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The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman filter should be used to capture nonlinearities and compare the performance of the Kalman filter with that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in the states, and cap prices, which are highly nonlinear. When caps are used to filter the states, the unscented Kalman filter significantly outperforms its extended counterpart. The unscented Kalman filter also performs well when compared with the much more computationally intensive particle filter. These findings suggest that the unscented Kalman filter may be a good approach for a variety of problems in fixed-income pricing. This paper was accepted by Wei Xiong, finance.

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero. This paper proposes a model for the term structure of interbank risk measured by the spread between the Interest Rate Swaps (IRS) and the Overnight Indexed Swaps (OIS) in dollars during the 2007-08 financial crisis and the crisis of the euro in 2010. Additionally, the model makes a decomposition of interbank risk between default and non-default risk (liquidity). Results suggest that the financial crisis had a significant impact on the term structure of interbank risk and its components, years before the crisis; the non-default risk was bigger than default risk; after the crisis default risk driving the behavior of interbank risk. Additionally, the results suggest that, from the term structure of each component of interbank risk, the financial crisis was characterized as a short-term problem that, in contrast to the euro crisis 2010. These results are consistent with Filipovic & Trolle (2012) and propound significant implications on the interbank risk during periods of financial stress.

The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products. The next section deals with the historical development of credit default swaps, regulatory actions taking place in recent years and market changes. Finally, the study points out the possibilities of the credit default swap pricing either by Hull-White model, par asset swap or linear regression. The thesis should help the reader to understand basic issues concerning credit default swaps. Keywords Credit default swap, credit risk, credit event, central counterparty, asset swap spread Length of the thesis 65 231

Mestrado em Economia e Políticas Públicas Esta dissertação tem como objectivo central analisar o Governo das Sociedades ("Corporate Governance") das empresas do Sector Empresarial do Estado, evidenciando se existem ou não diferenças entre empresas públicas (EPs) e privadas que fazem com que seja necessário formular uma teoria de Governo das Sociedades específica para as primeiras. Este objectivo será alcançado através da elaboração de um estudo de caso sobre a Companhia Carris de Ferro de Lisboa S.A., no qual irão ser analisados tópicos como o problema dos múltiplos principais, indemnizações compensatórias, modelo de financiamento, e processo de nomeação dos gestores públicos. A revisão de literatura pretende destacar a importância e impacto que a performance das EPs, reclassificadas ou não no perímetro das Administrações Públicas, detém na sociedade e nas finanças públicas. Segundo a OCDE (2005), é necessário tratar de forma distinta este tipo de empresas, pois apresentam características e necessidades específicas com consequências económicas relevantes. Aquando do estudo sobre a Carris foi possível confirmar que existem de facto diferenças entre EPs e privadas, como o facto das primeiras terem um estatuto legal diferente, objectivos operacionais mais voláteis, distintos critérios na selecção profissional, restrições orçamentais mais leves e o problema dos múltiplos principais, o que realçou a necessidade de adoptar mudanças na governação destas empresas. Sugere-se assim a aplicação do princípio comply-or-explain às EPs, a adopção de um código de boas práticas na nomeação dos gestores públicos, e a contratualização do serviço público, com a consequente atribuição plurianual de indemnizações compensatórias. This thesis has as main objective to analyze the Corporate Governance of the enterprises within the State Business Sector, indicating whether or not there are differences between private and state-owned enterprises (SOEs) that make it necessary to formulate a theory of Corporate Governance specific for the last ones. This will be achieved through the development of a case study about Companhia Carris de Ferro de Lisboa S.A., in which will be analyzed topics such as the multiple-principals problem, compensatory payments, financing model, and the appointment process of public managers. The literature review aims to highlight the importance and impact that the performance of SOEs, reclassified or not on the perimeter of Public Administrations, holds in society and public finances. According to the OECD (2005), these enterprises should be treated differently, because they present specific characteristics and needs with significant economic consequences. During the study about Carris it was possible to confirm that there are indeed differences between private and SOEs, such as the fact that the second ones have a different legal status, more volatile operating objectives, different criteria for the professional selection, soft budget constraints and the problem of multiple principals, which stressed out the need for changes in the governance of this enterprises. It is therefore suggested the application of the principle of comply-or-explain to SOEs, the adoption of a code of best practices in the appointment of public managers, and the contracting of public service, with the consequent multiannual allocation of compensatory payments.

En el presente trabajo nos proponemos realizar una exposición pormenorizada del problema que ha supuesto para los consumidores la suscripción de participaciones preferentes y la contratación de swaps, prestando especial atención a su eventual nulidad por vicios del consentimiento.

El crecimiento y dinamismo del endeudamiento de largo plazo en moneda extranjera, por parte de los actores productivos del país, ha venido incrementando las necesidades por herramientas de cobertura. El contexto de tasas bajas en dólares, un crecimiento importante de las compañías colombianas, un mayor apetito de inversionistas extranjeros y un acceso más fácil a los mercados internacionales han permitido aumentar el endeudamiento de largo plazo de firmas locales, volcando su necesidad hacia una cobertura de flujos de largo plazo (mayor a 1 año). El instrumento adecuado para la cobertura de flujos se le denomina "swap" y para el caso de un intercambio de un flujo en dólares tasa variable (generalmente libor), por un flujo en pesos (tasa fija implícita) se le denomina "Cross Currency Swap". Existen varios Swap de monedas usd-cop (como lo denomina la norma colombiana), pero nosotros nos circunscribiremos a la que se negocia de forma estándar en los mercados internacionales. El estándar usd-cop es un swap donde se intercambia una tasa libor en dólares por una tasa fija en pesos. The growth and dynamics of long term debt in foreign currency, by Colombian companies, has been increasing the need for hedging tools. The context for dollar low interest rates, an important achievement of Colombian companies, a larger appetite for foreign investors and an easier access to international markets, have allowed to increase the long term debt to local companies and their needs have turned towards a long term hedging of fluxes(larger than one year) The adequate instrument for hedge flow is called “swap”, and for the case of an interchange of a dollar flow at a variable rate (generally libor) for a pesos flow (implicit fixed rate) it is called “cross Currency Swap”. There exist various types of currency Swaps (as it is pointed out by the Colombian regulations) but we restrict ourselves to the standard Swap which is negotiated in international markets. The Standard is a Swap in which a labor rate in dollars is exchanged for fixed rate in pesos. The present study aims to find a deductive form, taking into account the market regulations, and methodology to evaluate the “Cross Currency Swap”. The first part consists of a brief explanation of the necessity, the context and the product.In the second part, the flows subject to exchange are identified, and based on them the necessity to construct two curves for flow discount is established. For the libor flow, we must construct a libor curve starting from the most accurate quote; that is, a 3-month quotes. For the pesos flow, the curve of implicit rates constructed from the forward accounting between 0 and one year and from the “Cross Currency Swap” quotation for the term between 1 and 10 years. Finally, through a least squared reduction and an iterative circular reference in Excel it is possible to find the discount factors for each of the future dates, allowing the evaluation of a “Cross Currency Swap” operation or flow.

Empresa A firmó, el 27 de febrero de 2008, un contrato de crédito de 800.000 euros por el que pagaría a Banco B el tipo euríbor más un 1% anual (véase la Figura 1 del caso). La empresa A invertía en plantas de energía solar fotovoltaica. Con este crédito, Empresa A tiene lo que se denomina "riesgo de tipo de interés", que es incertidumbre en el tipo de interés que pagará. El tipo de interés a pagar será alto (grande) si el euríbor sube, y bajo (pequeño) si el euríbor desciende.

Bachelor thesis analyses the development of the structure of the foreign exchange market. The theoretical part describes global foreign exchange market, its core and functions, subjects entering to the market and also the technique of performing operations. The empirical part focuses on the development of the foreign exchange market in Hong Kong and afterward this market is compared to the foreign exchange market in Singapore, which foreign exchange markets are the world's financial centres.

Mestrado em Contabilidade Os swaps de taxas de juro são instrumentos financeiros derivados utilizados fundamentalmente como instrumento de cobertura de risco, permitindo às empresas,proteger-se das oscilações desfavoráveis de taxas de juro. Este tipo de financiamento é mais interessante que outros instrumentos financeiros, pois permite uma melhor gestão dos activos e passivos de uma empresa, assim como a redução da incerteza do comportamento das taxas de juro. Para testar a utilização dos swaps taxa de juro, é realizado um estudo com base nas entidades cotadas na Euronext de Lisboa, especificamente as do Portuguese Stocks Index (PSI 20). Foi efetuada uma análise sobre a divulgação da informação nos relatórios e contas no período de 2008 a 2010, num total de 17 (dezassete) empresas. Dos resultados obtidos, conclui-se que a maioria das empresas do PSI-20, utiliza os swaps, no sentido de reduzir o risco das oscilações da taxa de juro. Interest rate swaps are derivatives used primarily as a hedging instrument, enabling businesses to protect themselves from adverse changes in interest rates. This type of financing is more interesting than other financial instruments, it allows better management of assets and liabilities of a company, as well as reducing the uncertainty of the behavior of interest rates. To test the use of interest rate swaps, is a study based on the entities listed on Euronext Lisbon, the Portuguese specifically Stocks Index (PSI 20). An analysis was performed on the disclosure of information in the reports and accounts for the period 2008 to 2010, a total of 17 (seventeen) companies. From the results, it is concluded that most of the PSI-20 companies, uses swaps in order to reduce the risk of fluctuations in interest rates.

Os aspectos jurídicos das operações de swaps ainda não foram satisfatoriamente aclarados pela literatura. Os debates em torno do tema, invariavelmente afetados pela prática econômica, não têm logrado precisar-lhes o regime jurídico aplicável, ou proceder a uma interpretação adequada do arranjo de obrigações às quais as partes se vinculam. Nesta pesquisa, constatamos aspectos práticos relevantes, que viabilizaram a sistematização dos interesses, motivos e utilidades associados a operações de swap. A partir do diagnóstico da lógica econômica, das vantagens almejadas, e, principalmente, da função socioeconômica desempenhada por cada um dos contratos analisados, apuramos características jurídicas, contratuais e obrigacionais, que tornaram possível uma classificação conforme o Direito. Os principais contratos e operações de swaps identificados foram segregados em três categorias – a dos swaps de moedas; a dos swaps de índices; e a dos swaps de crédito (inclusive, swaps de retorno total), tal como praticado pela literatura econômica. Constatou-se que os swaps não viabilizam trocas em sentido jurídico, motivo pelo qual foram propostas alterações em sua designação, a fim de conciliar os aspectos jurídicos e econômicos que visam a referenciar. Apresentaram-se, ainda, os fundamentos para que os swaps de moedas fossem classificados como contratos atípicos; os swaps de índices e os swaps de retorno total, como contratos atípicos diferenciais; e o swap de crédito, como um contrato preliminar com promessa unilateral de contratar. Ato contínuo, foram oportunamente inseridos os swaps na cadeia de contratos viabilizada pelos mercados de balcão organizado da CETIP e da BM&F, a fim de se concluir uma análise jurídica suficientemente ampla das operações econômicas investigadas, em suas principais dimensões e aspectos. The legal aspects of swaps transactions have not yet been satisfactorily clarified in the literature. The debates on the matter, often affected by the economic practice, have not been able to establish a clear legal regime, or a proper construction for the arrangement of obligations which bind the parties to a swap. In this study, we found relevant practical aspects which made possible to systematize the interests, motives and functions associated with swap transactions. From the diagnosis of the economic logic, of the gains aimed by the parties, and especially the socioeconomic function performed by each of the contracts examined, we have found certain legal features, contractual and obligational, which made possible an explanation pursuant to the law. The main contracts and swap transactions identified were segregated into three categories - the currency swaps, the index swaps, and the credit default swaps (including total return swaps), as treated in the economic literature. It was found that, under a legal perspective, the swaps do not provide for actual swapping of assets, reason why this research proposes a change of nomenclature, in order to reconcile the legal and economic aspects they refer to. It was presented the fundamentals for the currency swaps being classified as nonstandard contracts; index swaps and total return swaps, as non-standard contracts for differences; and the credit default swap as a put option. Thereafter, the swaps were duly inserted in the chain of contracts enabled by the Over-the-Counter markets of CETIP and BM&F, in order to complete a proper legal analysis, addressing the main dimensions and aspects of those transactions.

Contribution to the G20 Commodity Markets Sub Working Group Though well-established in the commercial sector, the use of market-based price risk management is not widespread in the public sector, particularly by sovereigns. Recent volatility in energy and food prices, however, has awakened the interest of some governments to learn more about how they can either use these tools, or foster supportive environment where these tools can be used by local supply chain actors. Equally important is ensuring that non-price related risks are isolated, monitored, and managed independent of direct price exposure. This note reviews lessons learned from recent efforts to advance risk management strategies in countries vulnerable to food and energy price shocks. It focuses specifically on the use of market-based risk management approaches and use by sovereigns. For governments concerned about the risk of food price shocks, the fiscal impact is equally complicated as governments may be concerned about the impact of rising food prices on consumers, the need to finance, and potentially supply, subsidies or social safety nets for vulnerable populations or, in extreme cases, humanitarian operations. In both cases, the costs of budget uncertainty and the need to finance responses in the event of a shock can be significant. Finally, though not typically used to manage specific intra-annual or intra-seasonal price exposures, commodity-linked loans or bonds can also be used to manage exposure to price shocks on a more macro level.

The corporate scorecard is designed to provide a snapshot of the Bank's overall performance, including its business modernization, in the context of development results. It facilitates strategic dialogue between management and the Board on progress made and areas that need attention. With the results measurement system, which was adopted for the 13th replenishment of the International Development Association (IDA13) in 2002, the Bank became the first multilateral development institution to use a framework with quantitative indicators to monitor results and performance. The corporate scorecard expands this approach to the entire World Bank covering both the International Bank for Reconstruction and Development (IBRD) and IDA. The corporate scorecard uses an integrated results and performance framework, which is organized in a four-tier structure that groups indicators along the results chain. Tier one is development context. Tier two is development results supported by the Bank. Whether the Bank is managing its operations and services effectively is shown in tier three. Tier four focuses on whether the Bank is managing skills, capacity, resources, and processes efficiently; and is business modernization on track?

Ouvrage sous la direction d'Alain Couret et Hervé Le NabasqueLa première édition de cet ouvrage (2008) a été primée (Oscar du droit des sociétés et de la Bourse).; International audience; Droit régissant la finance de marché et plus généralement, les activités liées à l'expansion extraordinaire de la sphère financière dans le monde moderne des affaires, le droit financier est aujourd'hui au cœur de l'économie.Le contexte de crise mondiale ayant accentué la mise en évidence de la financiarisation de l'économie, de plus en plus de juristes se sont intéressés aux questions financières d'autant que les textes touchant à la matière se sont multipliés tant au plan européen qu'au plan national.D'une structure simple cet ouvrage qui décrit le droit national et européen a été rédigé dans le soucis de rendre accessible un domaine réputé complexe. Il s'article autour de 5 parties :- Les structures et acteurs des marchés financiers- Les instruments financiers- Les contrats financiers- Les opérations (opérations sur titres financiers et garanties financières / Opérations de marché)- La régulation des comportements sur les marchés financiers- Droit international (Internationalisation des marchés financiers).

1 Legal Issues of Derivatives Abstract Derivatives symbolize one of the most successful instruments of international markets in 20. century boosted by ongoing globalization and never-ending technological progress. Though origins of derivatives could had been found in Ancient times, the real "explosion" of derivatives has blown in last two centuries. The essential objective and purpose of the thesis is firstly to analyse the true meaning and definition of the term "derivative" and surrounding legal issues and secondly to provide comprehensive list of basic derivatives according to the historical and financial-economic indicators. My thesis consists of six chapters. First two introductory chapters deal with the general aspects of derivatives, such as definition and legal nature. Derivatives, generally speaking, are legal contracts between market participants allowing contracting parties to transfer risks connected with particular underlying to another party or speculate on market movements in order to gain profits. Derivatives are traded in both, standardized and OTC markets, which embodied them with ultimate flexibility and range. Assessing true legal nature of derivatives stands for one of the main issues concerned by academics and practitioners, in particular whether derivatives fall under the category of...

The final thesis is about financial derivatives in the Czech Republic and the European Union

International companies perform business transactions in different countries all over the world and must be able to manage their financial assets in various currencies. Significant foreign exchange alteration can markedly harm market value of any company. The companies use so called 'hedging' to avoid such situations. The aim of this master thesis is to analyze specifics of currency operations based on a case study in the international company and its transaction exposure. The thesis discovers that the selected company uses only two types of 'hedging'.

Over the past couple of decades, global financing for development has changed dramatically. The biggest shifts have been the rapid increase of net private financing flows to developing countries, in particular to middle-income countries (MICs); the sustained growth of official development assistance (ODA) from Development Assistance Committee (DAC) members, even excluding debt relief; the emergence of MICs as growth poles and sources of ODA with different approaches to aid delivery than those of DAC donors; and the expanded role of private aid. In addition, past trends of proliferation, fragmentation and earmarking of aid have continued. This paper reviews broad trends in global financing for development, with a focus on ODA and the growing importance of new development partners such as the so-called BRICS. In this context, it discusses the implications of this changing landscape for aid effectiveness and the role of ODA going forward.

The focus of the paper is on five key financial stability issues in Emerging market and developing economies (EMDEs), which have been selected on the basis of their degree of materiality for a reasonably broad range of EMDEs; their implications for regulatory, supervisory or other financial sector policies; and the extent to which these issues are not already being addressed by other international work streams. The paper does not cover other financial stability issues that may also be relevant for EMDEs but are addressed in other G20/Financial Stability Board (FSB) work streams. Such issues include the management of sizeable and volatile capital flows; the design of policy measures to address the risks arising from systemically important financial institutions; the development of macro-prudential policy frameworks; the creation of effective resolution tools and regimes for financial institutions; strengthening the oversight and regulation of the shadow banking system; and reforming the functioning of over-the-counter derivatives and commodities markets. This paper focuses on five key financial stability issues in EMDEs: 1) application of international financial standards; 2) promoting cross-border supervisory cooperation; 3) expanding the regulatory and supervisory perimeter; 4) management of foreign exchange risks; and 5) developing domestic capital markets.

У статті розглянуто структуру ринку похідних цінних паперів. Визначені фактори, які впливають на зростання світового ринку похідних цінних паперів. Досліджені й узагальнені сучасні тенденції розвитку світового ринку похідних цінних паперів. The paper considers the structure of the derivatives market. The factors, that influence the growth of world derivatives market are determined. The modern tendencies of development of world derivatives market are analized.

Строковий ринок є невід’ємним елементом сучасної ринкової економіки. Саме тому фунціонування банківської системи, яка відповідає міжнародним уявленням про сучасний банківський бізнес, неможливо без чіткого визначення ролі комерційних банків на строковому ринку Розповсюдження похідних цінних паперів вплинуло на принципи здійснення банківського бізнесу.

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence also an important barometer of investor sentiment and market volatility. Investors interpret the VIX cash index as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk with VIX derivatives, with views on whether volatility will increase or decrease in the future, while hedgers can use volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed in recent years. An alternative volatility derivative to VIX is the S&P500 variance futures, which is an expectation of the variance of the S&P500 cash index. Variance futures are futures contracts written on realized variance, or standardized variance swaps. The S&P500 variance futures are not model based, so the assumptions underlying the index do not seem to have been clearly understood. As variance futures are typically thinly traded, their returns and volatility are not easy to model accurately using a variety of model specifications. This paper analyses the volatility in S&P500 3-month variance futures before, during and after the GFC, as well as for the full data period, for each of three alternative conditional volatility models and three densities, in order to determine whether exposure to risk can be incorporated into a financial portfolio without taking positions on the S&P500 index itself.

Legal Aspects of Derivatives This thesis deals with derivatives and their legal aspects. The purpose of the thesis is to focus on the main characteristics of derivative contracts and try to find their legal nature. The main reason for choosing the topic was the lack of information about legal problems regarding derivatives. It seems to be an interesting paradox. Billions of derivatives contracts are traded every day but not much has been written about them from the law point of view. Although there are many books dealing with their economic characteristics their accounting and tax aspects, it is hardly possible to find a monograph dealing with their legal base. This thesis is divided into five main parts. The first one describes derivatives in general, offers a definition and divides them into basic categories. The second part encompasses history of derivatives and their regulation. This part is mainly connected to common law rules since derivatives have developed mostly within Anglo-American law systems. The third part concentrates on problems arising from the fact that although derivatives are traded all over the world their legal basis remains unclear. The question arising is whether to treat derivatives as wagers, insurance policies or as some different type of contract. In this part I offer my...

Розглянуто арбітражні операції як складовий елемент строкового ринку. Визначено їх роль та місце на ринку. Виявлено вплив арбітражних операцій на ефективність функціонування ринку похідних цінних паперів. Considered arbitrage as the constituent elements of the derivatives market. Defined their role and place in the market. The influence of arbitrage on the performance of the derivative securities market.

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has abandoned since March 2010 the classical Single-Curve pricing approach, typical of the pre-credit crunch interest rate world, and has adopted the modern Multiple-Curve CSA approach, thus incorporating credit and liquidity effects into market prices. The same analysis is applied to European Caps/Floors, finding that the full transition to the modern Multiple-Curve CSA approach has retarded up to August 2010. Finally, we show the robustness of the SABR model to calibrate the market volatility smile coherently with the new market evidences., Comment: 26 pages, 13 color figures, 6 tables; revised typos

Motivated by the unprecedented rise of swap agreements between the central banks of developed economies and their developing economy counterparts, this paper evaluates Asian swap arrangements and their association with the build-up of foreign reserves prior to the 2008–2009 global financial crisis. The evidence suggests that there is a limited scope for swaps to substitute for reserves. Furthermore, the selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation.

The goal of this diploma thesis is to analyze the gold market and provide readers with the necessary information and context having an impact on the price of gold. The thesis consists of three chapters. First one deals in general with the commodity market and introduces the readers to commodity exchange issues such as trading commodities in commodity exchanges, motives of commodity trading as well as the specific characteristics of commodities. Second one concerns the detailed analysis of commodity investment tools that investors might use when they feel like getting an exposure to price movements of commodities. The last chapter gears towards an analysis of the gold market in today's super globalized world and depicts what fundamental factors have an impact on the price of gold. At last, I shall summarize existing pieces of knowledge and cast light on further gold price movements.

Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008-9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation.

Current international financing (primarily ODA) for environmental services in developing countries is very roughly estimated to be upwards of $21 billion annually (not including climate change financing), but additional resources on the order of tens, if not hundreds, of billions of dollars are needed. In 2009, environmental ODA was estimated at $18 billion with a few billion more delivered through philanthropic and market-based financing channels. Although there are only a few studies of the additional financing needed, and those are relatively narrow in scope, the estimates that are available clearly indicate that significantly higher levels of finance still need to be reached. Additionally, the impacts of environmental finance on environmental sustainability and development objectives are poorly understood. Systematic reviews of previous experience, and standardized monitoring in the future, would support the countries and projects monitored, while also providing important lessons for the broader development and environment communities.

The handling of market risk management can be done through derivative instruments for hedging purposes. The swap transaction is one of the financial instruments available to the financial manager and that is the subject of this article. Also application cases are appearing for the company mitigates the possibility of suffering losses due to unexpected and adverse movements in interest rates, exchange rates, stock prices and raw materials or commodities., El manejo de la gestión de riegos de mercado se puede realizar a través de los llamados productos derivados con fines de cobertura; la permuta financiera (swap) es uno de los instrumentos financieros a disposición del gerente financiero y que es materia del presente artículo; asimismo, se presentan casos aplicativos para que la empresa mitigue la posibilidad de que sufra pérdidas debido a movimientos inopinados y adversos en los tipos de interés, tipo de cambio, precios bursátiles y de las materias primas o commodities.

This paper reviews the experiences of intergovernmental fiscal systems (IGFS) to look for possible lessons for how Official Development Assistance (ODA) is delivered. Specifically, it compares IGFS and ODA in two specific respects. The first is the proportion of public resources that central governments make available to sub-national governments on a conditional basis, and how that compares with the proportion of non-earmarked ODA given to low income countries. The second is the role of performance outcome in resource allocation to sub-national governments and how that compares with the role of performance in ODA, particularly multilateral ODA allocation. The comparisons show that: (i) the share of earmarked ODA is more than three times higher than that of conditional grants in intergovernmental systems, suggesting that donors in ODA rely more on earmarking to influence the spending decisions of the recipient countries than their federal governments do on conditional grants to induce policy changes in their own sub-national governments; and (ii) none of the OECD countries currently use outcome measures in determining resource allocation to their sub-national governments for a variety of good reasons, and the recent debate as to whether multilateral ODA allocation should be based on development outcomes seems to ignore this experience.

Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. In debt management operations, the categories of risks, such as market risk, credit risk, refinancing risk and liquidity risk, are relatively well known; however operational risk is not. The area has not been given due attention to by government debt managers in developing a risk management framework. A similar conclusion on aspects pertaining to operational risk management is borne out from the early results of the World Bank's assessments using its government Debt Management Performance Assessment (DeMPA) tool. This paper thus, introduces the concepts of operational risk as applied to government debt management (DeM) and attempts to present a framework for debt managers to manage operational risks while undertaking public debt management operations. It draws on existing literature for operational risk management principles and practices that have been formulated by the Bank for International Settlements (BIS) Basel Committee on Banking Supervision, the Committee of Sponsoring Organizations (COSO) and the findings of the DeMPAs.

Repo markets are an essential component of liquid Government debt markets, acting as a transmission belt between money and debt markets, as well as serving to conduct key functions for the efficient operation of debt markets. These include, among others, credit risk management, funding debt portfolios, playing the yield curve, and covering short positions and settlement fails. The hybrid nature of a repo between a collateralized loan and a full transfer of ownership makes it a very versatile instrument for a broad range of market participants with very different business models. However, this is at the same time the reason for its complexity. This note addresses the legal, structural, accounting, tax, regulatory and infrastructure factors that are decisive for repo market development. The legal and infrastructure factors that underpin repo markets functionality are evolving ones and may be different depending on the country. The perspective adopted in this note intends to provide a balanced account of both the conceptual issues in each topic and relevant country cases, with the objective of providing policy makers with analytical tools to address their country specific context.

We consider a semi-Markov modulated security market consisting of a riskless asset or bond with constant interest rate and risky asset or stock, whose dynamics follow gemoetric Brownian motion with volatility that depends on semi-Markov process. Two cases for semi-Markov volatilities are studied: local current and local semi-Markov volatilities. Using the martingale characterization of semi-Markov processes, we find the minimal martingale measure for this incomplete market. Then we model and price variance and volatility swaps for local semi-Markov stochastic volatilities.

Розглядаються питання пов’язані з визначенням інструментів хеджування та способів їх використання з метою зниження цінових ризиків. Визначені відмінності хеджувальних операцій від інших операцій з похідними цінними паперами. Discusses issues related to the definition of hedging instruments and how they are used to reduce the price risks. Identified differing hedging operations from other transactions with derivative securities.

В статті розглядаються питання пов’язані з визначенням інструментів хеджування та способів їх використання з метою зниження цінових ризиків. Визначені відмінності хеджувальних операцій від інших операцій з похідними цінними паперами. This article discusses issues related to the definition of hedging іnstruments and how they are used to reduce the price risks. Identified differing hedging operations from other transactions with derivative securities.

One important lesson of the crisis is the need to take a systemic view of measures aimed at financial stability. Measures that enhance the stability of a single institution could be inimical to the stability of the financial system as a whole.

In light of the outflow of deposits in Serbia in late 2008 and early 2009, a series of measures were introduced to urgently address stability concerns. These measures included increased deposit insurance coverage, shortened payout periods, introduction of regulations on lenders of last report (LoLR) and new liquidity lines, and the possibility for the Deposit Insurance Agency (DIA) to purchase shares of insolvent banks under instruction from the Government of Serbia (GoS). At the time, it was understood that, once stability returned, it will be prudent to have a crisis management framework in place to address systemic financial crises at all times, much like some countries have a framework to deal with natural disasters. The new framework will seek to minimize the need for ad hoc measures during crises and limit the need for the authorities to take measures that are technically illegal. Because of the lack of such crisis provisions, in several past crises, ministers and governors were forced by deteriorating events to take measures for which they had no authority, leaving the passage of appropriate regulation or laws to the aftermath of the crisis. This technical note has been prepared in the context of the initiative, primarily spearheaded by the National Bank of Serbia (NBS), to develop a contingency management framework. In particular, the note discusses the key elements of such a framework, explores how the NBS and other countries are tackling such contingency planning.

Purpose: The purpose of the thesis is to describe which foreign exchange risk techniques that are used by medium- and large-sized Swedish companies within the Jönköping region, and how they as well as a bank evaluate the techniques in the current recession. Background: The reason why companies decide to expand their operations abroad is to take advantage from imperfections in other national markets. The fluctuations in currencies and exchange rates can have a huge effect on a company’s cash flows when doing business abroad. Therefore, when companies manage their foreign exchange risk, they have to be familiar with all the methods and tools available in order to pick the ones that best suit their needs. Method: We sent out a questionnaire and got it answered by eight companies within the Jönköping region regarding their strategy when managing foreign exchange risk. We have also interviewed a financial adviser, working at Handelsbanken, regarding the techniques offered to companies. A “foreign currency table” located in Linköping, was also contacted. They are in charge of creating recommendations and products sold by Handelsbanken. Conclusion: Hedging is the most frequently used tool by the companies in our study. Leading and lagging strategies are used quite often, while swaps and invoice currency is used less frequently by them. Exposure netting and cash pooling does not seem to be used at all. We believe that companies generally should seek more information on new techniques introduced in the market and be open to new possibilities and solutions for managing currency risk. Most of the companies in our sample, according to us, are too comfortable in their choice of techniques. Syfte: Syftet med denna uppsats är att beskriva vilka valutarisk tekniker som används av medelstora och stora företag inom Jönköpings området, samt hur dessa företag och en bank utvärderar teknikerna i den rådande lågkonjunkturen. Bakgrund: Anledningen till varför företag väljer att expandera utomlands är för att ta nytta av fördelar som uppstår i andra marknader. Fluktuationer i valutor och valutakurser kan ha stor effekt på företagens kassaflöden när handel utomlands utförs. När företag hanterar sin valutarisk måste de vara familjära med de olika metoder som finns tillgängliga, för att få reda på vilka av dessa som bäst tillgodoser deras behov. Metod: Åtta företag inom Jönköpings regionen, svarade på ett formulär, angående deras strategi när det kommer till hantering av valutarisk. Vi har även intervjuat en företags rådgivare på Handelsbanken, angående teknikerna som de erbjuder företagen. Valutabordet i Linköping har också blivit kontaktat. De har till uppgift att ta fram rekommendationer och produkter som säljs av Handelsbanken. Slutsats: Hedging är den teknik som används mest av företagen i vår undersökning. Leading och lagging används rätt så ofta, medan swaps och invoice currency används mer sällan av dem. Exposure netting och cash pooling tycks inte användas alls. Vi anser att företag generellt ska eftersöka mer information om nya tekniker som introduceras på marknaden samt vara öppna för nya möjligheter och lösningar till att hantera valutarisk. De flesta av de undersökta företagen anser vi i dagsläget är för bekväma i sina val av tekniker.

150 páginas Los mercados financieros actuales han sufrido una acelerada evolución en los últimos 50 años, que ha influido en la aparición de nuevos instrumentos de inversión. Sin lugar a dudas, uno de los avances que ha representado mayores innovaciones y posibilidades ha sido la amplia utilización de los derivados. Aunque estos productos aparecieron hace varios siglos, ha sido recientemente donde se han manifestado los beneficios y riesgos que trae la utilización de ´estos. Los derivados son productos que como su nombre lo indica dependen de otro activo subyacente que es el que determina su precio, su funcionamiento y la posibilidad de cubrir diversos riesgos. El presente trabajo constituye la construccion de un valorador de derivados sencillo y facil de usar que permite la valoracion de Forwards, Futuros y Opciones sobre sub- yacentes comunes. Todo esto con el fin de ayudar a que inversionistas y empresarios de todos los niveles puedan acceder a la utilizacion de los derivados. The current financial markets have undergone rapid development over the past 50 years. This development has influenced the emergence of new investment instruments. Undoub- tedly, one of the progress that has represented major innovations and opportunities has been the widespread use of derivatives. Although these products appeared several cen- turies ago, only recently have been known the benefits and the risks. Derivatives are products which as its name indicates, depend on others underlying assets. This underlying determines its price, operations and the ability to cover different risks. This paper presents the construction of a simple and easy tool, that allows the valuation of Forwards, Futures and Options on common underlying. All this, in order to help investors and managers at all levels to have access to the use of derivatives.