[pt] O mercado brasileiro de energia elétrica é composto basicamente de matrizes hidroelétricas e termoelétricas, sendo que seu fornecimento pode ser contratado em dois ambientes, um de contratação regulamentada e outro livre. Dessa forma o apreçamento da energia é algo complexo e com incertezas, pois seu modelo leva em consideração comportamentos de afluências futuras, além de estimar a utilização de termoelétricas, que possuem fontes de energia mais caras. No Brasil, existem quatro submercados que podem ter preços divergentes. Algumas comercializadoras se utilizam dessa diferença buscando aferir ganhos extraordinários fazendo Swaps. Essa operação consiste em compra e venda de uma mesma quantidade de energia com liquidação fixada em uma determinada data com o preço à vista entre diferentes submercados. Essas empresas utilizam medidas de otimização de carteiras e controle de risco para fazerem operações ótimas, onde há maior probabilidade de maximizar o lucro, tendo o prejuízo máximo sob controle. Esse trabalho tem como objetivo encontrar a carteira de Swaps de energia que maximiza a medida Ômega, usada como avaliador de desempenho, tendo uma expectativa de lucro e com uma restrição de risco com um limite para o Conditional Value at Risk (CVaR), assim auxiliando as comercializadoras a maximizarem seu lucro não ultrapassando seu limite de risco. O estudo levou em consideração valores de previsão reais feitos por modelos fornecidos por órgãos especializados, levando em consideração os dados para os anos de 2012 e 2013 sendo estudadas todas as combinações possíveis de Swaps para a composição da carteira ótima para cada um dos anos estudados. A carteira ótima foi encontrada, no entanto, pode-se concluir que sua composição varia de acordo com os dados simulados não existindo assim uma carteira ótima única devendo essa ser calculada caso a caso. / [en] The Brazilian energy market is composed basically by hydroelectric and thermoelectric energy sources, which can be contracted in two different environments, one regulated and the other free. In this way, the pricing of energy is something complex and uncertain, because its model takes in consideration the behavior of future water affluences, besides estimating the more expensive thermal units. In Brazil, there are four submarkets that have diverging prices and some traders use this difference to reach extraordinary gains by entering into Swap operations. This operation consists of buying and selling a same amount of energy with its liquidation fixed at pre-determined date, at a spot price between different submarkets. These companies use portfolio optimization and risk management methods to reach optimal operations, in which there is a greater probability of maximizing profits, while measuring risk. This study aim to find the portfolio of Swaps that`s maximize the Omega measurement as the performance measurement, has a estimated profit and uses the conditional Value at Risk (CVaR) as the restriction for the risk that can be taken. Its objective is to help traders maximize their profit without exceeding their risk limit. The study took in consideration values from real previsions made by models provided by specialized agencies, taking in consideration all the data for the years of 2012 and 2013, with all the combinations of Swaps being studied. The optimal portfolio was achieved in both cases however, it`s possible to conclude that this composition varies according the input data, not existing thereby a unique optimal portfolio should that be calculated by case.

The credit derivatives market has known an incredible development since its advent in the 1990's. Today there is a plethora of credit derivatives going from the simplest ones, credit default swaps (CDS), to more complex ones such as synthetic single-tranche collateralized debt obligations. Valuing this rich panel of products involves modeling credit risk. For this purpose, two main approaches have been explored and proposed since 1976. The first approach is the Structural approach, first proposed by Merton in 1976, following the work of Black-Scholes for pricing stock options. This approach relies in the capital structure of a firm to model its probability of default. The other approach is called the Reduced-form approach or the hazard rate approach. It is pioneered by Duffie, Lando, Jarrow among others. The main thesis in this approach is that default should be modeled as a jump process. The objective of this work is to value Asset-backed Credit default swaps using the hazard rate approach.

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.

無匯率風險之跨通貨股權交換是新型態的衍生性金融商品,投資人可用此從事跨國投資,而不承擔匯率風險.本文立基於Dravid,Richardson and Sun(1993), Amin and Bodurhta(1995), 及Lin(1997), 首次推導間斷時間,可計算之無匯率風險下跨通貨單向及雙向股權交換之評價模型.在現金流量法之下,股價指數及匯率的隨機過程設定為lognormal process,利率則跟隨HJM模型.文中發現影響無匯率風險之跨通貨股權交換價格的主要變數為股價指數的波動度,外國股價指數與匯率間的相關性,以及兩國利率差距,與匯率的波動度無關.最後,以三個例子說明此新型態金融工具之運作情形. 1. Preliminary....................................................................................................................................................................1 1.1 Background...............................................................................................................................................................1 1.2 Brief Literature Review on the Pricing of Equity Swaps...........................................................................................3 1.3 The Aim of This Study.............................................................................................................................................4 1.4 Chapter Outline and Results......................................................................................................................................5 2.Introduction to Equity Swaps..........................................................................................................................................7 2.1 Basic Equity Swaps...................................................................................................................................................7 2.2 Variants of Baisc Equity Swaps...............................................................................................................................11 2.3 International Investment Environments....................................................................................................................12 2.4 Cross-Currency Equity Swaps.................................................................................................................................14 3. Literature Review...........................................................................................................................................................19 3.1 Marshall,Sorensen, and Tucker(1992)......................................................................................................................19 3.2 Rich(1995)................................................................................................................................................................20 3.3 Jarrow and Turnbull(1996).......................................................................................................................................22 3.4 Lin(1997)..................................................................................................................................................................25 3.5 Chance and Rich(1998).............................................................................................................................................27 4. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Constant Interest Rates.........35 5. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Stochastic Interest Rates.......43 6. Valuation of Cross-Currency One-Way Equity Swaps Without Currency Risks..........................................................55 7. Case Study......................................................................................................................................................................61 7.1 Case One...................................................................................................................................................................61 7.2 Case Two..................................................................................................................................................................63 7.3 Case Three.................................................................................................................................................................64 8. Conclusions...................................................................................................................................................................67 Appendixes........................................................................................................................................................................69 References .........................................................................................................................................................................92 / Based on Dravid,Richardson, and Sun(1993), Amin and Bodurtha(1995), and Lin(1997), this thesis first derives the computable discrete-time pricing formulas for the cross-currency one-way and two-way equity swaps without currency risks, which are exotic financial derivatives used for cross-border investments without the exchange rate exposure. Under the cash flow approach, equity indexes and the exchange rate are modeled by the lognormal processes, and the interest rate processes follow the HJM model. The swap price is shown to depend on the volatilities of equity indexes, the interaction between the foreign equity index and the exchange rate, as well as the interest rate differential of two countries. It does ont depend on the volatility of the exchange rate. Finally, three cases illustrate the usage of these two exotic financial instruments.

財務工程的主要目的，在於將金融工具與金融市場上所發生的問題，予以 更合理更適切的解決；而金融創新的用意，在於提高金融機構對整體經濟 波動的競爭力。因此，若能將財務工程的技巧與觀念應用在金融工具的創 新與改良上，對於造就出一個熱絡與公平交易的金融環境境而言，或許多 少能產生某些助益。如今，金融機構面對利差縮小的傳統業務，以及日益 競爭的金融環境，金融創新乃成為時勢之所趨。透過新金融產品的開發與 推廣，不但可促進市場效率性的達成、金融業務的拓展，對於金融市場避 險方式，也將另有一番新的詮釋。本文循序的說明了金融市場中行之有年 的金融期貨、選擇權、交換交易，以及其衍生出來的金融商品：期貨選擇 權、交換選擇權…等金融工具的應用與特性。尤其對CBOT於1991年所推出 的利率交換期貨與利率交換期貨選擇權合約的應用，更是詳述有加。雖然 該商品的創新立意甚佳，但在實際的交易上卻未臻完善(利率交換期貨選 擇權自1991年8月起開始交易，三個月後就下市了；利率交換期貨的交易 也在一年後壽終正寢）。即使如此，本文也就其在市場上交易的實際資料 做實證分析。本文使用大量的表格將有關文獻做一整理；並利用許多的圖 形表達出各種金融工具的報償形式；以便於對各種金融商品的特性能一目 了然。 / Financial Engineering, which solves the problems in the fin- ancial market and financial tools and makes them reasonable. Financial Innovation, which increases the competences of the financial institutions within the volitity macroeconomy. Use the skills and ideas of the financial engineering to financial innovations,we can make a more efficiency and complete financial markets. My study describes the details of Financial Futures、Options、 Swaps and other derive products:Options on Futures and Swaptions , then introduces the new financial tools: Interest Rate Swap Futures and Options on Interest Rate Swap Futures.The Swap Futures and the Options on Swap Futures are the new contracts of CBOT ,which trade from 1991. They are failed trade in the market, but they offer a example for financial innovations. Now, we want to make Taipei to become a international finan- cial center, we have to cancel the financial regulations and develop the new financial tools. This study is a simple test. graphs、tables and formulas applied.

In a firm level matched sample of 499 firms we examine the information flow between stocks and the credit default swap (CDSs) over a period of January 2004 to December 2008. Our study confirms the general findings of previous studies that the information generally flows from equity market to CDS market. However, for a much smaller number of firms we also find that information also flows from the CDS to its stock. A major advantage of our sample period is that it allows us to examine the information flow before and during the crisis. This paper makes two contributions. We document that the firms for which the information flows from the CDS to its stock increases by almost tenfold during the crisis. The current crisis is often referred as a credit crisis, so this finding is consistent with what is expected of CDSs. The major contribution of this paper is that it identifies the firm specific factors that influence the information flow across the two markets. We show that characteristics such as asset size, profitability, and industry, amongst others, play an important role in determining information flow.

Credit Default Swaps have become a large part of financial markets and recently the center of debate between academics and regulators alike. Transferring the techniques to measure information flow between the CDS market and stock markets presented by Acharya and Johnson (2007), this paper looks at the relationship between a countries sovereign CDS spread level and its predominate stock exchange. Under the back drop of the Greek Credit Crisis in Spring of 2010 I measure contagion effects in the Euro Zone comparing the level of Granger causality significance between the stock and CDS market. I find that the greatest information flow from the CDS market to the stock market is during credit shocks or times of high credit distress. My results also point to the significance of the contagion effect in the CDS market but not in the stock market.

In a firm level matched sample of 499 firms we examine the information flow between stocks and the credit default swap (CDSs) over a period of January 2004 to December 2008. Our study confirms the general findings of previous studies that the information generally flows from equity market to CDS market. However, for a much smaller number of firms we also find that information also flows from the CDS to its stock. A major advantage of our sample period is that it allows us to examine the information flow before and during the crisis. This paper makes two contributions. We document that the firms for which the information flows from the CDS to its stock increases by almost tenfold during the crisis. The current crisis is often referred as a credit crisis, so this finding is consistent with what is expected of CDSs. The major contribution of this paper is that it identifies the firm specific factors that influence the information flow across the two markets. We show that characteristics such as asset size, profitability, and industry, amongst others, play an important role in determining information flow.

Inflation indexed instruments are designed to help protect investors against the changes in the general level of prices. So, they are frequently preferred by investors and they have become increasingly developing part of the market. In this study, firstly, the HJM model and foreign currency analogy used to price of inflation indexed instruments are investigated. Then, the HJM model is extended with finite number of Poisson process. Finally, under the extended HJM model, a pricing derivation of inflation indexed swaps, which are the most liquid ones among inflation indexed instruments in the market, is given.

信用衍生性商品於近十年來已快速發展，為反映信用風險管理的迫切需求，本篇論文將以實證的方式探討信用衍生性市場。尤其著重在信用違約交換市場，因其佔信用衍生性市場的交易量高達45％。本篇論文分別討論以下二個議題：第一個議題乃在探討股票報酬率的峰態係數與信用違約交換報酬率的關係。第二個議題乃著重探討拉丁美洲國家的信用違約交換對阿根廷事件的反應。 / The development of credit derivatives in the past decade has brought about pronounced innovations in the markets. To reflect dramatic demand in managing credit risk, this thesis dedicates to the empirical world of credit derivatives markets. We especially focus on Credit Default Swaps (CDS) market due to its most widely trading in credit derivatives markets, capturing almost 45% of the market shares. This thesis encompasses two essays related to CDS. In the first essay, we attempt to extend empirical explanation of CDS premiums by considering the excess kurtosis of equity return distribution. As well, we show how copula functions can be applied to specify both the dependence structure and the tail relationship between CDS return and kurtosis of equity distribution. We contribute to the better specification of the dependence structure between the CDS return and the corresponding kurtosis, and provide an illustration of its implication which may be misled using conventional methods. In the second essay, we turn to focus on CDS in emerging markets. Thereby, further policy-oriented applications for governments can be extra induced. We empirically study the correlated default at sovereign level in Latin America region due to the eruption of Argentina debt crisis in 2001. A comprehensive understanding of correlated default at sovereign level is of critical importance in several respects. From the government and IMF point of views, the comovement in sovereign credit default swaps can serve as one of the leading indicators of financial crises. From the perspectives of mutual funds and banks, correlated movement which exists in sovereign CDS spreads is regarded as one of the measures of country risk premium. The findings and the associated methodology can provide useful insights not only to policymakers but also to whoever is interested in credit derivatives markets, particularly in emerging markets. From the methodology point of view, applying a copula method to identify the contagion corresponds to the arguments from Bae et. al. (2003) and Dungey and Tambakis (2003), the further challenge is to develop a model for capturing the nonlinear property.