Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de causalité entre deux types de tensions: celles liées à des motifs de liquidité et celles liées à des motifs de crédit (chapitre 4). Enfin, l'influence de la politique monétaire sur la courbe des taux est examinée grâce à un modèle dans lequel une utilisation innovante des changements de régime permet de produire des trajectoires réalistes des taux directeurs de la banque centrale (chapitre 5). / This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5).

Submitted by André Fava Pestana (afpestana@gmail.com) on 2014-12-23T22:09:45Z No. of bitstreams: 1 Tese_AFP_MPFE_VersãoFinal.pdf: 441121 bytes, checksum: d3fd4490be660a716f9368bbf366064e (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Prezado André, Não deve constar números de página nas páginas de 1 á 8. Peço a gentileza de excluir estes números e postar novamente. Lembrando que o Sumário está correto, seu trabalho se inicia na página 9. À disposição para qualquer esclarecimento. Att. Renata Souza Cursos de Pós-Graduação (55 11) 3799-7764 SRA - Secretaria de Registros Acadêmicos on 2014-12-29T11:26:26Z (GMT) / Submitted by André Fava Pestana (afpestana@gmail.com) on 2014-12-29T13:32:24Z No. of bitstreams: 1 Tese_AFP_MPFE_VersãoFinal.pdf: 442163 bytes, checksum: c1d9e18d4959a2ad10458a4c85047465 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2014-12-29T13:37:54Z (GMT) No. of bitstreams: 1 Tese_AFP_MPFE_VersãoFinal.pdf: 442163 bytes, checksum: c1d9e18d4959a2ad10458a4c85047465 (MD5) / Made available in DSpace on 2015-01-05T11:30:06Z (GMT). No. of bitstreams: 1 Tese_AFP_MPFE_VersãoFinal.pdf: 442163 bytes, checksum: c1d9e18d4959a2ad10458a4c85047465 (MD5) Previous issue date: 2014-12-19 / Banks, as diligent agents, actively monitor their debtors in order to obtain a precise assessment of their financial position. This monitoring stance usually allows them to access non-public information regarding a firm and its business, and acquire hold up power in the credit granting activity. This hold up power is believed to allow banks to charge the firm higher interest rates than otherwise would be justified by the company’s credit risk profile through the economic cycle, mainly during recessions. The presence of hold up power is tested on this paper in businesses more or less dependent on bank credit. By comparing the evolution of bank spreads paid by Brazilian public companies with and without access to the corporate bond market and through the economic cycle comprising the 2009 crisis, some insight is gained on the impact of an economic downturn and of holding corporate bonds in reducing the bank’s hold up power and hence the spreads paid by the company. Data from 50 firms for the years 2007 to 2013 were organized in a panel and modeled using the Estimated Generalized Least Squares (EGLS) technique, as an alternative to the classic Least Squares (LS) technique. The dummies, i) access to corporate bond credit, ii) economic recession and iii) interaction of the 2 previous variables were created and tested after controlling for firm specific factors such as credit restriction, firm size, leverage, etc and statistical evidence was found supporting the intuition that having access to the bond market can reduce the bank spreads during recessions. / A concessão de crédito bancário demanda esforço do agente credor que se dedica de forma ativa na obtenção de informações relativas à firma, até então não disponíveis ao público. Dado o hold up power do banco detentor de informações não públicas, este deveria poder cobrar spreads mais altos do que seria justificado unicamente pelo risco de crédito do tomador ao longo dos ciclos econômicos, sendo tal dinâmica mais acentuada em cenários de crise. Testa-se aqui esta hipótese e para isso são comparadas as variações do spread bancário médio da dívida de empresas brasileiras com diferentes composições de endividamento, levando-se em conta sua dependência do crédito bancário. Foram criadas: i) uma variável dummy identificando o acesso ao crédito direto para que se pudesse avaliar o seu efeito nos spreads; ii) outra dummy identificando cenários de recessão que permite avaliar o impacto do ciclo econômico nos spreads e iii) dummy interação que viabilizou o estudo do efeito combinado das duas variáveis anteriores. Fatores de risco individuais da firma, tais como tamanho, nível de alavancagem e sua natureza em termos de restrição a crédito foram controlados na análise. Os dados foram organizados em painel com os quais foi montada regressão linear valendo-se da técnica Estimated Generalized Least Squares (EGLS), alternativa ao Least Squares (LS) clássico. Encontrou-se evidência estatística de que em cenários de recessão econômica o acesso ao mercado direto de crédito traz efeito benéfico sobre os spreads bancários pagos pelas firmas.

With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research)

A ingestão de ácidos graxos trans tem sido consistentemente mostrada ter efeitos adversos nos lipídeos sanguíneos, principalmente na razão LDL:HDL colesterol, que é um forte marcador de risco cardiovascular. De acordo com a Resolução RDC (Resolução da Diretoria Colegiada) de número 360 da ANVISA, de 23 de dezembro de 2003 da ANVISA, (Agência Nacional de Vigilância Sanitária), após 1 de agosto de 2006 as indústrias de alimentos devem declarar o conteúdo de ácidos graxos trans por porção do produto. O objetivo deste trabalho foi analisar a composição de ácidos graxos trans em margarinas e cremes vegetais após a nova legislação. As margarinas e cremes vegetais foram adquiridos na cidade de São Paulo, perfazendo um total de 40 amostras, 17 margarinas cremosas, 8 margarinas light, 1 margarina culinária cremosa, 2 margarinas culinária duras, 1 margarina culinária líquida, 2 alimentos a base de margarina, 8 cremes vegetais e 1 creme vegetal light foram analisados. Os lipídeos foram extraídos por hidrólise ácida, derivatizados com BF3 e em seguida analisados em cromatógrafo gasoso, equipado com coluna capilar SP- 2560 de 100 m a 180C. Os teores de trans totais das margarinas interesterificadas sofreram aumento significativo no período compreendido entre os anos 2000 a 2006, variando de 0 2,17% e 0,71 2,32% respectivamente. Nas margarinas hidrogenadas também foi observado aumento de 11,56 20,55% para 12,63 26,00% em 2006. As margarinas culinárias duras foram o tipo de margarina que apresentou concentrações elevadas de trans, variando de 19,38 a 30,35%. A margarina culinária cremosa e a margarina culinária líquida continham baixos teores de trans, 1,62 e 3,32% respectivamente. Os cremes vegetais interesterificados não sofreram mudança significativa, passando de 0 1,70% para 0 1,66%. No creme vegetal hidrogenado ocorreu redução acentuada dos teores médios de trans totais de 20,55 para 12,63%. A mudança na legislação não foi suficiente para reduzir totalmente os teores de ácidos graxos trans nas margarinas e cremes vegetais. Apesar disto, foi observado um aumento da disponibilidade de margarinas e cremes vegetais zero trans, que são aqueles que contém teores ≤ 0,2 g/porção de 10 g. / Intake of trans fatty acids (TFA) has been consistently shown to have adverse effects on blood lipids, most notably on the LDL:HDL cholesterol ratio, which is a strong marker of cardiovascular risk. According to RDC (Resolução de Diretoria Colegiada) resolution number 360 of the ANVISA (Agência Nacional de Vigilância Sanitária National Agency for Sanitary Vigilance), after August 1, 2006, food industries must declare the trans fatty acid (TFA) content per product serving. The objective of this work was to analyzer the composition of trans fatty acid in margarines and fat spreads after the new legislation. The margarines and fat spread were obtained in the city of São Paulo, making a total of 40 samples, seventeen tub margarines, eight light tub margarines, one culinary tub margarine, two culinary hard margarines, one culinary liquid margarine, two margarine-based foods, eight fat spreads and one light fat spread were analyzed. The lipids were extracted by acid hydrolysis, derivatizados with BF3 and then analyzed by gas chromatograph, equipped with capillary column SP-2560 of 100 m a 180 C. The total TFA content in interesterified margarines significantly increased between 2000 and 2006, rising from 02.17% to 0.712.32%. For hydrogenated margarines, an increase was also observed, from 11.5620.55% to 12.6326.00% by 2006. The culinary hard margarines were the type of margarine that had high concentrations of trans, ranging from 19.38 to 30.35%. Culinary tub margarine and culinary liquid margarine contained low levels of trans, 1.62 and 3.32% respectively. Interesterified fat spreads did not significantly change, from 0 1.70% to 01.66%. In hydrogenated fat spreads, a sharp reduction was seen, with average levels of total trans fats falling from 20.55% to 12.63%. Changes in the legislative regulation were not sufficient to significantly reduce the levels of TFA in margarines and fat spreads. Nevertheless, an increased availability of zero trans fat margarines and fat spreads on the market was observed (levels ≤ 0.2 g per 10 g serving).

Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriage. / This thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries.

Cette thèse envisage un ensemble de méthodes permettant aux algorithmes d'apprentissage statistique de mieux traiter la nature séquentielle des problèmes de gestion de portefeuilles financiers. Nous débutons par une considération du problème général de la composition d'algorithmes d'apprentissage devant gérer des tâches séquentielles, en particulier celui de la mise-à-jour efficace des ensembles d'apprentissage dans un cadre de validation séquentielle. Nous énumérons les desiderata que des primitives de composition doivent satisfaire, et faisons ressortir la difficulté de les atteindre de façon rigoureuse et efficace. Nous poursuivons en présentant un ensemble d'algorithmes qui atteignent ces objectifs et présentons une étude de cas d'un système complexe de prise de décision financière utilisant ces techniques. Nous décrivons ensuite une méthode générale permettant de transformer un problème de décision séquentielle non-Markovien en un problème d'apprentissage supervisé en employant un algorithme de recherche basé sur les K meilleurs chemins. Nous traitons d'une application en gestion de portefeuille où nous entraînons un algorithme d'apprentissage à optimiser directement un ratio de Sharpe (ou autre critère non-additif incorporant une aversion au risque). Nous illustrons l'approche par une étude expérimentale approfondie, proposant une architecture de réseaux de neurones spécialisée à la gestion de portefeuille et la comparant à plusieurs alternatives. Finalement, nous introduisons une représentation fonctionnelle de séries chronologiques permettant à des prévisions d'être effectuées sur un horizon variable, tout en utilisant un ensemble informationnel révélé de manière progressive. L'approche est basée sur l'utilisation des processus Gaussiens, lesquels fournissent une matrice de covariance complète entre tous les points pour lesquels une prévision est demandée. Cette information est utilisée à bon escient par un algorithme qui transige activement des écarts de cours (price spreads) entre des contrats à terme sur commodités. L'approche proposée produit, hors échantillon, un rendement ajusté pour le risque significatif, après frais de transactions, sur un portefeuille de 30 actifs. / This thesis considers a number of approaches to make machine learning algorithms better suited to the sequential nature of financial portfolio management tasks. We start by considering the problem of the general composition of learning algorithms that must handle temporal learning tasks, in particular that of creating and efficiently updating the training sets in a sequential simulation framework. We enumerate the desiderata that composition primitives should satisfy, and underscore the difficulty of rigorously and efficiently reaching them. We follow by introducing a set of algorithms that accomplish the desired objectives, presenting a case-study of a real-world complex learning system for financial decision-making that uses those techniques. We then describe a general method to transform a non-Markovian sequential decision problem into a supervised learning problem using a K-best paths search algorithm. We consider an application in financial portfolio management where we train a learning algorithm to directly optimize a Sharpe Ratio (or other risk-averse non-additive) utility function. We illustrate the approach by demonstrating extensive experimental results using a neural network architecture specialized for portfolio management and compare against well-known alternatives. Finally, we introduce a functional representation of time series which allows forecasts to be performed over an unspecified horizon with progressively-revealed information sets. By virtue of using Gaussian processes, a complete covariance matrix between forecasts at several time-steps is available. This information is put to use in an application to actively trade price spreads between commodity futures contracts. The approach delivers impressive out-of-sample risk-adjusted returns after transaction costs on a portfolio of 30 spreads.

This thesis consists of four self-contained essays on the various topics in finance.  The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. It finds that the systematic risk structure predicts the growth rate of industrial production 3 to 18 months into the future even when other leading indicators are controlled for, outperforming other models. A regime-switching estimation also shows that the systematic risk structure is very successful in identifying and capturing different growth regimes of industrial production.  The second essay, How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession? investigates whether financial conditions of the U.S. corporate sector  can explain the probability and severity of recessions. It proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) constructed as the default probability for the entire corporate sector. It finds that the CVI is a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators, and that an increase in the CVI is also associated with a rise in the probability of a more severe and lengthy recession 3 to 6 quarters ahead.  The third essay, Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia (with Jorge A. Chan-Lau), using TGARCH models, finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods: the pre-LTCM crisis period, the “tech bubble” period, and the “stock market correction” period. Hong Kong SAR, Japan, and Singapore were sources of spillovers within the region and affected the United States during the latter period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the “tech bubble” period.  The fourth essay, Coping with Financial Spillovers from the United States: The Effect of U. S. Corporate Scandals on Canadian Stock Prices, investigates the effect of U.S. corporate scandals on stock prices of Canadian firms interlisted  in the United States. It finds that firms interlisted during the pre-Enron period enjoyed increases in post-listing equilibrium prices, while firms interlisted during the post-Enron period experienced declines in post-listing equilibrium prices, relative to a model-based benchmark. Analyzing the entire universe of Canadian firms, it finds that interlisted firms, regardless of their listing time, were perceived as increasingly risky by Canadian investors after the Enron’s bankruptcy. / Diss. Stockholm : Handelshögskolan, 2003

No description available.

[ES] La presente Tesis doctoral plantea distintas estrategias para el diseño y desarrollo de oleogeles estables, con un perfil lipídico de alta calidad nutricional y la posterior incorporación de los oleogeles en la formulación de distintos alimentos. Se pretende diseñar alimentos mediante el reemplazo de grasas sólidas, ricas en ácidos grasos saturados y trans por oleogeles, que, por un lado, mantengan las propiedades texturales y organolépticas, y, por otro lado, presenten un perfil lipídico mejorado. En una primera etapa, se desarrollaron oleogeles elaborados con 1% de hidroxipropilmetilcelulosa y 0,6% de goma xantana empleando dos condiciones de secado diferentes: secado convencional en estufa a 80 °C durante 10 h 30 min y secado a vacío a 60 °C durante 24 h. Los aceites estructurados fueron aceite de oliva, lino, girasol y girasol alto oleico. La microestructura permitió apreciar oleogeles bien estructurados cuando se utilizaron los aceites de oliva, girasol y girasol alto oleico. La estabilidad física y las propiedades reológicas corroboraron la formación de oleogeles de alta estabilidad física, a lo largo de 35 días de almacenamiento, y con un comportamiento de gel sólido. Se observó que tanto el grado de insaturación del aceite como las condiciones de secado afectaron a la estabilidad física y química del oleogel. De esta manera, se obtuvieron oleogeles poco estructurados y no homogéneos al utilizar aceite con un alto grado de insaturación, como el aceite de lino, por secado convencional, mientras que no fue factible desarrollar oleogeles de lino con secado a vacío. Además, el secado en estufa convencional a 80 °C durante 10 h 30 min generó oleogeles de girasol y de girasol alto oleico con mayor estabilidad estructural y física que el secado a 60 °C durante 24 h. Los oleogeles de oliva y de girasol alto oleico producidos por secado convencional y los oleogeles de oliva y de girasol producidos por secado a vacío presentaron valores de estabilidad oxidativa primaria y secundaria dentro de los límites de aceptabilidad establecidos por el Codex Alimentarius. En una segunda etapa se desarrollaron cremas de cacao untables y panes dulces. En las cremas se estudió la microestructura, textura, reología y atributos sensoriales. La reformulación de las cremas con un reemplazo total (100%) y parcial (50%) de grasa de coco por oleogeles de oliva o girasol obtenidos por secado a vacío permitió mantener sus propiedades estructurales. Concretamente, la sustitución parcial de grasa de coco por oleogel de girasol permitió obtener cremas con atributos sensoriales como "apariencia cremosa", "textura cremosa" y "sabor a cacao", por lo que podría ser una alternativa viable para reformular cremas untables con un perfil nutricional más saludable. Los oleogeles de oliva o girasol alto oleico obtenidos por secado convencional y previamente caracterizados, se emplearon en la formulación de panes dulces elaborados al horno o al vapor. La reformulación con oleogeles permitió obtener panes con unas características estructurales y apariencia similar a la de los panes elaborados con margarina. La realización de una prueba triangular mostró diferencias en la apariencia de la miga y el sabor, mientras que no se observaron diferencias para el atributo textura entre los panes elaborados con oleogeles y con margarina. No se encontraron diferencias en la cantidad de ácidos grasos liberados tras la digestión in vitro entre los panes dulces elaborados con oleogeles y con margarina. Sin embargo, la velocidad inicial de la digestibilidad lipídica fue diferente dependiendo del tipo de procesado, horneado o vaporización, empleado en la elaboración de los panes. El desarrollo de oleogeles a base de hidrocoloides además de ofrecer a la industria alimentaria una alternativa como sustituto de grasas plásticas, podría investigarse como estrategia para modular la digestión de lípidos y brindar beneficios para la salud. Todas las estrategias abordadas en el transcurso de esta Tesis permitieron comprender y ahondar en los conocimientos que conducen a cómo reformular un alimento para mejorar su perfil lipídico sin comprometer sus características sensoriales y fisicoquímicas. / [CA] La present Tesi doctoral planteja diferents estratègies per al disseny i desenvolupament d'oleogels estables, amb un perfil lipídic d'alta qualitat nutricional, i la posterior incorporación dels oleogels en diferents aliments. Es pretén dissenyar aliments mitjançant el reemplaçament de greixos sòlids, rics en àcids grassos saturats i trans per oleogels, que d'una banda, mantinguen les propietats texturals i organolèptiques, i d'altra banda, presenten un perfil lipídic millorat. En una primera etapa, es van desenvolupar oleogels elaborats amb un 1% de hidroxipropilmetilcel·lulosa i un 0,6% de goma xantana emprant dues condicions d'assecat diferents: assecat convencional en estufa a 80 °C durant 10 h 30 min i assecat a buit a 60 °C durant 24 h. Els olis estructurats van ser d'oliva, de lli, de gira-sol i de gira-sol alt oleic. La microestructura va permetre apreciar oleogels ben estructurats quan es van utilitzar els olis d'oliva, gira-sol i gira-sol alt oleic. L'estabilitat física i les propietats reològiques van corroborar la formació d'oleogels d'alta estabilitat física, al llarg de 35 dies d'emmagatzematge, i amb un comportament de gel sòlid. Tant el grau d'insaturació de l'oli com les condicions d'assecat van afectar l'estabilitat física i química del oleogel. D'aquesta manera, es van obtindre oleogels poc estructurats i no homogenis en utilitzar oli amb un alt grau d'insaturació, com l'oli de lli, per assecat convencional, mentre que no va ser factible desenvolupar oleogels de lli amb assecat a buit. A més, l'assecat en estufa convencional a 80 °C durant 10 h 30 min va generar oleogels de gira-sol i de gira-sol alt oleic amb major estabilitat estructural i física que l'assecat a 60 °C durant 24 h. Els oleogels d'oliva i gira-sol alt oleic, produïts per assecat convencional i els oleogels d'oliva i gira-sol produïts per assecat a buit van presentar valors d'estabilitat oxidativa primària i secundària dins dels límits d'acceptabilitat establits pel Codex Alimentarius. En una segona etapa, es van desenvolupar cremes de cacau untables i pans dolços. En aquest treball, es va estudiar la microestructura, textura, reologia i atributs sensorials de les cremes untables. La reformulació de cremes amb un reemplaçament total (100%) i parcial (50%) de greix de coco per oleogels d'oliva o gira-sol obtinguts per assecat a buit, va permetre mantindre les propietats estructurals de les cremes untables. Concretament, la substitució parcial de greix de coco per oleogel de gira-sol va ser descrita amb atributs sensorials com a "aparença cremosa", "textura cremosa" i "sabor de cacau", la qual cosa podria ser una alternativa viable per a reformular cremes per a untar amb un perfil nutricional més saludable. Els oleogels d'oliva o gira-sol alt oleic obtinguts per assecat convencional i prèviament caracteritzats, es van empra en la formulació de pans dolços cuinats al forn o al vapor. Es van estudiar les propietats estructurals, i la digestibilitat lipídica in vitro del producte final. La reformulació amb oleogels va permetre obtindre pans amb unes característiques estructurals i aparença similar a la dels pans elaborats amb margarina. La realització d'una prova triangular va mostrar diferències en l'aparença de la molla i el sabor, mentre que no es van observar diferències per a l'atribut textura, entre els pans elaborats amb oleogels i amb margarina. No es van trobar diferències en la quantitat d'àcids grassos alliberats després de la digestió in vitro entre els pans dolços elaborats amb oleogels i amb margarina. No obstant això, la velocitat inicial de la digestibilitat lipídica va ser diferent depenent de la mena de processament, enfornat o vaporatge, emprat en l'elaboració dels pans. El desenvolupament d’oleogels a base de hidrocol∙loides, a més d ́oferir a la indústria alimentària una alternativa com a substitut de greixos plàstics, podria investigar-se com a estratègia per modular la digestió de lípids i brindar beneficis per la salut. Totes les estratègies abordades en el transcurs d'aquesta Tesi van permetre comprendre i aprofundir en els coneixements que condueixen a com reformular un aliment per a millorar el seu perfil lipídic sense comprometre les seues característiques sensorials i fisicoquímiques. / [EN] The research of this doctoral thesis proposes different strategies for the design and development of stable oleogels, with high nutritional lipid profile and the subsequent incorporation of the oleogels in the formulation of different . It aims to design foods by replacing solid fats, rich in saturated and trans fatty acids with oleogels, which, on the one hand, maintain the textural and organoleptic properties, and on the other hand, present an improved lipid profile. In a first stage, oleogels made with 1% hydroxypropylmethylcellulose and 0.6% xanthan gum were developed using two different drying conditions: conventional drying in an oven at 80 ° C for 10 h 30 'and vacuum drying at 60 ° C for 24 h. The structured oils were olive, flaxseed, sunflower and high oleic sunflower oil. The microstructure showed the oleogels structured, when olive, sunflower or high oleic sunflower oils were used. Physical stability and rheological properties corroborated the formation of oleogels with high physical stability, over 35 days of storage, and with a solid gel behaviour. Both the degree of unsaturation of the oil and the drying conditions affected the physical and chemical stability of the oleogel. In this way, unstructured non-homogeneous oleogels were obtained by using oil with a high degree of unsaturation, such as flaxseed oil, by conventional drying, while it was not feasible to develop flaxseed oleogels with vacuum drying. Furthermore, drying in a conventional oven at 80 ° C for 10 h 30 min generated sunflower and high oleic sunflower oleogels with more structural and physical stability than drying at 60 ° C for 24 h. Olive and high oleic sunflower oleogels, produced by conventional drying, and olive and sunflower oleogels produced by vacuum drying, presented primary and secondary oxidative values within the acceptability limits established by the Codex Alimentarius. In a second stage, spreadable cocoa creams and sweet breads were developed. The microstructure, texture, rheology and sensory attributes of spreadable creams were studied. The reformulation of cocoa creams with a total (100%) and partial (50%) replacement of coconut fat by olive or sunflower oleogels obtained by vacuum drying allowed to maintain the structural properties of spreadable creams. Specifically, the partial substitution of coconut fat for sunflower oleogel gave place to creams described with sensory attributes such as "creamy appearance", "creamy texture" and "cocoa flavor"; therefore, it could be a viable alternative to reformulate spreads with a healthier nutritional profile. The olive or sunflower oleogels obtained by conventional drying and previously characterized, were used in the formulation of sweet breads made in the oven or steamed. Replacement of margarine for oleogels produced breads with similar structural characteristics and appearance that those made with margarine. A triangular discriminatory test showed differences in the appearance of the crumb and the flavor, while no differences were observed for the texture attribute, between the breads made with oleogels or with margarine. No differences were found in the amount of fatty acids released after in vitro digestion between sweet breads made with oleogels and margarine. However, the initial rate of lipid digestibility was different depending on the type of processing, baking or steaming, used in the preparation of the breads. In addition to offering the food industry an alternative as a substitute for plastic fats, the debe lopment of hydrocolloid-based oleogels could be investigated as a strategy to modulate lipid digestion and provide health benefits. / Bascuas Véntola, SM. (2021). Estructuración de aceites mediante el uso de hidrocoloides para sustituir grasas plásticas en los alimentos [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/174797 / TESIS

This thesis presents an application of Principal Component Analysis (PCA) and Hierarchical PCA to credit spreads. The aim is to identify the underlying factors that drive the behavior of credit spreads as well as the left over idiosyncratic risk, which is crucial for risk management and pricing of credit derivatives. The study employs a dataset from the Swedish market of credit spreads for different maturities and ratings, split into Covered Bonds and Corporate Bonds, and performs PCA to extract the dominant factors that explain the variation in the data of the former set. The results show that most of the systemic movements in Swedish covered bonds can be extracted using a mean which coincides with the first principal component. The report further explores the idiosyncratic risk of the credit spreads to further the knowledge regarding the dynamics of credit spreads and improving risk management in credit portfolios, specifically in regards to new regulation in the form of the Fundemental Review of the Trading Book (FRTB). The thesis also explores a more general model on corporate bonds using HPCA and K-means clustering. Due to data issues it is less explored but there are useful findings, specifically regarding the feasibility of using clustering in combination with HPCA. / I detta arbete presenteras en tillämpning av Principal Komponent Analysis (PCA) och Hierarkisk PCA på kreditspreadar. Syftet är att identifiera de underliggande faktorer som styr kreditspreadarnas beteende samt den kvarvarande idiosynkratiska risken, vilket är avgörande för riskhantering och prissättning av diverse kreditderivat. I studien används en datamängd från den svenska marknaden med kreditspreadar för olika löptider och kreditbetyg, uppdelat på säkerställda obligationer och företagsobligationer, och PCA används för att ta fram de mest signifikanta faktorerna som förklarar variationen i data för de förstnämnda obligationerna. Resultaten visar att de flesta av de systematiska rörelserna i svenska säkerställda obligationer kan extraheras med hjälp av ett medelvärde som sammanfaller med den första principalkomponenten. I rapporten undersöks vidare den idiosynkratiska risken i kreditspreadarna för att öka kunskapen om dynamiken i kreditspreadarna och förbättre riskhanteringen i kreditportföljer, särskilt med tanke på regelverket "Fundemental Review of the Tradring book" (FRTB). I rapporten undersöktes vidare en mer allmän modell för företagsobligationer med hjälp av HPCA och K-means-klustering. På grund av dataproblem är den mindre utforstkad, men det finns användbara resultat, särskild när det gäller möjligheten att använda kluster i kombination med HPCA.