In this master thesis, the impact of forward-looking macroeconomic information under IFRS 9 is studied using fictional data from a Swedish mortgage loan portfolio. The study employs a time series analysis approach and employs vector autoregression models to model expected credit loss parameters with multiple incorporated macroeconomic parameters. The models are analyzed using impulse response functions to study the impact of macroeconomic shocks and the results show that the unemployment rate, USD/SEK exchange rate and 3-month interest rates have a significant impact on expected credit losses. / I detta examensarbete studeras effekterna av framåtblickande makroekonomisk information enligt IFRS 9 med fiktiv data baserad på en svensk bolåneportfölj. Studien använder sig av tidsserieanalys och vektorautoregressionsmodeller för att modellera förväntade kreditförlust-parametrar med flera inkorporerade makroekonomiska parametrar. Modellerna analyseras med hjälp av impulsresponsfunktioner för att studera effekterna av makroekonomiska chocker. Resultaten visar att arbetslöshet, USD/SEK växelkurs och 3-månaders räntor har en signifikant inverkan på förväntade kreditförluster.

As the demand for wireless communication systems has exploded over the past few years, many researchers have taken on the challenge to model wireless channels more accurately. These models are very useful for enhancing the design of all aspects of wireless communications. Smart antennas and systems used in position location are among the most popular new studies that require signal information such as the amplitude, phase, and angle-of-arrival (AOA) of multipath delay spreads. For proper and efficient implementation of future systems, emerging wireless systems must be able to exploit processing of spatial information. The goal of the work presented in this thesis is to further improve two channel modeling tools, SMRCIM and SIRCIM, by implementing new geometrical models that provide users with angle-of-arrival information as well as amplitude and phase data for wideband wireless communication channels. The new angle-of-arrival models are explained and pseudo code is provided to demonstrate the software implementation of the models. Likewise, the channel models are explained and the usage and results of the simulation tools are described. The SMRCIM and SIRCIM tools are currently being used by researchers throughout the world. <i>[Vita removed March 5, 2012. Gmc]</i> / Master of Science

Das moderne Finanzsystem ist komplex, dynamisch, hochdimensional und oftmals nicht stationär. All diese Faktoren stellen große Herausforderungen beim Messen des zugrundeliegenden Finanzrisikos dar, das speziell für Marktteilnehmer von oberster Priorität ist. Hochdimensionalität, die aus der ansteigenden Vielfalt an Finanzprodukten entsteht, ist ein wichtiges Thema für Ökonometriker. Ein Standardansatz, um mit hoher Dimensionalität umzugehen, ist es, Schlüsselvariablen auszuwählen und kleine Koeffizientenen auf null zu setzen, wie etwa Lasso. In der Finanzmarktanalyse kann eine solche geringe Annahme helfen, die führenden Risikofaktoren aus dem extrem großen Portfolio, das letztendlich das robuste Maß für finanzielles Risiko darstellt, hervorzuheben. In dieser Arbeit nutzen wir penalisierte Verfahren, um die ökonometrischen Maße für das finanzielle Risiko in hoher Dimension zu schätzen, sowohl mit nieder-, als auch hochfrequenten Daten. Mit Fokus auf dem Finanzmarkt, können wir das Risikonetzwerk des ganzen Systems konstruieren, das die Identifizierung individualspezifischen Risikos erlaubt. / Modern financial system is complex, dynamic, high-dimensional and often possibly non-stationary. All these factors pose great challenges in measuring the underlying financial risk, which is of top priority especially for market participants. High-dimensionality, which arises from the increasing variety of the financial products, is an important issue among econometricians. A standard approach dealing with high dimensionality is to select key variables and set small coefficient to zero, such as lasso. In financial market analysis, such sparsity assumption can help highlight the leading risk factors from the extremely large portfolio, which constitutes the robust measure for financial risk in the end. In this paper we use penalized techniques to estimate the econometric measures of financial risk in high dimensional, with both low-frequency and high-frequency data. With focus on financial market, we could construct the risk network of the whole system which allows for identification of individual-specific risk.

Approved for public release, distribution is unlimited / In this thesis, the ocean was modeled as a waveguide with an ideal pressure - release surface, and an ideal rigid bottom. The ocean waveguide was then treated as a linear, time - invariant, space - variant (TISV) filter or communication channel. The filter is time - invariant because no motion was modeled and because the properties of the ocean were assumed to be constant. The filter is space - variant because of the presence of the two boundaries, that is, the ocean surface and ocean bottom. This thesis investigates the ocean as a linear TISV filter by evaluating 1) the complex frequency response, 2) the impulse response, and 3) the transfer function of the ocean with respect to depth. It is shown that the TISV impulse response of the ocean contains information that can be used to help localize a target in range and whether the target is above or below the receiver. Computer simulation results were obtained by evaluating the three filter functions for several different test cases. / Ensign, United States Navy

Abstract of thesis submitted in partial fulfilment of the requirements for the Degree of Master of Commerce and Management Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis By Shiu Raj Singh The objective of this study is to examine how macroeconomic variables of Fiji inter-relate with aggregate demand and co-determine one another using a vector autoregression (VAR) approach. This study did not use a prior theoretical framework but instead used economic justification for selection of variables. It was found that fiscal policy, which is generally used as a stabilisation tool, did not have a positive effect on real Gross Domestic Product (GDP) growth in the short term. Effects on GDP growth were positive over the long term but not statistically significant. Furthermore, expansionary fiscal policy caused inflationary pressures. Fiji has a fixed exchange rate regime, therefore, it was expected that the focus of monetary policy would be the maintenance of foreign reserves. It was, however, found that monetary expansion in the short term resulted in positive effects on real GDP growth and resulted in inflation. The long term effects of monetary policy on real GDP growth were negative, which are explained by the fixed exchange rate regime, endogenous determination of money supply by the central bank, an unsophisticated financial market and, perhaps, an incomplete transmission of the policy. Both merchandise trade and visitor arrivals growth were found to positively contribute to short term and long term economic growth. Political instability was found not to have significant direct effects on real GDP growth but caused a significant decline in visitor arrivals which then negatively affected economic growth in the short term.

近年來國際金融局勢詭譎多變，金融危機層出不窮，無論外資或有意投入國外股市的投資人都勢必更加小心。本研究乃針對亞太盆地國家的股票報酬率與國家信用水準變動做分析，並依開發中國家與已開發國家之別，嘗試探究其差異。本文的研究方法採用時間序列的模型(干預模型與衝擊反應分析)，檢定亞太盆地國家股票報酬率的時間序列型態，及國家信用變動對股票報酬率及其波動性的影響。實證結果顯示： 1.無論開發中國家或已開發國家，其股票報酬率並不受自身股票報酬率的波動度影響，此結論恰與Baillie and Degennaro(1990)吻合。 2.國家信用水準變動對股票報酬率的影響未落後達一個月之久。 3.國家信用變動對已開發國家的股票報酬率及其波動度不具顯著的解釋力。 4.國家信用改變對開發中國家股票報酬率及其波動度較具解釋力，但影響方向不一致，原因可能是開發中國家的投資障礙較多。 5.衝擊反應分析受限於開發中國家股市資料較少及國家信用分數型態，而未有一致而明顯的結論。 第一章、 緒論••••••••••••••••••••••••1 第一節 研究背景與動機••••••••••••••••••••1 第二節 研究目的•••••••••••••••••••••••4 第三節 研究限制•••••••••••••••••••••••4 第四節 研究內容與研究架構••••••••••••••••••5 第二章、 文獻探討••••••••••••••••••••••7 第一節 股票波動度的相關文獻•••••••••••••••••7 第二節 國家風險的相關文獻••••••••••••••••••8 第三節 干預分析的相關文獻••••••••••••••••••10 第四節 衝擊反應分析的相關文獻••••••••••••••••12 第三章、 資料來源與說明•••••••••••••••••••13 第一節 太平洋盆地國家的股市資料來源與類型••••••••••13 第二節 敘述統計•••••••••••••••••••••••15 第三節 使用Institutional Investor的國家信用評等指標為解釋變數之因•22 第四節 國家信用風險評比決定因子與過程••••••••••••24 第五節 國家風險指標的有效性•••••••••••••••••25 第四章、 實證結果••••••••••••••••••••••26 第一節 理論架構•••••••••••••••••••••••26 第二節 檢驗各國股價報酬的時間序列型態••••••••••••29 第三節 變異數自身相關檢定(ARCH、GARCH檢定)••••••••38 第四節 波動度解釋力檢定•••••••••••••••••••45 第五節 國家信用評等解釋力檢定••••••••••••••••48 第六節 衝擊反應分析•••••••••••••••••••••59 第五章、 結論與後續研究建議•••••••••••••••••74 第一節 結論•••••••••••••••••••••••••74 第二節 後續研究建議•••••••••••••••••••••76 參考文獻•••••••••••••••••••••••••••77 一、 中文部份••••••••••••••••••••••••77 二、 英文部份••••••••••••••••••••••••77 附錄(外國專業投資機構直接投資國內狀況分析表) •••••••••80 / For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows: 1. The stock return and its volatility do not have statistically significant relation in both developed markets and emerging ones, which coincides with the conclusion by Baillie and Degennaro(1990). 2. The impact of changes in country credit level on stock returns will work within one month; that is to say, changes in country credit level this month will affect stock returns of the current month. 3. Country credit change has no impact on stock returns of the developed markets. 4. Changes in country credit levels of the emerging markets have apparent influence on their stock returns but no identical signs. This may result from the common barriers existed in the emerging markets for foreign investors. 5. The impulse response analysis doesn't have an apparent and agreeable result owing to the constraint of rare data.

本文是探討管理浮動匯率時期（1978年第三季至1993年第三季），台灣地區經常帳盈餘發生的原因，同時考慮匯率因素、貨幣市場及商品與勞務市場吸納的情況。利用兩個向量自迴歸模型，分別納入：(1)匯率、利率、經常帳、消費節約及貨幣供給，(2)匯率、利率、經常帳、財政盈餘及貨幣供給，藉由因果關係檢定、預測誤差分解、及衝擊反應，分析經常帳失衡的原因。 　　實証結果指出：台灣地區經常帳盈餘，深受匯率、財政盈餘及消費節約的影響，這個結論與我國低估幣值與出口拓展的政策一致。且經常帳盈餘並不能夠顯著的影響貨幣供給，這個結論與央行沖銷的措施一致，其目的無非是要隔離國外部門影響國內貨幣。足見自由化的匯率政策，不但讓匯率反應出合理的水準值，同時可追求獨立的貨幣政策，配合著獎勵投資、消費及增加公共支出，增加國內吸納，藉以減少鉅幅的經常帳盈餘。

E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008. I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettrica possono essere adeguatamente previsti impiegando i prezzi passati di ciascun mercato zonale. La volatilità e la cross-volatility sono significative per tutti i mercati, indicando la presenza di forti componenti ARCH e GARCH e la sostanziale inefficienza dei mercati. E’ inoltre evidente un’elevata persistenza della volatilità e della cross-volatility in tutti i mercati. I risultati indicano inoltre che gli shock rilevati, sia nella volatilità, sia nei vari mercati, persistono nel tempo e che in ogni mercato la persistenza è più marcata quando è causata da innovazioni stimate sulle stesso mercato rispetto a shock stimati su altre aree. Questa persistenza descrive la tendenza delle variazioni dei prezzi a raggrupparsi nel tempo. / It is commonly known that spot electricity markets show mean-reversion and high price volatility. This work employs a VAR-MGARCH model to capture these features in the Italian electricity market (IPEX) and analyze the interrelation existing among the different regions in which the market is divided. Daily spot prices from 1 January 2006 to 31 December 2008 are employed. The estimated coefficients from the conditional mean equations indicate that the regional markets are quite integrated and regional electricity prices could be usefully forecasted using lagged prices from either the same market or from the other areal markets. Volatility and cross-volatility spill-overs are significant for all markets, indicating the presence of strong ARCH and GARCH effects and market inefficiency. Strong persistence of volatility and cross-volatility are also evident in all local markets. The results also indicate that volatility innovations or shocks in all markets persist over time and that in every market this persistence is more marked for own-innovations or shocks than cross-innovations or shocks. This persistence captures the propensity of price changes of similar magnitude to cluster in time.

The contribution of this thesis is to build a small macro-econometric model of the Namibian economy, which demonstrates that there is significant statistical support for the hypothesis that there is a contemporaneous relationship between real wage, productivity, unemployment and interest rates in Namibia. This phenomenon has not yet been exploited using macro-econometric modelling, and thus, represents a significant contribution to modelling literature in Namibia. The determination of the sources of unemployment also receives special attention given that high unemployment is a chronic problem in Namibia. All models specified and estimated in the study use the SVAR methodology for the period 1980 to 2013. The study develops a small macro-econometric model using three modular experiments, which include, a basic model, models that separately append demand and exchange rate channels variables to the basic model, and the specification of a small macro-econometric model. The ultimate aim is to find out if monetary policy plays a role in influencing labour market and nominal variables. The hypothesis that the basic real wage, productivity, unemployment rate and interest rate system can be estimated simultaneously is validated. Further, demand and exchange rate channels variables are found to have important additional information, which explains the monetary transmission process, and that shocks to labour market variables affect monetary policy in Namibia. The results also show that the demand channel (import prices and bank credit to the private sector) and the exchange rate channel (nominal exchange rate) variables have important additional information, which affects monetary transmission process in Namibia, which justifies their inclusion in the small macro-econometric model. In addition, shocks to the import price and exchange rate in the macro-econometric model significantly affect labour market variables. However, shocks to bank credit only partially perform as expected, implying that its results need to be considered cautiously. The study further finds that tight monetary policy shocks significantly affect real and nominal variables in Namibia. The results also show that shocks to all variables in the unemployment model significantly affect unemployment, suggesting that the hysteresis assumption is corroborated. This implies that long run aggregate demand is non-neutral in Namibia. / Economics / D. Litt. et Phil. (Economics)

Fundação Carlos Chagas Filho de Amparo a Pesquisa do Estado do Rio de Janeiro / O presente trabalho aborda o problema de identificação de danos em uma estrutura a partir de sua resposta impulsiva. No modelo adotado, a integridade estrutural é continuamente descrita por um parâmetro de coesão. Sendo assim, o Modelo de Elementos Finitos (MEF) é utilizado para discretizar tanto o campo de deslocamentos, quanto o campo de coesão. O problema de identificação de danos é, então, definido como um problema de otimização, cujo objetivo é minimizar, em relação a um vetor de parâmetros nodais de coesão, um funcional definido a partir da diferença entre a resposta impulsiva experimental e a correspondente resposta prevista por um MEF da estrutura. A identificação de danos estruturais baseadas no domínio do tempo apresenta como vantagens a aplicabilidade em sistemas lineares e/ou com elevados níveis de amortecimento, além de apresentar uma elevada sensibilidade à presença de pequenos danos. Estudos numéricos foram realizados considerando-se um modelo de viga de Euler-Bernoulli simplesmente apoiada. Para a determinação do posicionamento ótimo do sensor de deslocamento e do número de pontos da resposta impulsiva, a serem utilizados no processo de identificação de danos, foi considerado o Projeto Ótimo de Experimentos. A posição do sensor e o número de pontos foram determinados segundo o critério D-ótimo. Outros critérios complementares foram também analisados. Uma análise da sensibilidade foi realizada com o intuito de identificar as regiões da estrutura onde a resposta é mais sensível à presença de um dano em um estágio inicial. Para a resolução do problema inverso de identificação de danos foram considerados os métodos de otimização Evolução Diferencial e Levenberg-Marquardt. Simulações numéricas, considerando-se dados corrompidos com ruído aditivo, foram realizadas com o intuito de avaliar a potencialidade da metodologia de identificação de danos, assim como a influência da posição do sensor e do número de dados considerados no processo de identificação. Com os resultados obtidos, percebe-se que o Projeto Ótimo de Experimentos é de fundamental importância para a identificação de danos. / The present work deals with the damage identification problem in mechanical structures from their impulse response. In the adopted model, the structural integrity is continually described by a cohesion parameter and the finite element model (FEM) is used to spatially discretize both the displacement and cohesion fields. The damage identification problem is then posed as an optimization one, whose objective is to minimize, with respect to the vector of nodal cohesion parameters, a functional based on the difference between the experimentally obtained impulse response and the corresponding one predicted by an FEM of the structure. The damage identification problem built on the time domain presents some advantages, as the applicability in linear systems with high levels of damping an/or closed spaced modes, and in nonlinear systems. Besides, the time domain approaches present high sensitivities to the presence of small damages. Numerical studies were carried out considering a simply supported Euler-Bernoulli beam. Optimal experiment design techniques were considered with the aim at determining the optimal position of the displacement sensor and also the number of points of the impulse response to be considered in the identification process. The Differential Evolution optimization method and the Levenberg-Marquardt method were considered to solve the inverse problem of damage identification. Numerical analysis were carried out in order to assess the influence, on the identification results, of noise in the synthetic experimental data, of the sensor position, and of the number of points retained in the impulse response. The presented results shown the potentiality of the proposed damage identification approach and also the importance of the optimal experiment design for the quality of the identification. al importance for the identification of damage.