Submitted by Gustavo Quindere Saraiva (gqs007@gmail.com) on 2013-08-08T22:45:46Z No. of bitstreams: 1 Dissert_Gustavo.pdf: 1205214 bytes, checksum: e7415a09177c3999bf4b562101926770 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2013-08-19T17:59:44Z (GMT) No. of bitstreams: 1 Dissert_Gustavo.pdf: 1205214 bytes, checksum: e7415a09177c3999bf4b562101926770 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-08-22T13:13:48Z (GMT) No. of bitstreams: 1 Dissert_Gustavo.pdf: 1205214 bytes, checksum: e7415a09177c3999bf4b562101926770 (MD5) / Made available in DSpace on 2013-08-22T13:13:58Z (GMT). No. of bitstreams: 1 Dissert_Gustavo.pdf: 1205214 bytes, checksum: e7415a09177c3999bf4b562101926770 (MD5) Previous issue date: 2013-06-20 / This work consists on a survey of some papers from the literature of general equilibrium with default costs. We focus on the study of Kehoe and Levine (1993) and Alvarez and Jermann (2000) models. We also describe some adaptations of Al- varez and Jermann’s model, such as the models developed by Hellwig and Lorenzoni (2009) and Azariadis and Kaas (2008), and we compare them with Huggett’s (1993) model, where the market is exogenously incomplete. Finally, we point out one flaw present in Krueger and Perry’s (2010) algorithm to compute stationary equilibria from economies such as Alvarez and Jermann. / Neste trabalho fazemos um resumo de alguns artigos que tratam de equilíbrio geral dinâmico com custos de default. Focamos no estudo dos modelos de Kehoe e Levine (1993) e de Alvarez e Jermann (2000). Também descrevemos algumas adaptações do modelo de Alvarez e Jermann, como os trabalhos de Hellwig e Lorenzoni (2009) e de Azariadis e Kaas (2008), e comparamos os resultados desses modelos com os de Huggett (1993), no qual os mercados são exogenamente incompletos. Finalmente, expomos uma falha no algoritmo computacional sugerido por Krueger e Perry (2010) para se computar os equilíbrios estacionários de economias como as de Alvarez e Jermann (2000).

This master thesis deals with the issue of using rating in the context of determining capital requirements. The focus is on using the Standardised Approach and the Internal Rating-Based Approach to calculate credit risk capital requirements. Different approaches to managing the risk and evaluating the capital adequacy. Criticism of rating agencies as well as the complexity of Internal Rating-Based Approach is taken into account. Furthermore, the thesis discusses the issue of responsibility of external rating agencies for their evaluations, and together with the issue of lacking competition. Various alternatives to external rating are discussed. The internal rating process is discussed in more detail along with the factors which affect rating evaluations of exposures to various entities. Subsequently, the thesis focuses on determining the rate of provision for impairment expected losses on receivables, and a possible impact of accepting IFRS 9 on capital adequacy.

This thesis explores the relation between fiancial stability and macroeconomic policy. The first chapter tackles the topic of financial stability from the point of wiev of a the single bank. In that model banks take explicitly into account the probability of default of their counterparties on the interbank market. In this way, an endogenous constraint to the credit supply is defined. That constraint evolves along the business cycle. I show that monetary policy alone is not able to ease credit conditions during a crisis. The second chapter nests a complex network model inside a state-of-the-art DSGE model. Using the tools of network analysis it is possible to trace how contagion spreads between banks (i.e. what is the likelihood that the default of one bank spreds to other banks, how many institution are affected) and how its probability avolves following exogenous shocks. With this tool I test partial equilibrium macropolicy tools (i.e. direct lendings to banks) and the effectiveness of monetary policy during crisis. Finally, in the last chapter I analyze, with high frequency data, the impact of conventional and unconventional monetary policy surprises, finding that the response of markets to menetary policy increased over time. / Questa tesi studia la relazione tra stabilità finanziaria e politica economica. Il primo capitolo della tesi affronta l'argomento della stabilità finanziaria dal punto di vista della singola banca. In quel modello ciascuna banca tiene esplicitamente in considerazine la probabilità di insulvenza delle sue controparti sul mercato interbancario. In questo modo si genera un vincolo endogeno all'offerta di credito. Tale vincolo evolve con il ciclo economico. Il modello mostra come la politica monetaria da sola non sia sufficiente a migliorare le condizioni del credito sui mercati finanziari dureante le crisi. Il secondo capitolo inserisce un modello di network all'interno di un mdoello DSGE standard. Analizzando il modello di network è possibile seguire come il contagio si diffonda tra le banche (qual è la probabilità che l'insolvenza di una banca si diffonda ad altre, qaule il numero di istituzioni coinvolte) e come tale probabilità evolva a seguito di shock esogeni. Con questi strumenti è possibile valutare politiche microeconomiche (per esempio prestiti diretti alle banche) e l'efficacia della politica moentaria durante le crisi. Infine, nell'ultimo capitolo, utilizzando dati ad alta frequenza, stimo l'impatto di shock di politica monetaria (convenzionali e non) trovando che la sensibilità dei mercati è aumentanta nel tempo.

Mind-wandering was until recently not a mainstream topic of research. The aim of this literature review is to present current views on the definition of mind-wandering and how the phenomenon is experienced. Furthermore, it gives an account of the implications of mind-wandering on cognitive performance, as well as its neurological correlates. In addition, the methods used to study mind-wandering are reviewed.The study of mind-wandering reveals a highly frequent phenomenon with practical consequences on a broad scale, both disruptive and supportive to goal-related behaviour and wellbeing in general. Originating from the default network, and its regions related to representations of self, memory, Theory of Mind, empathy and creativity, mind-wandering is hypothesized to be a function for planning one’s future life. Suggested further research concerns how mind-wandering can be countered, detected from the outside and whether it alters the physical feature of the brain.

Abstract: The default mode network of the brain is a set of functionally connected regions associated with introspection and daydreaming. Recent fMRI studies have discovered that the default mode network is often perturbed in the diseased brain. For example, the default mode network is known to be modulated in dementia, ADHD, depression, and schizophrenia, among others. This has led many into believing that this network could have a role in the physiopathology of nervous system disease, or could be a useful marker of brain function. However, very few studies have yet been done which investigate how surgical lesions such as brain tumours affect the default mode network. Consequently, the goal of this project was to characterise the effect of brain tumours on the default mode network based on their location, histological type, and other parameters. / Le mode de fonctionement par défaut du cerveau est un réseau cérébral associé à la rêverie et à l’introspection. Des études récentes sur ce réseau ont découvert qu’il est perturbé dans plusieurs pathologies cérébrales. Par example, le mode de fonctionnement par défaut est modulé en démence, TDAH, dépression, schizophrénie et plusieurs autres maladies liés au cerveau. Ceci a mené à l’hypothèse que le mode de fonctionnement par défaut pourrait avoir un rôle dans la physiopathologie des maladies du système nerveux, ou pourrait être un marqueur utile du fonctionnement cérébral. Par contre, très peu d’études ont investigué l’effet de lésions chirurgicaux comme les tumeurs cérébrales sur le mode de fonctionnement par défaut. Par conséquent, le but de ce projet était de caractériser l’importance de l’histologie, de la localisation et de plusieurs autres paramètres de l’effet d’une tumeur cérébrale sur le mode de fonctionnement par défaut.

L'hémochromatose HFE due à la mutation C282Y entraine une surcharge en fer progressive. La surmortalité se produit après 50ans. La saignée répétée est un traitement efficace de peu d'effets secondaires. Justifier le dépistage est discuté depuis 60ans et dépend de l'efficacité du traitement et de la pénétrance en fonction d'enjeux économiques et sociaux. Ce travail apporte des éléments tirés de la cohorte LOGIFER depuis 25ans au CHU de Rennes, composée de 1835 homozygotes consultants du CHU, issus d'enquêtes ciblées, référés au CNR ou parents. Les motifs de recrutement, le sexe et l'âge ont évolué. 2/3 des patients sont des probants dont la moitié issus de dépistage, d'une meilleure représentativité. Le sexe-ratio est de 1.2. Ils sont caractérisés par la mélanodermie et les hépatopathies. Les atteintes articulaires sont peu spécifiques. Les mesures classiques de la surcharge sont univoques, très hétérogène selon les individus, elle augmente au moins jusque 60ans. Les femmes stockent le fer lentement jusqu'à la ménopause. L'alcool et le syndrome métabolique aggravent la surcharge. L'alcool accélère le dépistage clinique. Le syndrome métabolique crée une surcharge modérée, les arthropathies associées concernent d'autres articulations. Environ 20% des troubles au diagnostic contribuent à la pénétrance. L'Iron removal index repose sur la quantité de fer ôté pour entretenir le statut martial. Il a 2 usages probablement valables pour d'autres hémochromatoses. Mesurer la vitesse d'absorption du fer propre à un patient, complétant le phénotype et donnant une vue dynamique du risque de surcharge au contraire des critères classiques. Fournir un cadre de pilotage des saignées. Le rythme de traitement est personnalisable et prévisible au diagnostic (âge, sexe, fibrose, objectif de ferritine, poids). Corollairement, l'évolution du statut martial sous saignées implique des explorations complémentaires. Les patients génotypés suivis 8.5ans pendant le traitement ont une mortalité de 5%. A 54ans, il n'y a pas de surmortalité après ajustement sur le sexe, le lieu et l'année de naissance. Il y a une mortalité hépatique significative surtout des cancers primaires (ICM=18). Ils décèdent dans les 5ans du diagnostic. Elle est compensée par une sous-mortalité ultérieure cardiaque ou par d'autres cancers. La durée de vie baisse pour les patients anciennement recrutés en partie due au diagnostic tardif et aux traitements adjuvants moins efficaces. L'âge au décès va de 64 à 68ans. L'effet des saignées n'est pas quantifiable mais milite pour le traitement précoce. Le prédicteur de cirrhose de Guyader s'adapte à la prédiction des fibroses (indice de Youden similaire). L'analyse discriminante prédit les stades METAVIR avec un contrôle de fiabilité. Ces équations sont les meilleurs prédicteurs parmi les index proposés par la littérature. Le développement des résultats passe par la mise en place d'études longitudinales entre 65 et 80ans et l'étude des pathologies non létales. / Hemochromatosis due to the HFE mutation C282Y causes a progressive iron overload. The mortality occurs after 50 years. Repeated bleeding is an effective treatment with marginal side effects. The rationale for screening, debated for 60 years, depends on the penetrance and the effectiveness of treatment relatively to economic and social issues. This work provides evidence from cohort LOGIFER, 25 years old at the CHU of Rennes, composed of 1835 homozygous: consultants from CHU, from targeted surveys, referred to the NRC or related. The reasons for recruitment, gender and age have changed. 2/3 of patients are probants, half of them coming from screening, providing better representativity. The sex ratio was 1.2. They are characterized by skin pigmentation and liver disease. Joint involvement are nonspecific. Traditional measures of overload are unequivocal , highly heterogeneous among individuals and increases until at least 60 years. Women store iron slowly until menopause. Alcohol and metabolic syndrome worse overload. Alcohol accelerates the clinical discover. Metabolic syndrome creates a moderate overload, associated arthropathies involve other joints. Approximately 20% of clinical signs at diagnosis contribute to the penetrance. The Iron removal index is based on the amount of iron removed to maintain iron status . It has two usages probably valid for other hemochromatosis. Measuring the rate of absorption of iron for a specific patient, supplementing the phenotype and giving a dynamic view of the risk of overload unlike conventional criteria. Providing a framework for controlling the bleeding pattern. The processing rate is customizable and predictable at diagnosis (age, sex, fibrosis, ferritin target, weight). Con,sequently, changes in iron status during maintaining treatment involves complementary explorations. Genotyped patients monitored for 8.5 years during treatment have a mortality rate of 5%. At 54 years, there is no excess mortality after adjustment for sex, place and year of birth. There is a significant hepatic mortality especially primary liver cancers (ICM=18). They die within 5 years of diagnosis. It is offset by a subsequent under mortality from heart diseases or other cancers. Life expectancy down for patients initially enrolled in part due to delayed diagnosis and less effective adjuvant treatments. The age at death is 64 to 68 years. The effect of phelbotomies is not quantifiable but advocates for early treatment. The Guyader's predictor of cirrhosis adapts to the prediction of fibrosis (similar Youden index). Discriminant analysis predicts METAVIR stages with the benefit of a reliability check. These equations are the best predictors among candidates proposed by the literature. Development goes through the implementation of longitudinal studies between 65 and 80 years and the study of non-lethal forms.

Les mutations génétiques et les conditions pathologiques affectent la connectivité functionnelle du cerveau. Nous avons combiné la mutagénèse chez la souris et l’analyse de connectivité fonctionnelle (CF) par imagerie en Resonance Magnétique Nucléaire (IRM) pour déterminer l’impact de la délétion du gène codant pour le récepteur orphelin GPR88 sur la CF du cerveau entier. En utilisant une approche non biaisée, nous avons découvert que la délétion génétique chez la souris altère fortement le Default Mode Network, une caractéristique de nombreuses maladies psychiatriques. Nous avons aussi observé des modifications importantes de la connectivité des cortex moteurs et somatosensoriels,et du striatum en accord avec le pattern d’expression du récepteur. Enfin, une analyse par régions d’intérêt montre une perturbation importante du réseau mesocorticolimbic, qui pourrait expliquer la tendance de ces animaux à consommer de fortes quantités d’alcool. La concordance entre les altérations de CF et celles du comportement des animaux GPR88 knockout positionnent ce récepteur comme une cible prometteuse pour le traitement de maladies psychiatriques. / Pathological agitations of the brain and the expression or mutation of single gene affect overall brain connectivity. Here we combined mouse mutagenesis with functional and structural MRI and explored mouse whole brain connectivity maps non-invasively in response to the inactivation of Gpr88 gene. We perceived robust modifications in the default mode network which is considered a hallmark of many psychiatric conditions, followed by sensori-motor network allied to sensorimotor gating deficiency underlying hyperactivity phenotype in Gpr88-/- mice. In addition, hippocampal and dorsal striatum functional connectivity perturbations might underlie learning deficiency and weakened amygdala connectivity with cortex and striatum might suggest triggering of risk-taking behavior previously observed in these animals. Moreover, Gpr88 deletion strongly modifies the reward network leading Gpr88-/- mice vulnerable to alcohol intake. This is the first evidence of Gpr88 involvement in reshaping the mouse brain connectome. The concordance between connectivity alterations and behavior deficits posits Gpr88 as a potential target for psychiatric disorders.

Magister Legum - LLM / South Africa

In recent times, credit risk analysis has grown to become one of the most important problems dealt with in the mathematical finance literature. Fundamentally, the problem deals with estimating the probability that an obligor defaults on their debt in a certain time. To obtain such a probability, several methods have been developed which are regulated by the Basel Accord. This establishes a legal framework for dealing with credit and market risks, and empowers banks to perform their own methodologies according to their interests under certain criteria. Credit risk analysis is founded on the rating system, which is an assessment of the capability of an obligor to make its payments in full and on time, in order to estimate risks and make the investor decisions easier.Credit risk models can be classified into several different categories. In structural form models (SFM), that are founded on the Black & Scholes theory for option pricing and the Merton model, it is assumed that default occurs if a firm's market value is lower than a threshold, most often its liabilities. The problem is that this is clearly is an unrealistic assumption. The factors models (FM) attempt to predict the random default time by assuming a hazard rate based on latent exogenous and endogenous variables. Reduced form models (RFM) mainly focus on the accuracy of the probability of default (PD), to such an extent that it is given more importance than an intuitive economical interpretation. Portfolio reduced form models (PRFM) belong to the RFM family, and were developed to overcome the SFM's difficulties.Most of these models are based on the assumption of having an underlying Markovian process, either in discrete or continuous time. For a discrete process, the main information is containted in a transition matrix, from which we obtain migration probabilities. However, according to previous analysis, it has been found that this approach contains embedding problems. The continuous time Markov process (CTMP) has its main information contained in a matrix Q of constant instantaneous transition rates between states. Both approaches assume that the future depends only on the present, though previous empirical analysis has proved that the probability of changing rating depends on the time a firm maintains the same rating. In order to face this difficulty we approach the PD with the continuous time semi-Markov process (CTSMP), which relaxes the exponential waiting time distribution assumption of the Markovian analogue.In this work we have relaxed the constant transition rate assumption and assumed that it depends on the residence time, thus we have derived CTSMP forward integral and differential equations respectively and the corresponding equations for the particular cases of exponential, gamma and power law waiting time distributions, we have also obtained a numerical solution of the migration probability by the Monte Carlo Method and compared the results with the Markovian models in discrete and continuous time respectively, and the discrete time semi-Markov process. We have focused on firms from U.S.A. and Canada classified as financial sector according to Global Industry Classification Standard and we have concluded that the gamma and Weibull distribution are the best adjustment models.

Les questions de croissance durable mêlées aux enjeux d’accès aux marchés financiers internationaux des pays riches en ressources naturelles ont souvent été occultées dans la littérature économique. Or, ces enjeux s’avèrent de plus en plus présents dans le débat public face à la baisse récente des prix du pétrole. Cette thèse tente de mieux comprendre comment des économies dépendantes de leur production de ressources épuisables gèrent leur dette externe en vue d’une croissance soutenable dans le long-terme et comment les marchés financiers perçoivent le risque souverain lors de l’émission de leur dette. Pour y répondre, elle recourt à de la modélisation dynamique, à travers un cadre théorique, ainsi qu’à des études économétriques. Elle contribue à la littérature en intégrant de nouvelles dimensions, comme l’ouverture financière dans un modèle de croissance avec des ressources épuisables, modèles qui jusque-là étaient étudiés sous la forme d'économies fermées. Par ses analyses empiriques, elle prend en compte la notion de volume à travers l’étude des réserves de pétrole et de gaz. Les principaux résultats sont que l'ouverture financière ne permet pas d’avoir une croissance soutenable à taux d’intérêt constant, mais la consommation peut croître un temps lorsque le taux d’intérêt est endogène à la dette du pays. Les réserves de pétrole et de gaz ont un effet significatif sur les spreads souverains. La thèse n'élude pas pour autant la question des prix, puisqu'elle montre que les rendements et la volatilité des prix du pétrole sont des déterminants significatifs des CDS du Venezuela, alors que l'effet des prix se répercute à travers le canal du taux de change pour la Russie. / The relationship between sustainable growth and international financial market access in natural resource rich countries has been overlooked in the economic literature. However, those issues have become more present in the public debate with the recent drop in oil prices. This thesis tries to better understand how natural resource dependent economies can deal with their external debt and how financial markets view this sovereign risk. To address those issues, this dissertation refers to dynamic optimization, as well as econometric studies. It contributes to the natural resource literature by including new dimensions, such as financial openness in a growth model with exhaustible resources, contrary to most growth models which are studied as closed economies. Concerning its empirical applications, this thesis takes into account natural resource stocks, through oil and gas reserves, whereas most of the empirical literature focuses on the natural resource price dimension. This price issue is also part of the analysis, especially with oil price returns and oil price volatility. The main results are that long-term sustainability is not feasible with a constant interest rate, but the consumption growth rate can be positive in the case of a debt elastic interest rate, before declining in the long-term. It is also shown that oil and gas reserves have a significant impact on sovereign spreads. Moreover, oil price returns are significant determinants of Venezuela's Credit Default Swaps (CDS), contrary to the case of Russia, where oil prices seem to impact CDS spreads through the exchange rate canal.