An important part when managing credit risk is to assess the probability of default of different counterparties. Increases and decreases in such probabil- ities are central components in the assessment, and this is where transition matrices become useful. These matrices are commonly used tools when as- sessing counterparty credit risk, and contain the probability of default, as well as the probability to migrate between different predefined rating classifica- tions. These rating classifications are used to reflect the risk taken towards different counterparties. Therefore, it is important for financial institutions to develop accurate transition matrix models to manage predicted changes in credit risk exposure. This is because counterparty creditworthiness and prob- ability of default indirectly affect expected loss and the capital requirement of held capital. This thesis will analyze how two specific models perform when used for generating transition matrices. These models will be tested to investigate their performance when predicting rating transitions, including probability of default. / En viktig del vid hanteringen av kreditrisk är att bedöma sannolikheten för fallissemang för olika motparter. Ökningar och minskningar i dessa sanno- likheter är centrala komponenter i bedömningen, och det är här migrations- matriser blir användbara. Dessa matriser är vanligt förekommande verktyg vid bedömning av kreditrisk mot olika motparter och innehåller sannolikheten för fallissemang samt sannolikheten att migrera mellan olika fördefinierade be- tygsklassificeringar. Dessa betygsklassificeringar används för att återspegla den risk som tas mot olika motparter. Det är därför viktigt för finansinstitut att utveckla träffsäkra migrationsmatris modeller för att hantera förväntade förändringar i kreditriskexponering. Detta beror på att kreditvärdigheten hos motparter samt sannolikheten för fallissemang indirekt påverkar expected loss och kapitalkrav. Detta examensarbete kommer att analysera hur två specifika modeller presterar när de används för att generera migrationsmatriser. Dessa mod- eller kommer att testas för att undersöka hur de presterar när de används för att förutsäga övergångar inom betygsklassificering, inklusive sannolikheten för fallissemang.

This paper describes a high fidelity simulation model for GEROTOR pumps. The simulation approach is based on the coupling of different models: a geometric model used to evaluate the instantaneous volumes and flow areas inside the unit, a lumped parameter fluid dynamic model for the evaluation of the displacing action inside the unit and mechanical models for the evaluation of the internal micro-motions of the rotors axes. This paper particularly details the geometrical approach, which takes into account the actual geometry of the rotors, given as input as CAD files. This model can take into account the actual location of the points of contact between the rotors as well for the actual clearances between the rotors. The potentials of the model are shown by considering a particular GEROTOR design. A specific test set-up was developed within this research for the model validation, and comparisons in terms of steady-state pressure versus flow curves and instantaneous pressure ripples are shown for the reference pump.

The work in this thesis is concerned with the generation of Lumped Parameter Models (LPM) for two, slender, torpedo shaped, X-fin craft. This process involves the use of CFD to simulate captive maneuvers that are normally performed using test equipment in the field. These captive maneuvers are refereed to as planar motion mechanisms (PMM), and when simulated through CFD are refereed to as virtual planar motion mechanisms (VPMM). The results from VPMM are used to determine the hydrodynamic derivatives that inform the LPM. There was some inconsistency in the VPMM data based on the frequency and amplitude that the VPMM was run. A brief study was run to look at this effect. Afterwards, Open and closed loop, autopilot assisted, maneuvers are implemented and performed using the LPM model through Simulink. Results of these maneuvers are analyzed for craft stability. Additionally, comparisons of LPM maneuvers to field data are performed. Critiques of the craft stability and effect of the autopilot are made. / Master of Science / The work carried out in this thesis involves the creation of a physics based model of an underwater craft. This physics based model is informed through characteristics determined by running computational fluid dynamics (CFD) simulations. The benefit of such a model, is the simplification from CFD to a 6 degree of freedom (6-DOF) lumped parameter model (LPM). These physics models, LPM, are generated for two particular craft of interest. One craft is an existing design used by NUWC (named Tonnetto), while the other design is one generated to be similar in shape and size to the NUWC craft (named Hokie). Computer simulated maneuvers are carried out using these models to asses craft stability and performance. An autopilot is implemented into the models for some of these simulations to see its affects on the crafts performance. Additionally, these simulated maneuvers are compared to field data collected by NUWC.

There are several benets of electrohydraulic power steering systems, as compared to hydraulicpower steering systems where the pump is driven directly by the engine of the vehicle. Someof these benets are increased eciency and improved steering performance. The purpose ofthis project is to create a simulation model of the electrohydraulic power steering system inSimulink, excluding the hydraulic circuit. The model should thus consist of the electric motor,the drive electronics, the control system, the hydraulic pump as well as the communication andinterface to the master simulation system in which the model will be used.As a start a mathematical model of the motor is derived. Then the motor controller includingtwo current controllers and a speed controller is developed. The switching signals for the threephase bridge that drives the motor are calculated using space vector modulation. The motordrives a hydraulic pump, which is modeled using data sheet eciency curves. Finally a thermalmodel of the drive is developed. To fulll real time requirements, a lumped parameter approachis chosen. The nal model is exported as a Functional Mock-up Unit, which is a black-boxencapsulation of the complete simulation model.The simulation model is compared to measurement data to conrm its validity. Thesecomparisons shows that the dynamic response of the motor and its controller are close to themeasured values and that the thermal model adequately corresponds to the thermal tests. Thehydraulic pump model varied from measurements more than the other sub-modules. It was,however, seen as acceptable. Overall the system response was satisfactory, but naturally a lotof future improvements and new features could be made to improve the model. / Det finns flera fördelar med elektrohydraulisk servostyrning, där hydraulpumpen drivs av en el-motor, jämfört med hydraulisk servostyrning, där pumpen drivs direkt av fordonets förbränningsmotor. Några av dessa fördelar är ökad effektivitet och förbättrad styrprestanda. Syftet med detta projekt är att skapa en Simulink-modell av ett elektrohydraulisk system för servostyrning, exklusive hydraulkretsen. Modellen ska alltså bestå av delmodeller för elmotorn, drivelektroniken, styrsystemet, hydraulpumpen samt kommunikation med den övergripande simuleringsplattformen.Inledningsvis beskrivs en matematisk modell av elmotorn och efter det utvecklas motorstyrningen, bestående av två strömregulatorer samt en hastighetsregulator. Spänningen från strömregulatorerna uppnås genom space vector-modulation, som beräknar de pulskvoter som krävs för att uppnå denna spänning. Elmotorn driver en pump. Denna pump modelleras med hjälp av data från pumpens datablad. Slutligen modelleras drivelektronikens termiska egenskaper med ett termiskt nätverk. Den slutliga modellen omsluts av en Functional Mock-up Unit somintegreras i den övergripande simuleringsplattformen.

The otolith organs are commonly modeled as a system consisting of three distinct elements, a viscous endolymph fluid in contact with a rigid otoconial layer that is attached to the skull by a viscoelastic gel layer. However, in this model the gel layer is considered as a bi-layered viscoelastic solid and is modeled as a simple Kelvin-Voigt material. The governing differential equations of motion are derived and nondimensionalized yielding - three non-dimensional parameters: nondimensional viscosity, nondimensional elasticity and nondimensional density. These non-dimensional parameters are derived from experimental research. The shear stresses acting at the interface of the viscoelastic bi-layered gel are nondimensionalized and equated. The governing differential equations are then solved using finite difference techniques on a digital computer for a step-change in velocity and a constant acceleration stimulus. The results indicate that the inclusion of a viscoleastic bi-layered gel is essential for the model to produce greater otoconial layer deflections that are consistent with physiologic displacements. Future mathematical modeling of the otolith organs should include the effects of a viscoelastic bi-layered gel, as this is a major contributor to system damping and response and increased otoconial layer deflections. / Master of Science

abstract: With the growing importance of underground power systems and the need for greater reliability of the power supply, cable monitoring and accurate fault location detection has become an increasingly important issue. The presence of inherent random fluctuations in power system signals can be used to extract valuable information about the condition of system equipment. One such component is the power cable, which is the primary focus of this research. This thesis investigates a unique methodology that allows online monitoring of an underground power cable. The methodology analyzes conventional power signals in the frequency domain to monitor the condition of a power cable. First, the proposed approach is analyzed theoretically with the help of mathematical computations. Frequency domain analysis techniques are then used to compute the power spectral density (PSD) of the system signals. The importance of inherent noise in the system, a key requirement of this methodology, is also explained. The behavior of resonant frequencies, which are unique to every system, are then analyzed under different system conditions with the help of mathematical expressions. Another important aspect of this methodology is its ability to accurately estimate cable fault location. The process is online and hence does not require the system to be disconnected from the grid. A single line to ground fault case is considered and the trend followed by the resonant frequencies for different fault positions is observed. The approach is initially explained using theoretical calculations followed by simulations in MATLAB/Simulink. The validity of this technique is proved by comparing the results obtained from theory and simulation to actual measurement data. / Dissertation/Thesis / Masters Thesis Electrical Engineering 2016

Experimental data for the logarithm of the gas-to-ionic liquid partition coefficient (log K) have been compiled from the published literature for over 40 ionic liquids over a wide temperature range. Temperature independent correlations based on the Gibbs free energy equation utilizing known Abraham solvation model parameters have been derived for the prediction of log K for 12 ionic liquids to within a standard deviation of 0.114 log units over a temperature range of over 60 K. Temperature independent log K correlations have also been derived from correlations of molar enthalpies of solvation and molar entropies of solvation, each within standard deviations of 4.044 kJ mol-1 and 5.338 J mol-1 K-1, respectively. In addition, molar enthalpies of solvation and molar entropies of solvation can be predicted from the Abraham coefficients in the temperature independent log K correlations to within similar standard deviations. Temperature independent, ion specific coefficients have been determined for 26 cations and 15 anions for the prediction of log K over a temperature range of at least 60 K to within a standard deviation of 0.159 log units.

The studies in this dissertation address the issue of variability in runoff generation and pollutant concentration in urban areas, and specifically in the catchments of stormwater control measures. There is an imperfect correlation between runoff volumes and the capture area and land uses of urban catchments. Variable capture areas and uncertainty in urban runoff sources complicate stormwater control measure design and urban stream assessment. Four stormwater control measures in upstream suburban Philadelphia, ranging in capture area from 0.11 ha to 32 ha, were monitored, sampled, and modeled. Sampling was conducted in the watersheds of Wissahickon Creek, Tookany Creek, and Pennypack Creek. The approaches discussed below have the goal of better understanding runoff and the movement of associated contaminants into stormwater retention basins and streams. Rather than viewing runoff generation and contaminant transport as a static process, this work proposes that the amount of runoff contributed from different areas of a catchment changes during and between storm events, and that the origin and concentration of contaminants change as a result. Linking source areas to runoff volumes through natural and modeled tracers could improve predictions of water quality and quantity in stormwater control measures in urban streams. Nitrate (NO3–) isotope ratios were used as tracer of flow from different urban land uses. Time series samples of stormwater runoff entering two stormwater control measures (a constructed wetland and a small bioretention basin) were collected and analyzed to distinguish sources of NO3– by samples’ δ15N and δ18O ratios. A Bayesian mixing model was used to determine that NO3– sources were a mix of soil nitrogen (N) and atmospheric deposition across six storm events. Furthermore, atmospheric versus soil N sources varied throughout the storms. The large catchment of the constructed wetland had more NO3– source variability between samples compared to the small catchment of the bioretention basin. Thus, the NO3– isotopes suggest more distinct flow paths in the large catchment and more mixing of flow across land uses in the small catchment. Quantifying flow path variability from storm to storm and between different catchments can improve design and placement of urban stormwater control measures. A distributed hydrologic model, GSSHA, was used to simulate overland runoff from impervious and semi-pervious land covers in the catchment of a stormwater control measure. The positions of low vegetation and impervious land uses over the catchment were rearranged to create hypothetical catchments during four storm events. Fluctuating source proportions over time suggested that grab samples might not be adequate for capturing average overland runoff chemistry. It was also found that the portion of total runoff volume from impervious areas varied from 50 to 75% while the relative proportion of impervious cover remained constant at 54%. Land use percentages averaged over capture areas are frequently used to estimate runoff amounts and pollutant concentrations, but this model disrupts the assumption that urban hydrologic responses can be predicted from imperviousness alone. Overland runoff was measured and modeled before and after the installation of two stormwater control measures, a berm and a bioswale. Discharge in the stream was modeled for 9 storms ranging in size from 14 to 54 mm. We found that during 4 of the modeled storms there was no decrease in stream discharge and decreases in discharge were generally only observed for low intensity storms. Furthermore, only 5% of the stream catchment was captured by SCMs. Modeled tracers, used to track runoff contributions from areas upslope of the SCMs found that the size of upslope contributing areas did not predict the proportion of runoff generated in each area. Field data to support the models included water level loggers and samples of overland runoff collected in subsurface stormwater casing. After the SCMs were installed, less water was captured in downslope sampling bottles, but new flow paths developed. Furthermore, significant variation was observed in upslope concentrations of dissolved nutrients and total suspended solids, casting doubt on whether point samples of urban overland runoff geochemistry can be representative given variable runoff generation and heterogeneous land uses. This study points out the challenges in evaluating stormwater control measures and reveals that source areas’ contribution to stream flow varies independently of their size. Therefore, modeling before stormwater control measure installation is recommended to determine the factors that influence a capture area’s contribution to urban streamflow. / Geoscience

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Made available in DSpace on 2015-05-08T14:44:50Z (GMT). No. of bitstreams: 1 Arquivototal.pdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2012-08-13 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This paper estimates a reaction function with forward-looking time-varying parameters for changes in the Brazilian monetary policy under inflation targeting regime. As the policy rule has endogenous regressors, the conventional Kalman filter can t be applied. Thus, a two-step procedure of the type Heckman (1976) is used to estimate the hyperparameters consistent model. The results show that: i) there is strong empirical evidence of endogeneity of the regressors of monetary policy rule, ii) the expected interest rate was above 10% throughout the analysis period to an average of 11%; iii) response the Selic rate to inflation varies considerably throughout the period and has shown a declining trend, iv) the response of interest rates relative to inflation deviation from the target with the principle of Taylor; v) the coefficient of smoothing rate interest has been constant throughout the period; vi) that the BCB had in much of the period analyzed an aversion recession by allowing inflation above target. / Este trabalho estima uma função de reação forward-looking com parâmetros variando no tempo para verificar mudanças na condução da política monetária brasileira sob o regime de metas de inflação. Como a regra de política apresenta regressores endógenos, o filtro de Kalman convencional não pode ser aplicado. Diante disso, um procedimento em dois passos do tipo de Heckman (1976) é utilizado para estimação consistente dos hiperparâmetros do modelo. Os resultados mostram que: i) há forte evidência empírica de endogeneidade dos regressores da regra de política monetária; ii) que a taxa de juros esperada esteve acima de 10% durante todo o período analisado, tendo uma média de 11%; iii) a resposta da taxa Selic à inflação varia consideravelmente ao longo do período e tem mostrado uma tendência decrescente; iv) a resposta da taxa de juros em relação ao desvio da inflação a meta respeita o princípio de Taylor; v) o coeficiente de suavização da taxa de juros foi constante durante todo o período analisado; vi) que o BCB teve em boa parte do período analisado uma aversão recessão, permitindo uma inflação acima da meta.