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ETDs @PUC-Rio
Estatística
Título: ESSAYS ON EVOLUTIONARY GAMES WITH APPLICATIONS TO THE STUDY OF INTERACTIONS BETWEEN RATING AGENCIES AND INVESTORS
Autor: RAFFAEL CAPANO DE ARRUDA
Colaborador(es): ANDRE BARREIRA DA SILVA ROCHA - Orientador
Catalogação: 24/FEV/2016 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: THESIS
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=25842&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=25842&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.25842
Resumo:
The role of the credit rating agencies in the capital market has evolved in the last years, turning from a data provider to financial agents into a market quasi-regulator . Primarily, it is supposed that the evaluations provided by the rating agencies are impartial and, consequently, indicative of credit quality of a wide range of financial instruments. Nevertheless, it is important to note that as these instruments available in the market became more complex, the aggregate value of evaluations of agencies decrease considerably. In order to analyze the rating agencies impartiality issues, as proposed by Hirth (2014), this study uses the spatial structure in comparison to the analytical solution presented as equilibrium condition to the evolutionary game, with well-mixed population. Therefore, in order to model the presented problem, this study presents a computational program that aims to present a solution that matches the Game Theory literature, expanding its concepts and applications to a Spatial Games Structure. Finally, we created an extension of the program, which, in my best knowledge, is an innovation to the literature since it extends the approaches of Chan et al. (2013), Hauert (2004) e Zhong et al. (2006), regarding the Spatial Games Structure, to the concept of two populations. From the studied cases, we concluded that the fact of the population being well-mixed or disposed in a spatial grid does not imply differences of significance in the results to the same parameters values.
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