Este trabalho trata de uma aplicação de programação estocástica para administração de passivos e ativos. Inicialmente, um modelo de administração de ativos e passivos utilizando valores de retorno de ativos determinísticos é formalizado, constatando-se as suas limitações, justificando-se a necessidade de abranger formalmente a incerteza inerente aos mercados financeiros. Para isso, um modelo para administração de ativos e passivos que utiliza otimização e programação estocástica baseado em uma árvore de cenários multiestágio balanceada é apresentado, descrito, e implementado. Os seus resultados determinam uma política de investimento de ativos para o instante inicial do período considerado, definindo-se também uma regra que possibilita, a partir do equilíbrio entre o patrimônio inicial e total de passivo a ser pago ao final do período considerado, estimar a probabilidade de insolvência do fundo de pensão. Além disso, realiza-se o estudo do impacto da redução de uma proxy da taxa de juros básico na composição do portfólio administrado por essas empresas. / This work discusses an application of stochastic programming for asset-liability management. Initially, a deterministic asset-liability model is formalized. Its limitations become clear which justify the need to include uncertainty in the model. Then, a stochastic programming model based on a balanced multistage scenario tree is presented, described and implemented for an asset-liability environment. The main results are: (i) an investment policy for the fund, and, (ii) the pension’s fund insolvency probability considering an initial relation between the current assets and the present value of the future liabilities. The impact of a possible reduction in interested rate on the pension’s fund optimal portfolio is also presented.

Magíster en Tecnologías de la Información / El presente trabajo de tesis pretende resolver una problemática al interior de Informática en la institución bancaria BCI. El Banco BCI contempla una Gerencia de Informática, la cual está compuesta por diversas unidades y áreas, en donde se desarrollan proyectos tecnológicos. Durante el ciclo de vida de los proyectos se debe validar que cumplen con sus funcionalidades, en forma correcta. La Gerencia de Calidad está a cargo de efectuar el proceso de certificación, y en base al resultado si es exitoso se dará autorización para su implantación en producción. En la Gerencia de Calidad existe un problema en el proceso de certificación, específicamente con los casos de pruebas que se generan en la herramienta ALM HP, puesto que carecen de reutilización, lo cual significa que cada caso es generado nuevamente desde cero, provocando duplicidad y casos no reutilizables. Para subsanar esta situación se propone una mejora al proceso actual de reutilización de casos de pruebas, el cual ha sido construido en la misma herramienta ALM HP donde se crean los casos de pruebas, por lo que la búsqueda se efectúa dentro de la misma, evitando interactuar con otras aplicaciones. El buscador facilita la búsqueda de casos de prueba y ello permite aumentar el nivel de reúso de las pruebas creadas de antemano. El correcto funcionamiento del buscador ha sido validado por Líderes de QA y Analistas de Pruebas. Los niveles de reutilización fueron validados con la jefatura de la Gerencia de Calidad, cuyos niveles fueron en promedio de un 35,59% en el año 2015, y para el año 2016 fue de un 48%. Esta información fue revisada junto al gerente de la Gerencia de Calidad quien destacó aspectos positivos en lo que respecta a los beneficios de la reutilización, así como disminución de tiempos y costos por concepto de diseño y confección de casos de pruebas. Durante el desarrollo de este proyecto se descubrió una consecuencia involuntaria; ya que no sólo aumentaron los niveles de reutilización de casos de pruebas, sino que aumentó la calidad del proceso de certificación al reutilizarse casos de pruebas gracias al buscador. Estos casos de pruebas eran casos que el Analista de Pruebas inicialmente no tenía contemplado diseñar. Todo esto contribuye a darle un valor agregado a este proyecto de tesis y a la Gerencia de Calidad.

Loss of heterozygosity (LOH) is detectable in many forms of cancer including leukaemia. It contributes to tumorigenesis through the loss of one of the two alleles of one tumor suppressor gene at a given locus, caused by deletion or uniparental disomy (UPD). UPD can only be the result of homologous recombination. Little is known about the mechanisms of UPD and what connection this aberration has with the outcome of this disease. In this study, 146 patients with primary AML were analysed using a novel technique based on single nucleotide polymorphisms (SNPs). Leukaemic cells and healthy T-cells from each patient were obtained using FACS-Vantage cell sorting. In cases with very few sorted cells whole genome preamplification was done. Genome-wide SNP analysis was carried out according to the standard GeneChip Mapping Assay protocol (Affymetrix, USA) using the Human Mapping 10K Arrays. Moreover, the impact of the FLT3-ITD mutation on the homologous recombination using pmHPRT-DRGFP /pCbASce vectors system and yHA2x assay was investigated. Of 146 patients with normal karyotype LOH was found in 30 cases. The potential LOH regions, were confirmed by microsatellite analysis of short tandem repeat (STR) markers. In 21 of these cases STR-analysis of T-cells, representing the corresponding tumor-free material, confirmed the regions of partial UPD. This aberration affected different chromosomes, but most commonly chr. 2, 6, 11, 21, 13, and 7, and covered between 11.5 and 88 Mb. Interestingly, in 6 LOH cases, long stretches of homozygosity present at the same positions as in the healthy cells and in the blasts were found. The impact of this phenomenon is unknown. Additionally, chromosome losses were detected in 3 patients classified with normal karyotype according to current methods. These 9 cases were not included in the UPD positive group. No differences were observed regarding any clinical factors including age, WBC-counts and sex. The FAB M1 subtype was observed in 47.6% of the UPD positive patients, compared to only 19.2% of the UPD negative patients (P=0.04, n=146). In addition, no correlation between FLT3-ITD, MLL-PTD and NPM1 mutations in the UPD patients was found, but the data indicate that patients with UPD have a higher rate of treatment failure. Moreover, in this study the relationship between UPD and gene aberrations was able to be confirmed. In some cases, UPD found on chromosomes 21, 19 and 11 was correlated with mutations in the RUNX1, CEBPA and WT genes, respectively. Furthermore, AML cases with and without UPD showed different but specific gene expression profiles, revealing different expression levels for genes involved in double strand break repairs. Furthermore, it was found that different mutations could be responsible for the increase in efficiency of HR, such as FLT3-ITD or BCR-ABL. Moreover, cells with a FLT3-ITD mutation (without wt expression) rapidly increased the HR efficiency compared with heterozygous (FLT3-ITD/wt) cells. Preliminary results showed that the high repair efficiency was mainly dependent on the translocation of RAD51. In conclusion, SNP array technology allow the identification and mapping of LOH in AML patients with normal karyotype. The obtained data also point out the necessity of analysing tumour-free material to confirm the somatic origin of the alteration. Furthermore, the available results indicate that compared to patients without UPD, patients with UPD have a higher relapse rate, which might be used as a prognostic marker in the future. Also, it could be hypothesized that downregulation of RAD51 (for example by FLT3 inhibition) might be beneficial DNA damage occurs through the genotoxic agent by reducing the relapse risk of AML.

[pt] Nesta dissertação será apresentado como fundos de pensão na modalidade benefícios definidos podem recorrer à programação linear inteira mista para resolver problemas de ALM. Devemos considerar que a legislação brasileira determina que participantes e patrocinadores devam pagar contribuição extraordinária em caso de déficit ou, em caso de superávit persistente, parte do excesso contributivo deve ser devolvido aos participantes. Esse aspecto legal particular requer o uso de técnicas de programação inteira. Com o objetivo de modelar a ocorrência de eventos de desequilíbrio nos fundos de pensão foi necessária a introdução de variáveis inteiras para proceder a contagem do número de ocorrências desses eventos. Um exemplo simples, porém realista, foi introduzido para mostrar como os gestores de um fundo de pensão não só determinam a menor contribuição necessária à operação do fundo de pensão, mas também devem investir os recursos garantidores a fim de assegurar essa contribuição mínima. / [en] In this dissertation we discuss how defined benefit plans can use mixed integer linear programming to solve an ALM problem. We must consider that Brazilian pension fund regulations commands that participants and sponsors alike are to pay an extra contribution in case of deficit, or, in case of a persistent superavit, part of the exceeding contribution should return to its participants. This particular legal aspect forces us to use integer programming techniques. In order to model this lack of balance, an integer variable was considered so as to count how many times it occurs. A simple but realistic example is presented to show how pension fund managers may not only plan their operation to get the minimal possible contribution but also invest money to support it.

[pt] Todos os investidores, indivíduos e instituições, possuem obrigações e objetivos financeiros futuros. Por esse motivo, devem tomar decisões de investimento que sirvam a tais propósitos, considerando os riscos a que estão sujeitos. Com a finalidade de auxiliar o processo decisório, pode-se lançar mão de políticas de investimento ótimo, como a Gerência de Ativos e Passivos (Asset and Liability Management - ALM), objeto do presente estudo. O ALM é uma forma de combinar os ativos e passivos dos investidores, buscando alcançar as suas finalidades em termos financeiros. No que se refere aos investidores individuais, tema abordado neste trabalho, os supracitados objetivos podem corresponder, por exemplo, à aposentadoria almejada, bem como aos gastos com a educação dos filhos. Sendo assim, o presente estudo propõe apresentar uma metodologia de otimização sob incerteza, por meio da utilização de programação estocástica e técnicas de otimização de portfolio, aplicadas ao problema de gerenciamento de ativos e passivos de um investidor individual. O estudo tem como enfoque um modelo de programação linear multiperíodo, desenvolvido por Consiglio, Cocco e Zenios (2002), o qual maximiza a riqueza esperada do investidor no final do horizonte de planejamento, dado o nível de tolerância ao risco do indivíduo. Esse modelo será validado através da variação dos níveis de aversão ao risco do investidor, dos horizontes de planejamento e do retorno alvo desejado pelo investidor para ser alcançado no período final. / [en] All investors, individuals and institutions, have obligations and financial future goals. For this reason, they should make investment decisions that serve this purpose considering the risks they face. To assist in making decisions, it is possible to use the optimal investment policies, as the Asset and Liability Management, object of this work. The ALM, as is known, is a way to combine the assets and liabilities of investors seeking to achieve their goals in financial terms. In the case of individuals investors these goals can be seen as the individual s retirement and children s tuition. The present work proposes a methodology for optimization under uncertainty, employing both stochastic programming and portfolio optimization techniques, applied to the problem of managing assets and liabilities for an individual investor. The study is focused on a multi-period linear programming model developed by Consiglio, Cocco and Zenios (2002), which maximizes the expected wealth of the investor at the end of the planning horizon, given the individual s risk tolerance level. This model will be validated through the variation of the risk aversion level, the planning horizons and the target return that should be achieved on the final period.

Loss of heterozygosity (LOH) is detectable in many forms of cancer including leukaemia. It contributes to tumorigenesis through the loss of one of the two alleles of one tumor suppressor gene at a given locus, caused by deletion or uniparental disomy (UPD). UPD can only be the result of homologous recombination. Little is known about the mechanisms of UPD and what connection this aberration has with the outcome of this disease. In this study, 146 patients with primary AML were analysed using a novel technique based on single nucleotide polymorphisms (SNPs). Leukaemic cells and healthy T-cells from each patient were obtained using FACS-Vantage cell sorting. In cases with very few sorted cells whole genome preamplification was done. Genome-wide SNP analysis was carried out according to the standard GeneChip Mapping Assay protocol (Affymetrix, USA) using the Human Mapping 10K Arrays. Moreover, the impact of the FLT3-ITD mutation on the homologous recombination using pmHPRT-DRGFP /pCbASce vectors system and yHA2x assay was investigated. Of 146 patients with normal karyotype LOH was found in 30 cases. The potential LOH regions, were confirmed by microsatellite analysis of short tandem repeat (STR) markers. In 21 of these cases STR-analysis of T-cells, representing the corresponding tumor-free material, confirmed the regions of partial UPD. This aberration affected different chromosomes, but most commonly chr. 2, 6, 11, 21, 13, and 7, and covered between 11.5 and 88 Mb. Interestingly, in 6 LOH cases, long stretches of homozygosity present at the same positions as in the healthy cells and in the blasts were found. The impact of this phenomenon is unknown. Additionally, chromosome losses were detected in 3 patients classified with normal karyotype according to current methods. These 9 cases were not included in the UPD positive group. No differences were observed regarding any clinical factors including age, WBC-counts and sex. The FAB M1 subtype was observed in 47.6% of the UPD positive patients, compared to only 19.2% of the UPD negative patients (P=0.04, n=146). In addition, no correlation between FLT3-ITD, MLL-PTD and NPM1 mutations in the UPD patients was found, but the data indicate that patients with UPD have a higher rate of treatment failure. Moreover, in this study the relationship between UPD and gene aberrations was able to be confirmed. In some cases, UPD found on chromosomes 21, 19 and 11 was correlated with mutations in the RUNX1, CEBPA and WT genes, respectively. Furthermore, AML cases with and without UPD showed different but specific gene expression profiles, revealing different expression levels for genes involved in double strand break repairs. Furthermore, it was found that different mutations could be responsible for the increase in efficiency of HR, such as FLT3-ITD or BCR-ABL. Moreover, cells with a FLT3-ITD mutation (without wt expression) rapidly increased the HR efficiency compared with heterozygous (FLT3-ITD/wt) cells. Preliminary results showed that the high repair efficiency was mainly dependent on the translocation of RAD51. In conclusion, SNP array technology allow the identification and mapping of LOH in AML patients with normal karyotype. The obtained data also point out the necessity of analysing tumour-free material to confirm the somatic origin of the alteration. Furthermore, the available results indicate that compared to patients without UPD, patients with UPD have a higher relapse rate, which might be used as a prognostic marker in the future. Also, it could be hypothesized that downregulation of RAD51 (for example by FLT3 inhibition) might be beneficial DNA damage occurs through the genotoxic agent by reducing the relapse risk of AML.

Este trabalho apresenta uma abordagem via programação estocástica linear para a tomada de decisão de investimento em um fundo de pensão com plano de benefícios do tipo benefício definido. Propõe-se uma nova metodologia para a definição da alocação da carteira do fundo no instante inicial baseada na média de vários cenários econômicos gerados aleatoriamente. Como exemplo de aplicação, essa metodologia é utilizada para resolver o problema da alocação inicial da carteira de um grande fundo de pensão brasileiro e a alocação inicial obtida é avaliada em termos da probabilidade de insolvência e VaR, valor em risco, do fundo no instante final do horizonte de planejamento de investimento. / This paper presents an approach via linear stochastic programming for investment decision making in a defined benefit pension fund plan. It proposes a new methodology for defining the allocation of the portfolio at the initial time based on the average of several randomly generated economic scenarios. As an illustrative example, this methodology is used to solve the problem of portfolio initial allocation of a large Brazilian pension fund and the obtained initial allocation is evaluated in terms of funds probability of default and VaR, Value-at-Risk, at the final time of the investment planning horizon.

The Swedish geographer Gerd Enequist (1903-1989) left behind great amounts of private and work material when she passed away. This was donated to the University Library of Uppsala, Carolina Rediviva, in three different accessions. This resulted in three different record. The subject of this report is the progress of assembling these record into one complete record. The registering led to many important decisions such as the role of provenance and the relation of private and public documents. Above all the special nature of personal archives have been a topic of discussion. Personal archives separate themselves from public records and therefore demand a different strategy of listing. The width of kinds of material and the mixture of private and public records are important qualities that differ them from public records. The report is initiated with an introduction of Enequist, followed by a description of the three accessions. In the second part of the report the work with recording the archive is accounted for including a description of the headings of the record. Thereafter the problems encountered during the work are described and discussed. The report is completed with a short proposal of the research values of the archive.

Aktyvų ir pasyvų valdymo (APV) klausimas aktualus dar nuo tada, kai susikūrė pirmieji bankai, kadangi tai iš pačios bankininkystės specifikos kylant problema. Spartėjantys globalizacijos procesai šią problemą dar labiau aštrina ir tai skatina bankus ieškoti efektyvesnių būdų jų aktyvų ir pasyvų portfelių valdymui. Šio magistrinio darbo tikslas yra išanalizuoti APV problemą komerciniame banke ir įvertinti APV efektyvumo vertinimą trijuose Lietuvos bankuose. Siekiant išanalizuoti APV problemą, pirmiausia buvo apžvelgtos įvairių autorių siūlomos APV koncepcijos, buvo pabrėžta APV svarba, žvelgiant tiek iš centrinio, tiek iš komercinio banko pozicijų, taip pat apžvelgta APV koncepcijos istorinė raida. Buvo išnagrinėti trys populiariausi APV modeliai: GAP analizė, trukmės analizė, VaR bei Monte Carlo metodikos. Tuomet buvo įvertintas APV efektyvumo vertinimas trijuose Lietuvos bankuose, palyginimui pasirenkant didelį, vidutinį ir mažą bankus. Siekiant įvertinti APV efektyvumo vertinimą pasirinktuose bankuose buvo atlikta GAP analizė, įvertintas privalomųjų centrinio banko normatyvų vykdymas ir apskaičiuoti pelningumo ir likvidumo rodikliai. Atlikta analizė parodė, jog yra akivaizdus ryšis tarp banko dydžio ir APV efektyvumo. Tendencijos tokios, jog mažesni bankai laiko didesnes likvidžių aktyvų atsargas, kadangi jie turi menkesnes skolinimosi galimybes, mažesni tokių bankų paskolų portfeliai, taigi jų efektyvumas transformuojant priimtus depozitus į paskolas yra mažesnis. Visi šie... [toliau žr. visą tekstą] / The problem of asset – liability management (ALM) has been topical since the origin of banking. The processes of globalization and internationalization in financial markets in the twenty first century made this problem sharper than ever before, that make banks search more efficient ways of management of their asset and liabilities portfolios. The aim of this master work is to analyse the problem of ALM in commercial bank and evaluate the performance ALM in three Lithuanian banks. In order to analyse ALM problem different scientists approaches to ALM were analysed in this research in order to define the ALM conception. Also the importance of ALM was underlined from the point of view both of central bank and commercial bank and the development of ALM was viewed. The most popular models of ALM were analysed – GAP analysis, Duration GAP, VaR and Monte Carlo. Then the effectiveness of performance of ALM was evaluated in three Lithuanian banks, choosing the big one, the medium one and the small one. In order to analyse the effectiveness of performance of ALM in the chosen banks the GAP analysis was made, the execution of central bank’s compulsory normative rates was evaluated and the rates of liquidity and profitability were counted and analysed. The analysis pointed out, that there is an obvious relation between the size of the bank and the way it’s ALM is performed. The tendencies are these: smaller banks keep bigger amounts of liquid assets, because that they have lower... [to full text]

The development of Information Technology is, according to the Swedish Government, the most important area of development. The costs of IT in governmental agencies are somewhere in between 20 to 25 billion SEK, paid by taxpayers and one of the largest cost items in the Swedish governments resources. Despite this, every third Swedish governmental agency lacks an IT-strategy and is unable to meet needs for flexibility and control. The study aims to reveal barriers that prevent an active application lifecycle management (ALM) at Swedish governmental agencies and to answer the question: “How do Swedish authorities handle their proprietary applications from a lifecycle perspective; financially and technically?” The case study will be conducted at the Social Insurance Agency (SIA). The SIA distributed, in 2010, about 6 % of the Swedish GDP and is mainly funded by grants and loans from the Swedish National Debt Office. The survey will be studied from a management accounting and ALM perspective. Management accounting is the actions within organizations to achieve financial goals. ALM is the lifecycle of an application that consists of the phases; requirements specification, development, testing, deployment and maintenance. The study will also investigate the technical debt at the governmental agencies. Technical debt refers to the work which has to be completed before an application can be considered finished. The survey is a qualitative study based on interviews with an exploratory purpose. The results are generalised to reflect a greater part of the Swedish authorities and showed that Swedish governmental agencies have inadequate handling of their proprietary applications and that each application is financially linked to one or more projects simultaneously. The models made are to facilitate the understanding of the different stages of ALM in synergy with the management accounting. Theoretically, the Maintenance phase allocates approximately 90 % of the total costs, whereas in governmental agenises it stands for about 20 %. Theoretically 10 % of the total costs are allocated to the Development phase, whereas in governmental agencies the corresponding amount is 80 %. A consequence of this is increased technical debt. The technical debt at Swedish authorities is often funded with loans, which is not allowed according to the Swedish National Debt Office. The SIA exceed budgets without asking for increased funds and according to the Swedish Audit Office, so does also 1/3 of the Swedish governmental agencies, meaning that they must handle the financial complications internally by moving funds amongst different departments and projects, also spending money meant for development on maintenance. Future studies can be made as investigations on how management accounting and ALM can be implemented on a safe and effective manner in a governmental agency.