Cette thèse s’intéresse à la gestion du risque climatique par l’utilisation des produits dérivés climatiques. Les travaux réalisés dans le cadre de cette thèse sont une contribution aux aspects statistiques, économétriques et financiers de la modélisation et de l'évaluation des produits dérivés climatiques. Un intérêt particulier a été accordé au contexte marocain aussi bien au niveau du volet qualitatif que quantitatif. En plus des développements théoriques que nous avons apportés (tests statistiques pour vérifier l’impact du climat sur l’économie, amélioration d’un modèle de prévision de la température moyenne quotidienne, confirmation du choix de la température moyenne, au lieu des températures extrêmes, comme sous-jacent pour les contrats basés sur la température, etc.), nous avons proposé des cas de gestion entre opérateurs économiques marocains exerçant des activités sensibles à l’aléa climatique avec des profils de risque différents en leur apportant des solutions de couverture basées sur l’utilisation de produits dérivés climatiques. / This thesis focuses on the weather risk management by using weather derivatives. The work done in this thesis is a contribution to statistics, econometric and financial aspects of the modeling and the evaluation of weather derivatives. Particular attention was paid to the Moroccan context both in a qualitative point of view. In additionto theoretical developments that we have made (statistical tests to verify the impact of weather conditions on the economy, improvement of a model to forecast daily average temperatures, confirming the choice of the average temperature instead of extreme temperatures as the preferred under lying for contracts based on temperature, etc.), we also proposed case studies with Moroccan economic actors carrying out their weather sensitive activities and having different risk profiles and we provide them hedging solutions based on the use of weather derivatives.

Die vorliegende Dissertation besteht aus drei Kapiteln über die Investmentfonds. Das erste Kapitel befasst sich mit der Rolle der Fondsmanager in der Bilanzverschönerung. Auf Basis der Analyse der Karrierewege von amerikanischen Fondsmanagern werden signifikante zusammenwirkende Manager-Fixed-Effects identifiziert, die nach der Kontrolle der endogenen Matching-Probleme immer noch robust sind. Die geschätzten Manager-Fixed-Effects haben signifikante Einflüsse auf die Out-of-Sample-Vorhersagen. Außerdem wird festgestellt, dass die Verriegelungen der Investmentfonds, die von gemeinsamen Managern verwaltet wurden, wichtige Kanäle für die Bilanzverschönerung verursachen. Das zweite Kapitel beschäftigt sich mit den Investmentstrategien der Fonds im Hinblick auf die Nutzung von Credit Default Swaps (CDS). Die Zuordnung der CDS-Positionen der Investmentfonds zu ihrem Bestandportfolio bietet eine neue Methodik zur Identifizierung der CDS-Strategien und kompensiert somit die Analysen der existierenden Literatur auf der Makroebene. Die Ergebnisse zeigen, dass die Anreize zur Risikoreduzierung die Spekulationsanreize dominieren, insbesondere, wenn die Kreditexposition durch ungedeckte Leerverkäufe der CDS-Verträge erhöht wird. Die erfahrenen Fondsmanager tendieren dazu, mehr Kreditrisiko in Kauf zu nehmen, während es für die Fondsmanagerinnen wahrscheinlicher als für ihre männlichen Kollegen ist, gegen das bestehende Risiko abzusichern. Der letzte Teil nimmt die Pleite von Lehman Brothers unter die Lupe, um sich mit der daraus resultierenden unerwarteten Schließung der CDS-Positionen als einem natürlichen Experiment auseinanderzusetzten. Diese Studie dient zur Untersuchung der Risiko- und Leistungsimplikationen der CDS-Investments der Fonds. Die Investmentfonds besitzen bei ihren CDS-Transaktionen im Durchschnitt einen beachtlichen Teil Extremrisiko. Während die CDS-Nutzer von guten Gesamtmarktlagen profitieren, erleiden sie unter Verlusten bei geclusterten Ausfällen. / This dissertation comprises of three chapters on mutual funds. The first chapter establishes the role of managers in the deceptive practice of window dressing. Employing comprehensive career history of U.S. mutual fund managers, I find strong jointly significant manager fixed effects, which are robust after addressing endogenous matching concerns. The estimated manager fixed effects are significant in making out-of-sample predictions. Further I establish that mutual fund interlocks through common managers are important channels that spread window dressing. The second chapter studies the investment strategies of mutual funds regarding their use of credit default swaps (CDS). Matches between mutual funds’ CDS positions and their underlying portfolio in the holdings facilitate a new approach in identifying CDS strategies that complements the “macro” level analyses in the existing literature. I find risk reducing incentives are dominated by speculative incentives, especially those to increase credit exposure via naked short CDS contracts. Experienced fund managers tend to take on more credit risk, while female managers are more likely to hedge comparing with their male peers. The third chapter employs the collapse of Lehman Brothers and the resulting sudden closures of CDS positions as a natural experiment to examine the risk and performance implications of mutual funds’ CDS investments. Funds on average load up on a significant amount of tail risk by trading CDS. While CDS users benefit when market conditions are favorable, they suffer during periods of clustered defaults.

L’acquisition de paramètres physiques tels que la température, la pression, le couple et la vitesse est nécessaire aux systèmes aéronautiques critiques afin d’atteindre et d’assurer les performances requises de disponibilité et de sécurité de fonctionnement. L’acquisition de ces paramètres physiques nécessite donc la mise en oeuvre de technologies et de techniques hautement éprouvées pouvant supporter les conditions de fonctionnement sévères.L'objectif des travaux présentés dans ce mémoire est de proposer une nouvelle architecture de chaîne d'acquisition de grandeurs physiques pour être intégrée à un système aéronautique critique. Le but de cette architecture est d'améliorer l'intégrité des données mesurées tout en maintenant leur disponibilité et le niveau de sûreté de fonctionnement propre aux systèmes aéronautiques de haute criticité. La solution se déploie sous la forme d'une amélioration de la tolérance aux défauts de la chaîne de traitement du signal issu du capteur. Pour ce faire, nous intégrons des fonctions supplémentaires, dont le modèle mathématique de la chaîne d'acquisition, rendant ainsi le système plus intelligent.Dans le cadre de nos travaux de recherche, nous nous appuyons sur les spécifications techniques d'un projet industriel typique des systèmes aéronautiques critiques, qui est le coeur de notre thématique principale. / The acquisition of physical parameters as such as temperature, pressure, torque, and speed are necessary to flight critical systems in order to reach and ensure safety and availability required. Consequently, it requires implementing high technologies and techniques which are able to work in rugged environments.The aim of our work is to design a new architecture for sensor acquisition systems in order to be integrated onto a flight critical system. The goal of the architecture is to ensure data integrity, system's availability and safety relative to airborne critical systems. The solution adds the fault tolerance ability to the signal conditioning. Consequently, we implement additional functionalities, as such as mathematical model of the signal conditioning, in order to make the acquisition system more intelligent.Our research work is partially based on technical specifications from SYRENA project, which is a typical example of flight critical systems, which is the main thematic of our purpose.

This diploma thesis deals with the legal regulation of derivatives contracts with respect to their economic nature. It provides a detailed view on the legislation regulating derivatives contracts in the legal order of the Czech Republic. Considering the interconnection of local derivatives markets, this diploma thesis pays attention to the legal regulation and standardization of derivatives contracts in foreign countries and at the international level. The first part of this thesis describes basic features of derivatives and proposes their typology. The aim of the following part is to evaluate the contemporary legal regulation of derivatives contracts in the Czech Republic. The rest of this thesis elaborates on foreign and international legal regulation of derivatives contracts. The main goal of this diploma thesis is to evaluate present the state of the regulation of derivatives contracts in the Czech Republic, asses to what degree it reflects their economic nature, and eventually, propose legal changes.

The main aim of this diploma thesis is to analyze benefits of the establishment of the European Rating Agency. The partial aim is to determine the influence of the credit ratings on economics situation in selected European countries and to analyze problems of current credit rating industry. A slight impact of the credit ratings on the observed countries has been found by way of the analysis of evolution of the yields of ten-year government bonds and the prices of CDS contracts on these bonds. Non-perfect competition, weak transparency of the rating process and conflict of interest are considered as the most important problems of the credit rating agencies. By way of the analysis of the ability of the European Rating Agency to remove or at least to partially eliminate discussed problems has been found that the European Rating Agency would not be able to remove all problems of the credit rating industry. The uncertainty about the independence of the European Rating Agency is the biggest weakness of this agency. For this reason, we can't expect that the European Rating Agency would be able to make the credit rating process more efficient and improve the situation in the credit rating industry.

The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. As a consequence, pre-crisis swap pricing methods are no longer valid. In light of this, the purpose of this thesis is to apply a framework to the Swedish swap market that is able to consistently price interest rate and cross currency swaps in the presence of non-negligible cross currency basis spreads, and to investigate the pricing differences arising from the use and type of collat- eral. Through the implementation of a framework proposed by Fujii, Shimada and Takahashi (2010b), it is shown that the usage of collateral has a noticeable impact on the pricing. Ten year forward starting swaps are found to be priced at lower rates under collateral. Moreover, the results from pricing off-market swaps show that disregarding the impact of collateral would cause one to consistently underestimate the change in value of a contract, whether in or out of the money. The choice of collateral currency is also shown to matter, as pricing under SEK and USD as the collateral currencies yielded different results, in terms of constructed curves as well as in the pricing of spot starting, forward starting and off-market swaps. Based on the results from the pricing of off-market swaps, two scenarios are outlined that exemplify the importance of correct pricing methods when terminating and novating swaps. It is concluded that a market participant who fails to recognise the pricing implications from the usage and type of collateral could incur substantial losses. / Finanskrisens utbrott år 2007 orsakade abrupta förändringar i finansmarknaden. Räntor som tidigare följt varandra divergerade. Vidare gav både reglering av finansmarknaden och en ökad medvetenhet om motparters kreditrisk upphov till en tillväxt av kontrakt med ställda säkerheter. Följaktligen är det inte längre korrekt att prissätta swappar enligt metoder från tiden före finanskrisen. Mot bakgrund av detta är syftet med denna uppsats att applicera ett ramverk på den svenska swapmarknaden som på ett konsekvent sätt kan prissätta ränte- och valutaswappar med icke negligerbara räntespreadar, samt att undersöka prisskillnaderna som uppstår från användandet och typen av ställda säkerheter. Genom implementering av ett ramverk av Fujii, Shimada och Takahashi (2010b) visar denna studie att användandet av ställda säkerheter har en noterbar påverkan på prissättningen. Swappar med tio års löptider och framtida startdatum prissattes lägre när ställda säkerheter inkluderades i prissättningen. Vidare visar resultaten från prissättningen av off-market swappar att genom att bortse från effekten av ställda säkerheter så undervärderas ett kontrakts värdeförändring genomgående, oavsett om kontraktet är in the money eller out of the money. Valet av valuta på de ställda säkerheterna visade sig också spela roll, då prissättningen med SEK och USD som säkerhetsvalutor gav olika resultat i termer av konstruerade kurvor och i prissättning av spot-startande, framtida startande och off-market swappar. Baserat på resultaten ovan genererades två scenarion som påvisade vikten av en korrekt prissättningsmetod vid byte av motpart eller stängning av en swap. Härifrån dras slutsatsen att en marknadsaktör som inte inser vilken påverkan valet av ställda säkerheter har på prissättningen kan drabbas av betydande förluster.

隨著大陸地區的改革開放，在外資不斷湧入，經濟不斷成長的情況下，新金融商品在大陸之發展越來越茁壯；目前，大陸地區的新金融商品之發展，慢慢與國際接軌，朝金融多樣化的目標前進。本文分別列舉一個大陸地區的法人金融產品與個人理財產品為例，進行個案評價與分析。 在法人金融產品方面，本文以中國銀行發行的美元收匯保值方案為例，進行分析。此商品屬於換匯換利的一種，茲命名為區間利差匯率交換合約，並以cLFM為評價模型，配合參數化的校準方法，進行遠期利率的模擬。透過評價結果可知，雖然產品的條款設定較高的交換匯率，對投資人有利；但參考利率之走勢卻不利於投資人；因此，不論是投資人或機構法人購買此類商品時，應深入瞭解產品的條款與其涵義，從財務分析的角度思考購買產品的必要性。 在個人理財產品方面，本文以中國銀行發行的美元日進斗金商品為利，進行分析。本商品屬於組合式外幣存款的一種，以存入固定金額的外幣，做為本金；利息連動的部分，則係與歐元兌美元的每日多區間選擇權進行連動；投資人購買此商品除了可保本，更具有1%的保息效果。透過評價可知，由於條款設定較優，使得發行商的利潤較低，只有1.1996%的收益率，劣於同類型發行於台灣的產品。不過，大陸的地大物博、人口眾多，定期存款也高出台灣許多；故在早期，市場上同類型產品不多的情況下，發行商可靠著薄利多銷的方式，進行組合式外幣存款的銷售，藉由量的效果增加收益來源，並達到改善銀行外幣資產不足的目的。 目前，大陸地區出現結構型商品同質化嚴重的問題；因此，對我國的金融機構而言，若未來有意進軍大陸市場，應藉由我們已累積的金融服務經驗為基礎，在一片紅海市場中，從台灣經驗中建構出的藍海市場，朝亞太金融中心與籌資中心的目標前進。

Thesis is devoted to basic aspects of the reporting of financial derivatives. Mentioned is brief history and determination of term "derivative" from different points of view. Follows diversification of financial derivatives into groups. The main part is focused on reporting of fixed term contracts and options. Finally is described approach of International Financial Reporting Standards.

Recently, carbon dioxide injection into deep sea sediments has become one of the carbon dioxide mitigation methods since carbon dioxide hydrates are stable at the prevailing pressure and temperature conditions. The Black Sea, which is one of the major identified natural methane hydrate regions of the world, can be a good candidate for carbon dioxide storage in hydrate form. Injected carbon dioxide under the methane hydrate stability region will be in contact with methane hydrate which should be analyzed thoroughly in order to increase our understanding on the gaseous carbon dioxide and methane hydrate interaction. For the storage of huge amounts of CO2, geological structure must contain an impermeable barrier. In general such a barrier may consist of clay or salt. In this study, sealing efficiency of methane hydrate and long term fate of the CO2 disposal under the methane hydrate zone is investigated. In order to determine the interaction of CO2 and CH4 hydrate and the sealing efficiency of CH4 hydrate, experimental setup is prepared and various tests are performed including the CH4 hydrate formation in both bulk conditions and within sand particles, measurement of the permeability of unconsolidated sand particles that includes 30% and 50% methane hydrate saturations and injection of CO2 into the CH4 hydrate. Results of the experiments indicate that, presence of hydrate sharply decreases the permeability of the unconsolidated sand system and systems with hydrate saturations greater than 50% may act as an impermeable layer. Also, CO2-CH4 swap within the hydrate cages is observed at different experimental conditions. As a result of this study, it can be concluded that methane hydrate stability region in deep sea sediments would be a good alternative for the safe storage of CO2. Therefore, methane hydrate stability region in the Black Sea sediments can be considered for the disposal of CO2.

When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. Discrepancies from the theoretical relationship can be exploited by capital structure arbitrageurs. In our thesis we study the intertemporal relationship between sovereign CDS and stock index markets in East Asia during the period of 2007 – 2011. We detect a negative (by and large positive) relationship between the Asian CDS spreads and stock indexes (volatilities). Across the whole region the sovereign CDS market dominates the price discovery process. However, 4 out of 7 Asian countries (Japan, Korea, Malaysia and the Philippines) demonstrate a feedback effect. The stock markets of countries with higher credit spreads (Indonesia, the Philippines and Korea) appear to react more severely at heightened variance in the CDS market. When considered separately for turbulent vs. calm periods, we find that the lead-lag relationship between the Asian sovereign CDS and stock markets is not stable. Apart from that, both markets become more interrelated during periods of increased volatility. The dependency of Asian CDS spreads and stock indexes on the “fear index” detected in the frames of robustness check implies an integration of both markets into the global one. Therefore, while seeking for arbitrage opportunities in the respective Asian markets one should also take into account possible influences of broader global factors.