在金融海嘯之後, 信用風險的重要性益發為銀行金融業所重視。 為深入探索此議題, 本文以 CreditMetrics(TM) 模型為基底, 設定台灣 458 間上市櫃公司為虛擬資產組合, 做出其資產組合價值分配與資產組合損失分配, 以估量信用風險的大小, 提供銀行業計提資本時一個適當的方向。 在模型上, 本文採納 CreditMetrics(TM) 考量交易對手資產報酬率相關性的優點, 此點使我們交易對手評等的移轉產生相關性, 不致低估信用風險; 並修正其以外部評等機構所提供的無條件移轉矩陣為模型參數的設定, 使用排序普羅比模型 (Ordered Probit Model) 在移轉矩陣上引入總體因子, 搭配 Svensson 四因子模型所估計的放款殖利率, 做出條件情境的的經濟資本, 增加資本計提的準確度。 此外, 為了解總體因子的重要性, 本文將之與評等因子做比較。 實證結果發現, 加入總體因子會對信用風險造成一定程度的衝擊, 銀行業實不宜再以無條件情境做為計提資本的標準。 而在評等與曝險額呈現正相關的條件下, 評等因子的重要性比起總體因子有過之而無不及。 銀行業在計提資本時, 與其費盡心思在模型中納入總體因子, 也許應該先看看評等是否已經納入考量。

在全球化浪潮下，廠商為追求利潤極大化，紛紛向外尋找適合的市場，其營運策略已由傳統的國際貿易移轉至全球對外直接投資，並儼然成為各國經濟發展的重要動力。對外直接投資對地主國而言，可帶來經濟成長的動力、創造就業機會、促進技術移轉及創新活動等外溢效果，因此，各國無不積極吸引外商前往投資，台灣亦不例外。由於，僑外來台投資對台灣經濟發展具有重大貢獻，據此，本研究利用經濟部投資審議委員會2008年委外調查之「華僑及外國人投資事業營運狀況調查表（非服務業）」問卷資料，分別由廠商特性、競爭優勢及營運策略等構面，探討僑外來台投資營績效之影響因素，並運用Probit Model進行實證分析。實證結果發現，產業類別、廠商規模、成立時間、租稅負擔、國際化程度及在台設立製造生產部門等，是顯著影響僑外來台投資經營績效的重要因素。因此，政府除鼓勵僑外來台投資非資訊電子工業、擴大公司規模、善用先占優勢、提升國際化程度及設立製造生產部門外，亦應給予租稅優惠，降低其租稅負擔，使其有較佳之經營績效表現，以吸引並提升投資意願。 / Corporations in pursuit of profit maximization have to seek out a suitable market under globalization trend and their business strategy has changed from the international trade shifted to the foreign direct investment. This study explores keys of performance of overseas Chinese and foreign nationals in Taiwan. By using Probit Model analysis based on 2008 statistical data from Investment Commission of Ministry of Economic Outsourcing Survey are empirically analyzed. Findings from the research indicate that “industry category, firm scale, set up time, the taxation, internationalization level and the establishment of manufacturing sector in Taiwan,” are significantly factors on firm's performance. Therefore, in order to have better operating performance and enhance the willingness on investment in Taiwan, the government should encourage overseas Chinese and foreign nations invest in Taiwan on non-information and electronics industry, expand firm scale, use of first mover advantage, enhance the internationalization level and set up manufacturing sector, but should also give tax incentives to reduce their tax burden.

Approved for public release, distribution is unlimited / This study analyzes the relationship between selection to major in the Marine Corps, and the survival of midgrade officers to the promotion point of major, by investigating the effects of billet assignments. Specifically, this study looks at the influence of the percentage of time spent in the Fleet Marine Forces (FMF), the percentage of time spent in primary military occupation (PMOS) billet assignments, and the effect of having served in combat, recruiting, security forces, joint, and drill field duties. Models were formulated using groundwork established in previous promotion, retention, and attrition studies. Assignment variables were then introduced to the models. To account for officers' choice for continued service vice forced attrition, the sample was restricted to officers who had attained five years of service. Probit regression was used to find the influence of career assignments on the probability of selection; Heckman's correction was used to control for self-selection bias; and, Cox proportionalhazard regression was used, utilizing the same assignment factors, to find the influence of assignments on the likelihood of attrition. The findings indicated that FMF and PMOS ratios above 60 percent had a negative effect on promotion and retention. Also indicated was that time spent outside the PMOS, in "B" billets, had a positive effect on retention. In a time of budgetary constraints, this information may provide assistance to personnel planners as an alternative to pecuniary measures used to maintain and shape the force. / Major, United States Marine Corps

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Contemporary research indicates that the era of autonomous vehicles (AVs) is not only inevitable but may be reached sooner than expected; however, not enough research has been done to address road infrastructure readiness for supporting AV operations. Highway agencies at all levels of governments seek to identify the needed infrastructure changes to facilitate the successful integration of AVs into the existing roadway system. Given multiple sources of uncertainty particularly the market penetration of AVs, agencies find it difficult to justify the substantial investments needed to make these infrastructure changes using traditional value engineering approaches. It is needed to account for these uncertainties by doing a phased retrofitting of road infrastructure to keep up with the AV market penetration. This way, the agency can expand, defer, or scale back the investments at a future time. This dissertation develops a real options analysis (ROA) framework to address these issues while capturing the monetary value of investment timing flexibility. Using key stakeholder feedback, an extensive literature review, and discussions with experts, the needed AV-motivated changes in road infrastructure were identified across two stages of AV operations; the transition phase and the fully-autonomous phase. For a project-level case study of a 66-mile stretch of Indiana’s four-six lane Interstate corridor, two potential scenarios of infrastructure retrofitting were established and evaluated using the net present value (NPV) and ROA approaches. The results show that the NPV approach can lead to decisions at the start of the evaluation period but does not address the uncertainty associated with AV market penetration. In contrast, ROA was found to address uncertainty by incorporating investment timing flexibility and capturing its monetary value. Using the dissertation’s framework, agencies can identify and analyze a wide range of possible scenarios of AV-oriented infrastructure retrofitting to enhance readiness, at both the project and network levels.

Neste trabalho discutimos a análise bayesiana em modelos TRI (Teoria da Resposta ao Item) de três parâmetros com respostas binárias e ordinais, considerando a ligação probito. Em ambos os casos usamos técnicas baseadas em MCCM (método de Monte Carlo baseado em Cadeias de Markov) para estimação dos parâmetros dos itens. No modelo com respostas binárias, consideramos dois conjuntos de dados resultantes de provas com itens de múltipla-escolha. Para esses dados, foi feito um estudo da sensibilidade à escolha de distribuições a priori, além de uma análise das estimativas a posteriori para os parâmetros dos itens: discriminação, dificuldade e probabilidade de acerto ao acaso. Um terceiro conjunto de dados foi utilizado no estudo do modelo com respostas ordinais. Estes dados são provenientes de uma disciplina básica de estatística, onde a prova contêm itens dissertativos. As respostas foram classificadas nas categorias: certa, errada ou parcialmente certa. Utilizamos o programa WinBugs para a estimação dos parâmetros do modelo binário e a função MCMCordfactanal do programa R para estimar os parâmetros do modelo ordinal. Ambos os softwares são não proprietários e gratuitos (livres). / In this dissertation the bayesian analysis for three parameters IRT (Item Response Theory) models with binaries and ordinals responses, considering the probit model, was discussed. For both cases, binary and ordinal, techniques based on MCCM (Monte Carlo Markov Chain) were used to estimate the items parameters. For binary response model, was considered two data sets from tests with multipla choices items. For these two data sets, a sensibility study of the priori distributions choice was considered, and also, an analyses of a posteriori estimates of the items parameters: discrimination, difficulties and guessing. A third data set is used to ilustrate the ordinal response model. This come from an elementar statistical course, where a test with open items is considered. The responses are classified in the following categories: correct, wrong or partial correct. The WinBugs software was used to estimate the parameters for the binary model and, for the ordinal model was considered the function MCMCordfactanal from R program.

The goal of the work is to provide monetary valuation of changes in visual aspects of the landscape as a result of construction of an additional wind turbine in the village Maletín. For a suitable method for achieving the goal is being selected the contingent valuation method. A key element of this method is being considered the carefully compiled questionnaire, on which basis is made the quantification and evaluation of collected data. The representative sample consists of 112 households and the selected payment method is the increase of the monthly bill for electricity. The questionnaire reports that 54.3% of households consider the impact of wind turbines on the landscape Maletín to be positive. With the construction of additional wind turbine agree less than 74.3% of households and the most common reason is to obtain grants for the village and to produce cleaner energy from wind turbines. With the construction of new wind turbine while increasing monthly bill agrees 28.6% of all households living in the village Maletín. Estimation of changes in a welfare, thus improving the quality of the environment, is based on estimated central values, that has been calculated from selected characteristics and nonparametric estimation. The average household's willingness to pay for construction of wind turbine is estimated to be between 77 CZK - 200 CZK per month.

The United States cheese consumption has grown considerably over the years. Using Nielsen Homescan panel data for calendar years 2005 and 2006, this dissertation examines the effect of economic and socio-demographic factors on the demand for disaggregated cheese varieties and on the cheese industry in general. In the first essay, we estimated the censored demand for 14 cheese varieties and identified the respective own-price and cross-price elasticities. Also, non-price factors were determined affecting the purchase of each variety as well as the impact of generic dairy advertising. Results revealed that most of the natural cheese varieties have an elastic demand while the processed cheese products exhibited inelastic demands. Strong substitution and complementarity relationships were identified as well, and a two quarter carry-over effect of advertising was observed for most of cheese demands. Results also showed that household demographics affected the demands differently, depending on the nature of the cheese varieties. The second essay examined the impact of retail promotion on the decision to purchase private label processed cheese products using a probit model. A strong negative relationship was found between national brand manufacturer couponing activity and the private label purchase decision. Therefore, national brand couponing appears to be an effective strategy for manufacturers to deter private label growth. This analysis also shows that the decision of purchasing a private label cheese product is influenced by socio-demographic characteristics of the household, namely household income and size, age and education level of the household head, race, ethnicity, and location. In the third study, the feasibility of fortifying processed cheese with omega-3 is investigated. This ex-ante analysis took into account the market conditions and evaluates the increase in the demand for processed cheese needed to offset the costs of fortification in order to maintain the profitability of manufacturers like Kraft. Initially, the censored demand for processed cheese products is estimated using panel data; subsequently, the profitability of manufacturing such product is determined.This analysis shows that, within reasonable market conditions and reasonable marginal costs, the fortification of processed cheese products with omega-3 fatty acids indeed is feasible from a profitability standpoint to manufacturers.

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