The number of statistical and mathematical credit risk models that financial institutions use and manage due to international and domestic regulatory pressures in recent years has steadily increased. This thesis examines the evolution of model risk management and provides some guidance on how to effectively build and manage different bagging and boosting machine learning techniques for estimating expected credit losses. It examines the pros and cons of these machine learning models and benchmarks them against more conventional models used in practice. It also examines methods for improving their interpretability in order to gain comfort and acceptance from auditors and regulators. To the best of this author’s knowledge, there are no academic publications which review, compare, and provide effective model risk management guidance on these machine learning techniques with the purpose of estimating expected credit losses. This thesis is intended for academics, practitioners, auditors, and regulators working in the model risk management and expected credit loss forecasting space. / Dissertation / Doctor of Philosophy (PhD)

Jacques Derrida n’a écrit qu’un seul ouvrage sur Baudelaire : Donner le temps I. La fausse monnaie (1991). Dans cette étude, il s’agit de préciser, notamment autour de la question de la perversité, les liens unissant le poète au philosophe en accordant une attention particulière aux textes « Le mauvais vitrier » (Baudelaire), « The Imp of the Perverse » (Edgar Poe), « La fausse monnaie » (Baudelaire) et Mémoires d’aveugle (Derrida). Imbriquées dans une logique de l’événement, les deux notions de perversité et de don peuvent s’éclairer mutuellement et ont des répercussions jusque dans les textes et pour la littérature elle-même. / Jacques Derrida only wrote one book on Baudelaire, entitled Given Time: I. Counterfeit Money (1991). With special focus on a number of other texts, including “The Bad Glazier” (Baudelaire), The Imp of the Perverse (Edgar Allan Poe), “Counterfeit Money” (Baudelaire) and Memoirs of the Blind (Derrida), this analysis clarifies the relations linking the poet to the philosopher, particularly with regard to the question of perversity, or rather, in Poe’s words, perverseness. Bound up in event logic, the two notions of perversity and gift can explain one another and their repercussions are far-reaching both in the texts and in literature itself.

Jacques Derrida n’a écrit qu’un seul ouvrage sur Baudelaire : Donner le temps I. La fausse monnaie (1991). Dans cette étude, il s’agit de préciser, notamment autour de la question de la perversité, les liens unissant le poète au philosophe en accordant une attention particulière aux textes « Le mauvais vitrier » (Baudelaire), « The Imp of the Perverse » (Edgar Poe), « La fausse monnaie » (Baudelaire) et Mémoires d’aveugle (Derrida). Imbriquées dans une logique de l’événement, les deux notions de perversité et de don peuvent s’éclairer mutuellement et ont des répercussions jusque dans les textes et pour la littérature elle-même. / Jacques Derrida only wrote one book on Baudelaire, entitled Given Time: I. Counterfeit Money (1991). With special focus on a number of other texts, including “The Bad Glazier” (Baudelaire), The Imp of the Perverse (Edgar Allan Poe), “Counterfeit Money” (Baudelaire) and Memoirs of the Blind (Derrida), this analysis clarifies the relations linking the poet to the philosopher, particularly with regard to the question of perversity, or rather, in Poe’s words, perverseness. Bound up in event logic, the two notions of perversity and gift can explain one another and their repercussions are far-reaching both in the texts and in literature itself.

Submitted by Mariana Dornelles Vargas (marianadv) on 2015-04-14T13:36:39Z No. of bitstreams: 1 hermeneutica_filosofica.pdf: 886897 bytes, checksum: 60f224d81e101abbedf2d450f59badb6 (MD5) / Made available in DSpace on 2015-04-14T13:36:39Z (GMT). No. of bitstreams: 1 hermeneutica_filosofica.pdf: 886897 bytes, checksum: 60f224d81e101abbedf2d450f59badb6 (MD5) Previous issue date: 2011-07-07 / Nenhuma / O presente estudo analisa as condições de possibilidade da hermenêutica filosófica para o controle da estandardização do direito e uma solução possível para as súmulas (comuns e vinculantes), repercussão geral e recursos repetitivos. Para tanto, investiga, num primeiro momento, o próprio constituir da estandardização do direito, sendo apontadas, nesse sentido, evidências, contingências e sintomas desse fenômeno, que tem o seu desvelar consubstanciado no precedente como ideal de um mundo jurídico homogeneizado. Em seguida, no segundo capítulo, aponta constatações e superações que se fazem necessárias em face do condicionamento discursivo decorrente dos significantes. Nesse aspecto, promove análise das súmulas, repercussão geral e recursos repetitivos, com o escopo de identificar para que e a quem servem esses mecanismos, e, ainda, se são eles elementos de estandardização e bloqueio de acesso à justiça, ou soluções razoáveis/possíveis para desafogar o sistema jurídico brasileiro, bem como analisa o controle social exercido pelo STF e STJ sob a perspectiva do componente ideológico dos significantes. Desata, também, reflexão acerca da necessidade da superação do mito do dado como condição de possibilidade para a (re)introdução da faticidade no mundo jurídico, bem como promove investigação em relação à primazia do discurso do Outro no sentido comum teórico, sua correlação com o paradigma vigente, sua gênese e, ainda, destaca o que é preciso mudar em face desse fenômeno. Na última parte do trabalho, a partir da justificação do porquê da adoção da hermenêutica filosófica, da explicitação do papel desvelador da fenomenologia hermenêutica e da importância da salvaguarda da pré-compreensão, tradição, coerência e integridade, sugere, como condição de possibilidade para o controle da estandardização do direito e o resgate hermenêutico das súmulas, repercussão geral e recursos repetitivos, a aplicação da teoria construída por Lenio Luiz Streck, que tem como pressupostos o mínimo é e o grau de objetivação abrangente. / This study examines the conditions of the philosophical hermeneutic possibility for the control of the standardization of Law and a possible solution to the summaries (common and binding), general repercussion and recurrent appeal. For such, it investigates, firstly, the very form of standardization of Law, pointing out in that sense, evidences, contingencies and symptoms of this phenomenon, which has its uncovering, consubstantiate in the previous ideal of a homogenized legal world. Following, the second chapter points to findings and conclusions that are necessary in the face of the discursive conditioning resulting from the significants. In this respect, it promotes the analysis of summaries, general repercussion and recurrent appeal with the aim to identify to what and to whom those mechanisms serve, and if they are elements of standardization and prevention of access to justice, or reasonable /possible solutions to help the Brazilian legal system to flow more smoothly, it analyzes the social control exercised by the STF and STJ from the perspective of the ideological component of the significants. It also unties a reflection on the necessity of overcoming the myth of the given as a condition of possibility for the (re) introduction of the instance in the legal world, and it promotes an investigation in relation to the primacy of the discourse of the Other in the theorist common sense, its correlation with the current paradigm, its genesis, and it also highlights the need for change in the face of this phenomenon. In the final section of the work, from the justification of reason for the adoption of philosophical hermeneutics, the explicit role of the uncovering of the hermeneutic phenomenology and the importance of safeguarding the pre-understanding, tradition, consistency and integrity, it is suggested, as a condition of possibility for the control and standardization of the Law and the of hermeneutical redemption of the summaries, general repercussion and recurrent appeal, the application of the theory built by Lenio Luiz Streck, whose assumptions is minimum is and degree of objectification comprehensive.

Cette thèse est principalement consacrée à l’étude de quelques caractéristiques d’une population à plusieurs types d’individus qui évolue selon un modèle de branchement multi-type au cours du temps. Autrement dit,chaque individu vit un certain temps et donne naissance, à la fin de sa vie, à un nombre aléatoire d’individus, suivant une loi de probabilité qui ne dépend que de son type, indépendamment des autres individus. Plus précisément, nous nous intéressons aux aspects statistiques des mutations et des individus ayant une progéniture donnée dans la population en question.Les problèmes d’énumération de forêts multi-types constituent également une motivation de ce travail de thèse. / This thesis is devoted to the study of some characteristics of a population consisting of individuals of several types which evolve according to a multitype branching model. In other words, each individual lives a certain time and gives birth to a random number of individuals at the end of its life, following a probability law which depends only on the individual’s type, independently of the others individuals. More precisely, we are interested in in the statistical aspects of mutations and the individuals having a given offspring in the population of interest. The problems of enumeration of multitype forests also form a motivation of this thesis’s work.

Magistro baigiamajame darbe nagrinėjamas klausimas – ar teismas gali įpareigoti šalis sudaryti sutartį? Lietuvos teisės doktrinoje tai mažai nagrinėtas klausimas dažniausiai apsiribojama, tokios teismų teisės konstatavimu ir toliau nesigilinama į detales, trūksta konkrečiai apibrėžtos sistemizuotos šio klausimo analizės, tad darbo tikslas ir būtų – išanalizuoti teismo galimybę įpareigoti šalis sudaryti sutartį. Darbas susideda iš trijų pagrindinių dalių. Pirmoje dalyje pateikiama sutarčių laisvės principo samprata, bei jo ribojimo galimybės. Vienas iš grieščiausių šio principo ribojimų - teismui suteikta teisė įpareigoti šalis sudaryti sutartį. Toks ribojimas įstatymų pagrindu galimas tik esant įstatymo imperatyvioms nuostatoms įtvirtinančioms tokią teisę ir kai pati šalis įsipareigoja sudaryti sutartį. Teisės doktrina išskiria dar vieną sutarčių laisvės principo ribojimo aplinkybę – sąžiningumo principo pažeidimas nesudarius sutarties. Antroje pagrindinėje darbo dalyje ir yra nagrinėjama teismo galimybė įpareigoti šalis sudaryti sutartį šių trijų aplinkybių kontekste. Aplinkybė, pačios šalies įsipareigojimas sudaryti sutartį (preliminariosios sutarties sudarymas), nors ir yra įtvirtinama įstatyme kaip veiksnys ribojantis sutarčių laisvės principą, tačiau teismas negali įpareigoti šalių sudaryti jokios preliminariosios sutarties, nes ši prarastų savo paskirtį. Esant įstatymui numatančiam teismui galimybę įpareigoti šalis sudaryti sutartį, teismas beabejo ir turi šią teisę... [toliau žr. visą tekstą] / The issue is analyzed in the master’s thesis whether the court can obligate the parties to conclude the contract. It is a kind of issue which has been hardly analyzed in the juridical doctrine of Lithuania; it is mostly restricted to stating such a right of the courts and it is not gone into further details; there is a lack of certainly defined systemized analysis of this issue; therefore the purpose of this thesis would be to analyze a possibility of the court to obligate the parties to conclude the contract. The work consists of three main parts. In the first part, the concept of the contract freedom principle and possibilities of its limitation are presented. One of the strictest limitations of this principle is a right given to the court to obligate the parties to conclude the contract. This limitation on a basis of the laws is only possible in case of imperative regulations of the law which consolidate this right and in case the party itself obligates to conclude the contract. The juridical doctrine distinguishes one more circumstance of limiting the contract freedom principle – infringement of the honesty principle without concluding the contract. In case the court obligates the parties to conclude the contract, it is both important to follow the balance principle of the parties’ interests and reasonably intervene in the contractual relations, as otherwise the state can have tortuous responsibility because of harm done to the people by illegal actions of the courts in... [to full text]

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Made available in DSpace on 2010-04-20T20:48:08Z (GMT). No. of bitstreams: 3 68479.pdf.jpg: 16047 bytes, checksum: e55a63085f1340eeed16cabe46f731aa (MD5) 68479.pdf: 840158 bytes, checksum: d13c12beedbf2f62a71d5574af83dfad (MD5) 68479.pdf.txt: 270876 bytes, checksum: 0af13fce10af7db2c36dcb34a90e0b79 (MD5) Previous issue date: 2004-04-07T00:00:00Z / Credit risk comes from the possibility of the debtor not paying its debt at the maturity date, and the promised amount. When the debtor doesn’t pay in full its debt, we say he or she is in default. In this case, the creditor gets a loss. However, the loss could be reduced if the debtor pays part of his or her debt. The measurement of a debtor’s probability of default has been the subject of studies for decades. However, the measurement of how much one can receive from a defaulted credit – the recovery rate – has been given attention only recently. And, most of the time, this measure has been calculated for huge companies in United States financial markets, only. We have defined recovery rate based on financial reports of Brazilian commercial banks, and tracked the path of this variable pari passu to default rate, defined from the same reports also. We established a theoretical framework, and made hypothesis on how such variables as default rates and other credit quality indicators, economic level indicators, nominal and real interest rates, and capital markets indicators could explain variations on the recovery rates we have defined. We gathered information from 46 Brazilian private commercial banks, semiannually, bracing the period between June of 1994 and December 2002. These institutions were segmented by their share on the amount of credit of the private banking industry in Brazil and by the origin of its capital. Statistical models were run on explanatory variables based on original data and on variables obtained from principal components analysis. The models were able to explain most of the variation observed on the recovery rate we have defined, for the segments we have studied. The best models have shown that variations on the recovery rate could be explained by default rates and other indicators of credit quality, economic activity indicators and capital markets indicators. / O risco de crédito decorre da possibilidade de o devedor não honrar sua dívida no montante e na data aprazada. Quando o devedor não liquida sua dívida nas condições contratadas, diz-se que se torna inadimplente. Neste caso, o credor incorre em prejuízo. A perda, entretanto, pode ser reduzida se o cliente pagar parcialmente o que deve. A mensuração da probabilidade de um devedor inadimplir tem sido objeto de estudos há décadas. Entretanto, a quantificação do quanto o credor recebe em caso de inadimplência – a taxa de recuperação –só recentemente tem recebido atenção da academia. E, na maioria das vezes, esta quantificação tem-se limitado aos títulos de grandes empresas, negociados no mercado de capitais dos Estados Unidos da América. Neste trabalho, definiu-se uma taxa de recuperação baseada em informações contábeis de instituições bancárias brasileiras e analisou-se o comportamento desta variável pari passu à taxa de inadimplência, também definida a partir de dados contábeis. Estabeleceu-se um arcabouço teórico capaz de explicar de que forma variáveis como a taxa de inadimplência e outros indicadores de qualidade das carteiras de crédito, indicadores da atividade econômica, níveis de juros nominais e reais e indicadores do mercado de capitais, poderiam explicar as variações na taxa de recuperação das carteiras de crédito. Foram obtidas informações de um conjunto de 46 instituições bancárias privadas brasileiras, semestralmente, para o período compreendido entre junho de 1994 e dezembro de 2002. Essas instituições foram segmentadas pela representatividade de suas carteiras de crédito no volume total de créditos das instituições comerciais brasileiras e por origem de seu capital acionário. Elaboraram-se modelos estatísticos baseados em regressões multivariadas tanto de variáveis originais como de variáveis obtidas através de análise de componentes principais, que se mostraram capazes de explicar parte considerável das variações observadas na taxa de recuperação no conceito contábil, para os vários segmentos de instituições estudados. Mostraram-se como variáveis explicativas relevantes, nos melhores modelos, indicadores de inadimplência, indicadores da atividade econômica e indicadores do mercado de capitais.

Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. Basel II Advanced Internal-Based Approach ger banker möjligheten att skatta dessa riskmått för enskilda portföljer och göra interna kreditriskvärderingar. I överensstämmelse med Advanced Internal-Based-rating undersöker denna uppsats användningen av en Error Correction Model för modellering av Sannolikhet för Fallissemang. En modell som visat sin styrka inom stresstestning. Vidare implementeras en funktion för Förlust Givet Fallissemang som binder samman Sannolikhet för Fallissemang och Förlust Givet Fallissemang med systematisk risk. Error Correction Modellen modellerar Sannolikhet för Fallissemang av en SME-portfölj från en av de "fyra stora" bankerna i Sverige. Modellen utvärderas och stresstestas med Europeiska Bankmyndighetens  stresstestscenario 2016  och analyseras, med lovande resultat. / Since the global financial crisis of 2008, several big regulations have been implemented to assure that banks follow sound risk management. Among these are the Basel II Accords that implement capital requirements for credit risk. The core measures of credit risk evaluation are the Probability of Default and Loss Given Default. The Basel II Advanced Internal-Based-Rating Approach allows banks to model these measures for individual portfolios and make their own evaluations. This thesis, in compliance with the Advanced Internal-Based-rating approach, evaluates the use of an Error Correction Model when modeling the Probability of Default. A model proven to be strong in stress testing. Furthermore, a Loss Given Default function is implemented that ties Probability of Default and Loss Given Default to systematic risk. The Error Correction Model is implemented on an SME portfolio from one of the "big four" banks in Sweden. The model is evaluated and stress tested with the European Banking Authority's 2016 stress test scenario and analyzed, with promising results.

The aim of my diploma thesis is to chart the situation of international migration in states of the European Union and especially in the Czech republic. Although the international migration is very discussed theme, nobody till now has dealt with a total survey in the frame of the European community, which is also my contribution to given sphere of migration. The whole work is divided into five sections. The first two chapters are put near the theoretical aspects of migration and of the European union, which help better to make sense of given theme. The next section is focused on the analysis of the particular member states, which are consequently compared pursuant to chosen criteria and also is assessed the influence of these factors on migration by itself. In the last but one part the problems of migration in the Czech republic from different view-points is put near. The last chapter puts mind to the analysis of time series of net migration rate of the Czech republic whose result is construction of prognoses to the five years starting from year 2007.