Diss. Recht Zürich, 2004. / Bibliogr.

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.

Usage of information systems and technologies (IS/ICT) is almost necessary nowadays for all kind of organizations. These, that want it to be successful know, that it is necessary to pay attention to technology innovations and make sure about their quality. Quality of information system is equal of quality theirs single elements, which are created by linked software applications. Their development is currently guided by many different methodologies or instructions how to create them in the shortest time possible, as cheaply and with sufficient quality. This imaginary triangle forms the basis for the ongoing struggle for necessary compromise on one side or the other. Part of these development methodologies is in most cases a section which is dealing with testing. The results of development have to be checked before delivery to the customer and also on the client side is necessary to test quality of what he paid. Therefore, testing is very important, but still neglected article of software development. The main objective of this thesis is modification of testing methodology from Iveta Králová. Modified methodology was adapted for specific environment of small developement team with support of HP ALM software. Original methodology was intended only for system testing and ends in transmission to acceptance tests. Modified methodology goes beyond these boundaries and also covers this area. Partial aim is to enrich methodology on how to implement and manage test environments suitable for this type of operations. The main contribution of this work is the development of agile methodology that is specific for a particular type of operation and works with HP ALM.

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The diploma thesis deals mostly with interest rate risk issue. It describes the basic methods of interest rate risk measurement with use of analyses executing by Asset Liability Management department in banks. Such analyses as repricing GAP, net interest income analysis, market value of equity and sensitivity analyses to interest rate movements. There is an analysis of Czech crown yield curve as well, in order to deeper insight of its probability behaviour. Results of this analysis are used for advanced techniques in ALM. Especially knowledge of volatilities of particular yield points and theirs relations is used in these methods. There was also a multi equation model for predictions of yield curve development created. One of the variables in the model there is the 2-week repo rate of Czech National Bank included.

Scholars are often studying emojis as pure visual elements or as essential textual parts. Theories in this study bridge these subfields and examine emojis in both fields. This bridging understanding of emojis is applied to hashtag activism in the discursive Black Lives Matter debate to increase the comprehension of the impact of emojis. Emojis can be used in various hashtag activism as reinforcing visual elements that help put a figurative meaning to political movements. Emojis can also be used to change the intonation or meanings in computer-mediated communication and thereby be essential for understanding the textual meaning as a whole. The study is conducted with quantitative content analysis of tweets relating to two, here considered oppositional, hashtags; #blacklivesmatter and #alllivesmatter with the aim of receiving a comprehension of how the support of emojis affect the written statements. The study presents results and a thorough discussion that brings the conclusion of emojis having an immense impact, as both visual and textual support on the tweets written in this political online debate. / Forskare studerar ofta emojis som rena visuella element eller som väsentliga textdelar. Teorier i denna studie överbryggar dessa delfält och undersöker emojis inom båda områdena. Denna överbryggande förståelse för emojis tillämpas på hashtag-aktivism i den diskursiva Black Lives Matter-debatten för att öka förståelsen om påverkan av emojis. Emojis kan användas i olika sorters hashtag-aktivism som förstärkande visuella element som hjälper till att sätta en figurativ betydelse på politiska rörelser. Emojis kan också användas för att ändra intonationen eller betydelsen i datormedierad kommunikation och därmed vara avgörande för att förstå den textuella innebörden som helhet. Studien genomförs med kvantitativ innehållsanalys av tweets relaterade till två, här betraktade som oppositionella hashtags; #blacklivesmatter och #alllivesmatter i syfte att få en förståelse för hur emojis påverkar de skriftliga yttrandena. Studien presenterar resultat och en grundlig diskussion som drar slutsatsen att emojis har en enorm påverkan, både som ett visuellt och textuellt stöd på tweets skrivna i denna politiska online-debatt.

This thesis focuseses on archives and availability. The general public seem to have trouble finding their way tothe actual archives even though most archival institutions are easily accessed and provide interesting material.Maybe it is because archives are generally not as well known as other institutions within the ALM-area, eventhough the need to know ones history and identity is considered mainstream. Whether or not history takes off atthe archives is a complex question to answer. Archives, however, certanly contribute to our ideas of earlier timesand the concept of history.I have examined what archives do to make these contributions known to the general public and to whatextent they make their material avaliable. I have also looked into archival pedagogy since it is often connected toavaliability. Furhtermore, since the educational system of Sweden has decided that pupils should understand the correct historical sources archives and their material are now an important part of the historical education. This thesis focuses on the archival work and does not examine how the educational system of Sweden discusess regarding collaboration with archives.This is a two year master´s thesis.

Submitted by Luciano Pereira Varanis (luciano_varanis@yahoo.com) on 2015-06-29T19:17:42Z No. of bitstreams: 1 Dissertação _Luciano_Varanis - Completo.pdf: 1367224 bytes, checksum: 848c44e67420ced7c19a6d2d1ab98f61 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2015-07-22T20:07:23Z (GMT) No. of bitstreams: 1 Dissertação _Luciano_Varanis - Completo.pdf: 1367224 bytes, checksum: 848c44e67420ced7c19a6d2d1ab98f61 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-07-24T17:56:00Z (GMT) No. of bitstreams: 1 Dissertação _Luciano_Varanis - Completo.pdf: 1367224 bytes, checksum: 848c44e67420ced7c19a6d2d1ab98f61 (MD5) / Made available in DSpace on 2015-07-24T17:56:24Z (GMT). No. of bitstreams: 1 Dissertação _Luciano_Varanis - Completo.pdf: 1367224 bytes, checksum: 848c44e67420ced7c19a6d2d1ab98f61 (MD5) Previous issue date: 2014-12-18 / In this dissertation we discuss models and solution methods of stochastic programs to solve ALM problmes for pension funds. We will provide the model from Drijver et al. based on Multistage Mixed-integer Stochastic Programming. A case study based on simulation for an ALM problem will be presented / Nesta dissertação discutiremos modelos e métodos de soluções de programação estocástica para resolver problemas de ALM em fundos de pensão. Apresentaremos o modelo de (Drijver et al.), baseado na programação estocástica multiestágios inteira-mista. Um estudo de caso para um problema de ALM será apresentado usando simulação de cenários.

Este trabalho propõe um modelo para a simulação do passivo atuarial de um fundo de pensão brasileiro. As principais fontes de incertezas que influenciam a avaliação do passivo atuarial foram especificadas como variáveis aleatórias e parâmetros do modelo. Diversos cenários são gerados utilizando a técnica de simulação de Monte Carlo e a microssimulação no intuito de determinar o status de cada participante do fundo de pensão modelo para períodos futuros em diferentes nós de uma árvore de cenários. A situação de vida de cada participante, simulada individualmente a cada nó, está condicionada ao seu estado no nó imediatamente antecessor. O resultado é um modelo flexível, que permite a configuração de parâmetros a níveis individuais e possibilita trabalhar com diversas tábuas biométricas, mostrando-se capaz de gerar cenários consistentes, realistas e variados, capturando a essência da incerteza inerente às entidades de previdência complementar e produzindo não só valores únicos e determinísticos de reservas matemáticas e fluxos de caixa atuariais, mas intervalos de valores possíveis com distribuições conhecidas, importantes para a gestão eficiente de um fundo de pensão. A metodologia proposta serve como alternativa ao cálculo atuarial tradicional, que utiliza diretamente as probabilidades das tábuas biométricas, fixas por idade e sexo, para a mensuração dos fluxos de caixa previdenciários e reservas matemáticas. Os dados gerados a partir das simulações servem como dados de entrada para um modelo estocástico completo de Asset-Liability Management (ALM). / This study proposes a model to simulate actuarial liabilities from a pension fund in Brazil. The main uncertainties that affect the liabilities have been specified as random variables and parameters of the developed model. Many scenarios are generated using Monte Carlo simulation and micro-simulation techniques in order to determine the status of each member of the pension fund for future periods in different nodes of a scenario tree. The future of each participant, simulated individually at each node, is conditioned to its status in the immediately predecessor node. The result is a flexible model which allows the parameters configuration at individual levels and that can work with several actuarial tables, showing to be itself able to generate consistent, realistic and sorted scenarios, capturing the uncertainty inherent in pension funds environment and producing not only single and deterministic values for actuarial liabilities and cash flows, but ranges of possible values with known distributions, becoming an important tool for the efficient management of the pension fund. The methodology applied is an alternative to the classic actuarial techniques, that use directly the probabilities from actuarial tables, fixed by age and gender, to calculate the liabilities and the cash flow of the pension fund. The data generated by this model were thought to be inputs for a full multistage stochastic Asset-Liability Management (ALM) model.