De nos jours, de plus en plus d'organisations déploient des infrastructures matérielles telles que des clusters ou des grilles. Elles sont utilisées pour héberger des services internet communs tels que l'email, les réseaux sociaux ou le commerce électronique ou pour exécuter des applications scientifiques telles que les simulations nucléaires ou les prédictions météorologiques. La capacité de traitement et de stockage demandée pour répondre à la charge de travail de ces applications ne peut être fournie que par le biais de ces infrastructures matérielles. Ces infrastructures matérielles embarquent des systèmes d'exploitation, qui peuvent potentiellement coopérer dans le but de gérer au mieux les ressources disponibles. Ces systèmes gèrent alors l'allocation des ressources aux applications en fonction des besoins de ces dernières. Ces systèmes visent à garantir la qualité de service et en même temps à gérer de façon optimale les ressources dans le but de limiter les coûts, notamment l'énergie. La communauté scientifique s'est intéressée à la problématique de la gestion des ressources. De nombreuses approches ont été proposées et des solutions ont été mises en œuvre. En réalisant un état de l'art de ces approches, nous constatons que la plupart d'entre elles s'intéressent à la gestion des nœuds dans l'objectif de répartir les calculs d'une façon adéquate pour exploiter de manière optimale la charge processeur. La gestion globale de la mémoire dans de telles infrastructures n'a pas été suffisamment étudiée. En effet, la mémoire est souvent considérée comme une ressource avec une capacité théoriquement illimitée grâce aux mécanismes de swap, mais ces derniers ont des conséquences importantes sur les performances des applications et le coût de fonctionnement de l'infrastructure. Dans cette thèse, nous étudions la conception et l'implantation d'un service de gestion globale de la mémoire dans une infrastructure matérielle. Ce service de gestion de mémoire doit éviter le gaspillage de mémoire et ne doit pas pénaliser les performances des applications hébergées. Nous proposons un service de swap à distance permettant à une machine, plutôt que swapper sur son disque local, de swapper sur la mémoire distante d'une autre machine ayant de la mémoire disponible. Les pages distantes peuvent être déplacées dynamiquement afin d'équilibrer la charge entre les machines. Ceci permet de mutualiser la mémoire et d'économiser les ressources. Un prototype a été implémenté et évalué. / Nowadays, more and more organizations are deploying large scale infrastructures such as clusters or grids. They are used to host common Internet services such as email, social networks, e-commerce applications or to run scientific applications such as nuclear simulations and weather predictions. Processing power and storage capacities satisfying the workload of these applications can only be provided by such infrastructure. The operating systems deployed on these nodes manage the allocation of application resources and can potentially cooperate in order to manage the available resources according of the application needs. The scientific community is usually interested in the resource management problematic. Many approaches have been proposed and solutions have been implemented. However, we find out that most of them focus on the node management in order to adequately distribute calculations to optimally exploit the CPU load. The global memory management in such infrastructures has not been enough studied. Indeed, memory is often considered as a resource with a theoretically unlimited capacity thanks to the swap capabilities, but swapping has a significant impact on the system performance and the operation cost. In this thesis, we study the design and the implementation of a global memory service management in a large scale infrastructure. This memory management service must avoid wasting memory resources and should not penalize the performance of hosted applications. It is based on remote swap mechanisms. A prototype has been implemented and evaluated.

Dissertação (mestrado)—Universidade de Brasília, Departamento de Economia, 2011. / Submitted by Shayane Marques Zica (marquacizh@uol.com.br) on 2011-09-12T20:34:16Z No. of bitstreams: 1 2011_RodrigoCaldasGonçalves.pdf: 805939 bytes, checksum: 362aab0bea917f3c353b5ea5c9f18b29 (MD5) / Approved for entry into archive by LUCIANA SETUBAL MARQUES DA SILVA(lucianasetubal@bce.unb.br) on 2011-09-20T15:04:47Z (GMT) No. of bitstreams: 1 2011_RodrigoCaldasGonçalves.pdf: 805939 bytes, checksum: 362aab0bea917f3c353b5ea5c9f18b29 (MD5) / Made available in DSpace on 2011-09-20T15:04:47Z (GMT). No. of bitstreams: 1 2011_RodrigoCaldasGonçalves.pdf: 805939 bytes, checksum: 362aab0bea917f3c353b5ea5c9f18b29 (MD5) / Este trabalho aborda o modelo de precificação do CDS de emissões soberanas, proposto por Remolona in ‘A Ratings Based Approach to Measuring Sovereign Risk’ (International Journal of Finance and Economics, vol. 13, issue 1, 26-39) como forma de evidenciar parcelas do risco soberano não amparadas pela perda esperada, calculada de acordo com o rating soberano dos emissores, originando o que a literatura acadêmica chama de Credit Spread Puzzle. Foi avaliado o modelo para CDS com maturidades de 2, 3, 5, 7 e 10 anos, para grupos de 7 e 8 países emergentes, incluindo-se sempre o Brasil, considerando os períodos entre janeiro de 2002 e junho de 2006, e janeiro de 2002 e junho de 2010, utilizando para tal regressões em painel. Complementarmente, foram realizadas regressões lineares individuais pelo método OLS de 12 países, sendo 10 emergentes e 2 da zona do Euro que atualmente enfrentam problemas em relação à gestão de suas dívidas externas. Foi também avaliado o comportamento do indicador de Volatilidade VIX, elaborado pela Chicago Board of Options Exchange, e as implicações que possui na formação do CDS. Com base em dados de expectativas de perdas de todos os países, calculado com base no rating individual divulgado pela agência de classificação de Risco Moody’s, e nos CDS dos diversos países analisados, foi calculada individualmente a parcela de prêmio decorrente de perdas inesperadas, ou prêmio de risco, e feita análise comparativa com o prêmio de risco brasileiro. Os resultados mostraram que o modelo proposto por Remolona sofreu forte influência da crise subprime ocorrida entre 2008 e 2009, o que mudou os parâmetros dos coeficientes da regressão em painel, sem, no entanto, invalidar o modelo. Foi constatado que existem restrições para aplicação do modelo aos CDS individualmente, não sendo confiável sua utilização sem adaptações. Foi constatada a existência de autocorrelação de resíduos, demonstrando que existem fatores que não foram incluídos na modelagem. Em relação à análise de prêmios, constatou-se que o Brasil, se comparado aos demais países avaliados, vem apresentando significativas melhoras na taxa de CDS, além de ter apresentado perdas menores em razão da crise do subprime, principalmente nas maturidades de 2, 3 e 5 anos, indicando uma incompatibilidade entre as perdas esperadas, e consequentemente a classificação de risco atribuída, e a precificação feita pelo mercado, sendo que muitas vezes a última apresentou valor inferior à precificação esperada. _______________________________________________________________________________ ABSTRACT / This paper discusses the model for pricing sovereign CDS emissions proposed by Remolona in 'A Ratings Based Approach to Measuring Sovereign Risk' (International Journal of Finance and Economics, vol. 13, issue 1, 26-39) as a way of showing portions of sovereign risk is not supported by the expected loss calculated in accordance with the sovereign rating of the issuers, resulting in what the academic literature calls the Credit Spread Puzzle. We evaluated the model for CDS with maturities of 2, 3, 5, 7 and 10 years, for groups of 7 and 8 developing countries, always including Brazil, considering the periods between January 2002 and June 2006 and January 2002 and June 2010, using such panel regressions. In addition, individual linear regressions were performed by OLS from 12 countries, 10 emerging and 2 of the Eurozone which currently face problems in relation to the management of foreign debts. It was also rated the behavior of the VIX volatility indicator, developed by the Chicago Board of Options Exchange, and the implications it has on the formation of the CDS. Based on data from expected losses of all countries, calculated on the basis of individual rating issued by rating agency Moody's, and the CDS of the analyzed countries, was calculated individually to share premium arising from unexpected losses, or premium risk, and made comparison with the Brazilian risk premium. The results showed that the model proposed by Remolona was strongly influenced by the subprime crisis that occurred between 2008 and 2009, which changed the parameters of the regression coefficients in the panel, without, however, invalidate the model. It was noted that restrictions apply to individual CDS, its use is not reliable without adaptations. It has been found the existence of autocorrelation of residues, demonstrating that there are factors that were not included in the modeling. On the analysis of premiums, it was found that Brazil, as compared to other countries evaluated, has shown significant improvements in the rate of CDS, and also presented lower losses due to subprime crisis, primarily with maturities of 2, 3 and 5 years, indicating a mismatch between the expected losses, and consequently the risk ratings assigned, and pricing by the market, and often the latter showed a value below the expected pricing.

Orientador: Rogerio Pereira de Andrade / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-10T13:49:10Z (GMT). No. of bitstreams: 1 Nunes_LeonardoLoureiro_M.pdf: 1379738 bytes, checksum: cd64710a6cf031bdeb70c29eb0670f6c (MD5) Previous issue date: 2008 / Resumo: Não informado / Abstract: Not informed. / Mestrado / Mestre em Economia

This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results suggest that hedge fund flows provide predictive information for the movement of bond yields. The second study investigates the systematic and firm-specific credit and liquidity risks of CDS spreads. Using data on CDS spreads of 356 U.S. firms from 2002 to 2011, I find that systematic credit and liquidity risks are important in cross-sectional prediction of CDS spreads. In addition, the importance of systematic liquidity risk becomes substantial since the financial crisis in 2007. This finding challenges the current Basel III procedures for counterparty credit risk regulations, in which only pure default should be used. In addition, the systematic credit and liquidity factors can be used as a proxy for CDS spreads of firms that do not have traded CDSs. The last study extends Carr and Wu (2010), in which deep out-of-the-money (DOOM) put options and CDSs are associated as they both provide credit insurance for credit protection buyers. Using the Nelson-Siegel (1987) model, I obtain the credit and illiquidity components for DOOMs and CDSs over the period from May 2002 to May 2012. I show that, after controlling the factors that explain the difference between the DOOM and CDS markets, the components converge over time in these two markets. Thus, I can exploit the observed convergence pattern by constructing a simple trading strategy, and this benchmark strategy produces a positive return. I further construct two other strategies based on the component information, and these two refined strategies outperform the benchmark strategy by the Sharpe ratio and Carhart alpha. My three studies contribute to the literature in hedge fund systemic risk and CDS credit and liquidity risks.

Vymezení CDO jako samostatného druhu sekuritizace a porovanání se sekuritizaci tradiční. Vymezení základních parametrů (kreditní struktura, účel vytvoření, struktura tranší, podkladová aktiva), které charakterizují CDO a systematizace CDO dle uvedených parametrů. Vysvětlení specifik vybraných struktur (Cash Flow, Market Value, Syntetická CDO) a rizik s nimi spojených. Popis kolaterálu a specifik struktury Structured Finance CDO.

The thesis is analysing the possible usage of financial derivatives in international business operations at two levels. These are hedging against risks (currency, interest rate and commodity risks) and the possible derivative application within marketing activities. The thesis describes the derivative market dynamics, explains the basic instruments and describes essential trading principles. Based on the three separate case studies, the possible derivative usage in international business is illustrated.

We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory.

The thesis concerns with the issues of financial derivatives and their use in the Czech banking sector. The introductory part contains essence of derivatives, their categorization (including characterization of particular types), ways of their usage and risks related with them. The main part of the thesis is focused on analysis of evolution of derivatives contracts in the Czech banking and also in chosen bank. The possible future evolution of the Czech derivatives market is also outlined.

Cette thèse porte sur la modélisation probabiliste de l’hétérogénéité des populations humaines et de son impact sur la longévité. Depuis quelques années, de nombreuses études montrent une augmentation alarmante des inégalités de mortalité géographiques et socioéconomiques. Ce changement de paradigme pose des problèmes que les modèles démographiques traditionnels ne peuvent résoudre, et dont la formalisation exige une observation fine des données dans un contexte pluridisciplinaire. Avec comme fil conducteur les modèles de dynamique de population, cette thèse propose d’illustrer cette complexité selon différents points de vue: Le premier propose de montrer le lien entre hétérogénéité et non-linéarité en présence de changements de composition de la population. Le processus appelé Birth Death Swap est défini par une équation dirigée par une mesure de Poisson à l’aide d’un résultat de comparaison trajectoriel. Quand les swaps sont plus rapides que les évènements démographiques, un résultat de moyennisation est établi par convergence stable et comparaison. En particulier, la population agrégée tend vers une dynamique non-linéaire. Nous étudions ensuite empiriquement l’impact de l’hétérogénéité sur la mortalité agrégée, en s’appuyant sur des données de population anglaise structurée par âge et circonstances socioéconomiques. Nous montrons par des simulations numériques comment l’hétérogénéité peut compenser la réduction d’une cause de mortalité. Le dernier point de vue est une revue interdisciplinaire sur les déterminants de la longévité, accompagnée d’une réflexion sur l’évolution des outils pour l’analyser et des nouveaux enjeux de modélisation face à ce changement de paradigme. / This thesis deals with the probabilistic modeling of heterogeneity in human populations and of its impact on longevity. Over the past few years, numerous studies have shown a significant increase in geographical and socioeconomic inequalities in mortality. New issues have emerged from this paradigm shift that traditional demographic models are not able solve, and whose formalization requires a careful analysis of the data, in a multidisciplinary environment. Using the framework of population dynamics, this thesis aims at illustrating this complexity according to different points of view: We explore the link between heterogeneity and non-linearity in the presence of composition changes in the population, from a mathematical modeling viewpoint. The population dynamics, called Birth Death Swap, is built as the solution of a stochastic equation driven by a Poisson measure, using a more general pathwise comparison result. When swaps occur at a faster rate than demographic events, an averaging result is obtained by stable convergence and comparison. In particular, the aggregated population converges towards a nonlinear dynamic. In the second part, the impact of heterogeneity on aggregate mortality is studied from an empirical viewpoint, using English population data structured by age and socioeconomic circumstances. Based on numerical simulations, we show how a cause of death reduction could be compensated in presence of heterogeneity. The last point of view is an interdisciplinary survey on the determinants of longevity, accompanied by an analysis on the evolution of tools to analyze it and on new modeling issues in the face of this paradigm shift.

One policy reaction of the Federal Reserve to the 2008 financial crisis was the extension of currency swap lines to various foreign central banks; this constituted the global transfer of billions of US dollars of wealth and exhibited the role of the US as a global lender of last resorts. Some have attempted to explain the supply of these lines as a function of risk mitigation for domestic US banks with foreign holdings, but no one has yet investigated the social dynamics of this phenomenon. In recognizing that the global demand for emergency liquidity was greater than the Federal Reserve’s supply, this paper investigates how the similarity of foreign central banks affected the selection of which banks would receive liquidity extensions. I calculate similarity scores to the US Federal Reserve for foreign banks which applied for liquidity extensions during the crisis. These scores measure the textual similarity of foreign central bankers’ speeches to those of the Fed, the institutional design similarity to that of the Fed, and the similarity of foreign central banks’ governors’ educational and professional backgrounds to those of the 2008 Federal Open Markets Commission members. I find that the similarity of foreign central banks to the US with regard to these three criteria offers a significantly stronger and statistically more robust answer to the question of what drove this decision process, and offer implications for international regulatory mechanisms to ameliorate this tendency toward social homophily.