La réhabilitation psychosociale a l'aube du XXIème siècle: III: Méthode d'évaluation interdisciplinaire et bilan biopsycho-social

During the past 20 years, therapeutic and rehabilitative modalities in the field of psychosocial rehabilitation have been diversified in becoming more specific. We have the possibility to offer individualized rehabilitation programs as well as in the general field of socio-professional goals as in the clinical field according to the patients' needs and personal assets. The content of these programs associates various forms of specialized medical and paramedical services. The indications are established trough a careful assessment. The rehabilitation unit of the University Department of Psychiatry in Lausanne has developed a multidisciplinary assessment method based on the bio-psychosocial integrative model and the vulnerability-stress model in integrating the level of experience of Wood for the analysis of the psychosocial functioning. This results in a structured assessment program, which leads to a multidisciplinary comprehensive assessment (difficulties versus adaptative resources)

The Rise of The Swiss Tax Haven in the Interwar Period: An International Comparison

The history of tax havens during the decades before World War II is still little known. To date, the studies that have focused on the 1920s and 1930s have presented either a very general perspective on the development of tax havens or a narrow national point of view. Based on unpublished historical archives of five countries (Switzerland, Great Britain, Belgium, France, Germany), this paper offers therefore a new comparative appraisal of international tax competition during this period in order to answer the following question: What was the specificity of the Swiss case - already considered a quintessential tax haven at the time - in comparison to other banking centres? The findings of this research study are twofold. First, the 1920s and 1930s appear as something of a golden age of opportunity for avoiding taxation through the relocation of assets. Most of the financial centres granted consistent tax benefits for imported capital, while the limited degree of international cooperation and the usual guarantee of banking secrecy in European countries prevented the taxation of exported assets. Second, within this general environment, the fiscal strategies of a tax haven like Switzerland differed from those of a great financial power like Great Britain. Whereas the Swiss administration readily placed itself at the service of the banking community, British policy was more balanced between the contradictory interests of the Board of Inland Revenue, the Treasury, and the English business circles.

Cost of Illness and Contingent Valuation : Controlling for the Motivations of Expressed Preferences in an Attempt to Avoid Double-Counting

This paper addresses the issue of double counting of health impacts in the context of cost of illness valuation. Double counting occurs when estimates are jointly used, which rely on valuation techniques that overlap. As a solution, we propose to limit the scope of each of the valuation method to a specific range of impacts. In order to limit the contingentvaluation method to the exclusive valuation of intangible costs, we propose a three steps approach : (1) leave the respondents free to valuate the consequences which matter to them, (2) elicit respondent's motivations, (3) control for the influence motivations have on elicited values. This procedure was applied in a Swiss contingent-valuation. An econometric treatment was applied in order to limit the scope of the estimates of the contingent valuation method to intangibles,therefore the possibility to a combination of methods with the risk of double-counting and underestimating costs being kept to a minimum.

Maps as risk mitigation tools. Adaptation of the Swiss hazard assessment and mapping methodology to a Moroccan site: Beni Mellal

Dans le contexte climatique actuel, les régions méditerranéennes connaissent une intensification des phénomènes hydrométéorologiques extrêmes. Au Maroc, le risque lié aux inondations est devenu problématique, les communautés étant vulnérables aux événements extrêmes. En effet, le développement économique et urbain rapide et mal maîtrisé augmente l'exposition aux phénomènes extrêmes. La Direction du Développement et de la Coopération suisse (DDC) s'implique activement dans la réduction des risques naturels au Maroc. La cartographie des dangers et son intégration dans l'aménagement du territoire représentent une méthode efficace afin de réduire la vulnérabilité spatiale. Ainsi, la DDC a mandaté ce projet d'adaptation de la méthode suisse de cartographie des dangers à un cas d'étude marocain (la ville de Beni Mellal, région de Tadla-Azilal, Maroc). La méthode suisse a été adaptée aux contraintes spécifiques du terrain (environnement semi-aride, morphologie de piémont) et au contexte de transfert de connaissances (caractéristiques socio-économiques et pratiques). Une carte des phénomènes d'inondations a été produite. Elle contient les témoins morphologiques et les éléments anthropiques pertinents pour le développement et l'aggravation des inondations. La modélisation de la relation pluie-débit pour des événements de référence, et le routage des hydrogrammes de crue ainsi obtenus ont permis d'estimer quantitativement l'aléa inondation. Des données obtenues sur le terrain (estimations de débit, extension de crues connues) ont permis de vérifier les résultats des modèles. Des cartes d'intensité et de probabilité ont été obtenues. Enfin, une carte indicative du danger d'inondation a été produite sur la base de la matrice suisse du danger qui croise l'intensité et la probabilité d'occurrence d'un événement pour obtenir des degrés de danger assignables au territoire étudié. En vue de l'implémentation des cartes de danger dans les documents de l'aménagement du territoire, nous nous intéressons au fonctionnement actuel de la gestion institutionnelle du risque à Beni Mellal, en étudiant le degré d'intégration de la gestion et la manière dont les connaissances sur les risques influencent le processus de gestion. L'analyse montre que la gestion est marquée par une logique de gestion hiérarchique et la priorité des mesures de protection par rapport aux mesures passives d'aménagement du territoire. Les connaissances sur le risque restent sectorielles, souvent déconnectées. L'innovation dans le domaine de la gestion du risque résulte de collaborations horizontales entre les acteurs ou avec des sources de connaissances externes (par exemple les universités). Des recommandations méthodologiques et institutionnelles issues de cette étude ont été adressées aux gestionnaires en vue de l'implémentation des cartes de danger. Plus que des outils de réduction du risque, les cartes de danger aident à transmettre des connaissances vers le public et contribuent ainsi à établir une culture du risque. - Severe rainfall events are thought to be occurring more frequently in semi-arid areas. In Morocco, flood hazard has become an important topic, notably as rapid economic development and high urbanization rates have increased the exposure of people and assets in hazard-prone areas. The Swiss Agency for Development and Cooperation (SADC) is active in natural hazard mitigation in Morocco. As hazard mapping for urban planning is thought to be a sound tool for vulnerability reduction, the SADC has financed a project aimed at adapting the Swiss approach for hazard assessment and mapping to the case of Morocco. In a knowledge transfer context, the Swiss method was adapted to the semi-arid environment, the specific piedmont morphology and to socio-economic constraints particular to the study site. Following the Swiss guidelines, a hydro-geomorphological map was established, containing all geomorphic elements related to known past floods. Next, rainfall / runoff modeling for reference events and hydraulic routing of the obtained hydrographs were carried out in order to assess hazard quantitatively. Field-collected discharge estimations and flood extent for known floods were used to verify the model results. Flood hazard intensity and probability maps were obtained. Finally, an indicative danger map as defined within the Swiss hazard assessment terminology was calculated using the Swiss hazard matrix that convolves flood intensity with its recurrence probability in order to assign flood danger degrees to the concerned territory. Danger maps become effective, as risk mitigation tools, when implemented in urban planning. We focus on how local authorities are involved in the risk management process and how knowledge about risk impacts the management. An institutional vulnerability "map" was established based on individual interviews held with the main institutional actors in flood management. Results show that flood hazard management is defined by uneven actions and relationships, it is based on top-down decision-making patterns, and focus is maintained on active mitigation measures. The institutional actors embody sectorial, often disconnected risk knowledge pools, whose relationships are dictated by the institutional hierarchy. Results show that innovation in the risk management process emerges when actors collaborate despite the established hierarchy or when they open to outer knowledge pools (e.g. the academia). Several methodological and institutional recommendations were addressed to risk management stakeholders in view of potential map implementation to planning. Hazard assessment and mapping is essential to an integrated risk management approach: more than a mitigation tool, danger maps represent tools that allow communicating on hazards and establishing a risk culture.

X-ray mosaic nanotomography of large microorganisms.

Full-field X-ray microscopy is a valuable tool for 3D observation of biological systems. In the soft X-ray domain organelles can be visualized in individual cells while hard X-ray microscopes excel in imaging of larger complex biological tissue. The field of view of these instruments is typically 10(3) times the spatial resolution. We exploit the assets of the hard X-ray sub-micrometer imaging and extend the standard approach by widening the effective field of view to match the size of the sample. We show that global tomography of biological systems exceeding several times the field of view is feasible also at the nanoscale with moderate radiation dose. We address the performance issues and limitations of the TOMCAT full-field microscope and more generally for Zernike phase contrast imaging. Two biologically relevant systems were investigated. The first being the largest known bacteria (Thiomargarita namibiensis), the second is a small myriapod species (Pauropoda sp.). Both examples illustrate the capacity of the unique, structured condenser based broad-band full-field microscope to access the 3D structural details of biological systems at the nanoscale while avoiding complicated sample preparation, or even keeping the sample environment close to the natural state.

Three essays in international finance

Executive Summary The first essay of this dissertation investigates whether greater exchange rate uncertainty (i.e., variation over time in the exchange rate) fosters or depresses the foreign investment of multinational firms. In addition to the direct capital financing it supplies, foreign investment can be a source of valuable technology and know-how, which can have substantial positive effects on a host country's economic growth. Thus, it is critically important for policy makers and central bankers, among others, to understand how multinationals base their investment decisions on the characteristics of foreign exchange markets. In this essay, I first develop a theoretical framework to improve our knowledge regarding how the aggregate level of foreign investment responds to exchange rate uncertainty when an economy consists of many firms, each of which is making decisions. The analysis predicts a U-shaped effect of exchange rate uncertainty on the total level of foreign investment of the economy. That is, the effect is negative for low levels of uncertainty and positive for higher levels of uncertainty. This pattern emerges because the relationship between exchange rate volatility and 'the probability of investment is negative for firms with low productivity at home (i.e., firms that find it profitable to invest abroad) and the relationship is positive for firms with high productivity at home (i.e., firms that prefer exporting their product). This finding stands in sharp contrast to predictions in the existing literature that consider a single firm's decision to invest in a unique project. The main contribution of this research is to show that the aggregation over many firms produces a U-shaped pattern between exchange rate uncertainty and the probability of investment. Using data from industrialized countries for the period of 1982-2002, this essay offers a comprehensive empirical analysis that provides evidence in support of the theoretical prediction. In the second essay, I aim to explain the time variation in sovereign credit risk, which captures the risk that a government may be unable to repay its debt. The importance of correctly evaluating such a risk is illustrated by the central role of sovereign debt in previous international lending crises. In addition, sovereign debt is the largest asset class in emerging markets. In this essay, I provide a pricing formula for the evaluation of sovereign credit risk in which the decision to default on sovereign debt is made by the government. The pricing formula explains the variation across time in daily credit spreads - a widely used measure of credit risk - to a degree not offered by existing theoretical and empirical models. I use information on a country's stock market to compute the prevailing sovereign credit spread in that country. The pricing formula explains a substantial fraction of the time variation in daily credit spread changes for Brazil, Mexico, Peru, and Russia for the 1998-2008 period, particularly during the recent subprime crisis. I also show that when a government incentive to default is allowed to depend on current economic conditions, one can best explain the level of credit spreads, especially during the recent period of financial distress. In the third essay, I show that the risk of sovereign default abroad can produce adverse consequences for the U.S. equity market through a decrease in returns and an increase in volatility. The risk of sovereign default, which is no longer limited to emerging economies, has recently become a major concern for financial markets. While sovereign debt plays an increasing role in today's financial environment, the effects of sovereign credit risk on the U.S. financial markets have been largely ignored in the literature. In this essay, I develop a theoretical framework that explores how the risk of sovereign default abroad helps explain the level and the volatility of U.S. equity returns. The intuition for this effect is that negative economic shocks deteriorate the fiscal situation of foreign governments, thereby increasing the risk of a sovereign default that would trigger a local contraction in economic growth. The increased risk of an economic slowdown abroad amplifies the direct effect of these shocks on the level and the volatility of equity returns in the U.S. through two channels. The first channel involves a decrease in the future earnings of U.S. exporters resulting from unfavorable adjustments to the exchange rate. The second channel involves investors' incentives to rebalance their portfolios toward safer assets, which depresses U.S. equity prices. An empirical estimation of the model with monthly data for the 1994-2008 period provides evidence that the risk of sovereign default abroad generates a strong leverage effect during economic downturns, which helps to substantially explain the level and the volatility of U.S. equity returns.

Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het¬erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un¬certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. Résumé Cette thèse se compose de quatre essais dans l'évaluation des actifs d'équilibre. Le sujet principal est l'hétérogénéité des investisseurs: J'étudie les implications d'équilibre pour les marchés financiers où les investisseurs ont des attitudes différentes face au risque. Le première chapitre étudie pourquoi attendus risque et la rémunération sur le marché global sont liées négativement, même si l'intuition et la théorie standard suggèrent une relation positive. Je montre que le compromis négatif peut obtenir en équilibre si les croyances des investisseurs sur les fondamentaux économiques sont procyclique biaisées et le ratio de Sharpe du marché est anticyclique. Je vérifier que ces conditions sont réalisées dans les marchés réels et je trouve un appui empirique à la dynamique risque-rendement prédites par le modèle. Le deuxième chapitre se compose de deux essais. Le première essai étudie com¬ment hétérogénéité dans les préférences de risque inter agit avec d'autres sources d'hétérogénéité et comment cela affecte les prix des actifs en équilibre. Utili¬sation de l'incertitude macroéconomique perù comme source d'hétérogénéité, le modèle permet d'expliquer certaines tendances de rendements financiers, même si l'hétérogénéité est faible comme suggéré par les données d'enquête. Le deuxième essai détermine des conditions telles que les prix d'équilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques hétérogènes et les fondamentaux macroéconomiques disposent d'incertitude latente. Cette approche fournit un éclairage supplémentaire à la littérature antérieure où les modèles nécessitent des solutions numériques. Le troisième chapitre étudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque décroissante avec l'horizon, mme si les modèles standards impliquent la forme opposée. Je montre que les relations de travail contribue à expliquer l'énigme. Lorsque les travailleurs ont le pouvoir de négociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqués que dans une économie standard. Risque de répartition entre les travailleurs et les actionnaires fournit une justification à le risque à court terme, ce qui conduit à des term-structures en pente descendante des primes et des risques pour les equity-claims.

Mega Sporting Event Legacy : A Multifaceted Concept

L'héritage d'un grand événement sportif peut être perçu de multiples façons. On peut le voir comme positif ou négatif, tangible ou intangible, territorial ou personnel, intentionnel ou non, global ou local, à court ou long terme, lié au sport ou non, et aussi selon la perspective de ses différentes parties prenantes. En fait, il est bien plus approprié d'employer le terme d'héritages au pluriel qu'au singulier. Cet article donne une vue d'ensemble d'un concept souvent utilisé mais rarement défini - celui d'héritage (legacy en anglais) - en utilisant des exemples provenant des Jeux olympiques et des Jeux du Commonwealth, deux des plus grands événements sportifs multisports régulièrement organisés. Il conclue que l'héritage est pour l'essentiel un rêve à poursuivre plutôt qu'une certitude à atteindre pour ce qui concerne les grands événements sportifs.

Innovation and new business through mutually beneficial collaboration and proactive procurement

ABSTRACT This dissertation focuses on new technology commercialization, innovation and new business development. Industry-based novel technology may achieve commercialization through its transfer to a large research laboratory acting as a lead user and technical partner, and providing the new technology with complementary assets and meaningful initial use in social practice. The research lab benefits from the new technology and innovation through major performance improvements and cost savings. Such mutually beneficial collaboration between the lab and the firm does not require any additional administrative efforts or funds from the lab, yet requires openness to technologies and partner companies that may not be previously known to the lab- Labs achieve the benefits by applying a proactive procurement model that promotes active pre-tender search of new technologies and pre-tender testing and piloting of these technological options. The collaboration works best when based on the development needs of both parties. This means that first of all the lab has significant engineering activity with well-defined technological needs and second, that the firm has advanced prototype technology yet needs further testing, piloting and the initial market and references to achieve the market breakthrough. The empirical evidence of the dissertation is based on a longitudinal multiple-case study with the European Laboratory for Particle Physics. The key theoretical contribution of this study is that large research labs, including basic research, play an important role in product and business development toward the end, rather than front-end, of the innovation process. This also implies that product-orientation and business-orientation can contribute to basic re-search. The study provides practical managerial and policy guidelines on how to initiate and manage mutually beneficial lab-industry collaboration and proactive procurement.

The Rise of The Swiss Tax Haven in the Interwar Period: An International Comparison

The history of tax havens is still little known for the decades before World War II. Up to now the studies that have focused on the 1920s and 30s have presented either a very general perspective on the development of tax havens or a narrow national point of view. Based on unpublished historical archives of four countries, this paper offers therefore a new comparative look on international tax competition during this period in order to answer the following question: was the Swiss case - already considered as a quintessential tax haven at the time - specific in comparison to other banking centres? This research has two results. On the one hand, the 1920s and 30s appear as something of a golden age of opportunity for avoiding taxation through the relocation of assets. Actually, most of the financial centres granted consistent tax benefits for imported capital, while the extremely limited degree of international cooperation and the usual guarantee of banking secrecy in European countries prevented the taxation of exported assets. On the other hand, within this general balance sheet, the fiscal strategies of a tax haven like Switzerland differed from those of a great financial power like Great Britain. Whereas the Swiss administration readily placed itself at the service of the bankers, the British policy was more balanced between the contradictory interests of the Board of Inland Revenue, the Treasury and the English business circles.

Financial Markets and Real Ecinomy: Four Essays in International Trade

Financial markets play an important role in an economy performing various functions like mobilizing and pooling savings, producing information about investment opportunities, screening and monitoring investments, implementation of corporate governance, diversification and management of risk. These functions influence saving rates, investment decisions, technological innovation and, therefore, have important implications for welfare. In my PhD dissertation I examine the interplay of financial and product markets by looking at different channels through which financial markets may influence an economy.My dissertation consists of four chapters. The first chapter is a co-authored work with Martin Strieborny, a PhD student from the University of Lausanne. The second chapter is a co-authored work with Melise Jaud, a PhD student from the Paris School of Economics. The third chapter is co-authored with both Melise Jaud and Martin Strieborny. The last chapter of my PhD dissertation is a single author paper.Chapter 1 of my PhD thesis analyzes the effect of financial development on growth of contract intensive industries. These industries intensively use intermediate inputs that neither can be sold on organized exchange, nor are reference-priced (Levchenko, 2007; Nunn, 2007). A typical example of a contract intensive industry would be an industry where an upstream supplier has to make investments in order to customize a product for needs of a downstream buyer. After the investment is made and the product is adjusted, the buyer may refuse to meet a commitment and trigger ex post renegotiation. Since the product is customized to the buyer's needs, the supplier cannot sell the product to a different buyer at the original price. This is referred in the literature as the holdup problem. As a consequence, the individually rational suppliers will underinvest into relationship-specific assets, hurting the downstream firms with negative consequences for aggregate growth. The standard way to mitigate the hold up problem is to write a binding contract and to rely on the legal enforcement by the state. However, even the most effective contract enforcement might fail to protect the supplier in tough times when the buyer lacks a reliable source of external financing. This suggests the potential role of financial intermediaries, banks in particular, in mitigating the incomplete contract problem. First, financial products like letters of credit and letters of guarantee can substantially decrease a risk and transaction costs of parties. Second, a bank loan can serve as a signal about a buyer's true financial situation, an upstream firm will be more willing undertake relationship-specific investment knowing that the business partner is creditworthy and will abstain from myopic behavior (Fama, 1985; von Thadden, 1995). Therefore, a well-developed financial (especially banking) system should disproportionately benefit contract intensive industries.The empirical test confirms this hypothesis. Indeed, contract intensive industries seem to grow faster in countries with a well developed financial system. Furthermore, this effect comes from a more developed banking sector rather than from a deeper stock market. These results are reaffirmed examining the effect of US bank deregulation on the growth of contract intensive industries in different states. Beyond an overall pro-growth effect, the bank deregulation seems to disproportionately benefit the industries requiring relationship-specific investments from their suppliers.Chapter 2 of my PhD focuses on the role of the financial sector in promoting exports of developing countries. In particular, it investigates how credit constraints affect the ability of firms operating in agri-food sectors of developing countries to keep exporting to foreign markets.Trade in high-value agri-food products from developing countries has expanded enormously over the last two decades offering opportunities for development. However, trade in agri-food is governed by a growing array of standards. Sanitary and Phytosanitary standards (SPS) and technical regulations impose additional sunk, fixed and operating costs along the firms' export life. Such costs may be detrimental to firms' survival, "pricing out" producers that cannot comply. The existence of these costs suggests a potential role of credit constraints in shaping the duration of trade relationships on foreign markets. A well-developed financial system provides the funds to exporters necessary to adjust production processes in order to meet quality and quantity requirements in foreign markets and to maintain long-standing trade relationships. The products with higher needs for financing should benefit the most from a well functioning financial system. This differential effect calls for a difference-in-difference approach initially proposed by Rajan and Zingales (1998). As a proxy for demand for financing of agri-food products, the sanitary risk index developed by Jaud et al. (2009) is used. The empirical literature on standards and norms show high costs of compliance, both variable and fixed, for high-value food products (Garcia-Martinez and Poole, 2004; Maskus et al., 2005). The sanitary risk index reflects the propensity of products to fail health and safety controls on the European Union (EU) market. Given the high costs of compliance, the sanitary risk index captures the demand for external financing to comply with such regulations.The prediction is empirically tested examining the export survival of different agri-food products from firms operating in Ghana, Mali, Malawi, Senegal and Tanzania. The results suggest that agri-food products that require more financing to keep up with food safety regulation of the destination market, indeed sustain longer in foreign market, when they are exported from countries with better developed financial markets.Chapter 3 analyzes the link between financial markets and efficiency of resource allocation in an economy. Producing and exporting products inconsistent with a country's factor endowments constitutes a serious misallocation of funds, which undermines competitiveness of the economy and inhibits its long term growth. In this chapter, inefficient exporting patterns are analyzed through the lens of the agency theories from the corporate finance literature. Managers may pursue projects with negative net present values because their perquisites or even their job might depend on them. Exporting activities are particularly prone to this problem. Business related to foreign markets involves both high levels of additional spending and strong incentives for managers to overinvest. Rational managers might have incentives to push for exports that use country's scarce factors which is suboptimal from a social point of view. Export subsidies might further skew the incentives towards inefficient exporting. Management can divert the export subsidies into investments promoting inefficient exporting.Corporate finance literature stresses the disciplining role of outside debt in counteracting the internal pressures to divert such "free cash flow" into unprofitable investments. Managers can lose both their reputation and the control of "their" firm if the unpaid external debt triggers a bankruptcy procedure. The threat of possible failure to satisfy debt service payments pushes the managers toward an efficient use of available resources (Jensen, 1986; Stulz, 1990; Hart and Moore, 1995). The main sources of debt financing in the most countries are banks. The disciplining role of banks might be especially important in the countries suffering from insufficient judicial quality. Banks, in pursuing their rights, rely on comparatively simple legal interventions that can be implemented even by mediocre courts. In addition to their disciplining role, banks can promote efficient exporting patterns in a more direct way by relaxing credit constraints of producers, through screening, identifying and investing in the most profitable investment projects. Therefore, a well-developed domestic financial system, and particular banking system, would help to push a country's exports towards products congruent with its comparative advantage.This prediction is tested looking at the survival of different product categories exported to US market. Products are identified according to the Euclidian distance between their revealed factor intensity and the country's factor endowments. The results suggest that products suffering from a comparative disadvantage (labour-intensive products from capital-abundant countries) survive less on the competitive US market. This pattern is stronger if the exporting country has a well-developed banking system. Thus, a strong banking sector promotes exports consistent with a country comparative advantage.Chapter 4 of my PhD thesis further examines the role of financial markets in fostering efficient resource allocation in an economy. In particular, the allocative efficiency hypothesis is investigated in the context of equity market liberalization.Many empirical studies document a positive and significant effect of financial liberalization on growth (Levchenko et al. 2009; Quinn and Toyoda 2009; Bekaert et al., 2005). However, the decrease in the cost of capital and the associated growth in investment appears rather modest in comparison to the large GDP growth effect (Bekaert and Harvey, 2005; Henry, 2000, 2003). Therefore, financial liberalization may have a positive impact on growth through its effect on the allocation of funds across firms and sectors.Free access to international capital markets allows the largest and most profitable domestic firms to borrow funds in foreign markets (Rajan and Zingales, 2003). As domestic banks loose some of their best clients, they reoptimize their lending practices seeking new clients among small and younger industrial firms. These firms are likely to be more risky than large and established companies. Screening of customers becomes prevalent as the return to screening rises. Banks, ceteris paribus, tend to focus on firms operating in comparative-advantage sectors because they are better risks. Firms in comparative-disadvantage sectors finding it harder to finance their entry into or survival in export markets either exit or refrain from entering export markets. On aggregate, one should therefore expect to see less entry, more exit, and shorter survival on export markets in those sectors after financial liberalization.The paper investigates the effect of financial liberalization on a country's export pattern by comparing the dynamics of entry and exit of different products in a country export portfolio before and after financial liberalization.The results suggest that products that lie far from the country's comparative advantage set tend to disappear relatively faster from the country's export portfolio following the liberalization of financial markets. In other words, financial liberalization tends to rebalance the composition of a country's export portfolio towards the products that intensively use the economy's abundant factors.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Three essays in risk management in financial institutions

The choice to adopt risk-sensitive measurement approaches for operational risks: the case of Advanced Measurement Approach under Basel II New Capital Accord This paper investigates the choice of the operational risk approach under Basel II requirements and whether the adoption of advanced risk measurement approaches allows banks to save capital. Among the three possible approaches for operational risk measurement, the Advanced Measurement Approach (AMA) is the most sophisticated and requires the use of historical loss data, the application of statistical tools, and the engagement of a highly qualified staff. Our results provide evidence that the adoption of AMA is contingent on the availability of bank resources and prior experience in risk-sensitive operational risk measurement practices. Moreover, banks that choose AMA exhibit low requirements for capital and, as a result might gain a competitive advantage compared to banks that opt for less sophisticated approaches. - Internal Risk Controls and their Impact on Bank Solvency Recent cases in financial sector showed the importance of risk management controls on risk taking and firm performance. Despite advances in the design and implementation of risk management mechanisms, there is little research on their impact on behavior and performance of firms. Based on data from a sample of 88 banks covering the period between 2004 and 2010, we provide evidence that internal risk controls impact the solvency of banks. In addition, our results show that the level of internal risk controls leads to a higher degree of solvency in banks with a major shareholder in contrast to widely-held banks. However, the relationship between internal risk controls and bank solvency is negatively affected by BHC growth strategies and external restrictions on bank activities, while the higher regulatory requirements for bank capital moderates positively this relationship. - The Impact of the Sophistication of Risk Measurement Approaches under Basel II on Bank Holding Companies Value Previous research showed the importance of external regulation on banks' behavior. Some inefficient standards may accentuate risk-taking in banks and provoke a financial crisis. Despite the growing literature on the potential effects of Basel II rules, there is little empirical research on the efficiency of risk-sensitive capital measurement approaches and their impact on bank profitability and market valuation. Based on data from a sample of 66 banks covering the period between 2008 and 2010, we provide evidence that prudential ratios computed under Basel II standards predict the value of banks. However, this relation is contingent on the degree of sophistication of risk measurement approaches that banks apply. Capital ratios are effective in predicting bank market valuation when banks adopt the advanced approaches to compute the value of their risk-weighted assets.