As instituições financeiras que pretendem utilizar a IRB (Internal Ratings Based) avançada precisam desenvolver métodos para estimar a componente de risco LGD (Loss Given Default). Desde a década de 1950 são apresentadas propostas para modelagem da PD (Probability of default), em contrapartida, a previsão da LGD somente recebeu maior atenção após a publicação do Acordo Basileia II. A LGD possui ainda uma literatura pequena, se comparada a PD, e não há um método eficiente em termos de acurácia e interpretação como é a regressão logística para a PD. Modelos de regressão para LGD desempenham um papel fundamental na gestão de risco das instituições financeiras. Devido sua importância este trabalho propõe uma metodologia para quantificar a componente de risco LGD. Considerando as características relatadas sobre a distribuição da LGD e na forma flexível que a distribuição beta pode assumir, propomos uma metodologia de estimação da LGD por meio do modelo de regressão beta bimodal inflacionado em zero. Desenvolvemos a distribuição beta bimodal inflacionada em zero, apresentamos algumas propriedades, incluindo momentos, definimos estimadores via máxima verossimilhança e construímos o modelo de regressão para este modelo probabilístico, apresentamos intervalos de confiança assintóticos e teste de hipóteses para este modelo, bem como critérios para seleção de modelos, realizamos um estudo de simulação para avaliar o desempenho dos estimadores de máxima verossimilhança para os parâmetros da distribuição beta bimodal inflacionada em zero. Para comparação com nossa proposta selecionamos os modelos de regressão beta e regressão beta inflacionada, que são abordagens mais usuais, e o algoritmo SVR , devido a significativa superioridade relatada em outros trabalhos. / Financial institutions willing to use the advanced Internal Ratings Based (IRB) need to develop methods to estimate the LGD (Loss Given Default) risk component. Proposals for PD (Probability of default) modeling have been presented since the 1950s, in contrast, LGDs forecast has received more attention only after the publication of the Basel II Accord. LGD also has a small literature, compared to PD, and there is no efficient method in terms of accuracy and interpretation such as logistic regression for PD. Regression models for LGD play a key role in the risk management of financial institutions, due to their importance this work proposes a methodology to quantify the LGD risk component. Considering the characteristics reported on the distribution of LGD and in the flexible form that the beta distribution may assume, we propose a methodology for estimation of LGD using the zero inflated bimodal beta regression model. We developed the zero inflated bimodal beta distribution, presented some properties, including moments, defined estimators via maximum likelihood and constructed the regression model for this probabilistic model, presented asymptotic confidence intervals and hypothesis test for this model, as well as selection criteria of models, we performed a simulation study to evaluate the performance of the maximum likelihood estimators for the parameters of the zero inflated bimodal beta distribution. For comparison with our proposal we selected the beta regression models and inflated beta regression, which are more usual approaches, and the SVR algorithm, due to the significant superiority reported in other studies.

Made available in DSpace on 2016-03-15T19:25:38Z (GMT). No. of bitstreams: 1 Gustavo de Magalhaes Rezende.pdf: 1393519 bytes, checksum: 29eb5b0b0c12d95da19bb067fc0df68c (MD5) Previous issue date: 2011-08-08 / Fundo Mackenzie de Pesquisa / Basel II Accord will allow banks in Brazil to calculate their capital requirements using internal ratings based on the advanced IRB (Internal Rating-Based) approach, depending on their credit risk exposure. The main modeling components that must be estimated are the probability of default (PD), loss given default (LGD) and exposure at default (EAD). The aim of this dissertation is to estimate the parameter LGD using different models found in the literature in order to compare the obtained results. For that, the credit portfolios within this study will be simulated via Monte Carlo simulation, due to the difficulty in getting real losses data. / O acordo de Basileia II no Brasil vai permitir que os bancos utilizem modelos internos, na abordagem IRB avançada (Internal Rating-Based), que sirvam de base para o cálculo dos requisitos mínimos de capital em função do nível de exposição ao risco de crédito. Dentre os principais componentes estimados estão a probabilidade de default (PD probability of default), a perda dado o default (LGD loss given default) e a exposição no default (EAD exposure at default). Esta dissertação tem como objetivo realizar estimativas de LGD utilizando alguns modelos descritos na literatura e comparando os resultados obtidos. Para tanto, os portfólios de crédito do estudo serão simulados através de técnicas de Monte Carlo, dada a escassez de dados de perdas reais.

As instituições financeiras que pretendem utilizar a IRB (Internal Ratings Based) avançada precisam desenvolver métodos para estimar a componente de risco LGD (Loss Given Default). Desde a década de 1950 são apresentadas propostas para modelagem da PD (Probability of default), em contrapartida, a previsão da LGD somente recebeu maior atenção após a publicação do Acordo Basileia II. A LGD possui ainda uma literatura pequena, se comparada a PD, e não há um método eficiente em termos de acurácia e interpretação como é a regressão logística para a PD. Modelos de regressão para LGD desempenham um papel fundamental na gestão de risco das instituições financeiras. Devido sua importância este trabalho propõe uma metodologia para quantificar a componente de risco LGD. Considerando as características relatadas sobre a distribuição da LGD e na forma flexível que a distribuição beta pode assumir, propomos uma metodologia de estimação da LGD por meio do modelo de regressão beta bimodal inflacionado em zero. Desenvolvemos a distribuição beta bimodal inflacionada em zero, apresentamos algumas propriedades, incluindo momentos, definimos estimadores via máxima verossimilhança e construímos o modelo de regressão para este modelo probabilístico, apresentamos intervalos de confiança assintóticos e teste de hipóteses para este modelo, bem como critérios para seleção de modelos, realizamos um estudo de simulação para avaliar o desempenho dos estimadores de máxima verossimilhança para os parâmetros da distribuição beta bimodal inflacionada em zero. Para comparação com nossa proposta selecionamos os modelos de regressão beta e regressão beta inflacionada, que são abordagens mais usuais, e o algoritmo SVR , devido a significativa superioridade relatada em outros trabalhos. / Financial institutions willing to use the advanced Internal Ratings Based (IRB) need to develop methods to estimate the LGD (Loss Given Default) risk component. Proposals for PD (Probability of default) modeling have been presented since the 1950s, in contrast, LGDs forecast has received more attention only after the publication of the Basel II Accord. LGD also has a small literature, compared to PD, and there is no efficient method in terms of accuracy and interpretation such as logistic regression for PD. Regression models for LGD play a key role in the risk management of financial institutions, due to their importance this work proposes a methodology to quantify the LGD risk component. Considering the characteristics reported on the distribution of LGD and in the flexible form that the beta distribution may assume, we propose a methodology for estimation of LGD using the zero inflated bimodal beta regression model. We developed the zero inflated bimodal beta distribution, presented some properties, including moments, defined estimators via maximum likelihood and constructed the regression model for this probabilistic model, presented asymptotic confidence intervals and hypothesis test for this model, as well as selection criteria of models, we performed a simulation study to evaluate the performance of the maximum likelihood estimators for the parameters of the zero inflated bimodal beta distribution. For comparison with our proposal we selected the beta regression models and inflated beta regression, which are more usual approaches, and the SVR algorithm, due to the significant superiority reported in other studies.

This report seeks to thoroughly examine different approaches to estimating Loss Given Default through a comparison of traditional estimation methods, as well as a deeper variable analysis on micro, small, and medium-sized companies using primarily regression decision trees. The comparative study concluded that estimating loss given default depends heavily on business-specific factors and data variety. While regression models offer interpretability and machine learning techniques offer superior prediction, model selection should balance complexity, computational demands, implementation ease, and overall performance. From the variable analysis, loan size and guarantor property ownership emerged as key drivers for a lower Loss Given Default. / Denna rapport syftar till att grundligt undersöka olika metoder för att uppskatta Loss Given Default genom en jämförelse av traditionella skattningsmetoder samt en djupare variabelanalys av bolag med hjälp av främst regressionsbeslutsträd. I den jämförande studien drogs slutsatsen att uppskattningen av Loss Given Default beror i hög grad på företagsspecifika faktorer och olika typer av data. Medan regressionsmodeller erbjuder tolkningsmöjligheter och maskininlärningstekniker erbjuder överlägsna uppskattningar, bör valet av modell balansera komplexitet, beräkningskrav, enkelhet i genomförandet och övergripande prestanda. I variabelanalysen framkom lånestorlek och borgensmannens fastighetsinnehav som viktiga drivkrafter för en lägre Loss Given Default.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Wilfrid Sellars is well known for his criticism of what he called the myth of the given , which first appeared in his Empiricism and the philosophy of mind(1956).The given that is regarded as mythical by Sellars is the epistemic given with which foundationalists in epistemology intend to solve the epistemic regress problem. Sellars s criticisms of foundationalism had a strong repercussion in epistemology and soon become a reference in this field, mainly in virtue of having targeted the most basic features of foundationalism, questioning the very idea of immediate knowledge, which is at the core of any foundationalist account of knowledge. Sellars s criticism remain a challenge for foundationalism, and its significance has been highlighted by a growing number exegetical, critical, and Sellarsian inspired works. This dissertation comprieses three papers focused on Sellars s epistemology. The first paper shows how wide the reach of Sellarsian criticism on the myth of the given is. It also shows that Sellars s criticism of foundationalism can be presented in the form of a dilemma (known as Sellars s dilemma ) and how that dilemma, which does not appear explicitly in his work, can be found in his writings. The second paper presents an attempt by Laurence BonJour s to answer the challenge put to foundationalism by Sellars s dilemma. It assesses BonJour s more recent views on the matter, and shows thatthey do not answer the criticisms which himself endorsed when he was a coherentist. The third paper shows that if Sellars s views are coherent with and representing one of the culminations of the traditional analyses knowledge as justified true belief, and if his views are inadequate, then this could be evidence that we need an alternative in which knowledge is not analyzable in term of justification and other concepts but is a basic concept. We indicate, based on the work of Timothy Williamson and on a late piece by Sellars, how that alternative might turn out. / Wilfrid Sellars é conhecido por suas críticas ao que denominou mito do dado , que apareceram pela primeira vez em Empirismo e filosofia da mente (1956). O dado considerado mítico por Sellars é o dado epistêmico com o qual a vertente fundacionista em epistemologia pretende solucionar o problema do regresso epistêmico. As críticas de Sellars ao fundacionismo tiveram grande repercussão no debate epistemológico e logo se tornaram referência nessa área, principalmente em virtude de visarem os aspectos mais basilares da concepção fundacionista, pondo em xeque a própria noção de conhecimento imediato, cara a qualquer abordagem fundacionista do conhecimento. Suas críticas representam ainda hoje um desafio de peso para concepções fundacionistas e sua importância tem sido enfatizada por um número crescente de trabalhos exegéticos, críticos e de inspiração sellarsiana. Esta dissertação compõe-se de três artigos que têm como foco a epistemologia de Sellars. No primeiro, mostra-se em que consiste e quão geral é a crítica de Sellars ao mito do dado. Mostra-se também como a crítica de Sellars pode ser apresentada na forma de um dilema ( O dilema de Sellars ) e como esse dilema, que não é formulado de forma explicita em sua obra, podem ser encontrado nos textos do autor. O segundo artigo apresenta a tentativa de Laurence BonJour de responder ao desafio posto pelo dilema de Sellars ao fundacionismo. Avalia-se a nova posição de BonJour, que no passado foi um coerentista, e mostra-se que ela não é capaz de superar as críticas que ele mesmo endossava anteriormente. No terceiro e último artigo, mostra-se que se a concepção epistemológica de Sellars é vista como sendo coerente com e representando uma das culminâncias da tradição que analisa conhecimento como crença verdadeira justificada e tal concepção resulta inadequada, então isso pode ser um indício de que deveríamos buscar uma concepção alternativa do conceito de conhecimento. Indica-se, a partir do trabalho de Timothy Williamson e de um texto tardio de Sellars, como poderíamos entender conhecimento como um conceito básico, não analisável.

Under the Basel accords for measuring regulatory capital requirements, the set of credit risk parameters probability of default (PD), exposure at default (EAD) and loss given default (LGD) are measured with own estimates by the internal rating based approach. The estimated parameters are also the foundation of understanding the actual risk in a banks credit portfolio. The predictive performance of such models are therefore interesting to examine. The credit risk parameter LGD has been seen to give low performance for predictive models and LGD values are generally hard to estimate. The main purpose of this thesis is to analyse the predictive performance of a multi-gene genetic programming approach to symbolic regression compared to three benchmark regression models. The goal of multi-gene symbolic regression is to estimate the underlying relationship in the data through a linear combination of a set of generated mathematical expressions. The benchmark models are Logit Transformed Regression, Beta Regression and Regression Tree. All benchmark models are frequently used in the area. The data used to compare the models is a set of randomly selected, de-identified loans from the portfolios of underlying U.S. residential mortgage-backed securities retrieved from International Finance Research. The conclusion from implementing and comparing the models is that, the credit risk parameter LGD is continued difficult to estimated, the symbolic regression approach did not yield a better predictive ability than the benchmark models and it did not seem to find the underlying relationship in the data. The benchmark models are more user-friendly with easier implementation and they all requires less calculation complexity than symbolic regression.

The purpose of this essay is to examine the experiences of retail sales associates regarding work demands, the conditions provided to them to meet these demands, and the strategies they use to manage their work situation. The essay aims to highlight the challenges faced by retail sales associates, especially when high work demands and quantitative targets overshadow their human needs and well-being. The role of a retail sales associate involves a constant balancing act between satisfying customers' individual needs and preferences while also meeting employer demands and sales targets, which can pose a significant challenge for many sales associates. The essay is built on a qualitative approach together with the included theoretical framework which is Karasek and Theorell's demand-control-support model, as well as Arlie Hochschild's concepts of emotional labor, feeling rules, and surface and deep acting. From the collected empirical material, alongside the theoretical framework, three key themes emerged that formed the results of the study, which are: The new Taylorism – a combination between emotional labor and sale pressure, Levels of conditions – from customer to management, Taking control and withstand alienation, When the organization's support is lacking, colleagues play a decisive role. The results therefore suggest that the retail sales associates' work environment is characterized by high sales demands, subtle expectations for emotional labor, and insufficient resources. To cope with these demands, sales associates seek support from their colleagues and attempt to create a work culture that resists individualism and alienation, particularly when the support provided by employers is deemed inadequate. / Syftet med denna uppsats är att undersöka butikssäljares upplevelser av arbetskrav, de förutsättningar som de tillhandahålls för att möta dessa krav, och de strategier som butikssäljarna själva använder för att hantera sin arbetssituation. Uppsatsen strävar efter att belysa de utmaningar som butikssäljare möter, särskilt när höga arbetskrav och kvantitativa mål dominerar över deras mänskliga behov och välbefinnande. Att arbeta som butikssäljare innebär bevisligen en ständig balansakt mellan att tillgodose kundernas individuella behov och önskemål samtidigt som arbetsgivarens krav och försäljningsmål ska upprätthållas, vilketför många butikssäljare kan innebära en utmaning. Uppsatsen genomfördes genom kvalitativ metod och det teoretiska ramverk som använts är Karasek och Theorells krav-kontroll-stödmodell samt Arlie Hochschilds begrepp emotionellt lönearbete, känsloregler samt yt- och djupagerande. Genom det empiriskt insamlade materialet tillsammans med det teoretiska ramverket framträdde tre centrala teman som utgjorde resultatet för undersökningen, vilka är följande: Den nya Taylorismen – kombination mellan emotionellt arbete och säljpress, Nivåer av förutsättningar – från kund till ledning, Att ta kontroll och motstå alienation, När organisationens stöd brister spelar kollegorna en avgörande roll. Resultatet visar således sammanfattningsvis en framträdande bild av hurbutikssäljares arbetsmiljö präglas av höga försäljningskrav, subtila förväntningar på emotionella investeringar i arbetet och bristande förutsättningar. För att hantera arbetskraven söker butikssäljarna stöd från kollegor och försöker själva skapa en arbetskultur som motstårindividualism och alienation, när de förutsättningar som arbetsgivarna tillhandahåller anses otillräckliga.

Der Schwerpunkt der vorliegenden Arbeit liegt auf Methoden zur Lösung nichtlinearer Optimierungsprobleme mit der Anforderung, jedes globale Optimum garantiert zu finden und mit einer im Voraus festgesetzten Genauigkeit zu approximieren. Eng verbunden mit dieser deterministischen Optimierung ist die Berechnung von Schranken für den Wertebereich einer Funktion über einem gegebenen Hyperquader. Verschiedene Ansätze, z. B. auf Basis der Intervallarithmetik, werden vorgestellt und analysiert. Im Besonderen werden Methoden zur Schrankengenerierung für multivariate ganz- und gebrochenrationale Polynome mit Hilfe der Darstellung in der Basis der Bernsteinpolynome weiterentwickelt. Weiterhin werden in der Arbeit schrittweise die Bausteine eines deterministischen Optimierungsverfahrens unter Verwendung der berechneten Wertebereichsschranken beschrieben und Besonderheiten für die Optimierung polynomialer Aufgaben näher untersucht. Die Analyse und Bearbeitung einer Aufgabenstellung aus dem Entwicklungsprozess für Fahrzeuggetriebe zeigt, wie die erarbeiteten Ansätze zur Lösung nichtlinearer Optimierungsprobleme die Suche nach energieeffizienten Getrieben mit einer optimalen Struktur unterstützen kann. Kontakt zum Autor: [Nachname] [.] [Vorname] [@] gmx [.] de

L’adolescence est marquée par un engagement intense des sujets dans les relations amicales qui représentent des liens bien plus complexes qu’il n’y paraît. Les changements sociétaux infèrent une évolution de la dynamique et de la nature des relations entre adolescents. Ils participent alors largement à une diversification de leurs formes et à intensifier leurs influences sur le développement des jeunes. Dans ce cadre, l’objectif de cette étude est d’évaluer l’influence de la qualité des relations entre pairs sur la démobilisation scolaire des adolescents, ainsi que l’effet médiateur de la valeur accordée à l’école. Cette recherche, s’inscrivant dans une approche interactionniste dans le champ de psychologie sociale et du développement (Malrieu, 1973 ; Mead, 1963 ; Wallon, 1941), nous a permis de souligner la part active et subjective du sujet, tant dans son rapport aux pairs que dans son rapport à l’école. L’étude a été réalisée à l’aide d’un questionnaire, renseigné par 676 adolescents scolarisés en 3ème dans des collèges issus de l’éducation prioritaire (185) et des collèges publics et privés (582). Ce questionnaire appréhende dans une première partie la (dé)mobilisation scolaire des adolescents sous la forme d’une auto-évaluation de leur niveau scolaire, de leur attention et de leur implication en classe, de leur persévérance scolaire, et de leur intérêt pour le travail personnel et la réussite. Dans une deuxième partie, nous cherchons à appréhender la valeur que les adolescents accordent à l’école, selon les dimensions épistémiques, futures, sociales ou externalisées. La troisième partie est consacrée à la qualité des relations entre pairs appréhendée selon la recherche de conformité, la capacité à se dégager de la pression des pairs, le soutien social et le sentiment d’isolement social. Nos résultats révèlent que la recherche extrême de conformité influence significativement la démobilisation scolaire et favorise conjointement un rapport externalisé à l’école (stratégique et social). Le sentiment d’isolement participe, au contraire, à la mobilisation scolaire de l’élève et favorise un rapport épistémique à l’école. Les deux autres dimensions sont médiatisées par la valeur accordée à l’école. Il ressort ainsi que le soutien social et la pression du groupe ressentis par les adolescents favorisent la mobilisation scolaire à condition qu’ils accordent du sens à l’école pour leurs apprentissages scolaires et intellectuels, et non pour leurs apprentissages relationnels et affectifs. / Adolescence is influenced by an intense engagement in friendships interactions. These interactions create more complex bonds than expected. Social changes cause an evolution in the nature and the dynamics of adolescents' relationships. Those changes create a diversification of relationship types which impact on the adolescent's development. The aim of this study is to analyze the influence of friendship quality on adolescents' academic disengagement, as well as the mediator effect of the value towards school. The psychosocial approach, in which we fit, allowed us to highlight both active and subjective parts of the subject with regards to peers and what do they have to do with school (Malrieu, 1973; Mead, 1963; Wallon, 1941). Thus, in the present study, our aim was to investigate links among adolescents' peer-relationships and their academic engagement. 696 8th grade (middle school) adolescents schooled in France answered a questionnaire. 185 come from disadvantaged schools, and the other 511 from public and private "classic" schools. On the one hand, this questionnaire, studies the academic engagement of the adolescents, through the evaluation of their marks, attention, implication, and school perseverance and also their interest for personal work and success. On the other hand, we were looking for the amount of interest they give to the school according to whether it is seen towards epistemic, future, social or externalized dimensions. A third part is devoted to the quality of peers' relationships in relation to the research of conformity, the capacity to handle the pressure from the peers, social support and loneliness. Our results reveal that an extreme search of conformity is likely to provoke academic disengagement and also jointly supports a report externalized towards the school (strategic and social). On the contrary, loneliness promotes a good scholar investment and epistemic interaction towards the school. Two other dimensions are related to the value given to the school by adolescents. It arises that social support and peer pressure felt by adolescents further academic engagement only if they grant scholar and intellectual knowledge rather than to the detriment of their relationships.