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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Modélisation du risque de crédit de contrepartie / Modeling conterparty risk credit

Kettani, Othmane 19 October 2017 (has links)
On définit le risque de contrepartie comme le risque de détérioration de la qualité de crédit entrainant une incapacité de la contrepartie à remplir ses obligations contractuelles. De nos jours, ce risque ne se limite plus aux entreprises, mais s'est également étendu aux banques et autres institutions financières. Par conséquent, toute entité participant aux marchés dérivés OTC est exposée à ce risque. La «Credit Value Adjustment» (CVA) est la valeur de marché du risque de contrepartie. En raison de sa complexité, la mise en œuvre de la CVA demeure l'un des plus grands défis auxquels les banques font face depuis la dernière crise. Pour la plupart d’entre elles, sa mise en production nécessite des changements majeurs de l’infrastructure actuelle. En outre, le régulateur, dont le but est de renforcer la stabilité des marchés financiers, s’est également intéressé à la CVA en introduisant une nouvelle charge en capital liée au risque de contrepartie. Les contributions de notre thèse à la littérature existante sur le sujet se trouvent essentiellement aux chapitres 2, 3 et 4 du manuscrit. Dans les chapitres 2 et 3, nous proposons deux méthodes innovatrices pour le calcul de la CVA. Le chapitre 4 est, quant à lui, entièrement dédié à l’étude de la charge en capital réglementaire sous la régulation FRTB-CVA. / Counterparty risk is defined as the risk of credit worthiness deterioration, making the counterparty unable to meet its contractual obligations. Nowadays, this risk is no longer confined to corporate clients but has spread out to other banks and financial institutions. As a consequence, any firm participating in the over-the-counter (OTC) derivatives market is exposed to this risk. Credit Value Adjustment (CVA) is the market value of counterparty credit risk. Implementation of CVA still remains one of the biggest challenges banks face since the last financial crisis, due to its complexity and cost of implementation. For most banks, pricing the whole CVA book requires major changes on the infrastructure they currently have. Furthermore, regulatory responses to the last financial turmoil aimed at strengthening the financial system by introducing new capital requirements. The Basel III regulatory standard was developed in this respect, prescribing an additional capital charge to cover CVA losses.Our contributions to the relevant literature are chapters 2, 3 and 4. In chapters 2 and 3, we propose two innovative approaches to compute CVA that allow a huge reduction in computational costs. Chapter 4 is devoted to the study of the CVA capital charge under the new FRTB-CVA regulation.
2

A influência da porcentagem da área de janela no consumo de energia elétrica em residências na cidade de São Carlos - SP / Influence of window area on the electrical energy consumption of dwellings in the city of São Carlos SP

Bisinotto, Stela Leticia 09 February 2012 (has links)
Made available in DSpace on 2016-06-02T20:09:15Z (GMT). No. of bitstreams: 1 4149.pdf: 3640236 bytes, checksum: 4aa2aa39a2e563f087a25973327d591c (MD5) Previous issue date: 2012-02-09 / Financiadora de Estudos e Projetos / This study seeks to verify the influence of windows areas in the electrical energy consumption of dwellings in the city of São Carlos. In order to do this, the index WWR (window to wall ratio) was applied, representing the ratio of window area and the area of external surface (wall). The applied methodology consisted on field campaigns, modeling and computational simulation. First, taking into account a preexistent data basis, the characteristics of the electrical energy consumption for the whole area of the city of São Carlos was verified. Then, specific buildings were selected to be measured in loco. The field data allowed the determination of building parameters (orientation, volume and constructed area, area of façades and window areas), which were directly or indirectly used as data entry for modeling the electrical energy consumption of the dwellings set. The modeling process applied Artificial Neural Networks (ANN), which is a computational technique inspired on the structure of human neurons. Several models were developed and their performance was evaluated by the determination coefficient (R2) and relative errors, shown by the relationship between simulated and real data. The best model was selected to be applied in the simulation of the influence of WWR and electrical energy consumption. The results showed that the WWR index has influence on the residential consumption of the dwellings studied and that NE orientation causes the lowest impact on electrical energy consumption. Furthermore, an ideal range of WWR/volume between 0,06 and 0,07 is related to the lowest energy consumption per constructed area in the city of São Carlos. / Neste trabalho buscou-se verificar a influência da área de janelas no consumo de energia elétrica de residências localizadas na cidade de São Carlos-SP. Para isso, aplicou-se o índice WWR (do inglês window-to-wall ratio), que representa a razão entre a área de janela e a área de superfície externa (parede). A metodologia aplicada envolveu pesquisa de campo, modelagem e simulação computacional. Inicialmente foi feita uma verificação das características do consumo de energia elétrica para toda a área da cidade de São Carlos, a partir de uma base de dados pré-existente. Em função desses dados, foram selecionadas edificações específicas, para as quais foi realizado um levantamento in loco. Os dados de campo permitiram determinar parâmetros construtivos (orientação, volume e área construída, áreas de fachadas e áreas de janelas), os quais foram direta ou indiretamente utilizados como dados de entrada para uma modelagem do consumo de energia elétrica das residências amostradas. A modelagem foi desenvolvida por aplicação de Redes Neurais Artificiais (RNA), uma técnica computacional inspirada na estrutura dos neurônios humanos. Assim, foram desenvolvidos diversos modelos e verificados os seus desempenhos através do coeficiente de determinação (R2) e erros relativos apresentados pela relação entre dados simulados e dados medidos. O modelo de melhor desempenho foi selecionado para simular a influência do WWR no consumo de energia elétrica. Os resultados apontaram que o índice WWR tem influência sobre o consumo das residências amostradas e que há influência da orientação, sendo a orientação Nordeste a menos impactante no consumo de energia elétrica. Além disso, uma faixa de valor de WWR/volume construído entre 0,06 e 0,07 está relacionada à promoção do menor consumo de energia por área construída na cidade de São Carlos.
3

Integração da ventilação híbrida e da iluminação natural em saletas comerciais na cidade de São Paulo: influência de parâmetros de projeto / Daylighting and hybrid ventilation integration in cellular offices in the city of São Paulo: design parameters influence.

Santesso, Caroline Antonelli 11 November 2016 (has links)
Atualmente, os edifícios selados hermeticamente e com as chamadas \"peles de vidro\" estão presentes em diversos países, e possuem, como consequência, um elevado consumo de energia elétrica para conseguir manter o conforto ambiental dos usuários. Contudo, é possível se beneficiar de uma maior eficiência energética nesses espaços através da combinação de soluções ativas e passivas. Esse estudo tem como objetivo principal avaliar a influência de parâmetros de projetos, tais como o formato da sala, tamanho e orientação das aberturas na fachada, no consumo de energia e no conforto visual em saletas comerciais com ventilação híbrida e integração da iluminação natural com a artificial na cidade de São Paulo. As saletas comerciais analisadas possuem uma área média, diferentes formatos e diferentes aberturas em uma só fachada, representando a solução arquitetônica mais comum encontrada nesse tipo de edifício. Através de análise energética realizada por meio do programa EnergyPlus e da análise lumínica com o programa DIVA-for-Rhino, verificou-se que o formato da sala é essencial para a decisão de um percentual de área de abertura na fachada (PAF) que consuma menos energia. Os resultados mostraram que o uso da ventilação híbrida sempre representou uma economia, atingindo uma redução de até 51% do consumo do ar condicionado para resfriamento e até 26% do consumo de energia total, com os PAF´s de 40, 70 e 100%. Seria interessante considerar elementos de proteção solar que não diminuam a eficácia da ventilação e iluminação naturais nesses ambientes, para se aliar o baixo consumo de energia com menores riscos de ofuscamento. Desta forma, o trabalho auxilia a incorporação destas estrategias para uma maior economia de energia no desenvolvimento do projeto arquitetônico desta tipologia de edifício comercial. / Nowadays, sealed airtight office buildings and so-called \"glass curtain wall\" are present in many countries, and have as a result a high consumption of electric energy to be able to maintain the environmental comfort of the users. However, the combination of passive and active strategies could improve the energy efficiency in these spaces. This study aims to evaluate the design parameters influence, such as rooms shape, the openings size and orientation, in the energy consumption and in the visual comfort in cellular offices with hybrid ventilation system and the integration of daylight and artificial lighting in São Paulo. The analyzed cellular offices have an average area, different shapes and different openings in one facade, representing the more common architectural characteristics found in this type of building in that context. Energy analyses in EnergyPlus and daylight studies using DIVA-for-Rhino were conducted. It was found that the rooms shape is essential for the determination of the window-to-wall-ratio (WWR) for reducing energy consumption. The results showed that the hybrid ventilation use always represented an economy, reaching reduction values up to 51% in the consumption of air conditioning for cooling and up to 26% in cellular offices total consumption, with a WWR of 40, 70 and 100%. It would be interesting to consider sun shading elements that do not reduce the effectiveness of natural ventilation and daylighting in these environments to combine low power consumption with a lower risk of glare. In this way, the work helps the incorporation of these strategies for save energy in the development of the architectural design of this type of commercial building.
4

Options américaines et processus de Lévy

Bouselmi, Aych 11 December 2013 (has links) (PDF)
Les marchés financiers ont connu, grâce aux études réalisées durant les trois dernières décennies, une expansion considérable et ont vu l'apparition de produits dérivés divers et variés. Parmi les plus répandus, on retrouve les options américaines. Une option américaine est par définition une option qu'on a le droit d'exercer avant l'échéance convenue T. Les plus basiques sont le Put ou le Call américain (respectivement option de vente (K - x)+ ou d'achat (x - K)+). La première partie, et la plus conséquente, de cette thèse est consacrée à l'étude des options américaines dans des modèles exponentiels de Lévy. On commence dans un cadre multidimensionnel caractérise le prix d'une option américaine, dont le Pay-off appartient à une classe de fonctions non forcément bornées, à l'aide d'une inéquation variationnelle au sens des distributions. On étudie, ensuite, les propriétés générales de la région d'exercice ainsi que de la frontière libre. On affine encore ces résultats en étudiant, en particulier, la région d'exercice d'un Call américain sur un panier d'actifs, où on caractérise en particulier la région d'exercice limite (à l'échéance). Dans un deuxième temps, on se place dans un cadre unidimensionnel et on étudie le comportement du prix critique (fonction délimitant la région d'exercice) d'un Put américain près de l'échéance. Particulièrement, on considère le cas où le prix ne converge pas vers le strike K, dans un modèle Jump-diffusion puis dans un modèle où le processus de Lévy est à saut pur avec un comportement proche de celui d'un &-stable. La deuxième partie porte sur l'approximation numérique de la Credit Valuation Adjustment (CVA). On y présente une méthode basée sur le calcul de Malliavin inspirées de celles utilisées pour les options américaines. Une étude de la complexité de cette méthode y est aussi présentée et comparée aux méthodes purement Monte Carlo et aux méthodes fondées sur la régression.
5

Modelagem da dependência entre fatores de crédito e mercado para apreçamento e gerenciamento de risco em exposições de derivativos

Chernizon, Eitan 01 February 2013 (has links)
Submitted by Eitan Chernizon (eitan.chernizon@sgcib.com) on 2013-02-15T17:46:24Z No. of bitstreams: 1 MODELAGEM DA DEPENDÊNCIA ENTRE FATORES DE CRÉDITO E MERCADO.pdf: 1474762 bytes, checksum: 19b13b065762c89e556619042eaf016d (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-18T12:58:52Z (GMT) No. of bitstreams: 1 MODELAGEM DA DEPENDÊNCIA ENTRE FATORES DE CRÉDITO E MERCADO.pdf: 1474762 bytes, checksum: 19b13b065762c89e556619042eaf016d (MD5) / Made available in DSpace on 2013-02-18T13:20:44Z (GMT). No. of bitstreams: 1 MODELAGEM DA DEPENDÊNCIA ENTRE FATORES DE CRÉDITO E MERCADO.pdf: 1474762 bytes, checksum: 19b13b065762c89e556619042eaf016d (MD5) Previous issue date: 2013-02-01 / Apesar das recentes turbulências nos mercados, a utilização de derivativos negociados fora de uma câmara de compensação tem apresentado rápido crescimento, constituindo um dos maiores componentes do mercado financeiro global. A correta inclusão da estrutura de dependência entre fatores de crédito e mercado é de suma importância no apreçamento do risco de crédito adjacente a exposições geradas por derivativos. Este é o apreçamento, envolvendo simulações de Monte Carlo, feito por uma instituição negociante para determinar a redução no valor do seu portfólio de derivativos devido a possibilidade de falência da contraparte. Este trabalho apresenta um modelo com abordagem paramétrica para lidar com a estrutura de dependência, intuitivo e de fácil implementação. Ao mesmo tempo, os números são contrastados com os resultados obtidos através de uma abordagem neutra ao risco para um portfólio replicante, sob o mesmo processo estocástico. O modelo é aplicado sobre um contrato a termo de câmbio, e diferentes cópulas e fatores de correlação são utilizados no processo estocástico. / Despite recent turmoils, the use of derivatives traded outside of a clearinghouse has shown rapid growth and is a major component of the global financial market. The correct inclusion of the dependence structure between market and credit factors is of high importance in the pricing of credit risk exposures generated by the adjacent derivatives. This pricing, involving Monte Carlo simulations, is done by a dealer to determine the reduction in the value of its derivatives portfolio because of the bankruptcy of the counterparty. This paper presents a model with parametric approach to deal with the dependence structure, intuitive and easily implemented. Meanwhile, the numbers are contrasted with results obtained using a risk neutral approach for a replicating portfolio under the same stochastic process. The model is applied on a forward exchange contract, and different copulas and correlation factors are used in the stochastic process.
6

Integração da ventilação híbrida e da iluminação natural em saletas comerciais na cidade de São Paulo: influência de parâmetros de projeto / Daylighting and hybrid ventilation integration in cellular offices in the city of São Paulo: design parameters influence.

Caroline Antonelli Santesso 11 November 2016 (has links)
Atualmente, os edifícios selados hermeticamente e com as chamadas \"peles de vidro\" estão presentes em diversos países, e possuem, como consequência, um elevado consumo de energia elétrica para conseguir manter o conforto ambiental dos usuários. Contudo, é possível se beneficiar de uma maior eficiência energética nesses espaços através da combinação de soluções ativas e passivas. Esse estudo tem como objetivo principal avaliar a influência de parâmetros de projetos, tais como o formato da sala, tamanho e orientação das aberturas na fachada, no consumo de energia e no conforto visual em saletas comerciais com ventilação híbrida e integração da iluminação natural com a artificial na cidade de São Paulo. As saletas comerciais analisadas possuem uma área média, diferentes formatos e diferentes aberturas em uma só fachada, representando a solução arquitetônica mais comum encontrada nesse tipo de edifício. Através de análise energética realizada por meio do programa EnergyPlus e da análise lumínica com o programa DIVA-for-Rhino, verificou-se que o formato da sala é essencial para a decisão de um percentual de área de abertura na fachada (PAF) que consuma menos energia. Os resultados mostraram que o uso da ventilação híbrida sempre representou uma economia, atingindo uma redução de até 51% do consumo do ar condicionado para resfriamento e até 26% do consumo de energia total, com os PAF´s de 40, 70 e 100%. Seria interessante considerar elementos de proteção solar que não diminuam a eficácia da ventilação e iluminação naturais nesses ambientes, para se aliar o baixo consumo de energia com menores riscos de ofuscamento. Desta forma, o trabalho auxilia a incorporação destas estrategias para uma maior economia de energia no desenvolvimento do projeto arquitetônico desta tipologia de edifício comercial. / Nowadays, sealed airtight office buildings and so-called \"glass curtain wall\" are present in many countries, and have as a result a high consumption of electric energy to be able to maintain the environmental comfort of the users. However, the combination of passive and active strategies could improve the energy efficiency in these spaces. This study aims to evaluate the design parameters influence, such as rooms shape, the openings size and orientation, in the energy consumption and in the visual comfort in cellular offices with hybrid ventilation system and the integration of daylight and artificial lighting in São Paulo. The analyzed cellular offices have an average area, different shapes and different openings in one facade, representing the more common architectural characteristics found in this type of building in that context. Energy analyses in EnergyPlus and daylight studies using DIVA-for-Rhino were conducted. It was found that the rooms shape is essential for the determination of the window-to-wall-ratio (WWR) for reducing energy consumption. The results showed that the hybrid ventilation use always represented an economy, reaching reduction values up to 51% in the consumption of air conditioning for cooling and up to 26% in cellular offices total consumption, with a WWR of 40, 70 and 100%. It would be interesting to consider sun shading elements that do not reduce the effectiveness of natural ventilation and daylighting in these environments to combine low power consumption with a lower risk of glare. In this way, the work helps the incorporation of these strategies for save energy in the development of the architectural design of this type of commercial building.
7

A vertical greenhouse poweredby waste heat : Making use of industrial low temperature waste heat from the company Cytiva from an environmental aspect

Lundström, Johanna, Ezra, Johanna, Beck-Norén, Filippa, Heino, Emelie January 2022 (has links)
The industry sector accounts for a vast amount of the world’s total energy use, as much as 37% during 2018. Using energy in a sustainable way is necessary from both an environmental and an economical perspective, and it is therefore relevant to take measurements that result in a more efficient use of energy. One way for industries to become more energy efficient is to recover the waste heat, which is energy that otherwise would go to waste. This report aims to find a method to recover and reuse the low temperature waste heat available at the life science company Cytiva’s production site in Uppsala, Sweden. The proposed solution will be to use the waste heat for heating a vertical greenhouse. The study will examine whether this is feasible, and also how installing photovoltaics affects the energy use. Furthermore, the environmental impact of operating the greenhouse with waste heat is also investigated by calculating the CO2 equivalent. The low temperature waste heat that Cytiva provides relevant for this study is 6683 kW, which will be used to heat up the greenhouse. Simulations in the software IDA ICE will be used to construct and simulate a model of the vertical greenhouse. Results from the simulations show that the chosen size, 25 x 50 x 35.5 meters, gives a good approximation according to the wanted temperature range, 18.3-32.2°C. Furthermore, the results imply that the total energy use, 790 652 kWh, and average power, 90.26 kW is less than the available waste heat and there is a large amount that still is unused. The CO2 equivalent is calculated to be 29 317 kg. A sensitivity analysis is made to evaluate the window-to-wall ratio as well as the size of the entire greenhouse. It showed that both parameters are critical and makes a big difference in the simulations.
8

Valorisation des ajustements Xva : de l’exposition espérée aux risques adverses de corrélation / Pricing of XVA adjustments : from expected exposures to wrong-way risks

Iben Taarit, Marouan 08 January 2018 (has links)
Nous entamons ce rapport de thèse par l’évaluation de l’espérance espérée qui représente une des composantes majeures des ajustements XVA. Sous l’hypothèse d’indépendance entre l’exposition et les coûts de financement et de crédit, nous dérivons dans le chapitre 3 une représentation nouvelle de l’exposition espérée comme la solution d’une équation différentielle ordinaire par rapport au temps d’observation du défaut. Nous nous basons, pour le cas unidimensionnel, sur des arguments similaires à ceux de la volatilité locale de Dupire. Et pour le cas multidimensionnel, nous nous référons à la formule de la Co-aire. Cette représentation permet d’expliciter l’impact de la volatilité sur l’exposition espérée : Cette valeur temps fait intervenir la volatilité des sous-jacents ainsi que la sensibilité au premier ordre du prix, évalués sur un ensemble fini de points. Malgré des limitations numériques, cette méthode est une approche précise et rapide pour la valorisation de la XVA unitaire en dimension 1 et 2.Les chapitres suivants sont dédiés aux aspects du risque de corrélations entre les enveloppes d’expositions et les coûts XVA. Nous présentons une modélisation du risque général de corrélation à travers une diffusion stochastique multivariée, comprenant à la fois les sous-jacents des dérivés et les intensités de défaut. Dans ce cadre, nous exposons une nouvelle approche de valorisation par développements asymptotiques, telle que le prix d’un ajustement XVA correspond au prix de l’ajustement à corrélation nulle, auquel s’ajoute une somme explicite de termes correctifs. Le chapitre 4 est consacré à la dérivation technique et à l’étude de l’erreur numérique dans le cadre de la valorisation de dérivés contingents au défaut. La qualité des approximations numériques dépend uniquement de la régularité du processus de diffusion de l’intensité de crédit, et elle est indépendante de la régularité de la fonction payoff. Les formules de valorisation pour CVA et FVA sont présentées dans le chapitre 5. Une généralisation des développements asymptotiques pour le cadre bilatéral de défaut est adressée dans le chapitre 6.Nous terminons ce mémoire en abordant un cas du risque spécifique de corrélation lié aux contrats de migration de rating. Au-delà des formules de valorisation, notre contribution consiste à présenter une approche robuste pour la construction et la calibration d’un modèle de transition de ratings consistant avec les probabilités de défaut implicites de marché / The point of departure of this thesis is the valuation of the expected exposure which represents one of the major components of XVA adjustments. Under independence assumptions with credit and funding costs, we derive in Chapter 3 a new representation of the expected exposure as the solution of an ordinary differential equation w.r.t the default time variable. We rely on PDE arguments in the spirit of Dupire’s local volatility equation for the one dimensional problem. The multidimensional extension is addressed using the co-area formula. This forward representation gives an explicit expression of the exposure’s time value, involving the local volatility of the underlying diffusion process and the first order Greek delta, both evaluated only on finite set of points. From a numerical perspective, dimensionality is the main limitation of this approach. Though, we highlight high accuracy and time efficiency for standalone calculations in dimensions 1 and 2.The remaining chapters are dedicated to aspects of the correlation risk between the exposure and XVA costs. We start with the general correlation risk which is classically modeled in a joint diffusion process for market variables and the credit/funding spreads. We present a novel approach based on asymptotic expansions in a way that the price of an XVA adjustment with correlation risk is given by the classical correlation-free adjustment to which is added a sum of explicit correction terms depending on the exposure Greeks. Chapter 4 is consecrated to the technical derivation and error analysis of the expansion formulas in the context of pricing credit contingent derivatives. The accuracy of the valuation approach is independent of the smoothness of the payoff function, but it is related to the regularity of the credit intensity model. This finding is of special interest for pricing in a real financial context. Pricing formulas for CVA and FVA adjustments are derived in Chapter 5, along with numerical experiments. A generalization of the asymptotic expansions to a bilateral default risk setting is addressed in Chapter 6.Our thesis ends by tackling the problem of modeling the specific Right-Way Risk induced by rating trigger events within the collateral agreements. Our major contribution is the calibration of a rating transition model to market implied default probabilities

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