The Heath-Jarrow-Morton (HJM) model represents the latest in powerful arbitrage-free technology for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio management today. This study addresses the question of how traditional risk measures and immunization strategies perform when the term structure evolves in the HJM manner. Using Monte Carlo simulation, I analyze four HJM volatility structures, four initial term structure shapes, three holding periods, and two traditional immunization approaches (duration-matching and duration-and-convexity-matching). I also examine duration and convexity measures derived specifically for the HJM framework. In addition I look at whether portfolios should be constructed randomly, by minimizing their M-squares or using barbell or bullet structures. I assess immunization performance according to three criteria. One of these criteria corresponds to active portfolio management, and the other two correspond to passive portfolio management. Under active portfolio management, an asset portfolio is successfully immunized if its holding period return is greater than or equal to the holding period return of the liability portfolio. Under passive portfolio management, the closer the returns of the asset portfolio to the returns of the liability portfolio, the better the immunization performance. The results of the study suggest that, under the active portfolio management criterion, and with the duration matching strategy, HJM and traditional duration measures have similar immunization performance when forward rate volatilities are low. There is a substantial deterioration in the immunization performance of traditional risk measures when there is high volatility. This deterioration is not observed with HJM duration measures. These results could be due to two factors. Traditional risk measures could be poor risk measures, or the duration matching strategy is not the most appropriate immunization approach when there is high volatility because yield curve shifts would often be large. Under the active portfolio management criterion and with the duration and convexity matching strategy, the immunization performance of traditional risk measures improves considerably at the high volatility segments of the yield curve. The improvement in the performance of the HJM risk measures is not as dramatic. The immunization performance of traditional duration and convexity measures, however, deteriorates at the low volatility segments of the yield curve. This deterioration is not observed when HJM risk measures are used. Overall, with the duration and convexity matching strategy, the immunization performance of portfolios matched with traditional risk measures is very close to that of portfolios matched with the HJM risk measures. This result suggests that the duration and convexity matching approach should be preferred to duration matching alone. Also the result shows that the underperformance of traditional risk measures under high volatility is not due to their being poor risk measures, but rather due to the reason that the duration matching strategy is not an appropriate immunization approach when there is high volatility in the market. Under the passive portfolio management criteria, the performances of traditional and HJM measures are similar with the duration matching strategy. Less than 29% of the duration matched portfolios have returns within one basis point of the target yield, whereas almost all are within 100 basis points of the target yield. These results suggest that the duration matching strategy might not be sufficient to generate cash flows close to those of the target bond. The duration measure assumes a linear relation between the bond price and the yield change, and the nonlinearities that are not captured by the duration measure might be important. When the duration and convexity matching strategy is used, more than 36% of the portfolios are within one basis point of the target with HJM risk measures. This dramatic improvement in the immunization performance of HJM measures is not guaranteed for traditional risk measures. In fact, there are certain cases in which the performance of traditional risk measures deteriorates with the duration and convexity matching strategy. In this respect, choosing the correct risk measure is more important than the immunization strategy when passive portfolio management is pursued. Under active portfolio management criterion, there is no significant difference among bullet, barbell, minimum M-square, and random portfolios with both duration matching and duration and convexity matching strategies. Under the passive portfolio management criterion, bullet portfolios produce closer returns to the target for short holding periods when the duration matching strategy is used. With the duration and convexity matching strategy, bullet, barbell and minimum M-square portfolios produce closer returns to the target for short holding periods. Random portfolios perform as well as bullet, barbell and minimum M-square portfolios for medium to long holding periods. These results suggest that when the duration matching strategy is used, bullet portfolios are preferable to other portfolio formation strategies for short holding periods. When the duration and convexity matching strategy is used, no portfolio formation strategy is better than the other. Under the active portfolio management criterion, minimum M-square portfolios are successfully immunized under each yield curve shape and volatility structure considered. Under the passive portfolio management criterion, minimum M-square portfolios perform better for short holding periods, and their performance deteriorates as the holding period increases, irrespective of the volatility level. This suggests that the performance of minimum M-square portfolios is more sensitive to the holding period rather than the volatility. Therefore, minimum M-square portfolios would be preferred in the markets when there are large changes in volatility. Overall, the results of the study suggest that, under the active portfolio management criterion and with the duration matching strategy, traditional duration measures underperform their HJM counterparts when forward rate volatilities are high. With the duration and convexity matching strategy, this underperformance is not as dramatic. Also no particular portfolio formation strategy is better than the other under the active portfolio management criterion. Under the passive portfolio management criterion, the duration matching strategy is not sufficient to generate cash flows closer to those of the target bond. The duration and convexity matching strategy, however, leads to substantial improvement in the immunization performance of the HJM risk measures. This improvement is not guaranteed for the traditional risk measures. Under the passive portfolio management criterion, bullet portfolios are preferred to other portfolio formation strategies for short holding periods. For medium to long holding periods, however, the portfolio formation strategy does not significantly affect immunization performance. Also, the immunization performance of minimum M-square portfolios is more sensitive to the holding period rather than the volatility. / Ph. D.

Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2016-08-24T12:11:08Z No. of bitstreams: 1 Maria Beatriz Telles Marques da Silv.pdf: 1402139 bytes, checksum: 86d8737f70b46a70c7f39f78e3f598a6 (MD5) / Made available in DSpace on 2016-08-24T12:11:08Z (GMT). No. of bitstreams: 1 Maria Beatriz Telles Marques da Silv.pdf: 1402139 bytes, checksum: 86d8737f70b46a70c7f39f78e3f598a6 (MD5) Previous issue date: 2016-03-31 / This work covers the study of the formation program, held from 2010 to 2014, with the public schools infant educators of the Venda Nova do Imigrante (ES) town, developed by the Comunidade Educativa CEDAC, in partnership with the Education Office and the Jutta Batista Institute. The research main objective is to analyze the developed work as viewed by the pedagogical coordinators in charge of the town infant education, aiming at the formation programs improvement. Oh interest in the critical of this program is the fact that it has resulted in the organization qualification and working of schools, as long as practices offered to 0 – 5 years old children. The intent was to analyze the actions carried out in the vision of formation of pedagogical coordinators and teachers, focusing the formation concept and the way involved people were where considered, and the formation strategies which contributed most to allow the transformations in the schools as well. The theoretical reference used to support the analysis was organized in four topics: The in-service formation concept; Collaborative context formation; The role of the pedagogical coordinators; and the formation in the infant education, based in the following authors ideas: AZEVEDO (2013), (2012) CANÁRIO (2007), NÓVOA (2007), IMBERNÓN (2009, 2011), OLIVEIRA (2012, 2015) PERRENOUD (2002), PLACCO (2003, 2011, 2012), SCARPA (1998). The methodology approach is qualitative and the data collecting means were the semi-structured interviews and documental checking. Some of the findings revealed aspects which can contribute to the enhancement of the formation activity carried out with the partnership of towns. Amongst the findings some incoherencies can be mentioned in the formation strategies utilized, recognizing the importance of those which favor reflexive action, including practice into theory and the observation of practices, which are known as strategies which allow the transformations in the professionals practices. The advances reported by the pedagogical coordinators represent another important finding, thus evidencing they didn’t follow a sole formation model / O presente trabalho tem como contexto de estudo um programa de formação realizado, entre 2010 e 2014, com os profissionais da educação infantil das escolas públicas do município de Venda Nova do Imigrante (ES) e desenvolvido pela Comunidade Educativa CEDAC em parceria com a Secretaria de Educação do referido município e o Instituto Jutta Batista. O objetivo central da pesquisa é analisar o trabalho desenvolvido, na perspectiva das coordenadoras pedagógicas responsáveis pela educação infantil do município, com vistas no aprimoramento dos programas de formação. O interesse na realização de uma análise crítica deste programa de formação deve-se ao fato de que ele trouxe como resultado a qualificação da organização e funcionamento das escolas, bem como das práticas oferecidas às crianças de 0 a 5 anos. Pretendeu-se analisar as ações realizadas na formação das coordenadoras pedagógicas e na formação dos professores, com foco na visão do conceito de formação e na forma como os sujeitos envolvidos foram considerados, além das estratégias formativas que mais contribuíram para favorecer as transformações que aconteceram nas escolas. O referencial teórico utilizado para fundamentar a análise foi organizado em quatro temas: O conceito de formação em serviço; Formação em contexto colaborativo; O papel dos Coordenadores pedagógicos e A formação na Educação Infantil, pautando-se nas ideias dos seguintes autores: AZEVEDO (2013), (2012) CANÁRIO (2007), NÓVOA (2007), IMBERNÓN (2009, 2011), OLIVEIRA (2012, 2015) PERRENOUD (2002), PLACCO (2003, 2011, 2012), SCARPA (1998). A abordagem metodológica é qualitativa e os instrumentos utilizados para a coleta de dados foram a entrevista semiestruturada e a análise documental. Alguns dos achados revelaram aspectos que podem servir como contribuições para o aprimoramento do trabalho de formação realizado em parceria com os municípios. Dentre os achados pode-se mencionar algumas incongruências nas estratégias utilizadas na formação, reconhecendo-se a importância das que favorecem a ação reflexiva, dentre estas, a tematização da prática e a observação da prática são reconhecidas como as estratégias que favoreceram as transformações na prática dos profissionais. Os avanços que as coordenadoras pedagógicas relatam nas ações formativas que passaram a realizar de forma autônoma representam outro importante achado, evidenciando que não se prenderam a um modelo único de formação

Business leaders venturing in the microbrewing business sector experience long delays due to federal, state, and city requirements unique to this industry. The purpose of this multiple case study was to explore strategies used by microbrewers in cases bounded by the fulfillment of the same licensing requirements to launch a microbrewery in Madison County, Alabama. The dynamic capabilities framework served as the conceptual framework for this study. A purposive sampling of 4 microbrewers who possessed tacit knowledge about the microbrewery licensure process participated in face-to-face semistructured interviews providing in-depth information about their strategic approaches. The overarching research question addressed the strategic approaches microbrewers used to complete the microbrewery licensure process. Data analysis included the verbatim transcription of interviews coded for common patterns and themes. The following themes emerged from the data analysis: learning from other brewers, flexible strategic approach, establishing a brewery first, attaining licensing second, business planning strategies, and regulatory echelons for microbrewing licensing. The 4 participants reported that learning from other brewers and applying a flexible strategic approach were the preferred strategies to navigate the licensure process in becoming a commercial microbrewer. The implications for social change include reduction in gap between understanding and effective strategies to fulfill microbrewing licensing that could benefit communities by promoting business creation, employment, and added taxation revenue from craft beers produced, sold, and consumed locally.

This thesis addresses the problem of the lack of a systematic approach to the modernisation of the indigenous languages of South Africa, with particular reference to Venda. Thus, a systematic approach is proposed in this study for the development of modem terminology in Venda. This approach is based on the canonical model for language planning. In this model, terminology development should follow the following four steps: (1) analysis of the terminological needs of the situation, (2) preparation of a plan and strategies for research, (3) implementation of terminology in practice by means of suitable policies, and lastly, (4) evaluation and constant updating of terminology. Within the canonical model for language planning, different models or frameworks are proposed. First is the theoretical model, which follows the pragmatic approach rather than a purist approach and takes into consideration other extralinguistic factors such as the nature of the special subject field, the needs of the target users and the socio-cultural context. The pragmatic approach is divided into two phases, namely the borrowing phase and the indigenisation phase. In the borrowing phase the borrowed terms are incorporated into the language with immediate effect and these terms may be replaced by indigenous terms in the indigenisation phase where less specialised communication is used. In the indigenisation phase, different language internal term formation strategies were identified, namely semantic shift, derivation, compounding, paraphrasing, initialisms, acronyms, clipping and new word manufacture. It was established that the use of these term formation strategies in Venda requires linguistic expertise, technical expertise and cultural expertise. Accordingly, a sociolinguistic approach is recommended rather than a purely linguistic approach. Lastly, a model of practical terminology work and a model for cooperation and coordination are proposed for terminology work in this language. With regard to the former, various steps that should be followed in terminology work are outlined. In the latter model various language agencies, such as government departments, parastatals and non-governmental organisations that may be involved in the modernisation of this language are identified. A framework in which these agencies could cooperate and coordinate their terminology work is proposed. / Linguistics / D.Litt. et Phil. (Linguistics)

This thesis addresses the problem of the lack of a systematic approach to the modernisation of the indigenous languages of South Africa, with particular reference to Venda. Thus, a systematic approach is proposed in this study for the development of modem terminology in Venda. This approach is based on the canonical model for language planning. In this model, terminology development should follow the following four steps: (1) analysis of the terminological needs of the situation, (2) preparation of a plan and strategies for research, (3) implementation of terminology in practice by means of suitable policies, and lastly, (4) evaluation and constant updating of terminology. Within the canonical model for language planning, different models or frameworks are proposed. First is the theoretical model, which follows the pragmatic approach rather than a purist approach and takes into consideration other extralinguistic factors such as the nature of the special subject field, the needs of the target users and the socio-cultural context. The pragmatic approach is divided into two phases, namely the borrowing phase and the indigenisation phase. In the borrowing phase the borrowed terms are incorporated into the language with immediate effect and these terms may be replaced by indigenous terms in the indigenisation phase where less specialised communication is used. In the indigenisation phase, different language internal term formation strategies were identified, namely semantic shift, derivation, compounding, paraphrasing, initialisms, acronyms, clipping and new word manufacture. It was established that the use of these term formation strategies in Venda requires linguistic expertise, technical expertise and cultural expertise. Accordingly, a sociolinguistic approach is recommended rather than a purely linguistic approach. Lastly, a model of practical terminology work and a model for cooperation and coordination are proposed for terminology work in this language. With regard to the former, various steps that should be followed in terminology work are outlined. In the latter model various language agencies, such as government departments, parastatals and non-governmental organisations that may be involved in the modernisation of this language are identified. A framework in which these agencies could cooperate and coordinate their terminology work is proposed. / Linguistics and Modern Languages / D.Litt. et Phil. (Linguistics)