microeconomics that induce other defaults.

Credit Default Swaps (CDS) instruments - as an indicator of credit risk - were one of the most prominent innovations in financial engineering. Very limited literature existed on the drivers of CDS spreads before the financial crisis due to the opacity of this market and its lack of transparency. First, this thesis investigates the drivers of CDS spread in the UK banking sector, by considering the role of the housing market, over the period of 2004-2011. I find that, in the long-run, house price dynamics were the main factor contributing to wider CDS spreads. In addition, I show that a rise in stock prices lead to higher availability of capital and therefore increased bank borrowing activities, which led to lower credit risk. Furthermore, findings show that with higher aggregate bank liquidity, banks tend to grant more loans to low-income consumers, thus increasing bank credit risk. In addition, in the short-run, I employ the Structural VAR by imposing short-run restrictions to identify the five shocks arising from the CDS spread, the house price index, the yield spread, the TED spread, and the FTSE100. The SVAR findings indicate that a positive shock to house prices significantly increases the CDS spread in the medium-term, in the UK banking sector. In addition, apart from its own shock, the house price shock explains a big part of the variance (nearly 20%) in CDS spread. These results remained robust even after changing the ordering of the variables in the Structural VAR. Second, considering the bank-level factors across 30 countries and 115 banks, I find most significant bank-level drivers of the CDS spread were asset quality, liquidity and the operations income ratio. As such, banks with better asset quality, high levels of liquidity and operations income ratio were subject to lower CDS spreads and credit risk. Furthermore, larger banks were found to be more risky than smaller banks. We have conducted the U-test and our results indicate the presence of a U-shape relationship between bank size and bank CDS spread. It should be noted that in order to ensure that our results are robust, we used several estimation frameworks, including the FE, RE and alternative Generalized Method of Moments (GMM) approaches, which all prove the existence of a U-shape relationship between the CDS spread and bank size. In addition, we find a threshold level of bank size, which shows that banks growing beyond this point are subject to wider CDS spreads. Finally, I consider the difference in financial systems at country-level and regulatory structures at bank-level, in a panel setting, over the period of 2004-2011. At country-level, my findings directly link financial deepening to higher credit risk, reflecting a sign of credit bubble. Besides, at bank-level, I confirm my previous findings whereby asset quality, liquidity and operations income remain significant drivers of the CDS spread.

The aim of this study is to evaluate the risk-return efficiency of credit policies for managing portfolio credit risk of banking institutions. The focus of the empirical analysis is on the impact of risk pricing and problem loan restructuring on bank risk and returns using a simulation model that represents an operating environment of lenders servicing the Australian farm sector. Insurance theory principles and agency relationships between a borrower and a lender are integrated into the portfolio theory framework. The portfolio theory framework is then couched in terms of the capital budgeting approach to generate a portfolio return distribution function for a particular credit policy regime. Borrowers are segmented by region, industry, loan maturity and credit risk class. Each credit risk class defines risk constraints on which a stochastic simulation model may be developed for credit scoring an average borrower in a portfolio segment. The stochastic simulation method is then used to generate loan security returns for a particular credit policy regime through time with loan return outcomes weighted by the number of borrowers in a segment to give measures of portfolio performance. Stochastic dominance efficiency criteria are used to choose between distributions of NPV of bank returns measured for a number of credit policy alternatives. The findings suggest that banks servicing the Australian farm sector will earn more profit without additional portfolio risk if the maximum limit to which pricing accounts for default risk in loan reviews is positively linked to volatility of gross incomes of farm business borrowers. Importantly, credit-underwriting standards must also be formulated so as to procure farm business borrowers of above average productivity with loans that are fully secured using fixed assets. The results of simulations also suggest that restructuring loans in event of borrower default provide for large benefits compared to a �no restructuring� option.

The aim of this study is to evaluate the risk-return efficiency of credit policies for managing portfolio credit risk of banking institutions. The focus of the empirical analysis is on the impact of risk pricing and problem loan restructuring on bank risk and returns using a simulation model that represents an operating environment of lenders servicing the Australian farm sector. Insurance theory principles and agency relationships between a borrower and a lender are integrated into the portfolio theory framework. The portfolio theory framework is then couched in terms of the capital budgeting approach to generate a portfolio return distribution function for a particular credit policy regime. Borrowers are segmented by region, industry, loan maturity and credit risk class. Each credit risk class defines risk constraints on which a stochastic simulation model may be developed for credit scoring an average borrower in a portfolio segment. The stochastic simulation method is then used to generate loan security returns for a particular credit policy regime through time with loan return outcomes weighted by the number of borrowers in a segment to give measures of portfolio performance. Stochastic dominance efficiency criteria are used to choose between distributions of NPV of bank returns measured for a number of credit policy alternatives. The findings suggest that banks servicing the Australian farm sector will earn more profit without additional portfolio risk if the maximum limit to which pricing accounts for default risk in loan reviews is positively linked to volatility of gross incomes of farm business borrowers. Importantly, credit-underwriting standards must also be formulated so as to procure farm business borrowers of above average productivity with loans that are fully secured using fixed assets. The results of simulations also suggest that restructuring loans in event of borrower default provide for large benefits compared to a �no restructuring� option.

O principal objetivo deste trabalho é construir um modelo de cálculo de risco de crédito que considere efeitos de contágio microeconômico entre os tomadores de um portfólio. Considera-se que tais efeitos ocorrem sob estruturas de relações econômicas que são representadas por realizações de grafos aleatórios com topologias préviamente estabelecidas. Nesse sentido, podemos considerar efeitos de contágio microeconômico em um portfólio que modela, por exemplo, uma cadeia ou um centro produtivo (topologia fixas de cadeia ou centro) onde as relações de dependências propriamente ditas são estocásticas. O principal resultado consistirá em obter a distribuição de perdas do portfólio cuja incerteza reside tanto sobre o estado de default do tomador como nas realizações de contágio microeconômicos que induzem demais defaults. / The main objective of this work is to construct a model of calculation of credit risk that considers contagion effects microeconomic among the debtor of a portfolio. It is considered that such effects happen under structures of economical relationships that it are represented by accomplishments of random graphs with topologies previously established. In this sense we can to consider effects of infection microeconomics in a portfolio that it models, for instance, a chain or a productive center (topology fixed of chain or center) where the relationships of dependences are stochastics. The main result will consist of obtaining the distribution of losses of the portfolio whose uncertainty lives on the state of default of the debtor as in the accomplishments of contagion microeconomics that induce other defaults.

The recent U.S. subprime mortgage crisis rapidly spread throughout the world and put the global financial system under extraordinary pressure. The main implication of the recent crisis is that complex banking regulations failed to adequately identify and limit riskiness of banking systems at both domestic and international levels. In spite of a large empirical literature on the causes and remedies of the recent crisis, there remains substantial uncertainty on (i) how risk measuring models performed during crisis, (ii) how systematic factors such as house prices affected the financial system, and (iii) how effectively government policy responses resolved the financial crisis. This thesis seeks to narrow this gap in the literature by offering three empirical essays. The first essay investigates the performance of alternative parametric VaR models in forecasting riskiness of international equity portfolios. Notably, alternative univariate VaR models are compared to multivariate conditional volatility models with special focus given to conditional correlation models. Conditional correlation models include the constant conditional correlation (CCC), dynamic conditional correlation (DCC), and asymmetric DCC (ADCC) models. Various criteria are then applied for backtesting VaR models and to evaluate their one-day-ahead forecasting ability in a wide range of countries and during different global financial conditions. It is found that most VaR models have satisfactory performance with small number of violations during pre-crisis period. However, the number of violations, mean deviation of violations, and maximum deviation of violations dramatically increase during crisis period. Furthermore, portfolio models incur lower number of violations compared to univariate models while DCC and ADCC models perform better than CCC models during crisis period. From risk management perspective, most single index models fail to pass Basel criteria for internal VaR models during crisis period, whereas empirical evidence on the choice between CCC, DCC, and ADCC models is mixed. The recent crisis also raised serious concerns about factors that can systematically destabilise the whole banking system. In particular, the collapse of house prices in the United States triggered the recent subprime mortgage crisis, which was associated with a sharp increase in the number of nonperforming loans and bank failures. This in turn demonstrates the key role that house prices play in systematically undermining the whole banking system. The second essay investigates the determinants of nonperforming loans (NPL) with a special focus on house price fluctuations as a key systematic factor. Using a panel of U.S. banking institutions from 1999 to 2012, the analysis is carried out across different loan categories, different types of banks, and different bank size. It is found that house price fluctuations have a significant impact on the evolution of nonperforming loans, while the magnitude of their impact varies across loan categories, institution types, and between large and small banks. Also, the impact of house price fluctuations on nonperforming loans is more pronounced during crisis period. The last essay of this thesis investigates the effectiveness of the U.S. government strategy to combat the crisis. As a comprehensive response to the recent financial crisis, the US government created the Troubled Asset Relief Program (TARP). The Capital Purchase Program (CPP) was launched as an initial program under the TARP. The CPP was designed to purchase preferred stocks or equity warrants from viable financial institutions. Using a large panel of the U.S. commercial banks over the period 2007Q1 to 2012Q4, survival analysis is used to investigate the impact of TARP funds on the likelihood of survival in the recipient banks. It is found that larger recipient banks are more likely to avoid regulatory closure, while receiving capital assistance does not effectively help banks to avoid technical failure. This implies that governmental capital assistance serves larger banks much better than their smaller counterparts. In addition, TARP recipients are more likely to be acquired, regardless of their size and financial health. In summary, the empirical findings reveal that capital infusions do not enhance the survival likelihood of the recipient banking institutions.

The main goal of thesis is to give explanation of credit insurance process. Theoretical unit describes potential risks in the international and domestic trade and instruments by which these risks can be eliminated or reduced. The practical part is focus on the service of credit insurance as an effective tool to ensure against the risk. On the case study is calculated by using Net Present Value dependence on the size of discount rate, size of insured loss and date of insurance claim. In the final part of the thesis author take a think of what extent are credit insurance companies responsible for the deepening of economic recession.

This thesis is about the credit default swap market and its development from the moment of its origin to the present. The focus is on the peripheral countries of eurozone, especially on Greece. The first part of the thesis is about the characteristics of CDS contracts, settlement of contracts and the relationship between CDS and insurance contracts. The other parts of the thesis are about the crisis in Greece, the CDS on sovereign greek bonds and the credit event. The last part of the thesis is about CDS on other sovereign bonds of peripheral countries in eurozone which are Spain, Italy and Portugal.