The aim of thesis is to analyze the duration and its application in portfolio management. The work is divided into three logical parts. The intoductory part deal with issues of yield curves and in the following chapters we will build on this knowledge. In the mainstay of thesis we concentrate primarily on duration and its various modifications. The last section is devoted to portfolio management with emphasis on the bond portfolio. All theoretical knowledge is then applied to practical examples, which should lead to a better understanding of the topic.

Background: The volatility in the interest rate market have increased during the last decade and this have made interest rate risk management more important for  both financial institutions and non-financial companies with short- and long term financial commitments. Objective: The main objective of this thesis is to analyze different ways of measuring interest rate risk in the treasury operations an international industrial company group. Further, the study will also examine the way treasury departments of international industrial company group’s measure interest rate risk and explain why this method have been chosen. Method: The research method of the thesis is a case study and a mix of both quantitative and qualitative data has been used to conduct it. The quantitative data have been secondary data received from TIFI’s treasury management software and the qualitative data have been collected through a survey with eight treasury managers from other international industrial company groups. Conclusion: The repricing model is suitable because it is straight forward, fairly easy to communicate to management and it focuses on the book value. However, defining relevant time buckets might be difficult. The duration model is a good measurement tool because it can be used in a variety of ways, but a disadvantage is that it focuses on the market value, which might not be appropriate for treasury departments. Stress testing captures the true change in market value, but demands forecasts about future interest rate movements and lacks tools to manage the interest rate risk. Treasury departments of international industrial company groups use a variety of measurement methods. The most frequently used methods are duration-, maturity- and Value at Risk models and different kinds of stress tests. The method should not only measure the interest rate risk in a correct way but it should also be easily explained to management and other executives in the company that might not have knowledge about financial economics. The main difference between treasury departments and commercial banks is that commercial banks try to earn money on interest rate fluctuations, whereas treasury departments want to minimize the impact of interest rate fluctuations in order to support the company group’s core business.

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Unemployment in South Africa has continued to be consistently high as indicated by the various reports published by Statistics South Africa. Unemployment is a global problem where in Organisation for Economic Co-operation and Development (OECD) countries it is related to economic condition. The economic conditions are not solely responsible for the problem of unemployment in South Africa. Consistently high unemployment rates are observed irrespective of the level of economic growth, where unemployment responds marginally to changes Gross Domestic Product (GDP). To understand factors that influence unemployment in South Africa, we need to understand the dynamics of the unemployed population. This study aims at providing a statistical tool useful in improving the understanding of the labour market and enhancing of the labour market policy relevancy. Survival techniques are applied to determine duration dependence, probabilities of exiting unemployment, and the association between socio-demographic factors and unemployment duration. A labour force panel data from Statistic South Africa is used to analyse the time it takes an unemployed person to find employment. The dataset has 4.9 million people who were unemployed during the third quarter of 2013. The data is analysed by computing non-parametric and semi-parametric estimates to avoid making assumption about the functional form of the hazard. The results indicate that the hazard of finding employment is reduced as people spend more time in unemployment (negative duration dependence). People who are unemployed for less than six months have higher hazard functions. The hazards of leaving unemployment at any given duration are significantly lower for people in the following categories - females, adults, education level of lower than tertiary, single or divorced, attending school or doing other activities prior to job search and no work experience. The findings suggest an existence of association between demographics and the length of stay in unemployment; which reflect the nature of the labour market. Due to lower exit probabilities young people spent more time unemployed thus growing out of the age group which is more likely to be employed. Seasonal jobs are not convenient for pregnant women and for those with young kids at their care thus decreasing their employment probabilities. Analysis of factors that affect employment probabilities should be based on datasets which have no seasonal components. The findings suggest that the seasonal components on the labour force panel impacted on the results. According to the findings analysis of unemployment durations can be improved by analysing men and women separately. Men and women have different challenges in the labour market, which influence the association between other demographic factors and unemployment duration / Statistics / M. Sc. (Statistics)

The involvement of religious dimensions in armed conflict reduces the space for resolution and threatens the durability of peace. Yet, there are empirical cases showing that it is possible to address the challenges posed by religious dimensions. There are various avenues to secure durable peace for conflicts involving religious dimensions. Recent studies have focused on the usage of politico-religious solutions. Their findings are however limited to a series of case studies and still have multiple unknowns. This thesis aims to contribute to this body of research with the research question: How do politico-religious arrangements impact peace durability for intrastate armed conflicts involving religious dimensions? Building on previous research on the termination of civil wars and the resolution mechanisms for religious conflicts, this thesis develops a theoretical argument proposing that the provision of politico-religious solutions increases the likelihood of peace duration. A large-N analysis of 107 settlements from 1975 to 2018 related to 30 dyadic conflicts with religious dimensions, shows that there insufficient statistical evidence to support the proposed relationship. The findings question the generalisability of previous research and propose new avenues to further research the applicability of politico-religious solutions.

Thesis (DLitt (African Languages))--University of Stellenbosch, 2008. / ENGLISH ABSTRACT: This dissertation is an experimental investigation of vowel duration. It focuses on phonetic and phonological aspects of vowel duration in Civili, and African language spoken in Gabon and some of its neighboring countries. It attempts to bring new insights into the phenomenon of vowel lengthening, and to assess the implictions of these insights for standardizing the orthography of this language. ...

Transportation agencies are introducing new strategies and techniques that will improve traffic incident management. Apart from other indicators, agencies measure the performance of the strategies by evaluating the incidents timeline. An effective strategy has to reduce the length of the incident timeline. An incident timeline comprises various stages in the incident management procedure, starting when the incident was detected, and ending when there is the recovery of normal traffic conditions. This thesis addresses three issues that are related to the traffic incident timeline and the incident management strategies. First, co-location of responding agencies has not been investigated as other incident management measures. Co-location of incident responders affects the incident timeline, but there is a scarcity of literature on the magnitude of the effects. Evaluation of the co-location strategy is reflected by the response and verification durations because its effectiveness relies on improving communication between agencies. Investigation of the response and verification duration of incidents, before and after operations of a co-located Traffic Management Center (TMC) is done by using hazard-based models. Results indicate that the incident type, percentage of the lane closure, number of responders, incident severity, detection methods, and day-of-the-week influence the verification duration for both the before- and after- period. Similarly, incident type, lane closure, number of responders, incident severity, time-of-the-day, and detection method influence the response duration for both study periods. The before and after comparison shows significant improvements in the response duration due to co-location of incident response agencies. Second, the incident clearance duration may not necessarily reflect how different types of incidents and various factors affect traffic conditions. The duration at which the incident influences traffic conditions could vary – shorter than the incident duration for some incidents and longer for others. This study introduces a performance measure called incident impact duration and demonstrates a method that was used for estimating it. Also, this study investigated the effects of using incident impact duration compared to the traditionally incident clearance duration in incident modeling. Using hazard-based models, the study analyzed factors that affect the estimated incident impact duration and the incident clearance duration. Results indicate that incident detection methods, the number of responders, Traffic Management Center (TMC) operations, traffic conditions, towing and emergency services influence the duration of an incident. Third, elements of the incident timeline before the clearance duration have been overlooked as factors that influence the clearance duration. Incident elements before the clearance duration include verification time, dispatch duration, and the travel time of responders to the incident scene. This study investigated the influence of incident timeline elements before clearance on the extent of the clearance duration. Also, this study analyzed the impact of other spatial and temporal attributes on the clearance duration. The analysis used a Cox regression model that is estimated using the Least Absolute Shrinkage and Selection Operator (LASSO) penalization method. LASSO enables variable selection from incidents data with a high number of covariates by automatically and simultaneously selecting variables and estimating the coefficients. Results suggest that verification duration, response travel duration, the percentage of lane closure, incident type, the severity of an incident, detection method, and crash location influence the clearance duration.

Submitted by Aelson Maciera (aelsoncm@terra.com.br) on 2017-08-09T15:24:44Z No. of bitstreams: 1 DissCZO.pdf: 1359694 bytes, checksum: 90de19ac8dc5ae4c2ad7e286ab945d9b (MD5) / Approved for entry into archive by Ronildo Prado (ronisp@ufscar.br) on 2017-08-09T17:18:02Z (GMT) No. of bitstreams: 1 DissCZO.pdf: 1359694 bytes, checksum: 90de19ac8dc5ae4c2ad7e286ab945d9b (MD5) / Approved for entry into archive by Ronildo Prado (ronisp@ufscar.br) on 2017-08-09T17:18:08Z (GMT) No. of bitstreams: 1 DissCZO.pdf: 1359694 bytes, checksum: 90de19ac8dc5ae4c2ad7e286ab945d9b (MD5) / Made available in DSpace on 2017-08-09T17:23:14Z (GMT). No. of bitstreams: 1 DissCZO.pdf: 1359694 bytes, checksum: 90de19ac8dc5ae4c2ad7e286ab945d9b (MD5) Previous issue date: 2011-12-07 / Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) / When a group of patients is monitored until a pre-established date for observation of the recurrence time of an event, it is possible that, at the end of the monitoring period, a parcel of such group has not yet suffered the event of interest. When that happens, even if the period is extended, there is evidence that an appropriate model for the theoretical survival function of the time until the event occurs would be one model able to bear this kind of data. This class of long duration models will be defined because the form presented by the nonparametric estimation of hazard function in this type of study indicates that the model should be flexible to allow such function to be increasing, decreasing, constant or U-shaped. In this report, we present the long duration modified Weibull model (LDMW) as a proposal to contemplate the issues in the medicine area. The LDMW model has a flexible hazard curve, which enables adjustment when the hazard is decreasing, increasing, U-shaped, unimodal, initially decreasing and posteriorly unimodal and constant. The report also particularizes models already known in the literature that contemplate long duration, such as the long duration Weibull (LDW), long duration Exponential (LDE) and short duration models, such as the modified Weibull (MW), Weibull and Exponential. The simulations showed that the odds of coverage reach the nominal probability of 95% for moderately to big sized samples, that the LDMW p model parameters estimation is costless when compared to the MW and that the selection criteria of the AIC and BIC models are not adequate to discriminate the LDMW model adjustment when compared to the LDW model adjustment for small or moderately sized samples. The LDMW model and its particular cases were adjusted into two sets of real data considering the Classic and Bayesian Inference. The first data set is about the time until the seroreversion of children born from HIV-positive mothers and the second data set is about the recurrence time of breast cancer in women. / Quando um grupo de pacientes é seguido até uma data pré-estabelecida, para a observação do tempo até a ocorrência de um evento, pode acontecer que, na data de término do acompanhamento, uma parcela do grupo não tenha sofrido o evento de interesse. Quando ocorre, ainda que se estenda o prazo, existem indícios de que um modelo adequado para a função de sobrevivência teórica do tempo até a ocorrência do evento seja um modelo que comporte esse tipo de dados. Será definida essa classe de modelos de longa duração, pois a forma apresentada pela estimativa não paramétrica da função de risco, nesse tipo de estudo, indica que o modelo deve ser flexível no sentido de permitir que a função de risco seja uma função crescente, decrescente, constante ou em forma de U. Nesta dissertação, apresenta-se o modelo Weibull modificado de longa duração (WMLD) como proposta para contemplar os problemas na área médica. O modelo WMLD possui curva de risco flexível, possibilitando o ajuste quando há o risco decrescente, crescente, forma de U, unimodal, inicialmente decrescente e, posteriormente, descrevendo forma unimodal e constante. Particulariza modelos já conhecidos na literatura que contemplam a longa duração como o Weibull de longa duração (WLD), exponencial de longa duração (ELD) e modelos de curta duração, como Weibull modificado (WM), Weibull e exponencial. As simulações feitas mostraram que as probabilidades de cobertura atingem a probabilidade nominal de 95% para amostras moderadas a grandes, que não existe custo de estimação do parâmetro p do modelo WMLD, quando comparado com o WLD, e que os critérios de seleção de modelos AIC e BIC não são adequados para discriminar o ajuste do modelo WMLD comparado com o ajuste do modelo WLD, para tamanhos de amostras pequenos ou moderados. Ajustou-se o modelo WMLD e seus casos particulares em dois conjuntos de dados reais, considerando a inferência clássica e a bayesiana. O primeiro conjunto de dados trata-se do tempo até a sororreversão de crianças que nasceram de mães portadoras do vírus HIV e o segundo trata-se do tempo até a recidiva em mulheres com câncer de mama.

The duration of construction of a project depends on many factors, such as: cost, location, site characteristics, procurement methods, area of construction, footprint of the building and its height, etc. It is very important to be able to predict these durations accurately in order to successfully complete a project on time. Various construction duration estimation tools have been developed to make accurate predictions, as &ldquo / time is money.&rdquo / The main objective of this study was to develop a model that can be used to predict the construction duration of a project in a reliable and practical way. Contractors can thus use a project&#039 / s characteristics, as given in the tender documents, to estimate the actual amount time it would take them to complete the construction works. In this study, factors affecting the duration of a construction project and models for estimating construction durations were investigated. Within this framework, duration estimation models such as / Bromilow&rsquo / s Time-Cost (BTC) Model and Building Cost Information Service (BCIS) Model were used while Simple Linear Regression (SLR) and Multiple Linear Regression (MLR) analyses were conducted on data related to seven case study buildings that are situated at the Middle East Technical University (METU) campus in Ankara. This data was obtained from the Department of Construction and Technical Works (DCTW) at METU. The closeness in estimation of the regression analyses was investigated and finally an MLR model was obtained which was based on two parameters / the area of the building and the area of its fa&ccedil / ade. On the other hand, as opposed to studies reported in literature, the effect of cost on duration was not seen to be significant.

Submitted by GUSTAVO OKUYAMA (gus_okuyama@yahoo.com.br) on 2014-09-08T18:50:02Z No. of bitstreams: 1 DISSERTAÇÃO_-_GUSTAVO_PI_OKUYAMA.pdf: 3558280 bytes, checksum: acaa9096fa2c3acd422630503354a330 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-09-08T19:40:52Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO_-_GUSTAVO_PI_OKUYAMA.pdf: 3558280 bytes, checksum: acaa9096fa2c3acd422630503354a330 (MD5) / Made available in DSpace on 2014-09-08T19:42:44Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO_-_GUSTAVO_PI_OKUYAMA.pdf: 3558280 bytes, checksum: acaa9096fa2c3acd422630503354a330 (MD5) Previous issue date: 2014-08-07 / This study examines how the variables of interest, inflation, exchange rates and economic activity influences the cost of issuing public debt fixed rate bonds in Brazil from 2006 to 2014, for four different maturities. To achieve this objective, variables with constant duration were created, by using the fixed rate costs of bonds in the sovereign debt. The econometric models are based on the estimation of the relation between basic interest rates, exchange rates, inflation, retail sales and the created fixed income bonds, using the autoregressive vector as the statistic model. We have concluded that, the present raise in SELIC implies in fixed rate debt costs decreasing, with the market pricing a future decreasing movement in SELIC. Also, dollar appreciation increases the debt cost in up to one (1) year, in response of a relative local and external interest rate adjusts, and as a possible expectation of a rise in inflation. The increase in inflation generates an interest rate hike in short term, causing interest rates of terms from two and four years to decrease. Retail Sales increase is a response of the market pricing; a need of an interest rate hike in the near future to control the economic activity. / Este trabalho teve como objetivo verificar como as variáveis de juros, inflação, câmbio e atividade econômica influenciam no custo de colocação da dívida pública pré-fixada nos horizontes de um semestre, um, dois e quatro anos. Com este objetivo, empregou-se a construção de variáveis de duration constante a partir das taxas dos títulos pré-fixados da dívida pública. Os modelos possuem como base a estimação da relação entre a taxa básica de juros, taxas de câmbio e de inflação, vendas no varejo e custo da dívida pré-fixada, utilizando como ferramenta estatística o modelo de vetores autorregressivos. Como resultado concluímos que um aumento na taxa básica de juros no presente gera uma queda no custo da dívida pré-fixada, com o mercado precificando um futuro movimento de queda nos juros. Já uma apreciação do dólar impacta negativamente a dívida, de até um ano, pela necessidade de correção da taxa de juros relativa local e estrangeira e como possível resposta a um aumento de inflação. O aumento na inflação gera a necessidade de aumento dos juros básicos em um prazo mais curto, refletindo então na diminuição das taxas pré-fixadas mais longas a partir de dois anos. A consistente resposta à variável vendas no varejo resulta da precificação de um aumento futuro na taxa básica de juros com o objetivo de desaquecer a atividade econômica.