本篇論文將Kariya, Ushiyama, and Pliska三位學者在2003所發表之三因子不動產證券化評價模型加入信用風險(credit risk)的考量. / In this paper, we extend Kariya, Ushiyama, and Pliska’s three factor mortgage-backed securities pricing model with credit risk. In our model, two reasons that cause prepayment behaviors are the refinancing factor and the equity factor. Our pricing model is a discrete-time model, and the credit risk is priced due to the concept of reduced form model. We also use Monte Carlo simulation to test our theoretical value and make some comparisons between changing parameters.

The financial crisis of 2007-2009 exposed the credit risks of mortgage-backed securities (MBS). Nevertheless, prepayment remains one of the most important risks of MBS for MBS issuers and purchasers. When mortgages are paid off early, the flow of interest income that MBS purchasers were expecting is terminated. The risk of prepayment must be managed. MBS sellers or purchasers often obtain insurance to protect against this risk. The purpose of this study is to present a model of prepayment rates that is more accurate and precise than other models currently in use. The new model explains the prepayment rate by using the method of panel-corrected standard errors (PCSE). With this method, refinancing incentive, burnout, seasoning, prepayment penalty, and changes in house prices have a substantial effect on the prepayment rate. This study also shows that a feasible generalized least squares (FGLS), which often results in overconfidence for variables, can erroneously identify certain variables as significant. Such variables include the age of mortgage loans with burnout, seasonality, and unemployment rate. Another major finding of this study is that the development of dummy variables for the early months of mortgage pool can provide a better mechanism than the mortgage loan age variable to estimate borrowers’ prepayment characteristics. In addition, this study reveals that, contrary to expectation, the global financial crisis did not lead to a significant increase in the refinancing incentive sensitivity after controlling mortgage loan variables. / text

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<p>This master thesis is Atlas Copco Craelius’ first step in incorporating numericalmethods in load case analysis during the development process. Atlas Copco needs toconstantly evolve and refine their methods in the design process to remain as thenumber one manufacturer of mining and construction equipment. Poor knowledge ofloads results either in structural failures or in oversized structures, both very costlyfor Atlas Copco.The main goal of this thesis is to examine the potential in MBS software by using it toidentify extreme load cases in one of Atlas Copco Craelius’ surface drill rigs, Mustang5. The MBS-software ADAMS View is used to build a model of the Mustang 5 drill rigand evaluate simulation results. The rig model is subject to motions which representreal case scenarios. The feed positioning possibilities are examined thoroughly since it was expected that the positioning has impact on the load levels. 25 different feedpositioning are simulated.The main conclusion is that the load levels are highly dependent on the feedpositioning. For example, the load levels in the boom raising cylinder can increaseseven times, if the rig is operated with the most unfavorable positioning compared tothe recommended. It could also be concluded that not only one positioning isextreme in terms of loads; it depends on which part of the boom system is beingobserved. Thus, several positioning cases have to be taken into consideration in orderto optimize the design of parts in the boom system.</p>

This master thesis is Atlas Copco Craelius’ first step in incorporating numericalmethods in load case analysis during the development process. Atlas Copco needs toconstantly evolve and refine their methods in the design process to remain as thenumber one manufacturer of mining and construction equipment. Poor knowledge ofloads results either in structural failures or in oversized structures, both very costlyfor Atlas Copco.The main goal of this thesis is to examine the potential in MBS software by using it toidentify extreme load cases in one of Atlas Copco Craelius’ surface drill rigs, Mustang5. The MBS-software ADAMS View is used to build a model of the Mustang 5 drill rigand evaluate simulation results. The rig model is subject to motions which representreal case scenarios. The feed positioning possibilities are examined thoroughly since it was expected that the positioning has impact on the load levels. 25 different feedpositioning are simulated.The main conclusion is that the load levels are highly dependent on the feedpositioning. For example, the load levels in the boom raising cylinder can increaseseven times, if the rig is operated with the most unfavorable positioning compared tothe recommended. It could also be concluded that not only one positioning isextreme in terms of loads; it depends on which part of the boom system is beingobserved. Thus, several positioning cases have to be taken into consideration in orderto optimize the design of parts in the boom system.

On trouve au Canada un marché de plus en plus important de titres adossés à des hypothèques (appelés MBS pour Mortgage Backed Securities). Ce mémoire vise à déterminer les caractéristiques des MBS qui ont un effet sur le taux de rendement remis aux investisseurs. Nous utilisons une base de données compilée par JD Diabira, Président de Westbridge Mortgage REIT, sur tous les MBS mensuels qui ont été émis au Canada par soixante-quinze institutions financières en 2015 et qui sont garantis par la SCHL. Les résultats confirment la présence d’effets régionaux, le type de MBS selon les différentes catégories de logements, le terme du MBS ainsi que l’échéance sont des variables qui ont un effet sur le taux d’intérêt des MBS. La province du Québec est l’endroit où on offre le plus faible rendement aux investisseurs lorsque les hypothèques d’une émission de MBS proviennent toutes de cette région. Au contraire, le taux de remise est le plus élevé lorsque les hypothèques proviennent de plusieurs régions à la fois. Cependant, nous trouvons que ceci pourrait être expliqué par différents indicateurs du marché hypothécaire et non par la région en soi. Pour les groupes de MBS, ceux où la remise des pénalités va à l’émetteur plutôt qu’à l’investisseur, reçoivent un taux supérieur. Finalement, plus l’échéance de l’émission est éloignée et moins le montant de l’émission est élevé, plus les investisseurs en sont compensés. Nous arrivons à un résultat mitigé quant aux institutions qui émettent les MBS. Nous ne trouvons pas de différences de taux remis aux investisseurs quand nous divisons les institutions en trois groupes (grandes banques, caisse Desjardins et les autres institutions). Cependant, quand nous séparons les institutions en banques et en coopératives de crédit, nous trouvons que les banques ont un taux de remise supérieur sur leurs émissions de MBS que ne l’ont les coopératives de crédit.

Diagnostic ultrasound (US) is safer, quicker and cheaper than other diagnostic imaging modalities. Over the past two decades, the applications of US imaging has been widened due to the development of injectable, compressible and encapsulated microbubbles (MBs) that provide an opportunity to improve conventional echocardiographic imaging, blood flow assessment and molecular imaging. The encapsulating material is manufactured by different biocompatible materials such as proteins, lipids or polymers. In current research, researchers modify the encapsulated shell with the help of advanced molecular chemistry techniques to load them with dyes (for fluorescent imaging), nanoparticles and radioisotopes (for multimodal imaging) or functional ligands or therapeutic gases (for local drug delivery). The echogenicity and the radial oscillation of MBs is the result of their compressibility, which undoubtedly varies with the encapsulated shell characteristics such as rigidity or elasticity. In this thesis, we present acoustic properties of novel type of polyvinyl alcohol (PVA)-shelled microbubble (PVA-MB) that was further modified with superparamagnetic iron oxide nanoparticles (SPIONs) to work as a dual-modal contrast agent for magnetic resonance (MR) imaging along with US imaging. Apparently, the shell modification changes their mechanical characteristics, which affects their acoustic properties. The overall objective of the thesis is to investigate the acoustic properties of modified and unmodified PVA-MBs at different ultrasound parameters. The acoustic and mechanical characterization of SPIONs modified PVA-MBs revealed that the acoustical response depends on the SPION inclusion strategy. However they retain the same structural characteristics after the modification. The modified MBs with SPIONs included on the surface of the PVA shell exhibit a soft-shelled behavior and produce a higher echogenicity than the MBs with the SPIONs inside the PVA shell. The fracturing mechanism of the unmodified PVA-MBs was identified to be different from the other fracturing mechanisms of conventional MBs. With the interaction of high-pressure bursts, the air gas core is squeezed out through small punctures in the PVA shell. During the fracturing, the PVA-MBs exhibit asymmetric (other modes) oscillations, resulting in sub- and ultra-harmonic generation. Exploiting the US imaging at the other modes of the oscillation of the PVA-MBs would provide an opportunity to visualize very low concentrations of (down to single) PVA-MBs. We further introduced the PVA-MBs along with particles mimicking red blood cells in an acoustic standing-wave field to observe the acoustic radiation force effect. We observed that the compressible PVA-MBs drawn toward pressure antinode while the solid blood phantoms moved toward the pressure node. This acoustic separation method (acoustophoresis) could be an efficient tool for studying the bioclearance of the PVA-MBs in the body, either by collecting blood samples (in-vitro) or by using the extracorporeal medical procedure (ex-vivo) at different organs. Overall, this work contributes significant feedback for chemists (to optimize the nanoparticle inclusion) and imaging groups (to develop new imaging sequences), and the positive findings pave new paths and provide triggers to engage in further research. / <p>QC 20150827</p> / 3MiCRON

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