Couverture de risque | EPFL Graph Search

Une couverture de risque consiste à se protéger contre un risque -défini comme la probabilité mathématique qu'un dommage se produise- par des contrats d'assurance, des contrats de garantie, ou des contrats financiers permettant d'apporter un certain niveau de compensation. Cas de l'assurance Pour les risques courants, le contrat d'assurance prévoit une indemnité en cas de sinistre subi ou provoqué. Cas de la garantie Des formules de garantie: :sont souvent associées à des contrats de vente de biens et services, conformément aux dispositions légales, ou allant au-delà de celles-ci. :peuvent être mises par ailleurs pour protéger des créances (hypothèque, nantissement ou gage, caution...). Cas du risque de marché D'autres techniques existent pour se protéger face à un risque de nature économique ou financière. Notamment, en cas d'évolution défavorable possible sur le marché de la valeur d'un actif, d'un bien ou d'un simple indice représentatif. Par ex

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options markets in which option prices and bid-ask spreads are determined by the nonlinear risk imbalance between dealers and customers. In my model, dealers optimally exploit their market power and charge higher spreads for deep out-of-the-money (OTM) options, leading to an endogenous skew in both prices and spreads. In stark contrast to theories of price pressure in option markets, I show how wealth effects can make customers' net demand for options be negatively correlated with option prices. Under natural conditions, the skewness risk premium is positively correlated with the variance risk premium, consistent with the data. In the chapter titled "The Demand for Commodity Options", we develop a simple equilibrium model in which commercial hedgers, i.e., producers and consumers, use commodity options and futures to hedge price and quantity risk. We derive an explicit relationship between expected futures returns and the hedgers' demand for out-of-the-money options, and show that the demand for both calls and puts are positively related to expected returns, and the relationship is asymmetric, tilted towards puts. We test and confirm the model predictions empirically using the commitment of traders report from CFTC. In the chapter titled "Electronic Trading in OTC Markets vs. Centralized Exchange", we model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this information in the interdealer market. Increasing the number of contacted dealers lowers markups through competition but increases the dealers' costs of providing the asset through information leakage. We then compare a centralized market in which investors can trade among themselves in a central limit order book to a market in which investors have to use the electronic platform to trade the asset. With imperfect competition among dealers, investor welfare is higher in the centralized market if private values are strongly dispersed or if the mass of investors is large.

EPFL2018

Essays in Empirical Corporate Finance

Stefano Colonnello

This dissertation consists of three chapters. The first chapter examines whether the availability of credit default swaps (CDS) has consequences for creditor governance. CDSs offer creditors the opportunity to hedge credit risk and may impact their willingness to renegotiate debt agreements after covenant violations and to monitor firms. I show that firms implement more conservative investment and financing policies after covenant violations if CDSs are traded on their debt, consistent with heightened renegotiation frictions. Moreover, firms with traded CDS contracts exhibit significantly worse operating and stock performance after covenant violations. Overall, these findings point to an exacerbation of debt-equity conflicts due to the availability of CDSs. Finally, I analyze the interaction of creditor governance and internal governance, and provide evidence suggesting that the possibility to hedge risk through CDSs also reduces creditors' incentives to monitor firms. The second chapter models the joint effects of debt, macroeconomic conditions, and cash flow cyclicality on risk-shifting behavior and managerial pay-for-performance sensitivity. I show that risk-shifting incentives rise during recessions and that the shareholders can eliminate such adverse incentives by reducing the equity-based compensation in managerial contracts. I also show that this reduction should be larger in highly procyclical firms. Using a sample of U.S. public firms, I provide evidence supportive of the model's prediction. First, I find that equity-based incentives are reduced during recessions. Second, I show that the magnitude of this effect is increasing in a firm's cash flow cyclicality. The third chapter analyzes the impact of the formation of universal banks on corporate investment by looking at the gradual dismantling of the Glass-Steagall Act's separation between commercial and investment banking. Using a matched sample of U.S. firms and their relationship banks, I show that firms curtail investment after positive shocks to the underwriting capacity of their main bank. This result is driven by unrated firms and is strongest in the first two years after a shock. Moreover, I obtain similar results for borrowing firms' net debt issuance activity. As an exogenous shock to the formation of universal banks in the U.S., I also use the 1997 loosening of restrictions on commercial banks' securities activities. My findings suggest that universal banks may pay more attention to large and transparent firms that provide more underwriting opportunities while exacerbating financial constraints of opaque firms.

EPFL2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston (1993), we assess the error distribution by computing its moments under the real-world probability measure. It turns out that one is better off implementing either a delta hedging or a variance-minimizing strategy, depending on the strike and maturity of the option under consideration. In the second paper, which is a joint work with Damir Filipovic and Loriano Mancini, we develop a practicable continuous-time dynamic arbitrage-free model for the pricing of European contingent claims. Using the framework introduced by Carmona and Nadtochiy (2011, 2012), the stock price is modeled as a semi-martingale process and, at each time t , the marginal distribution of the European option prices is coded by an auxiliary process that starts at t and follows an exponential additive process. The jump intensity that characterizes these auxiliary processes is then set in motion by means of stochastic dynamics of Itô's type. The model is a modification of the one proposed by Carmona and Nadtochiy, as only finitely many jump sizes are assumed. This crucial assumption implies that the jump intensities are taken values in only a finitedimensional space. In this setup, explicit necessary and sufficient consistency conditions that guarantee the absence of arbitrage are provided. A practicable dynamic model verifying them is proposed and estimated, using options on the S&P 500. Finally, the hedging of variance swap contracts is considered. It is shown that under certain conditions, a variance-minimizing hedging portfolio gives lower hedging errors on average, compared to a model-free hedging strategy. In the third and last chapter, which is a joint work with Rémy Praz, we concentrate on the commodity markets and try to understand the impact of financiers on the hedging decisions. We look at the changes in the spot price, variance, production and hedging choices of both producers and financiers, when the mass of financiers in the economy increases. We develop an equilibrium model of commodity spot and futures markets in which commodity production, consumption, and speculation are endogenously determined. Financiers facilitate hedging by the commodity suppliers. The entry of new financiers thus increases the supply of the commodity and decreases the expected spot prices, to the benefits of the end-users. However, this entry may be detrimental to the producers, as they do not internalize the price reduction due to greater aggregate supply. In the presence of asymmetric information, speculation on the futures market serves as a learning device. The futures price and open interest reveal different pieces of private information regarding the supply and demand side of the spot market, respectively. When the accuracy of private information is low, the entry of new financiers makes both production and spot prices more volatile. The entry of new financiers typically increases the correlation between financial and commodity markets.

EPFL2014