La première partie de cette thèse est consacrée aux problématiques liées à la modélisation markovienne de la courbe de variance forward. Elle est divisée en 3 chapitres. Dans le premier chapitre, nous présentons le cadre général de la modélisation de type HJM-Markov pour la courbe de variance forward. Nous revisitons le cadre affine-markovien modélisation et nous l'illustrons par l'exemple du modèle de Bühler. Dans le deuxième chapitre, nous proposons un nouveau modèle pour la courbe de variance forward qui combine les caractéristiques des deux versions (continue et discrète) du modèle de Bergomi 2008, sans se réduire ni à l'une ni à l'autre. Un des avantages de ce modèle est que les prix des futures et options sur VIX peuvent être exprimés comme des espérances de fonctions déterministes d'une variable aléatoire gaussienne, ce qui réduit le problème de la calibration à l'inversion de certaines fonctions monotones. Dans le troisième chapitre, on propose une méthode d'approximation pour les prix d'options européennes dans des modèles à volatilité stochastique de type multi-factoriels lognormal (comprenant le modèle présenté dans le deuxième chapitre, les modèles de Bergomi et le modèle de Scot 1987). Nous obtenons un développement d'ordre 3 de la densité du sous-jacent par rapport au paramètre de la volatilité de la volatilité. Nous présentons aussi une méthode de réduction de variance de type "variable de contrôle" pour la simulation par la méthode de Monte-Carlo qui utilise l'approximation explicite que nous obtenons de la fonction de répartition de la loi du sous-jacent. La deuxième partie de cette thèse est consacrée à l'étude des propriétés de monotonie des prix d'options européennes par rapport aux paramètres du CIR dans le modèle de Heston. Elle est divisée en deux chapitres. Dans le premier chapitre (cf. chapitre 4), nous donnons quelques résultats généraux sur le processus CIR. Nous montrons d'abord que les queues de distribution d'une combinaison du CIR et de sa moyenne arithmétique se comportent comme des exponentielles. Nous étudions ensuite les dérivées de la solution de ce processus par rapport aux paramètres de sa dynamique. Ces dérivées sont données comme solutions d'équations différentielles stochastiques, qu'on résout pour obtenir des représentations de ces dérivées en fonction des trajectoires du CIR. Le chapitre 5 est consacré à l'étude de la monotonie du prix d'un Put européen par rapport aux paramètres du CIR et à la corrélation dans le modèle de Heston. Nous montrons que, sous certaines conditions, les prix d’options européennes sont monotones par rapport aux paramètres du drift du CIR. Nous montrons ensuite que le paramètre de la volatilité de la volatilité joue le rôle de la volatilité si on prend la variance réalisée comme sous-jacent. En particulier, les prix d'options convexes sur la variance réalisée sont strictement croissants par rapport à la volatilité de la volatilité. Enfin, nous étudions la monotonie du prix du Put européen par rapport à la corrélation. Nous montrons que le prix du put du Put est croissant par rapport à la corrélation pour les petites valeurs du Spot et décroissant pour les grandes valeurs. Nous étudions ensuite les points de changement de monotonie pour les courtes et longues maturités / The first part of this thesis deals with issues related to the Markov-modeling of the forward variance curve. It is divided into 3 chapters. In the first chapter, we present the general framework of the HJM-type modelling for the forward variance curve. We revisit the Affine-Markov framework, and illustrate by the model proposed by B"uhler 2006. In the second chapter, we propose a new model for the forward variance curve that combines features of the continuous and discrete version of Bergomi's model model Bergomi (2008), without being reduced to either of them. One of the strengths of this model is that the prices of VIX futures and options can be expressed as expectations of deterministic functions of a Gaussian random variable, which reduces the problem of calibration to the inversion of some monotonic functions. In the third chapter, we propose an approximation method for pricing of European options under some lognormal stochastic volatility models (including the model presented in the second chapter, Bergomi's model2008 and Scot model 1987). We obtain an expansion (with respect to the the volatility of volatility parameters of order 3) of the density of the underlying. We also propose a control variate method to effectively reduce variances of Monte Carlo simulations for pricing European optionsThe purpose of the second part of this thesis is to study the monotonicity properties of the prices of European options with respect to the CIR parameters under Heston model. It is divided into two chapters. In the first chapter (see Chapter 4), we give some general results related to the CIR process. We first show that the distribution tails of a combination of the CIR and its arithmetic mean behave as exponential. We then study the derivatives of the solution process with respect to the parameters of its dynamics. These data are derived as solutions of stochastic differential equations, which solves for the representations of these derivatives based on trajectories of the CIR. Chapter 5 is devoted to the study of the monotony of the European price of a put with respect to parameters of CIR and correlation in the Heston model. We show that under certain conditions, prices of European options are monotonic with respect to the parameters of the drift of the CIR. We then show that the parameter of the volatility of volatility plays the role of volatility if we take the realized variance as the underlying. In particular, prices of (convex) options on realized variance are strictly increasing with respect to the volatility of volatility. Finally, we study the monotony of the European Put prices with respect to the correlation. We show that the price of the put is increasing with respect to the correlation for small values ​​of Spot and decreasing for large values. We then study the change points of monotonicity for short and long maturities

Cette thèse présente dans un premier temps l’histoire récente et les enjeux de l’économie et du système financier indien. Puis, en se concentrant la période récente, elle étudie la question de l’intégration financière sur différents marchés : les marchés actions sont traités dans le 1er chapitre, les spreads des CDS indiens sont abordés dans 2nd chapitre et la relation entre les prix des matières premières et la politique monétaire est analysée dans le 3e chapitre. Enfin, le dernier chapitre pose la question de savoir si un secteur bancaire plus efficient peut aider l’économie indienne à sortir de la crise. Globalement, les résultats indiquent que les marchés étudiés sont plus intégrés depuis la crise, ce qui suggère une fragilité du secteur financier indien aux chocs extérieurs. Néanmoins, les résultats du chapitre 4 montrent, dans le cadre d’un modèle simple, que le système financier peut aussi permettre à l’économie indienne de surmonter ses déboires actuels, s’il l’on y implémente les réformes adéquates et que la productivité des banques est améliorée. / This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are analyzed in the 2nd chapter while the 3rd chapter focuses on the monetary policy-commodity prices nexus. Finally, the last chapter reflects on the ability of the banking system to help the country out of the current crisis. Overall, our results indicate that markets are more integrated since the crisis, which suggest a frailty of the Indian financial structure to exterior shocks. Nevertheless, results for chapter 4 show that the financial system could also allow the economy to recover if the proper reforms are implemented and that banking efficiency is improved.

Die vorliegende Dissertation ist in drei Themenblöcke unterteilt. Im Mittelpunkt des ersten Themenblocks steht die vergleichende Analyse der Fondsregulierung in den USA und Deutschland/der EU in Bezug auf Derivate und Verschuldung vor, während und nach der Finanzkrise 2007-2009. Ziel ist es, anhand der Darstellung der geltenden Regulierung und ihrer Anwendbarkeit auf die hypothetische Nutzung von Credit Default Swaps (CDS) durch Anleihefonds, aufzuzeigen, wie viel Flexibilität Fonds in beiden Ländern haben. Insgesamt ist der aus der Fondsregulierung erwachsende Spielraum im Hinblick auf den Einsatz von Derivaten und Verschuldung für Fonds in beiden Ländern hoch, so dass Fonds unbeobachtet ihre Zusammensetzung in Richtung risikoreicherer Kapitalanlagen lenken könnten. Der zweite Themenblock beschäftigt sich empirisch mit der Frage, in wie weit Fonds ihre Flexibilität tatsächlich ausnutzen. Als Erstes wird dabei untersucht, wie hoch das Verlustpotential der größten Fonds in den USA und Deutschland aus CDS ist. Ferner wird analysiert, ob Fondskommentare in Jahres- und Halbjahresberichten bezogen auf deren Nutzung von CDS mit den tatsächlichen CDS-Beständen konsistent sind. Basierend auf den Resultaten ist es zu empfehlen, nicht nur bestehende Regeln im Hinblick auf die spekulative Anwendung von Derivaten angemessen zu verschärfen, sondern auch die Publizitätspflichten in beiden Ländern weiter zu standardisieren. Unter Heranziehung umfangreicher Fondscharakteristika, insbesondere Managercharakteristika, untersucht der dritte Themenblock, was die Entscheidung der US Anleihefonds CDS zu benutzen, deren Nutzung zu erweitern sowie die Nutzungsweise beeinflusst. Ferner werden die exakten Typen von CDS, die von Anleihefonds gehalten werden, wie z. B. long oder short CDS, die sich auf Einzelnamen oder Gruppen von Titeln beziehen, aufgezeigt. / The thesis consists of three parts. The first part analyzes the regulation at the time surrounding the 2007-2009 financial crisis and after with respect to leverage and derivative holdings for mutual funds in the U.S. and Germany/the EU. After presenting a detailed overview of U.S. and German/European regulations, this study thoroughly compares the levels of flexibility funds have in both countries. All analyses reveal that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using derivatives up to the point at which it is possible for them to default solely due to investments in derivatives. This makes the issue of regulation highly relevant for the public and regulators. The second part builds upon the first and empirically investigates the level of credit derivatives use by funds together with their communication toward investors. Firstly, the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds is analyzed. Secondly, it is investigated whether comments on CDS use contained in periodic fund reports are consistent with the disclosed CDS holdings. Based on the results, it seems advisable that regulators in both countries tighten rules restricting the speculative use of derivatives by funds to a reasonable level, as well as implement more standardized disclosure policies. The third part analyzes what determines whether U.S. corporate bond funds decide to use CDS in a particular period between mid-2004 to 2010, to which extent they use them and how, by relying on various fund characteristics including an extended set of manager variables. In addition, the types of various credit derivatives that funds use (e.g. long and short CDS on single-name or multi-name underlying positions) are presented. The results suggest that the characteristics of fund managers affect a fund’s risk taking via derivatives, in addition to fund fundamentals.

Made available in DSpace on 2016-04-25T18:40:38Z (GMT). No. of bitstreams: 1 Pedro Carlos Payan.pdf: 5505672 bytes, checksum: f581d36a76f7ed1bfa5464e4ec091617 (MD5) Previous issue date: 2009-05-11 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Companies can use derivative instruments for covering risks. With the use of these instruments the problems appear in the measurement, accounting, and the disclosures. This project s objective based on a case study is to analyze the Derivative Instrument (Foreign Exchange Swap) as the countable theory and international norms of the FASB, IASB and Brazilian Norms. The Brazilian Norms are published by the CPC and together these norms are the make up of the CVM. This case study demonstrated the process of the operation, the criteria for the measurement, as well as the accounting aspect. The reasons behind this project are first, the significant volume in the transactions of Swap at the end of 2008, which reached R$ 12,6 billion. Second the risk involving these operations, the difficulty encountered by accounting for the recognition, measurement and disclosure. The collected data applied from the systems of calculations and evaluations of the instruments are then compared to the collected data reported by the company. There are no significant differences in these calculations except having discrepancy in the use of accounts, which results in the registration in Swap Accounting. Three situations dealing with assets were compared by the Derivatives Instrument: a) traditionally for the curve of the paper: the financial accounts and results of the period are affected; b) recording the marking to market without hedge accounting: it showed different balances in the item accounts; c) recording the marking to market with hedge accounting: there were alterations in the result of the period, in the financial accounts and in the total shareholder s equity / As empresas podem utilizar instrumentos derivativos para cobertura de riscos. Na utilização destes instrumentos surgem os problemas para a mensuração, contabilização e divulgação. Este trabalho tem por objetivo, através de um estudo de caso, analisar o instrumento derivativo swap cambial à luz da teoria contábil e normas internacionais do FASB, IASB e normas brasileiras publicadas pelo CPC, juntamente com os pareceres normativos da CVM. O estudo de caso demonstrou os procedimentos desta operação, os critérios para mensuração bem como sua contabilização. O tema deste trabalho tem sua justificativa, primeiramente pelo volume expressivo das operações de swap, que ao final de 2008, atingiu R$ 12.6 bilhões e também pelo risco envolvendo estas operações e a dificuldade encontrada pela Contabilidade para o reconhecimento, mensuração e evidenciação. Foram pesquisados sistemas de cálculos e de avaliação deste instrumento e aplicados aos dados coletados comparando-se com os registrados pela empresa. Não houve diferenças significativas nos cálculos, havendo apenas divergência na utilização de contas de resultado para o registro da contabilização do swap. Compararam-se três situações patrimoniais na contabilização do instrumento: a) contabilizados tradicionalmente pela curva do papel: afetaram as contas de financiamentos e resultados do período; b) contabilizados com marcação a mercado sem hedge contábil: apresentaram saldos diferentes nas contas do item a; c) contabilizados com marcação a mercado e com hedge contábil: houve alterações do resultado do período, nas contas de financiamentos e no total do grupo do Patrimônio Líquido

L’objet de cette thèse est de déterminer la nature et le régime d’un contrat financier appelé "equity swaps".L’equity swap est un contrat bilatéral qui permet à l’une des parties d’acquérir la propriété économique d’actions indiquées par les parties. Ces actions sont appelées « actions sous-jacentes ». Elles ne forment pas l’objet des obligations du contrat. Ce dernier ne donne naissance qu’à des dettes de valeur. C’est la nature particulière de ces obligations qui permet de rattacher les equity swaps à la catégorie des contrats financiers.Les actions sous-jacentes constituent donc le support des valeurs que chacune des parties s’engagent réciproquement à se payer. Ces valeurs représentent la propriété économique des actions sous-jacentes. Cette notion permet de distinguer les equity swaps des autres contrats financiers.La propriété économique répliquée par l’equity swap est toutefois source d’incertitudes. L’equity swap ne donne certes lieu à aucun transfert de propriété et aucune des parties n’est tenue de détenir les actions sous-jacentes. Mais un actionnaire peut conclure un equity swap afin de transférer la propriété économique de ses actions. En outre les equity swaps sont souvent utilisés par les investisseurs afin d’acquérir de façon occulte les actions de sociétés cotées. Bref, les parties à un equity swap n’ont pas toujours des motivations purement financières. La détermination du régime des equity swaps commande donc de s’interroger sur les conditions d’application du droit des sociétés et du droit boursier.Enfin, en tant que contrat financier, l’equity swap est censé être régi par la réglementation financière. Cette dernière était toutefois largement inadaptée aux contrats financiers. Elle doit être repensée. / The purpose of this study is to qualify and, consequently to specify the governing laws applicable to a derivative called “equity swap”.Equity swap is a bilateral contract which allows one of the parties to acquire economic ownership of some shares indicated by the parties. Those shares are called “underlying shares”. They are not due to be delivered by the parties. The parties to an equity swap are only due to pay to each other cash amounts representing values of the underlying shares. That is these very particular obligations which enable to qualify the equity swaps as derivatives.Thus, the underlying shares are used in order to calculate those cash amount so that they represent the economic ownership of the underlying shares. That is the reason why equity swaps are an original kind of derivatives.The economic ownership created by the equity swaps results in some legal uncertainty. Equity swap do not provide for assignment of legal ownership. And none of the parties is due to be the legal owner of the underlying shares. But a shareholder may enter into an equity swap in order to transfer the economic ownership of its shares and equity swaps are often used by investors in order to acquire hidden ownership in listed companies. In other words, parties do not enter into equity swaps for financial purpose only. Determining the laws applicable to the equity swaps requires to analyze companies law and stock exchange law.At last, as a derivative the equity swap is supposed to be governed by financial regulation. This regulation does not fit with derivatives. It needs to be specified.

The paper is concerned with counterparty credit risk management for credit default swaps in the presence of default contagion. In particular, we study the impact of default contagion on credit value adjustments such as the BCCVA (Bilateral Collateralized Credit Value Adjustment) of Brigo et al. 2012 and on the performance of various collateralization strategies. We use the incomplete-information model of Frey and Schmidt (2012) as vehicle for our analysis. We find that taking contagion effects into account is important for the effectiveness of the strategy and we derive refined collateralization strategies to account for contagion effects. (authors' abstract) / Series: Research Report Series / Department of Statistics and Mathematics

Universiẗat, Diss.--Linz, 2007.

Submitted by Fabio Tirolli de Sousa (fabio.tirolli@gmail.com) on 2016-09-02T18:26:37Z No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514163 bytes, checksum: cc43a0b3c95a6cd7176653b05d122953 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Fabio, boa tarde Por gentileza, nas páginas que constam seu nome, deve estar completo. Referente ao título, houve solicitação de alteração? Pois em ata e no protocolo o título é: SWAPS DE VARIÂNCIA NO MERCADO BRASILEIRO DE AÇÕES: VIABILIDADE DE TRADING Se não houve tal solicitação, deverá retornar o trabalho para o título inicial. Em seguida realizar uma nova submissão. Grata, Renata. on 2016-09-02T18:34:16Z (GMT) / Submitted by Fabio Tirolli de Sousa (fabio.tirolli@gmail.com) on 2016-09-02T19:20:50Z No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514608 bytes, checksum: 0eb56c70fbb454f0f8fa254456f6431e (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-09-05T17:19:44Z (GMT) No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514608 bytes, checksum: 0eb56c70fbb454f0f8fa254456f6431e (MD5) / Made available in DSpace on 2016-09-05T17:25:08Z (GMT). No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514608 bytes, checksum: 0eb56c70fbb454f0f8fa254456f6431e (MD5) Previous issue date: 2016-08-10 / Nos últimos anos, o uso da volatilidade como uma classe de ativo tem ganhado relevância para investidores e gestores de portfólios, e a maneira mais eficaz de se obter proteção ou exposição pura a esse instrumento é através dos derivativos de volatilidade. No entanto, no Brasil, ainda não temos contratos específicos para esses derivativos, sendo uma das principais razões para isto a baixa liquidez no mercado de opções, dado que as opções são os ativos essenciais para se estabelecer um portfólio replicante. O objetivo deste trabalho é apresentar um modelo para encontrar oportunidades de arbitragem estatística entre a variância implícita e a variância realizada das ações preferencias (PN) da Petrobras (PETR4). Assim que uma oportunidade é identificada durante o período de backtesting, para implementar a operação, compramos ou vendemos um contrato logarítmico (variância implícita) sob o ativo-objeto e utilizamos uma estratégia de replicação dinâmica deste contrato log para capturar a variância realizada do ativo-objeto. Veremos que essa dinâmica replica o payoff de um swap de variância. Os resultados obtidos durante o período de backtesting, considerando os custos de transação, demonstram que é possível gerar retornos atrativos. / In recent years, the use of volatility as an asset class has gained relevance for investors and portfolio managers, and the most effective way to get protection or pure exposure to this asset is through the volatility derivatives. However, in Brazil, we still have no specific contracts for these derivatives, and one of the main reasons for that is the low liquidity in the options market, since the options are critical assets to establish a replicating portfolio. The main purpose of this paper is to present a model to find out statistical arbitrage opportunities between the implied variance and the realized variance on the Petrobras preferred shares (PETR4). As soon as an opportunity is identified during the backtesting period, to implement the deal, we buy or sell a logarithmic contract (implied variance) of the underlying asset and then we use a dynamic replication strategy of this log contract to capture the underlying asset realized variance. We will see that this dynamics replicates the payoff of a variance swap. The results obtained during the backtesting period, considering the transaction costs, show that it is possible to generate attractive returns.

Submitted by Renata Junqueira (repajunqueira@hotmail.com) on 2016-09-12T19:57:23Z No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-09-21T14:11:27Z (GMT) No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-09-23T17:12:07Z (GMT) No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Made available in DSpace on 2016-09-23T17:12:24Z (GMT). No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) Previous issue date: 2016-08-29 / This paper uses an econometric model and identifies the relation between the perception of mining company Vale S.A.’s credit risk, measured by Credit Default Swap (CDS), and earnings surprises, measured by the difference between reported earnings per share (EPS) and EPS expected by market analysts. Conclusion is that a surprise in earning announcement significantly impacts Vale’s CDS and negative surprises tend to have higher influence than positive ones. Results suggest caution upon announcing future goals, since maintaining market expectations at reasonable levels could prevent sudden increases in funding costs. / Neste trabalho, é utilizado um modelo econométrico reduzido a fim de identificar a relação entre a percepção de risco de crédito da empresa mineradora Vale S.A., medida pelo Credit Default Swap (CDS), e a surpresa na divulgação de resultado, medida pela diferença entre o lucro por ação divulgado e o esperado pelos analistas de mercado. Conclui-se que uma surpresa no anúncio do resultado influencia significativamente o CDS da Vale e as surpresas negativas têm influência maior que as positivas. Os resultados sugerem cautela no anúncio de metas futuras, uma vez que a manutenção das expectativas de mercado em patamares moderados ajuda a evitar aumentos súbitos no custo de captação.

Submitted by Rodrigo Botelho (rodrigobotelho@gmail.com) on 2013-01-15T13:24:36Z No. of bitstreams: 1 Tese Mestrado_RodrigoBotelho.pdf: 783241 bytes, checksum: 6ac3257d172dff384fca0c601e146aa4 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2013-01-15T14:50:33Z (GMT) No. of bitstreams: 1 Tese Mestrado_RodrigoBotelho.pdf: 783241 bytes, checksum: 6ac3257d172dff384fca0c601e146aa4 (MD5) / Made available in DSpace on 2013-02-04T16:52:43Z (GMT). No. of bitstreams: 1 Tese Mestrado_RodrigoBotelho.pdf: 783241 bytes, checksum: 6ac3257d172dff384fca0c601e146aa4 (MD5) Previous issue date: 2013-11-27 / This paper explores the sovereign default due to the structure of Credit Default Swap spreads. These spreads show the default probability of a country. The methodology proposed in this paper applied for Argentina, Korea, Ecuador, Indonesia, Mexico, Peru, Turkey, Ukraine, Venezuela and Rússia. We could show that a single factor model following a lognormal process captures the probability of default. We also show that the macro economic variables like inflation, unemployment e growth do not explain the dependent variable of this study. Each country responds differently to the economic crisis that leads to don’t honor their commitments debts. / Este trabalho explora a realização de default soberano em função da estrutura de spreads de CDS (Credit Default Swap). Pode-se dizer que os spreads revelam a probabilidade de default de um país. Aplicamos a metodologia proposta neste trabalho para Argentina, Coreia, Equador, Indonésia, México, Peru, Turquia, Ucrânia, Venezuela e Rússia. Nós mostramos que um modelo de um único fator seguindo um processo lognormal captura a probabilidade de default. Também mostramos que as variáveis macro econômicas inflação, desemprego e crescimento não explicam a variável dependente do estudo (probabilidade de default). Cada país reage de maneira diferente a crise econômica que a leva a não honrar seus compromissos com as dívidas contraídas.